InRis CFM Diversified Fund
Cumulative Performance (%)
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
The objective of the InRIS CFM Diversified Fund (the “Fund”) is to achieve long-term capital appreciation through trading strategies that seek to have a return profile different from that of traditional asset classes, such as stocks and bonds.
Capital Fund Management (the Trading Advisor) is free to choose how the assets of the Fund are invested within the limits of its investment policy and will utilize (typically with equal allocation) a series of four systematic trading models (the Long- Term Trend Following, Universal Value, Risk Premia and Market Neutral Equity models), which are part of its CFM Institutional Systematic Diversified Program (the “Program”). The Fund will significantly invest in financial derivative instruments (“FDIs”) for investment, efficient portfolio management and hedging purposes at any one time.
The Trading Advisor will primarily trade to gain exposure to a diversified portfolio of global fixed income securities (including government bonds and notes), global interest rates, global currencies, global equities, global stock indices and global credit. For hedging purposes, the Fund may use FDIs to hedge against fluctuations in the relative values of its portfolio positions due to changes in currency exchange rates and market interest rates and to hedge against the currency exposure between the denominated currency of the Class and the Base Currency of the Fund.
Capital Fund Management, founded in 1991 is a leading systematic asset manager, both in terms of research & IT Engineering who are specialized in systematically implemented strategies based on a global and quantitative approach ($8.5bn in AuM).
Jean-Philippe Bouchaud – Chairman
Jean-Philippe is Chairman of CFM. He founded ‘Science and Finance’ in 1994, the research arm of CFM with Jean-Pierre Aguilar, which merged with CFM in 2000. He supervises the research team alongside Marc Potters. Jean-Philippe maintains strong links with the academic world and is a professor at École Normale Supérieure (ENS). Prior to CFM, Jean-Philippe was a researcher at the Centre National de la Recherche Scientifique until 1992. Following this he spent a year at the Cavendish Laboratory in Cambridge before joining the Service de Physique de l’État Condensé at the Commissariat à l’Energie Atomique in Saclay, France. He holds a PhD in theoretical physics from the ENS in Paris.
Marc Potters – Chief Investment Officer
Marc is the Chief Investment Officer of CFM, having joined the firm in 1995 originally as a researcher in quantitative finance. He oversees the investment process of all CFM funds. Marc also supervises the research team together with Jean-Philippe, with a particular focus on developing concrete applications in financial forecasting, portfolio construction, risk control and execution. Marc maintains strong links with academia and is an expert in Random Matrix Theory. He has taught at UCLA and Sorbonne University and he continues to publish papers in statistical finance and co-authored the ‘Theory of Financial Risk and Derivative Pricing’ with Jean-Philippe. Marc obtained his PhD in physics from Princeton University.
Statistics & Commentary
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Sector Breakdown as a % of AUM
as a % of AUM
as a % of AUM
as a % of AUM
Trading Advisor's Commentaryas of
The performance of the InRIS CFM Diversified Class F Euro was -0.92% in August. The Fund is at -20.74% YTD.
The Long Term Trend Following program registered slightly worse than flat returns. Performance amongst asset classes were mostly negative or flat, with the exception of Equity Indices. At month-end, the program maintains its net long Bond, Short Term Interest Rate, and US dollar position. Long exposure in Equity and Credit Indices are also maintained.
Equity & Credit Indices
Global equity markets had a bumper month. The S&P 500 total return index posted a 7.2% increase – eclipsing the 5.6% gains of one month earlier and powering through multiple record highs during the month. The strategy’s net long exposureto Equity Indices consequently realised positive performance. It was the strong rally of US technology stocks that stole most headlines; the Nasdaq 100 index jumped a shy over 11%, with nearly 80% of the all constituents registering positive gains over the period. Meanwhile, the rally of the FANMAGs lifted most boats: the broader Nasdaq Composite index gained just under 10%. The strategy’s long position in the mini-Nasdaq was consequently the best performer this month. A short
position in the Topix was, however, the worst performer. The Japanese benchmark gained 8.2% (in yen terms) making it the index’ best monthly performance in nearly five years. Credit Indices ended slightly better than flat, tracking higher along with the equity rally.
