Investment Objective
The investment objective of the Fund is to achieve long-term capital appreciation through returns that seek to be uncorrelated with returns based on traditional asset classes, such as stocks and bonds. The Fund aims to achieve its investment objective by investing according to the CFM Institutional Systematic Trends Equity Capped Program.
Latest Meeting Note
Meeting 28 Nov 2023
Capital Fund Management was founded in 1991, is based in Paris and currently oversees $12.3 billion in assets. The ISTEC strategy is designed to bolster the defensive posture of trend following. It is anchored in Long Term Trend Followin...
Capital Fund Management was founded in 1991, is based in Paris and currently oversees $12.3 billion in assets. The ISTEC strategy is designed to bolster the defensive posture of trend following. It is anchored in Long Term Trend Following, which is the core of the strategy, with an average holding period between 7 to 11 months, leveraging ISTrends' trading universe and signals. Complementing this is the Short Term Trends Overlay, which sharpens the focus to a narrower timeframe with holdings typically around 2 months, targeting the most liquid bonds and equity indices, while ensuring net equity exposure is strictly capped at zero percent. The strategy is further reinforced by a Long Volatility component that allows for instantaneous reactions, maintaining a dynamic and hedged position via long VIX futures and S&P futures. Overlaying all these elements is Beta Capping, a mechanism to modulate and restrain market risk exposure, thereby enhancing the strategy's resilience to market fluctuations.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.6 | 0.4 | 0.6 | 0.8 | 0.2 | 0.2 | 0.3 | 0.1 | 0.8 | 0.1 | 0.9 | 0.3 | 0.0 | |
| 2022 | 0.9 | 0.0 | 1.0 | 0.8 | 0.5 | 0.4 | 0.0 | 0.3 | 0.6 | 0.2 | 0.2 | 0.4 | 0.2 |
