Capital Fund Management S.A. : Discus Feeder Limited Class C USD 1.5x

Year-to-Date
33.38%
Jul Performance
4.59%
Min Investment
$ 1,000k
Mgmt. Fee
3.00%
Perf. Fee
20.00%
Annualized Vol
24.49%
Sharpe (RFR=1%)
0.44
CAROR
9.01%
Assets
$ 44.6M
Worst DD
-48.95
S&P Correlation
-0.12

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Discus Feeder Limited Class C USD 1.5x 4.59 15.66 33.38 77.02 82.24 197.73 99.93 173.67
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 198.70 100.88
+/- S&P 500 3.28 14.49 14.50 71.21 46.51 144.93 -98.77 72.79

Strategy Description

Summary

CFM, founded in 1991, focuses on developing trading strategies based on a global and quantitative approach to financial markets. CFM's methodology relies on the in-depth statistical analysis of petabytes of financial data for asset allocation, trading decisions and order execution.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
3.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
12000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
Systematic
100.00%

Strategy

Fundamental
55.00%
Technical
45.00%
Strategy Pie Chart

Composition

Summary

CFM, founded in 1991, focuses on developing trading strategies based on a global and quantitative approach to financial markets. CFM's methodology relies on the in-depth statistical analysis of petabytes of financial data for asset allocation, trading decisions and order execution. CFM's trading strategies can be characterized as highly systematic, girded by a tested risk control system. Research in the statistical properties of financial instruments and the development of systematic trading strategies are carried out at CFM by a team of Ph.D.’s, most of them physicists from prestigious institutions, and a team of IT and data specialists. CFM manages today a large set of quantitative strategies, trading listed instruments including futures, equities, bonds, options, and spot and forward FX. CFM manages approximately $6.0 billion of AuM with 140 employees located in Paris (HQ), New York, Tokyo and London, as of May 31, 2013. CFM is registered with the CFTC and the SEC in the U.S., and the AMF in France, with an FCA license application in progress.

Investment Strategy

Discus is a short-term CTA that is statistical, quantitative and systematic in nature. The trading and risk models are developed, tested and validated using CFM’s extensive proprietary tools. Discus operates on a short-term trading cycle during which systems are fed with up-to-date historical data; signals are generated, aggregated and transformed into what Discus’ models determine is the optimal portfolio, given risk constraints. Risk and predictive signals are therefore continuously re-assessed and positions are taken in order to deliver a targeted volatility at the portfolio level. Trades are executed throughout the day using proprietary algorithms that take into account slippage, market impact and order book information to detect effects related to microstructure. All trading activity is conducted using CFM’s proprietary Straight-Through-Processing platform. Discus’ investment philosophy is to systematically apply a wide number of orthogonal statistical modeling approaches to a broad range of global financial and commodity futures, currencies and LME forward contracts. The investment objective is to achieve consistent risk-adjusted returns, in multiple market conditions, whilst seeking to generate diversified alpha. However there are significant risks associated with this objective, in pursuance of which we continue to invest in our infrastructure in order to address these as best as we can.

   

