Capital Fund Management S.A. : IS Trends Program - Series 1 (USD 10V) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 6.28% Min Investment $ 1,000k Mgmt. Fee 0.50% Perf. Fee 10.00% Annualized Vol 11.01% Sharpe (RFR=1%) 0.50 CAROR 6.08% Assets $ 770.9M Worst DD -16.15 S&P Correlation 0.20 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 Since1/2013 IS Trends Program - Series 1 (USD 10V) 6.28 6.28 - 3.09 5.59 1.67 - 60.33 S&P 500 3.71 11.69 - 16.26 40.48 81.90 - 159.98 +/- S&P 500 2.57 -5.41 - -13.17 -34.88 -80.23 - -99.65 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 $ 0k CTA Max Funding Factor Management Fee 0.50% Performance Fee 10.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency RT/YR/$M Avg. Margin-to-Equity Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 4-12 Months 1-3 Months 1-30 Days Intraday Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Interest Rates 40.00% Currency FX 20.00% Stock Indices 20.00% Other 20.00% 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 StrategyCFM 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 platformRisk ManagementPreservation 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. 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 -16.15 12 7 1/1/2018 1/1/2019 -11.86 17 7 1/1/2016 6/1/2017 -10.57 13 - 8/1/2019 9/1/2020 -6.67 2 5 4/1/2013 6/1/2013 -5.01 3 1 3/1/2015 6/1/2015 -3.26 3 3 7/1/2015 10/1/2015 -2.43 1 3 2/1/2014 3/1/2014 -2.09 3 1 1/1/0001 3/1/2013 -1.75 1 1 12/1/2013 1/1/2014 -1.00 1 1 6/1/2014 7/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 43.07 8 8/1/2014 3/1/2015 14.45 3 6/1/2019 8/1/2019 13.55 4 10/1/2017 1/1/2018 10.40 4 9/1/2013 12/1/2013 8.12 3 10/1/2020 12/1/2020 7.30 3 5/1/2016 7/1/2016 6.20 1 7/1/2015 7/1/2015 5.72 3 2/1/2019 4/1/2019 5.23 2 7/1/2018 8/1/2018 5.22 3 4/1/2014 6/1/2014 4.18 2 7/1/2017 8/1/2017 4.17 1 1/1/2020 1/1/2020 4.04 1 2/1/2014 2/1/2014 3.61 1 1/1/2016 1/1/2016 3.43 2 1/1/2017 2/1/2017 3.34 1 11/1/2015 11/1/2015 3.19 1 5/1/2015 5/1/2015 3.15 2 4/1/2017 5/1/2017 2.32 1 4/1/2013 4/1/2013 2.22 1 9/1/2016 9/1/2016 1.22 1 11/1/2019 11/1/2019 1.09 1 7/1/2020 7/1/2020 0.97 2 3/1/2018 4/1/2018 0.83 1 7/1/2013 7/1/2013 0.45 1 4/1/2020 4/1/2020 0.26 1 9/1/2015 9/1/2015 0.12 1 2/1/2013 2/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.66 5 9/1/2018 1/1/2019 -9.38 3 10/1/2016 12/1/2016 -8.41 3 2/1/2016 4/1/2016 -7.09 1 2/1/2018 2/1/2018 -6.89 2 9/1/2019 10/1/2019 -6.67 2 5/1/2013 6/1/2013 -5.00 1 6/1/2017 6/1/2017 -4.73 1 4/1/2015 4/1/2015 -3.96 2 2/1/2020 3/1/2020 -3.38 1 6/1/2015 6/1/2015 -3.29 1 3/1/2017 3/1/2017 -2.74 2 5/1/2018 6/1/2018 -2.52 2 5/1/2020 6/1/2020 -2.43 1 3/1/2014 3/1/2014 -2.20 2 8/1/2020 9/1/2020 -2.02 1 12/1/2019 12/1/2019 -1.98 1 10/1/2015 10/1/2015 -1.75 1 1/1/2014 1/1/2014 -1.58 1 3/1/2013 3/1/2013 -1.56 1 8/1/2015 8/1/2015 -1.40 1 12/1/2015 12/1/2015 -1.22 1 8/1/2016 8/1/2016 -1.10 1 9/1/2017 9/1/2017 -1.00 1 7/1/2014 7/1/2014 -0.64 1 1/1/2013 1/1/2013 -0.56 1 8/1/2013 8/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods96.0094.0091.0085.0079.0073.0061.0049.0037.00 Percent Profitable57.2955.3254.9565.8869.6267.1277.0579.5983.78 Average Period Return0.541.563.227.4311.9615.4518.4321.7830.56 Average Gain2.725.589.2114.1918.9324.6425.1728.3536.86 Average Loss-2.44-3.43-4.08-5.62-4.00-3.32-4.21-3.88-1.98 Best Period7.9920.3236.0149.0362.9064.6066.5560.7367.38 Worst Period-7.09-10.01-11.57-16.15-10.02-8.10-13.53-7.13-3.17 Standard Deviation3.186.059.4614.6519.4323.1223.0923.3323.69 Gain Standard Deviation2.044.878.7813.6019.4923.1722.0721.6520.51 Loss Standard Deviation1.732.752.733.552.632.114.632.191.04 Sharpe Ratio (1%)0.140.220.290.440.540.580.670.761.07 Average Gain / Average Loss1.121.632.262.524.737.425.987.3118.66 Profit / Loss Ratio1.532.022.754.8710.8415.1420.0828.5296.41 Downside Deviation (10%)2.143.614.776.616.939.0011.8115.4215.43 Downside Deviation (5%)1.973.063.574.373.353.314.093.893.00 Downside Deviation (0%)1.922.923.283.872.622.242.941.990.88 Sortino Ratio (10%)0.060.090.160.370.630.580.230.010.19 Sortino Ratio (5%)0.230.430.761.473.124.063.764.568.48 Sortino Ratio (0%)0.280.530.981.924.566.896.2710.9634.62 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 10 0.15 10/2020 Trend Following Strategy Index Month 8 4.17 1/2020 Trend Following Strategy Index Month 10 4.16 7/2019 Trend Following Strategy Index Month 10 4.88 8/2018 Trend Following Strategy Index Month 10 2.30 5/2017 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