Amundi CFM Cumulus Fund

The CFM Cumulus Fund employs a quantitative multi-strategy approach designed to generate returns across a broad range of market environments, with low correlation to both traditional and alternative benchmarks. The strategy targets 6–10% portfolio-level volatility and aims to deliver a Sharpe ratio above 1. It provides exposure to a complementary mix of market-neutral, directional, and defensive models. The program incorporates over 300 individual models, derived primarily from CFM’s flagship program (Stratus; launched in 2003). These models are organised into seven strategy families: Trend and Contrarian (price-based signals), Patterns (seasonal and cyclical effects), Networks (cross-market dynamics), Fundamental Macro, Sentiment, Yield Capture and Defensive (short-term trend and long-volatility strategies). The portfolio is typically allocated evenly across the strategy families, with the exception of the Patterns cluster, which is deployed tactically depending on prevailing signals. The fund generally maintains gross exposure of around 5x, with an average holding period of 4–6 months.