InRIS CFM Diversified
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 (I Euro Share Class) was -0.97% in June.
Systematic Global Macro
The program realised negative returns.
Equities’ contribution was negative.
Better-than-expected second quarter earnings (especially from Oil & Gas and Tech stocks), as well as the prospect of more modest interest rate hikes (given the deteriorating growth outlook), supported global stock markets. US equity markets posted their best monthly returns since November 2020, with the S&P 500 TR Index gaining 9.2%, whilst the Nasdaq 100 TR Index recorded an even more impressive 12.6% gain. Positioning in most US equity indices delivered negative PnL, with exposure to the mini-Russell among the worst. Small-cap stocks, typically more sensitive to rising rates and a slowing economy than larger-caps, have underperformed YTD, but now, with expectations of a slower pace of interest rate rises, have picked-up. The Russell 2000 Index gained 10.4% over the month.
The program’s exposure to a selection of European bourses, however, were among the biggest drags on performance in this asset class – chief amongst which were the Eurostoxx and The Amsterdam AEX. The Continent’s exchanges also made respectable gains, tracking higher with US indices on the same broad drivers, and bolstered mid-month by talk of a restart of gas supplies via Nord Stream 1. The Eurostoxx and broader Stoxx 600 closed 4.4% and 4.7% higher respectively (in USD terms), while the Amsterdam benchmark ended 7.3% higher. Meanwhile, positioning in the S&P/TSX 60 Index was one of the major contributors to overall performance. The energyconstituent heavy Canadian benchmark gained 4.1% (in US dollar terms) most of these price gains occurring from midmonthheavy Canadian benchmark gained 4.1% (in US dollar terms) most of these price gains occurring from midmonth onwards following upbeat earning releases, especially bumper profits from Oil & Gas and Basic Material names. EM equity markets as a whole, however, underperformed – the Morningstar Emerging Market Index slipping 0.6% over the month. The program’s exposure to various EM equity index contracts ended largely flat. Aggregate positioning in Credit Indices delivered positive PnL, with those in Europe (especially high yield) contributing most. Exposure to all North American credit also ended in the black, while those in EM markets ended largely flat. Bonds’ contribution was positive.
Fixed income markets traded higher, the Bloomberg Global-Agg TR Index (hedged) gaining 2.5%. In the US, consumer prices rose 9.1% YoY in May – an increase from the previous month’s 8.6% and above consensus expectations. The Fed, in response, raised its benchmark interest rate by another 75-basis points on July 27 (even though early speculation, immediately following the inflation print, was for a full one percentage increase). The Fed, after the FOMC meeting, nevertheless stated that it would be appropriate “to slow the pace of increases” and being adamant that the Bank did not think the US economy to be in a recession. However, despite this high and persistent inflation, the expectation for the pace of future interest rate rises fell during the month. Futures pricing by month-end implied the Fed’s main funds rate would peak at 3.3% by February 2023, this compared with an implied rate of 3.9% six-weeks earlier in mid-June. US bonds made gains, driven higher, in addition, by amongst others weak business activity data – the S&P Global composite PMI index fell from 52.3 in June to 47.5 in July, followed by disappointing GDP figures released during the final week showing that the US economy contracted for a second consecutive month (-0.9% QoQ Advance for Q2 following the -1.6% QoQ for Q1). The US benchmark 10-year yield fell 36 basis points, while the curve flattened (the 3-month climbing 70 basis points). The 2-year, meanwhile, fell 7 basis points. Aggregate positioning on the US yield curve offered positive returns, with the 10-year best, while the belly and US longer end dragged.
European debt followed a similar trajectory. PMI figures for the bloc also slipped into contraction territory (the S&P PMI survey fell to 49.4 – lower than economists’ forecast and a 17-month low). The European Central Bank (ECB), on July 22, also ended an eight-year run of negative interest rates by lifting its deposit rate by a larger-than-expected 50 basis points to zero. Yield curves of major European economies also flattened, with yields on tenors less than 1-year rising, while those of longer tenors falling. Positioning, especially on the German curve, delivered positive PnL, with exposure to the Bund best (as well as for the asset class) as the German benchmark tenor fell 52 basis points. Exposure to the longest end of the German curve, however, was one of the major detractors for the asset class, the yield of the Buxl having fallen 54 basis points.
In the Gilts market, the Bank of England (BoE) said following its last rate hike in June that it will not hesitate to act “forcefully” if needed to respond to persistent inflationary pressures. Now, with inflation having printed 9.4% June, investors are mulling the chance of the BoE raising rates by 50 basis points at its next meeting in August – mimicking outsized increases by other G7 central banks. The UK benchmark 10-year Gilt closed out the month 37 basis points lower, with negative PnL for the strategy on this position. Performance from Short Term Interest Rates (STIRS) ended in the red. While positive contribution in STIRS came from exposure to the Australian and Canadian 3-month Bank Bills rates, positioning in Sonia but especially the Euribor pulled overall performance into negative territory. Returns from positioning in the US dollar were marginally positive. The DXY Index gained 1.2% over the month (and +10.7% YTD at the end of July). However, the headline DXY Index gain for July was flattered by the falling euro (the largest weighting in the index and one of the worst performing currencies against the dollar this month). Apart from the euro and the Danish krone, all G10 currencies made gains against the greenback. The US dollar turned mid-month, following a dovish repricing in US rates. While the Fed delivered a back-to-back 75 basis point hike in rates, traders are betting the Fed’s tightening cycle will begin to slow from hereon. Amongst the major currencies, the strategy’s positioning in the euro (losing 2.5% against the greenback) contributed most. While expectations leading up to, and finally, the decision from the ECB to raise its main deposit rate by 50 basis points, lent support to the euro, the US dollar, favoured as a safer-haven play, reached parity with the single currency. The economic outlook for the bloc is more uncertain (higher interest rates will not lower energy costs but could hasten the European economy towards recession). Positioning in the Aussie dollar, meanwhile, was another key drag on performance amongst the majors – the Aussie gaining 1.2%.
The biggest drag on performance for the asset class was recorded in the minor FX pairs, by exposure to the won, as well as the Norwegian krone. The won fell 0.9%, suffering as the trade balance reached a record deficit and foreign investors pull money out of the stock market. Meanwhile, the Norwegian krone – the second-best performer amongst the G10 after the yen, gained 1.9% against the buck.
Short Term Trend delivered negative PnL. Positioning in highly liquid Sovereign Bonds registered the most losses, with exposure to the Bund and the belly of the US curve worst. Positioning in Equity Indices also offered negative PnL, with exposure to US indices worst.
The Long Volatility layer delivered positive PnL. Exposure to Equity Indices was the biggest contributor to overall performance for the strategy. Long VIX exposure, however, countered, and delivered negative returns. The VIX Index traded lower throughout the month, closing at 21.3 by month-end (near in line with its long-term average), 25.7% lower than at the start of the month. Realised volatility also trickled lower than one month earlier. The S&P 500 featured 9 trading days (out of 20) where price changes were greater than ± 1%, of which only 2 were greater than ±2%. Meanwhile, with no exception, implied volatility in all other major markets followed suit.
Systematic Global Equities
The Systematic Global Equities program ended the month on a positive note. Performance from US equities dragged most, while aggregate positioning in Europe contributed most (while Japanese and Aussie equities also recorded positive PnL. Across the entire book, the Energy and Communication sectors fared best and worst respectively.
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
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
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