Capital Fund Management S.A. : Discus Feeder Limited Class D EUR 1x

Summary

CFM is a systematic quantitative investment firm founded in 1991, focused on in-depth research, state-of-the-art IT infrastructure, and experienced risk management. CFM invests in applied scientific research and sophisticated information technology systems to extract value across global securities, futures, foreign exchange and options markets. 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 renowned institutions, and a team of IT and data specialists. This research work, combined with over two decades of market experience and investment in technology infrastructure, allows CFM to create original trading strategies and to adapt these further as markets continuously evolve. CFM's trading strategies can be characterized as systematic, girded by a tested risk control system. CFM manages today a large set of quantitative strategies, trading a priori liquid instruments including futures, equities, bonds, options, and spot and forward FX. CFM manages approximately $9.3 billion in leveraged equity ($7.6 billion in equity) of AuM with a staff of 292, including 32 contractors, located in Paris (HQ), London, New York, Sydney and Tokyo as of end-February 2020. CFM’s group entities are registered with the CFTC, the SEC, the AMF in France, the Japanese FSA, the UK FSA and ASIC in Australia.

Investment Strategy

The Discus program represents CFM’s market experience, research and execution knowledge accumulated over almost 28 years. The program is a diversified mix of alpha strategies implemented via futures instruments on a broad array of underlying assets. The program’s trading universe covers equity indices, bonds, short-term interest rates, commodities and currencies. The program is currently composed of eight clusters or group of models that are distinct and tend to exhibit low correlation against one another. The clusters can be technical, i.e. composed of market agnostic models based on price-related signals, or fundamental, i.e. composed of idiosyncratic models exploiting a variety of data sources, including structured and unstructured data sets, macroeconomic indicators, and curve indicators among others. The models in Discus employ a wide range of time horizons, with a predominance of short and medium term models. Discus is implemented through a computer-based proprietary trading and risk management program developed by CFM. The program is statistical and systematic in nature. The system is fed with data from which model predictions are derived and aggregated into a signal that forms part of a proprietary portfolio optimisation under constraints. Orders are generated automatically and executed throughout the day, with portfolio positions updated on a daily cycle. Discus tends to be diversified globally and aims to provide historical returns that exhibit low correlation to traditional benchmarks. The program aims to achieve a volatility target of 5%-15% for the Standard Leverage version. Discus is an absolute return strategy and is not managed against any specific benchmark.