Capital Fund Management S.A. : IS Trends Program - Series 1 (USD 10V)

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

CFM Institutional Systematic Trends (ISTrends), launched in January 2013, is a quantitative systematic trading program, focused on long-term trend following in futures across five asset classes. The program trades across multiple time horizons, with an average holding period of six to eight months. The trading and risk models are developed, tested and validated using CFM’s extensive proprietary tools. ISF operates on a long-term trading cycle during which systems are fed with up-to-date historical data; signals are generated, aggregated and transformed into what CFM’s models determine is the optimal portfolio given risk constraints. Risk and predictive signals are therefore continuously re-assessed, and positions are constructed seeking to deliver a targeted volatility. Trades are executed throughout the day using proprietary algorithms that factor in slippage, market impact and order book information. Several production teams monitor processes and limits. Trading activity is conducted electronically, using CFM’s proprietary Straight-Through-Processing platform

Risk Management

Preservation of capital is a key consideration at the Firm. As a result, the Management Board has the ability to modify the global risk of the portfolio. If the risk does not seem to be in line with its guidelines due to, for instance, extreme exogenous events creating specific market dislocations (such as 9/11), the Management Board may, on a discretionary basis, act globally on the portfolio for a defined period of time to lower the leverage to avoid relying on statistical approaches when statistics based on historical market conditions have been rendered unreliable. The Management Board does not, however, guarantee that losses due to unforeseen risks will be avoided. A monthly Investment Committee, which gathers the Management Board, the Strategy Heads, the Portfolio Managers and the Independent Risk Manager is responsible for setting and monitoring the risk of the individual trading programs. The Research teams monitor market risks on a real-time basis and on a system-by-system basis. Three layers of trading risk limits are implemented. As noted above, the Risk & Operations Technology team independently monitors market and operational risks.