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Overview

Share Class

NAV

Cumulative Performance (%)

Fund Inception

Daily Monthly Ytd 1Yr 3Yr 5Yr Incept. Incept.Date

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

Funds Strategy

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.


Trading Advisor

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).

Key Persons

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

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 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.

Trading Advisor's Commentary

as of

The performance of the InRIS CFM Diversified Class I Euro was 1.08% in December. The Fund is at -20.27% YTD.

TRENDS: +1.02%
The Long Term Trend Following program registered positive returns. Performance amongst asset classes was broadly positive, with all ending either positive or flat.
At month-end, the program maintains its net long Bond and Short Term Interest Rate position. Long exposure in Equity and Credit Indices is also maintained. The strategy has a flat US dollar position.

Equity & Credit Indices
Net long exposure in equity indices realised positive returns as global markets ticked higher. Investors found optimism in a bevy of positive news: a new stimulus package agreed in the US, the Federal Reserve asserting its very accommodative policy position, and a roll-out of Covid-19 vaccines kicking off. The S&P 500 rallied through new record highs, closing 3.8%
higher over the month. Emerging markets, however, fared even better – especially Asian bourses, as institutional buyers rushed back into the asset class (capital flows into the asset class as per the IFF showed a substantial uptick as risk improved, commodity prices and tourist numbers climbed, while an ultra-dovish Fed is keeping a lid on any interest rate
hikes that might otherwise be dollar positive). Consequently, the strategy’s long position in the Kospi realised the most gains, the Korean benchmark also having found favour among foreign buyers and closing 12.8% higher. A short position in the AEX, however, was a key detractor. The Dutch benchmark gained 5.4% along with most European bourses on guarded optimism about an imminent vaccination program, and the finalisation of the UK-EU Brexit negotiations.
Interest rates
Aggregate net long exposure in Bonds contributed positively as benchmark yields on G7 (ex-US) economies, for the most part, ended the month lower.
Long exposure to UK Gilts was among the biggest contributors to PnL. The UK government, above and beyond having being entangled in Brexit negotiations (with the risk of a no-deal fallout having been present throughout), imposed tougher coronavirus restrictions mid-month and effectively sparked renewed fears about the outlook for the UK economy. Yields on the benchmark 10-year fell 11 basis points on the strategy’s long exposure. Long exposure to the Italian curve also realised good gains, the Italian curve also having shifted lower (with the benchmark 10-year slipping 8 basis points). The US Fed kept rates unchanged during its meeting on 15-16 December and reiterated its commitment to bond purchases until its mandate is reached. Longer-dated yields subsequently rose, and the US curve steepened over the month, the longer end having lifted, while the short end moved slightly lower. The US 10-year rose 7.5 basis points, while the longer-dated T-Bonds rose close to and above 8 basis points. The strategy’s short exposure to the US T-Bond contract fared best.
Net long positioning in Short Term Interest Rates (STIRS) ended in positive territory, as most global short rates moved either sideways or slightly lower.
FX
FX returns from a near-neutral US dollar position were flat. The US dollar – having trickled lower against most major global currencies since March – lost another 2.1% this month. The DXY Index fell below 90 points for the first time since April 2018. A dovish Fed, rising fiscal and current account deficits as the US government increases spending to tackle oronavirusrelated business shutdowns, along with a risk-on sentiment in global markets, put pressure on the greenback. The long position in the Swiss franc stood out and realised positive gains. Investors have been seeking out the safe-haven franc as financial markets remain vulnerable to the economically damaging effects of Covid-19. The franc rallied 2.7%
against the dollar, this despite the Swiss National Bank (SNB) having kept interest rates at negative 0.75% – one of the lowest in the world. Moreover, attempts by the SNB to steady the franc by hoovering up US dollars prompted the US Treasury to label the country a currency manipulator – the franc made further gains on 16 December following the
announcement. The strategy’s exposure to G7-21 currencies registered slight losses. Amongst these, a short Singapore dollar position fared worst as the Asian country’s currency gained 1.6%. The Singapore dollar notched-up a second consecutive month of gains as the economic prospects of the nation improved – retail sales, for instance, showed an increase of 7.3% in November.

SHORT TERM TREND FOLLOWING: -0.04%
The Short Term Trend sleeve delivered negative returns. Bonds were responsible for the majority of the losses, while Equity Indices ended flat.

