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 was -0.6% in June.
The Long Term Trend Following program delivered negative returns.
Nearly all asset classes dragged on overall performance, with the exception of Equity Indices; Credit Indices ended slightly worse than flat.
At month-end, the program maintains its net long Short Term Interest Rate position and Bond exposure. Long exposure in Equity and Credit Indices is maintained. The strategy also keeps a slightly long US dollar position.
Equity & Credit indices
A slightly net long exposure in Equity Indices realised positive returns. The biggest returns for the strategy came from US markets, especially long exposures to the mini-S&P, but also the mini-Nasdaq – the underlying indices having gained 2.2% and 6.3% respectively. Tech stocks fared particularly well, with only 28 out of the 102 constituent in the Nasdaq index failing to make positive gains. The rally in Tech was buttressed by, amongst others, a spike in Covid cases (in Asia, but also some variants in Europe and the US), thus attracting investors to stay-at-home names. US markets, moreover, gained some motivation following the bipartisan, $1.2 trillion infrastructure spending deal announced on June 24, along with a level of comfort that the Fed is unlikely to deviate from its monetary policy trajectory in the very near term.
Long exposure to certain key European bourses also contributed positively. The Stoxx 600 Index gained 1.4% (in euro terms) – a fifth consecutive month of gains. With European nations continuing to open up, and investors betting that the European Central Bank (ECB) is likely to maintain its bond purchasing programme for longer than the Fed, interest remained buoyant. Stand outs were long exposure to the CAC (the index having gained 1%), and short exposure to the IBEX (the index gave up 3.6%, dragged down by companies in the heavily-dependant-on-tourism Spanish economy) following fears that a spike in Covid cases could trigger new travel restrictions and or dissuade foreign travellers, thereby jeopardising activity during the peak summer holiday period.
Net long exposure in Credit Indices ended flat.
Bonds dragged on overall performance in the strategy.
With the FOMC signalling a shift in its monetary policy outlook, and bringing forward a likely hike in interest rates, the yield curve flattened. Yields, on the short end of the curve, moved higher, while those on the longer end fell. The strategy’s short position in the longer end of the US yield curve, subsequently, dragged on overall performance, with short exposure to the US T-Bond faring worst.
Meanwhile, benchmark yields of most other G7 nations traded mostly sideways, with the exception of Japan, where its benchmark 10-year yield also fell. The strategy did, however, book positive gains from long exposure to the Canadian 10- year benchmark (the curve of which also flattened, and the 10-year yield falling slightly more than 10 basis points.
Performance from a net long positioning in Short Term Interest Rates (STIRS) also ended in the red. The biggest negative contribution in STIRS came from long exposure to the Eurodollar.
FX returns from the US dollar position were negative. The DXY Index posted its best monthly return in more than four years, gaining 2.9%. The dollar was given a substantial boost by the FOMC’s surprise hawkish tilt mid-month, with the central bank signalling two interest rate hikes by the end of 2023. With economic print outs of the US staying broadly supportive, the dollar has kept its bid.
The strategy’s aggregate long position in the dollar against G7-21 currencies lost most, with a net long dollar position against the Brazilian real losing the most. The US dollar lost 4.8% against the real, as Brazil’s central bank hiked their key overnight lending rate by another 75 basis points during the month (the key interest rate is now at 4.25%, up from the 2% at the start of the year). Updated growth figures for 2021 added an extra boost, making it the best performing major developing market currency in H1 2021.
A short dollar position against the euro, however, detracted most amongst the G7 currencies, and also dragged the majors into negative territory. The euro fell 3% against the greenback on broad dollar strength, breaching the 1.2 level.
Short exposure to the Singapore dollar, though, delivered amongst the best returns for the asset class. The Singapore dollar fell 1.8% against the advancing US dollar. Moreover, a flare up of Covid cases in the Asia-Pacific region is likely to act as a drag on economic activity and keep local central banks tilted to the dovish side for longer.
SHORT TERM TREND FOLLOWING: -0.08%
The Short Term Trend sleeve delivered negative returns. Bonds, especially in the long-end of the US yield curve, were
responsible for the majority of the losses.
EQUITY MARKET NEUTRAL: +0.57%
The Equity Market Neutral portfolio registered positive returns. Both the Momentum and Quality clusters ended in positive territory, while the Value cluster ended slightly worse than flat.
Across the entire book, all regions ended up, with North American equities faring best. The Consumer, Non-Cyclical and Communications sectors fared best and worst respectively.
RISK PREMIA: +1.00%
The Universal Carry strategy realised positive returns, with divergent performance across asset classes.
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 FX registered the best returns, with long positioning in the US dollar against all major G7 currencies that delivered positive PnL as the dollar rallied. Short positioning in the British pound fared best amongst these, with sterling losing 2.7% against the greenback.
Positioning in Interest Rate markets also detracted. In Bonds, a long position in the short-end of the Korean yield curve was responsible for the most negative PnL. The Korean 3-year yield fell nearly 10 basis points over the month following an announcement by the Bank of Korea that it will be adding the three-year maturity, in favour of two-year paper, to its portfolio of ‘monetary stabilization bond’ to its open market operations. Positioning, meanwhile, in Short Term Interest Rates, also dragged. . It was, especially, a long position in the Eurodollar that stymied overall performance.
The Short Volatility strategy delivered positive returns, with delta hedged options on all asset classes ending either positive or flat.
Realised and implied volatility remained anchored over the period. The VIX Index, having averaged 17 points over the month, remained below its long-run mean of ~20. A brief spike in the VIX was noted following the FOMC announcement on June 18, spiking to 20.7 as the S&P 500 logged its worst daily performance over the month (-1.3%).
Delta hedged options in Equity Indices delivered the best results in the strategy, with those options in the mini-S&P being the most positive – the US benchmark featured only 2 out of 22 trading days where price changes were greater than ± 1% as the benchmark climbed to new record highs.
Volatility in Bonds crept up slightly. While yields on G-7 benchmark tenors, for the most part, traded sideways, the US 10- year yield traded lower. The ICE BofA MOVE Index – a weighted average of implied volatility on key tenors on the US yield curve – moved 10% above the level of one month earlier. As a result, delta hedged options in Bonds ended only slightly better than flat, with those options on the US 10-year detracting most (while those on the Bund faring best).
Delta hedged options in FX also ended flat, with delta hedge options on the USD-JPY pair performing the best. Implied volatility on all major currency pairs, measured by 1-month at-the-money implied volatility, moved lower, bar a few spikes registered mid-month.
UNIVERSAL VALUE: -0.82%
The Universal Value strategy recorded negative returns, with all asset classes ending in the red.
Going into the new month, the strategy maintains its net short Bonds position, as well as a net short dollar position. Long positioning in Short Term Interest Rates is maintained. Equity Indices also maintains its slightly long position while positioning in Credit Indices is slightly short.
Equity Indices exposure fared worst, with short exposure to the mini-Nasdaq dragging most(please refer to commentary in the Long Term Trend Following section).
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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