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
-48.95 25 38 2/1/2012 3/1/2014
-26.64 6 7 1/1/2018 7/1/2018
-24.43 6 9 5/1/2010 11/1/2010
-16.77 3 2 6/1/2008 9/1/2008
-15.59 5 3 9/1/2009 2/1/2010
-14.48 1 3 3/1/2009 4/1/2009
-7.43 2 1 5/1/2017 7/1/2017
-4.23 1 3 9/1/2011 10/1/2011
-2.53 1 2 1/1/0001 12/1/2007
-1.93 1 1 11/1/2008 12/1/2008
-1.87 1 1 8/1/2017 9/1/2017
-0.63 1 1 7/1/2009 8/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
37.20 6 2/1/2019 7/1/2019
32.69 3 7/1/2011 9/1/2011
29.38 2 8/1/2014 9/1/2014
26.88 2 10/1/2008 11/1/2008
24.36 6 12/1/2010 5/1/2011
22.37 3 7/1/2015 9/1/2015
22.36 4 10/1/2017 1/1/2018
21.71 3 1/1/2015 3/1/2015
20.89 4 11/1/2015 2/1/2016
20.74 3 3/1/2010 5/1/2010
19.15 3 6/1/2016 8/1/2016
18.69 6 1/1/2008 6/1/2008
18.43 6 12/1/2016 5/1/2017
17.24 3 10/1/2018 12/1/2018
15.01 1 8/1/2018 8/1/2018
14.40 1 5/1/2009 5/1/2009
13.52 3 4/1/2014 6/1/2014
13.33 3 1/1/2013 3/1/2013
11.68 1 7/1/2009 7/1/2009
9.80 1 8/1/2017 8/1/2017
9.12 1 11/1/2014 11/1/2014
9.09 1 5/1/2012 5/1/2012
9.05 2 5/1/2018 6/1/2018
7.18 3 1/1/2009 3/1/2009
6.58 1 7/1/2012 7/1/2012
5.43 1 3/1/2018 3/1/2018
5.17 1 12/1/2013 12/1/2013
4.97 2 1/1/2012 2/1/2012
4.02 1 9/1/2009 9/1/2009
3.98 1 10/1/2016 10/1/2016
2.42 1 11/1/2011 11/1/2011
0.47 1 5/1/2015 5/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-33.20 8 4/1/2013 11/1/2013
-24.43 6 6/1/2010 11/1/2010
-22.76 2 3/1/2012 4/1/2012
-18.73 5 8/1/2012 12/1/2012
-18.62 1 2/1/2018 2/1/2018
-17.22 1 4/1/2015 4/1/2015
-17.03 1 6/1/2015 6/1/2015
-16.85 1 7/1/2018 7/1/2018
-16.77 3 7/1/2008 9/1/2008
-15.59 5 10/1/2009 2/1/2010
-14.73 3 3/1/2016 5/1/2016
-14.48 1 4/1/2009 4/1/2009
-9.12 1 6/1/2011 6/1/2011
-7.52 3 1/1/2014 3/1/2014
-7.43 2 6/1/2017 7/1/2017
-6.10 1 11/1/2016 11/1/2016
-5.71 1 4/1/2018 4/1/2018
-5.14 1 10/1/2014 10/1/2014
-5.13 1 7/1/2014 7/1/2014
-5.00 1 6/1/2012 6/1/2012
-4.23 1 10/1/2011 10/1/2011
-2.78 1 1/1/2019 1/1/2019
-2.53 1 12/1/2007 12/1/2007
-2.43 1 6/1/2009 6/1/2009
-1.93 1 12/1/2008 12/1/2008
-1.87 1 9/1/2017 9/1/2017
-1.72 1 12/1/2014 12/1/2014
-1.57 1 9/1/2018 9/1/2018
-1.48 1 9/1/2016 9/1/2016
-0.74 1 10/1/2015 10/1/2015
-0.63 1 8/1/2009 8/1/2009
-0.62 1 12/1/2011 12/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods140.00138.00135.00129.00123.00117.00105.0093.0081.00
Percent Profitable57.1463.0462.9667.4471.5475.2165.7164.5260.49
Average Period Return0.972.855.259.3012.0415.2621.0526.6927.46
Average Gain5.6710.3415.0921.6124.9627.5941.5752.1955.23
Average Loss-5.30-9.94-11.47-16.19-20.45-22.15-18.29-19.68-15.07
Best Period19.8732.6949.4477.0367.5572.9093.31157.52197.73
Worst Period-18.62-30.99-33.11-35.03-44.54-48.39-34.23-37.89-33.52
Standard Deviation7.0712.0416.7123.2624.4527.9736.2647.1653.92
Gain Standard Deviation4.367.1511.8016.7613.7518.3026.7839.1552.80
Loss Standard Deviation4.746.728.4610.5811.9216.539.5011.4810.03
Sharpe Ratio (1%)0.130.220.280.360.430.470.500.480.41
Average Gain / Average Loss1.071.041.321.331.221.252.272.653.66
Profit / Loss Ratio1.431.782.242.763.073.784.364.825.61
Downside Deviation (10%)4.847.909.9013.5116.2618.1620.9325.9328.37
Downside Deviation (5%)4.687.408.8911.4813.2914.4913.6415.6614.13
Downside Deviation (0%)4.647.278.6411.0012.5813.6712.0313.5211.32
Sortino Ratio (10%)0.120.200.280.320.270.280.250.20-0.01
Sortino Ratio (5%)0.190.350.530.720.790.911.321.441.58
Sortino Ratio (0%)0.210.390.610.850.961.121.751.972.42

Top Performer Badges

Index Award Type Rank Performance Period

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