Capital Fund Management S.A. : Discus Feeder Limited Class D EUR 1x Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 4.18% Min Investment € 1,000k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 12.23% Sharpe (RFR=1%) 0.29 CAROR 3.84% Assets € 12.6M Worst DD -27.43 S&P Correlation -0.03 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since12/2007 Discus Feeder Limited Class D EUR 1x 4.18 3.42 - -5.82 0.51 22.09 46.58 63.79 S&P 500 3.71 11.69 - 16.26 40.48 81.90 195.57 150.34 +/- S&P 500 0.47 -8.27 - -22.08 -39.97 -59.81 -148.99 -86.55 Strategy Description SummaryCFM 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... Read More Account & Fees Type Fund Minimum Investment € 1,000k Trading Level Incremental Increase € 1,000k CTA Max Funding Factor Management Fee 1.50% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% 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 0% Systematic 100.00% Strategy Fundamental 55.00% Technical 45.00% Composition Other 100.00% SummaryCFM 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 $6.7 billion in leveraged equity ($5.4 billion in equity) of AuM with 246 employees (and 26 contractors) located in Paris (HQ), London, New York and Sydney as of 30 September 2020. CFM’s group entities are registered with the CFTC, the SEC, the AMF in France, and the UK FSA.Investment StrategyThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -27.43 25 28 2/1/2012 3/1/2014 -20.69 11 - 7/1/2019 6/1/2020 -13.98 6 7 1/1/2018 7/1/2018 -12.63 6 9 5/1/2010 11/1/2010 -7.91 5 3 9/1/2009 2/1/2010 -7.89 3 1 6/1/2008 9/1/2008 -7.19 1 3 3/1/2009 4/1/2009 -3.91 2 1 5/1/2017 7/1/2017 -3.12 1 3 10/1/2016 11/1/2016 -2.03 1 3 9/1/2011 10/1/2011 -1.09 1 2 1/1/0001 12/1/2007 -1.01 1 1 8/1/2017 9/1/2017 -0.84 1 1 11/1/2008 12/1/2008 -0.79 1 1 8/1/2016 9/1/2016 -0.30 1 1 7/1/2009 8/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.61 6 2/1/2019 7/1/2019 15.96 3 7/1/2011 9/1/2011 14.32 2 8/1/2014 9/1/2014 13.12 2 10/1/2008 11/1/2008 12.18 6 12/1/2010 5/1/2011 12.07 3 1/1/2015 3/1/2015 10.83 3 7/1/2015 9/1/2015 10.56 4 11/1/2015 2/1/2016 10.53 4 10/1/2017 1/1/2018 10.26 6 1/1/2008 6/1/2008 9.99 3 3/1/2010 5/1/2010 9.26 3 6/1/2016 8/1/2016 8.56 6 12/1/2016 5/1/2017 8.00 3 10/1/2018 12/1/2018 7.65 2 7/1/2020 8/1/2020 7.38 1 8/1/2018 8/1/2018 7.26 1 5/1/2009 5/1/2009 6.62 3 4/1/2014 6/1/2014 6.55 3 1/1/2013 3/1/2013 5.51 1 7/1/2009 7/1/2009 4.83 1 8/1/2017 8/1/2017 4.57 1 11/1/2014 11/1/2014 4.56 1 5/1/2012 5/1/2012 4.28 1 5/1/2018 5/1/2018 4.18 1 12/1/2020 12/1/2020 3.85 3 1/1/2009 3/1/2009 3.31 1 7/1/2012 7/1/2012 2.61 1 3/1/2018 3/1/2018 2.59 1 12/1/2013 12/1/2013 2.55 2 1/1/2012 2/1/2012 2.03 1 9/1/2009 9/1/2009 1.94 1 10/1/2016 10/1/2016 1.30 1 11/1/2011 11/1/2011 0.75 1 4/1/2020 4/1/2020 0.56 1 1/1/2020 1/1/2020 0.23 1 5/1/2015 5/1/2015 0.20 1 10/1/2020 10/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.98 8 4/1/2013 11/1/2013 -12.63 6 6/1/2010 11/1/2010 -11.58 2 2/1/2020 3/1/2020 -11.50 2 3/1/2012 4/1/2012 -9.74 5 8/1/2012 12/1/2012 -9.36 1 2/1/2018 2/1/2018 -8.63 1 4/1/2015 4/1/2015 -8.58 2 6/1/2018 7/1/2018 -8.53 1 6/1/2015 6/1/2015 -8.06 5 8/1/2019 12/1/2019 -7.91 5 10/1/2009 2/1/2010 -7.89 3 7/1/2008 9/1/2008 -7.58 3 3/1/2016 5/1/2016 -7.19 1 4/1/2009 4/1/2009 -4.49 1 6/1/2011 6/1/2011 -3.91 2 6/1/2017 7/1/2017 -3.81 3 1/1/2014 3/1/2014 -3.71 2 5/1/2020 6/1/2020 -3.12 1 11/1/2016 11/1/2016 -2.98 1 4/1/2018 4/1/2018 -2.57 1 10/1/2014 10/1/2014 -2.57 1 7/1/2014 7/1/2014 -2.49 1 6/1/2012 6/1/2012 -2.03 1 10/1/2011 10/1/2011 -1.58 1 9/1/2020 9/1/2020 -1.54 1 1/1/2019 1/1/2019 -1.16 1 6/1/2009 6/1/2009 -1.09 1 12/1/2007 12/1/2007 -1.01 1 9/1/2017 9/1/2017 -0.92 1 9/1/2018 9/1/2018 -0.86 1 12/1/2014 12/1/2014 -0.84 1 12/1/2008 12/1/2008 -0.79 1 9/1/2016 9/1/2016 -0.73 1 11/1/2020 11/1/2020 -0.37 1 10/1/2015 10/1/2015 -0.30 1 8/1/2009 8/1/2009 -0.23 1 12/1/2011 12/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00 Percent Profitable54.1460.0062.5065.7570.0081.3476.2377.2783.67 Average Period Return0.381.102.164.276.588.6212.4316.7719.80 Average Gain2.865.167.3311.2113.4413.5219.0324.3925.26 Average Loss-2.56-4.99-6.45-9.05-9.44-12.72-8.73-9.14-8.16 Best Period9.9515.9624.0834.4232.5736.7243.4162.0980.83 Worst Period-9.36-16.23-17.92-19.05-24.43-27.02-17.03-17.83-14.42 Standard Deviation3.536.078.4911.9512.5513.4815.9919.9422.07 Gain Standard Deviation2.183.475.617.756.938.6512.0515.7519.90 Loss Standard Deviation2.373.494.565.546.719.344.375.724.00 Sharpe Ratio (1%)0.080.140.200.270.400.490.590.640.67 Average Gain / Average Loss1.121.031.141.241.421.062.182.673.10 Profit / Loss Ratio1.321.551.892.383.324.636.999.0715.87 Downside Deviation (10%)2.564.506.148.8810.1211.1613.2416.5318.95 Downside Deviation (5%)2.403.975.086.707.017.506.126.875.72 Downside Deviation (0%)2.353.844.826.196.326.774.745.113.65 Sortino Ratio (10%)-0.01-0.03-0.05-0.08-0.10-0.15-0.25-0.29-0.41 Sortino Ratio (5%)0.120.210.330.490.720.881.541.852.57 Sortino Ratio (0%)0.160.290.450.691.041.272.623.285.43 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. x {{title}} x {{title}} Add Cancel