Capital Fund Management S.A. : CFM IS Trends Fund LP Series 1 (USD 10% Volatility)

Year-to-Date
4.41%
Apr Performance
1.42%
Min Investment
$ 1,000k
Mgmt. Fee
0.50%
Perf. Fee
10.00%
Annualized Vol
11.28%
Sharpe (RFR=1%)
0.49
CAROR
6.03%
Assets
$ 1,876.9M
Worst DD
-16.15
S&P Correlation
0.21

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2013
CFM IS Trends Fund LP Series 1 (USD 10% Volatility) 1.42 5.73 4.41 -5.50 -0.19 38.17 - 44.89
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 94.65
+/- S&P 500 -2.51 -3.21 -13.11 -16.74 -41.38 -16.61 - -49.76

Strategy Description

Investment Strategy

CFM Institutional Systematic Trends (ISTrends), launched in January 2013, is a quantitative systematic trading program, focused on long-term trend following in futures across five asset classes. The program trades across multiple time horizons, with an average holding period... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0.50%
Performance Fee
10.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
4-12 Months
1-3 Months
1-30 Days
Intraday

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
40.00%
Currency FX
20.00%
Stock Indices
20.00%
Other
20.00%
Composition Pie Chart

Investment Strategy

CFM Institutional Systematic Trends (ISTrends), launched in January 2013, is a quantitative systematic trading program, focused on long-term trend following in futures across five asset classes. The program trades across multiple time horizons, with an average holding period of six to eight months. The trading and risk models are developed, tested and validated using CFM’s extensive proprietary tools. ISF operates on a long-term trading cycle during which systems are fed with up-to-date historical data; signals are generated, aggregated and transformed into what CFM’s models determine is the optimal portfolio given risk constraints. Risk and predictive signals are therefore continuously re-assessed, and positions are constructed seeking to deliver a targeted volatility. Trades are executed throughout the day using proprietary algorithms that factor in slippage, market impact and order book information. Several production teams monitor processes and limits. Trading activity is conducted electronically, using CFM’s proprietary Straight-Through-Processing platform

Risk Management

Preservation of capital is a key consideration at the Firm. As a result, the Management Board has the ability to modify the global risk of the portfolio. If the risk does not seem to be in line with its guidelines due to, for instance, extreme exogenous events creating specific market dislocations (such as 9/11), the Management Board may, on a discretionary basis, act globally on the portfolio for a defined period of time to lower the leverage to avoid relying on statistical approaches when statistics based on historical market conditions have been rendered unreliable. The Management Board does not, however, guarantee that losses due to unforeseen risks will be avoided. A monthly Investment Committee, which gathers the Management Board, the Strategy Heads, the Portfolio Managers and the Independent Risk Manager is responsible for setting and monitoring the risk of the individual trading programs. The Research teams monitor market risks on a real-time basis and on a system-by-system basis. Three layers of trading risk limits are implemented. As noted above, the Risk & Operations Technology team independently monitors market and operational risks.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-16.15 12 - 1/1/2018 1/1/2019
-11.86 17 7 1/1/2016 6/1/2017
-6.67 2 5 4/1/2013 6/1/2013
-5.01 3 1 3/1/2015 6/1/2015
-3.26 3 3 7/1/2015 10/1/2015
-2.43 1 3 2/1/2014 3/1/2014
-2.09 3 1 1/1/0001 3/1/2013
-1.75 1 1 12/1/2013 1/1/2014
-1.00 1 1 6/1/2014 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
43.07 8 8/1/2014 3/1/2015
13.55 4 10/1/2017 1/1/2018
10.40 4 9/1/2013 12/1/2013
7.30 3 5/1/2016 7/1/2016
6.20 1 7/1/2015 7/1/2015
5.73 3 2/1/2019 4/1/2019
5.23 2 7/1/2018 8/1/2018
5.22 3 4/1/2014 6/1/2014
4.18 2 7/1/2017 8/1/2017
4.04 1 2/1/2014 2/1/2014
3.61 1 1/1/2016 1/1/2016
3.43 2 1/1/2017 2/1/2017
3.34 1 11/1/2015 11/1/2015
3.19 1 5/1/2015 5/1/2015
3.15 2 4/1/2017 5/1/2017
2.32 1 4/1/2013 4/1/2013
2.22 1 9/1/2016 9/1/2016
0.97 2 3/1/2018 4/1/2018
0.83 1 7/1/2013 7/1/2013
0.26 1 9/1/2015 9/1/2015
0.12 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.66 5 9/1/2018 1/1/2019
-9.38 3 10/1/2016 12/1/2016
-8.41 3 2/1/2016 4/1/2016
-7.09 1 2/1/2018 2/1/2018
-6.67 2 5/1/2013 6/1/2013
-5.00 1 6/1/2017 6/1/2017
-4.73 1 4/1/2015 4/1/2015
-3.38 1 6/1/2015 6/1/2015
-3.29 1 3/1/2017 3/1/2017
-2.74 2 5/1/2018 6/1/2018
-2.43 1 3/1/2014 3/1/2014
-1.98 1 10/1/2015 10/1/2015
-1.75 1 1/1/2014 1/1/2014
-1.58 1 3/1/2013 3/1/2013
-1.56 1 8/1/2015 8/1/2015
-1.40 1 12/1/2015 12/1/2015
-1.22 1 8/1/2016 8/1/2016
-1.10 1 9/1/2017 9/1/2017
-1.00 1 7/1/2014 7/1/2014
-0.64 1 1/1/2013 1/1/2013
-0.56 1 8/1/2013 8/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods76.0074.0071.0065.0059.0053.0041.0029.00
Percent Profitable59.2158.1156.3466.1567.8064.1575.6186.21
Average Period Return0.541.643.438.7714.7719.9825.2935.57
Average Gain2.695.549.4716.2723.9533.1135.2542.07
Average Loss-2.57-3.77-4.37-5.90-4.53-3.51-5.57-5.03
Best Period7.9920.3236.0149.0362.9064.6066.5560.73
Worst Period-7.09-10.01-11.57-16.15-10.02-8.10-13.53-7.13
Standard Deviation3.266.2910.0116.1221.6925.5125.4220.90
Gain Standard Deviation2.035.009.3514.7920.7122.9720.8413.78
Loss Standard Deviation1.893.022.933.772.622.204.862.68
Sharpe Ratio (1%)0.140.220.290.480.610.700.881.51
Average Gain / Average Loss1.041.472.172.765.289.436.328.36
Profit / Loss Ratio1.522.042.805.3911.1216.8819.6052.23
Downside Deviation (10%)2.243.774.916.797.349.1011.7510.91
Downside Deviation (5%)2.073.233.744.553.723.574.843.53
Downside Deviation (0%)2.033.113.464.042.952.463.572.06
Sortino Ratio (10%)0.060.110.200.560.981.070.811.29
Sortino Ratio (5%)0.220.430.781.713.575.034.608.93
Sortino Ratio (0%)0.270.530.992.175.008.117.0817.28

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 4.88 8/2018
Trend Following Strategy Index Month 10 2.30 5/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.