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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 Trends 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. The Trading Advisor invests the assets of the Fund using a program in a long term trend following strategy within the limits of its investment policy. The Fund will significantly invest in financial derivative instruments (“FDIs”) for investment efficient portfolio management and hedging purposes at any one time. The Fund will primarily invest using FDIs to gain exposure to a diversified portfolio of global fixed income securities (including government bonds and notes), global interest rates, global currencies, 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 Trends Class WD Euro hedged was 0.31% in September. The Fund is at -1.69% YTD.

The Long Term Trend Following program ended flat. Performance amongst asset classes was mostly negative or flat, with the exception of Interest Rates and FX, which delivered positive returns. 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 is also maintained.
Equity & Credit Indices Global equity markets sold-off this month, with no major bourses spared. The strategy’s net long exposure to Equity Indices consequently realised negative returns. The S&P 500 total return index posted a -3.8% decline, dragged down mostly by Technology and related sectors. Reflective of the tech-stock decline, the Nasdaq Total Return Index slipped – 5.7%, with the majority of losses registered in the first week-and-a-half, the sell-off trigger seemingly by investors’ having become too worried about stretched valuations and gloomier economic outlook. The strategy’s long position in the mini-Nasdaq was consequently the worst performer this month. A short position in the IBEX Index was, however, the best performer. The Spanish benchmark underperformed its regional peers and lost 3.6% (in euro terms), trailing the European Stoxx 600 by nearly 2%. A net long exposure in Credit Indices ended slightly worse than flat, tracking lower along with the equity pullback.

Interest rates
Aggregate net long exposure in Bonds contributed positively. Global benchmark yields of most G7 economies slipped as investors shifted to quality fixed income assets amidst the equity market rout. Yields on the US curve, however, moved mostly sideways, but with a slight steepening. Long positions in the Australian 3-year delivered the most positive return, the yield of which fell 10 basis points as bonds rallied amid growing expectations of further monetary policy by the Reserve Bank of Australia. Long exposure to the Italian 10-year bond also realised good returns, the yield of which fell 31 basis points – its largest monthly decline since January 2020 and approaching its record low. Yields fell on lower inflation expectations, and a diminished risk of early elections. However, a short position in the German Bund was the worst performer. Investors seeking out safe havens, expecting lower inflation, and European policymakers appearing increasingly divided about its crisis response, pushed German 10-year yields fell as low as -0.545%. At month-end, the Bund shed 13 basis points and reached a nearly two-month low. Net long positioning in Short Term Interest Rates (STIRS) registered marginal gains, as most global short rates moved either sideways or slightly lower. Long exposure in the 3-month Short Sterling fared best – the contract, based on the 3- month Libor rate, gained as the reference Libor rate declined ~3%, with
traders keep pricing in lower future rates.

FX
FX was slightly better than flat, with net long dollar exposure in the strategy benefitting from the greenback having gained nearly 2% during the month – breaking a five-month string of consecutive negative performance. A short position in the
Singapore performed best. The US dollar gained slightly more than 0.3% against the SGD this month. A long Swiss franc, however, realised the most negative returns. The franc declined against most peers following stronger than expected dovish
rhetoric from the Swiss National Bank (SNB) during its latest decision stating its readiness to intervene in the market to devalue the franc. The franc ended the month 1.9% lower against the greenback.


Facts & Documents

Facts

Fund Domicile: Ireland UCITS

Fund Type: UCITS SICAV

Base Currency: USD

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:
France, Germany, Switzerland, United Kingdom, Ireland

Identifiers:

I EUR-H
ISIN: IE00BYVG3S39   Ticker:    Launch: 29 Dec 2016

I USD
ISIN: IE00BYVG3W74   Ticker:    Launch: 22 Jul 2019

NI EUR-H
ISIN: IE00BYVG4024   Ticker:    Launch: 27 Sep 2017

WD EUR-H
ISIN: IE00BYVG4800   Ticker:    Launch: 16 Dec 2016

WD GBP-H
ISIN: IE00BYVG4917   Ticker:    Launch: 16 Dec 2016

WD USD
ISIN: IE00BYVGCV96   Ticker:    Launch: 16 Dec 2016

Documents