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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 I EUR H was 3.00% in December The Fund is at 1.03% YTD.

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 negative. 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 coronavirus-related 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.


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