EQUITY MARKET NEUTRAL:+0.46%
The Equity Market Neutral portfolio registered positive returns. Only the Momentum cluster failed to deliver positive PnL, while both Value and Quality were positive.
Across the entire book, all regions were up except Europe, with Asia-Pacific faring best. The Consumer, Cyclical sector faredbest while the Energy sector fared worst.

RISK PREMIA: -0.46%
Universal Carry
The Universal Carry strategy realised negative returns, with most asset classes realising negative or flat PnL. At month-end, the strategy retains its net long Bonds, Short Term Interest Rates, Credit and Equity Indices exposure. The strategy also retains its net long dollar position. Positioning in Equity Indices detracted the most. While most long positions realised gains as global stock markets lifted, selected short exposures dented overall performance, especially short exposure to the mini-Russell 2000. The small-cap benchmark posted a 8.7% return over the month, fanned higher as its constituent companies – typically with less diversified businesses and earnings streams – looked well-positioned going into the new year on the impending Covid vaccine roll-out and stimulus package. FX also detracted as the greenback sank on the strategy’s aggregated long US dollar position. Short exposure to the euro dragged most, the single currency gaining 2.4% over the month on strong economic prints (notably good PMIs from both France and Germany), along with progress, albeit tenuous, on Brexit negotiations.
Short Volatility
The Short Volatility strategy delivered positive returns, with delta hedged options on all asset classes ending either flat or better. Market volatility moved, for the most part, mostly sideways, bar a brief spike in volatilities on 21 December as Congress was about to pass a $900bn Covid relief package. The CBOE Vix index averaged ~26 points over the period, but touched a high of 33 points on 21 December. Delta hedge options in Equity Indices, as a result, delivered positive PnL with those options in the Japanese Nikkei the most positive.
Delta hedged options in FX also ended in positive territory, with most currency pairs realising gains. Delta hedge options in the USD-euro and USD-Australian pairs, however, booked minor losses as both the euro and Aussie made strong gains against the greenback and featured a volatile trading month. The euro breached beyond the 1.2 level for the first time
since Q2 2018 on strong euro zone survey figures, as well as a final agreement reached on Brexit. Meanwhile, 1-month atthe- money implied volatility on most currency pairs also moved sideways, bar the pound as Brexit negotiations went down to the wire.

UNIVERSAL VALUE: +0.39%
The Universal Value strategy ended positively in December. Going into the new month, the strategy maintains its net short Bonds, Equity and Credit Indices, as well as net short dollar position. A long position in Short Term Interest Rates is maintained. The biggest gains were realised in FX. A net short position in the US dollar benefited from the beleaguered greenback
falling against most currencies. Please refer to commentary in the Long Term Trend Following section above. A long position in the Australian dollar contributed most – the Aussie having gained 4.8% against the greenback. As a commodity-linked currency, the Aussie is amongst one of the best positioned to benefit from a global economic recovery
with stronger demand for raw materials. Net short exposure in Equity Indices dragged on overall performance as equity markets gained.


Facts & Documents

Facts

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

Identifiers:

I EUR
ISIN: IE00BSPL3L55   Ticker:    Launch: 23 Dec 2014

C EUR
ISIN: IE00BSPL3M62   Ticker:    Launch: 8 Dec 2015

F EUR
ISIN: IE00BSPL3K49   Ticker:    Launch: 6 May 2016

G AUD-H
ISIN: IE00BYXQ7X41   Ticker:    Launch: 11 Apr 2017

I CHF-H
ISIN: IE00BSPL3N79   Ticker:    Launch: 3 Mar 2016

I GBP-H
ISIN: IE00BSPL3Q01   Ticker:    Launch: 3 May 2016

I USD-H
ISIN: IE00BSPL3T32   Ticker:    Launch: 8 Dec 2015

M EUR
ISIN: IE00BSPL4015   Ticker:    Launch: 10 Dec 2014

NC EUR
ISIN: IE00BSZLQK58   Ticker:    Launch: 21 Jan 2015

NI EUR
ISIN: IE00BSPL4122   Ticker:    Launch: 17 Dec 2014

R EUR
ISIN: IE00BVVHQZ31   Ticker:    Launch: 2 Apr 2015

SI EUR
ISIN: IE00BF346H28   Ticker:    Launch: 28 Jul 2017

Documents