Aggregate net long exposure in Bonds contributed negatively. Global benchmark yields of most G7 economies picked up as a risk-on sentiment took hold in global markets, with the strategy’s net long Bond exposure detracting. Long positions
on the US curve were either down or flat, with most losses coming from the longer maturities, especially the US 30-year (the yield of which gained 30 basis points) as the yield curve steepened and yields on shorter maturities having risen less (anchored by the expectation of rates staying lower for longer) than those on longer-dated paper (fanned by some inflation concerns). Overall, however, a long position in the Korean 3-year was the worst performer. The entire Korean sovereign curve lifted, with all tenors yielding higher at month-end. A short position, meanwhile, in the German 10-year was the best performer. Net long positioning in Short Term Interest Rates (STIRS) also detracted, as most global short rates moved either sideways or slightly higher. Long exposure in the Eurodollar fared worst – the contract, based on the 3-month Libor Rate, gained as the reference rate declined just short of a basis point as traders kept pricing in lower future rates.
FX offered negative returns. The dollar slipped 1.3% during the month, a fifth consecutive month of negative performance. The dollar suffered not only because investors’ risk appetite picked-up over the period, but also as rate differentials are
acting as a continued drag on the buck. With short-term US and European rate differentials having shrunk significantly since March (investors less keen for dollar holdings), and with the euro constituting 58% of the DXY Index, the Dollar index
has been trending lower. Investors are also keeping a close eye on the November US election, which, given the large uncertainty, makes holding dollar assets less appealing. Moreover, the Fed has announced a new average inflation target of 2%,
paving the way for inflation to breach the Fed’s inflation mandate. With inflation expectations gaining a boost, real yields got pushed to record lows. As real yields has been dipping deeper into negative territory (on various measures), the dollar is becoming less attractive to investors.
However, a short position in the Singapore dollar detracted most overall. The Singapore dollar (SGD) has been a beneficiary of a brightening economic outlook for the city state post-COVID (with good exports and better than expected PMI figures), along with substantial pandemic aid by the government easing pressure on the Monetary Authority of Singapore to lower its inflation managing lower currency band. The US dollar lost slightly more than 1% against the SGD this month.
SHORT TERM TREND FOLLOWING: -0.06%
The Short Term Trend sleeve delivered negative returns. Bonds were responsible for the majority of the losses, as long exposure in this asset class detracted as yields picked up. Long exposure in the US 10-year fared worst.
EQUITY MARKET NEUTRAL: -0.26%
The ongoing theme of rallying technology stocks was not derailed this month. Unsurprisingly, perhaps, the Information technology GICS Level 1 sector in the S&P 500 performed best over the month. Meanwhile defensive sectors, notably Utilities, underperformed. The Equity Market Neutral portfolio registered negative returns with all three main clusters ending either slightly lower than flat or worse. Across the entire book, an aggregated slightly net short exposure in the Energy sector fared worst, while the Consumer, Cyclical sector (with a slight long exposure) fared best.
RISK PREMIA: -0.31%
The Universal Carry strategy delivered negative returns, with the majority of asset classes delivering negative or mostly flat performance. The strategy’s net long Bond exposure detracted most. While long exposure on the US curve dragged on overall PnL as yields picked up, it was long exposure on the Korean curve that dragged most. The yield of South Korean bonds has risen as investors are expecting further issuances to finance spending projects for the purpose of buttressing the economy. There is also broad consensus that the Bank of Korea is unlikely to make any further policy rate cuts. The yield on the Korean 10-year gained 23 basis points. Meanwhile, long exposure to Credit Indices, along with slightly net long exposure to STIRS, offered marginally better than flat returns to the strategy. At month-end, the strategy retains its net long Bonds and Short Term Interest Rates position. The strategy also maintains its net long Credit and Equity Indices exposure. Meanwhile the dollar position keeps its net long position.
