Capital Fund Management S.A. : Discus Feeder Limited Class E EUR 2x

Year-to-Date
12.57%
Oct Performance
0.33%
Min Investment
€ 1,000k
Mgmt. Fee
2.25%
Perf. Fee
20.00%
Annualized Vol
24.04%
Sharpe (RFR=1%)
0.33
CAROR
6.21%
Assets
€ 181k
Worst DD
-49.25
S&P Correlation
-0.05

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/2007
Discus Feeder Limited Class E EUR 2x 0.33 -2.02 -12.57 -13.70 9.64 53.92 96.41 117.81
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 173.50 120.39
+/- S&P 500 3.10 -1.98 -13.78 -21.35 -17.33 -1.74 -77.09 -2.58

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 2.25%
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 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 $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 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
-49.25 25 36 2/1/2012 3/1/2014
-29.35 11 - 7/1/2019 6/1/2020
-27.53 6 8 1/1/2018 7/1/2018
-24.27 6 9 5/1/2010 11/1/2010
-16.33 3 2 6/1/2008 9/1/2008
-15.51 5 3 9/1/2009 2/1/2010
-14.43 1 3 3/1/2009 4/1/2009
-7.65 2 1 5/1/2017 7/1/2017
-4.14 1 3 9/1/2011 10/1/2011
-2.56 1 2 1/1/0001 12/1/2007
-1.98 1 1 8/1/2017 9/1/2017
-1.88 1 1 11/1/2008 12/1/2008
-0.61 1 1 7/1/2009 8/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
35.64 6 2/1/2019 7/1/2019
31.85 3 7/1/2011 9/1/2011
29.38 2 8/1/2014 9/1/2014
26.86 2 10/1/2008 11/1/2008
25.97 3 1/1/2015 3/1/2015
23.51 6 12/1/2010 5/1/2011
23.43 4 11/1/2015 2/1/2016
22.37 3 7/1/2015 9/1/2015
21.82 4 10/1/2017 1/1/2018
20.75 3 3/1/2010 5/1/2010
20.10 3 6/1/2016 8/1/2016
19.26 6 1/1/2008 6/1/2008
18.98 6 12/1/2016 5/1/2017
17.04 3 10/1/2018 12/1/2018
14.80 1 8/1/2018 8/1/2018
14.45 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
11.67 1 7/1/2009 7/1/2009
11.60 2 7/1/2020 8/1/2020
9.72 1 8/1/2017 8/1/2017
9.12 1 11/1/2014 11/1/2014
9.10 1 5/1/2012 5/1/2012
8.64 2 5/1/2018 6/1/2018
7.45 3 1/1/2009 3/1/2009
6.59 1 7/1/2012 7/1/2012
5.26 1 3/1/2018 3/1/2018
5.19 2 1/1/2012 2/1/2012
5.17 1 12/1/2013 12/1/2013
4.82 1 10/1/2016 10/1/2016
4.03 1 9/1/2009 9/1/2009
2.51 1 11/1/2011 11/1/2011
1.15 1 4/1/2020 4/1/2020
0.87 1 1/1/2020 1/1/2020
0.47 1 5/1/2015 5/1/2015
0.33 1 10/1/2020 10/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.20 8 4/1/2013 11/1/2013
-24.27 6 6/1/2010 11/1/2010
-23.25 2 3/1/2012 4/1/2012
-18.80 1 2/1/2018 2/1/2018
-18.73 5 8/1/2012 12/1/2012
-17.22 1 4/1/2015 4/1/2015
-17.09 2 2/1/2020 3/1/2020
-17.06 1 7/1/2018 7/1/2018
-17.03 1 6/1/2015 6/1/2015
-16.33 3 7/1/2008 9/1/2008
-15.51 5 10/1/2009 2/1/2010
-15.25 3 3/1/2016 5/1/2016
-14.43 1 4/1/2009 4/1/2009
-11.64 5 8/1/2019 12/1/2019
-8.03 1 6/1/2011 6/1/2011
-7.65 2 6/1/2017 7/1/2017
-7.52 3 1/1/2014 3/1/2014
-7.05 1 11/1/2016 11/1/2016
-5.90 1 4/1/2018 4/1/2018
-5.48 2 5/1/2020 6/1/2020
-5.14 1 10/1/2014 10/1/2014
-5.13 1 7/1/2014 7/1/2014
-4.98 1 6/1/2012 6/1/2012
-4.14 1 10/1/2011 10/1/2011
-3.02 1 1/1/2019 1/1/2019
-2.56 1 12/1/2007 12/1/2007
-2.38 1 6/1/2009 6/1/2009
-2.34 1 9/1/2020 9/1/2020
-1.98 1 9/1/2017 9/1/2017
-1.92 1 9/1/2016 9/1/2016
-1.88 1 12/1/2008 12/1/2008
-1.78 1 9/1/2018 9/1/2018
-1.72 1 12/1/2014 12/1/2014
-0.74 1 10/1/2015 10/1/2015
-0.61 1 8/1/2009 8/1/2009
-0.55 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 Periods155.00153.00150.00144.00138.00132.00120.00108.0096.00
Percent Profitable54.8460.1360.6763.8971.7478.0370.8369.4469.79
Average Period Return0.742.284.369.1313.5017.1724.8234.0440.10
Average Gain5.5610.2414.9223.3026.2928.1642.5657.1563.96
Average Loss-5.10-9.71-11.91-15.94-18.98-21.84-18.27-18.50-15.01
Best Period19.8731.8551.2178.5573.4182.70101.62152.96202.14
Worst Period-18.80-30.99-33.10-35.03-44.87-48.69-34.27-37.85-33.37
Standard Deviation6.9411.9716.8123.9625.0427.8236.5447.7156.41
Gain Standard Deviation4.337.1611.8316.7915.3018.9827.6138.1551.20
Loss Standard Deviation4.636.478.0510.1812.2016.969.6012.1210.55
Sharpe Ratio (1%)0.100.170.230.340.480.550.600.630.62
Average Gain / Average Loss1.091.051.251.461.391.292.333.094.26
Profit / Loss Ratio1.321.591.932.593.524.585.667.029.85
Downside Deviation (10%)4.828.0110.3213.9815.5517.0819.3023.3924.93
Downside Deviation (5%)4.667.489.2511.8512.6313.6412.5914.1112.44
Downside Deviation (0%)4.627.358.9911.3411.9512.8811.1112.1710.03
Sortino Ratio (10%)0.070.130.180.300.380.410.470.530.50
Sortino Ratio (5%)0.140.270.420.690.951.111.732.122.81
Sortino Ratio (0%)0.160.310.490.811.131.332.232.804.00

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.