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

Year-to-Date
3.19%
Feb Performance
-3.73%
Min Investment
€ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
12.19%
Sharpe (RFR=1%)
0.32
CAROR
4.30%
Assets
€ 15.0M
Worst DD
-27.43
S&P Correlation
-0.10

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Discus Feeder Limited Class D EUR 1x -3.73 -4.04 -3.19 2.38 18.32 25.54 47.13 67.43
S&P 500 -8.41 -5.95 -8.56 6.09 23.71 38.95 164.71 99.11
+/- S&P 500 4.68 1.90 5.37 -3.71 -5.40 -13.40 -117.58 -31.68

Strategy Description

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... 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%
Strategy Pie Chart

Composition

Other
100.00%
Composition Pie Chart

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.

   

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
-27.43 25 28 2/1/2012 3/1/2014
-13.98 6 7 1/1/2018 7/1/2018
-12.63 6 9 5/1/2010 11/1/2010
-10.99 7 - 7/1/2019 2/1/2020
-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
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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
7.38 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
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
0.56 1 1/1/2020 1/1/2020
0.23 1 5/1/2015 5/1/2015
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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
-11.50 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
-3.73 1 2/1/2020 2/1/2020
-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
-1.54 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
-0.37 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods147.00145.00142.00136.00130.00124.00112.00100.0088.00
Percent Profitable54.4260.6964.0870.5973.8581.4574.1175.0081.82
Average Period Return0.411.312.665.457.389.0113.0016.9319.06
Average Gain2.885.267.4611.2113.6514.1820.5925.6225.11
Average Loss-2.54-4.80-5.92-8.38-10.31-13.70-8.73-9.14-8.16
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 Deviation3.526.028.2911.4912.6013.8916.5520.8923.11
Gain Standard Deviation2.183.515.667.756.858.5811.7816.3421.14
Loss Standard Deviation2.333.384.375.746.969.094.375.724.00
Sharpe Ratio (1%)0.090.180.260.390.470.500.600.620.60
Average Gain / Average Loss1.141.101.261.341.321.042.362.803.08
Profit / Loss Ratio1.361.692.253.213.744.556.758.4113.85
Downside Deviation (10%)2.534.325.677.959.9111.3913.4817.1919.93
Downside Deviation (5%)2.363.804.645.946.997.786.387.206.03
Downside Deviation (0%)2.323.674.395.496.347.034.955.363.85
Sortino Ratio (10%)0.000.020.030.06-0.02-0.11-0.20-0.27-0.43
Sortino Ratio (5%)0.140.280.470.750.840.901.561.792.31
Sortino Ratio (0%)0.180.360.600.991.161.282.633.164.95

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.