The Short Volatility strategy delivered positive returns. Delta hedged options in all asset classes made modest gains. Implied volatility in equity markets, while still hovering above historical levels, moved largely sideways. Implied volatility in the S&P 500 dipped as low as ~21 points mid-month, with the S&P 500 featuring a total of only 3 days with absolute percentage changes greater than 1%. The VIX, along with most other implied volatility measures, did, however, lift slightly at the tailend of the month following Fed Chair Powell’s speech on August 26. While delta hedged options on most equity indices performed modestly, it was on the DAX that the strategy performed best. A similar pattern was observed in FX. Delta
hedged options in FX delivered slightly better than flat returns, with 1-month at-the-money implied volatility on most currency pairs moving sideways, and even dipping slightly.
UNIVERSAL VALUE: -0.05%
The Universal Value strategy ended negative this month. The net short Equity Indices exposure detracted most as global stocks rallied. A short position in the mini-Nasdaq was the worst performer, as the tech index was fanned by double digit monthly price gains from the likes of Tesla, Apple, Facebook, and Zoom. Net short Bond exposure, meanwhile, delivered positive returns (best performing sector) as global yields rose. Going into the new month, the strategy maintains its net short Bonds, Credit Indices, as well as net short dollar position. A long position in Short Term Interest Rates is maintained, while the Equity Indices position is slightly short.
Facts & Documents
Fund Domicile: Ireland UCITS
Fund Type: UCITS SICAV
Base Currency: EUR
Depositary, Administrator, Transfert Agent: State Street Fund Services Ireland Limited, CACEIS Ireland Limited
Dealing: daily with two business days notice
Cut-off time: 11 A.M Irish Standard Time
Countries where the fund is registered:
Austria, Belgium, France, Germany, Italy, Luxembourg, Netherlands, Spain, Singapore, Switzerland, United Kingdom
ISIN: IE00BSPL3L55 Ticker: Launch: 23 Dec 2014
ISIN: IE00BSPL3M62 Ticker: Launch: 8 Dec 2015
ISIN: IE00BSPL3K49 Ticker: Launch: 6 May 2016
ISIN: IE00BYXQ7X41 Ticker: Launch: 11 Apr 2017
ISIN: IE00BSPL3N79 Ticker: Launch: 3 Mar 2016
ISIN: IE00BSPL3Q01 Ticker: Launch: 3 May 2016
ISIN: IE00BSPL3T32 Ticker: Launch: 8 Dec 2015
ISIN: IE00BSPL4015 Ticker: Launch: 10 Dec 2014
ISIN: IE00BSZLQK58 Ticker: Launch: 21 Jan 2015
ISIN: IE00BSPL4122 Ticker: Launch: 17 Dec 2014
ISIN: IE00BVVHQZ31 Ticker: Launch: 2 Apr 2015
ISIN: IE00BF346H28 Ticker: Launch: 28 Jul 2017
- InRIS CFM Diversified Class F Euro Factsheet 2020_09
- InRIS CFM Diversified Class I Euro Factsheet 2020_09
- InRIS CFM Diversified Class C Euro Factsheet 2020_09
- InRIS CFM Diversified Class I CHF H Factsheet 2020_09
- InRIS CFM Diversified Class I GBP H Factsheet 2020_09
- InRIS CFM Diversified Class I USD H Factsheet 2020_09
- InRIS CFM Diversified Class G AUD H Factsheet 2020_09
- InRIS CFM Diversified Class SI Euro Factsheet 2020_09
- InRIS CFM Diversified Class M Euro Factsheet 2020_09
- InRIS CFM Diversified Class NI Euro Factsheet 2020_09
- InRIS CFM Diversified Class NC Euro Factsheet 2020_09
- InRIS CFM Diversified Class R Euro Factsheet 2020_09
available upon request
- Class C CHF-H
- Class C EUR
- Class C JPY-H
- Class C USD-H
- Class F EUR
- Class G AUD-H
- Class G EUR
- Class I CHF-H
- Class I EUR
- Class I GBP-H
- Class I JPY-H
- Class I USD-H
- Class I2 EUR
- Class M EUR
- Class NC EUR
- Class NI EUR
- Class NI GBP-H
- Class R EUR
- Class SI CHF-H
- Class SI EUR
- Class SI GBP-H
- Class SI USD-H
- Class SI2 EUR