CFM ISTrends Fund

Investment Objective

CFM ISTrends Fund UCITS (CFM IST UCITS), launched in December 2016. The CFM ISTrends program is a multi-asset, multi-scale long term trend following program that aims to extract returns from the tendency of market prices to move in one direction over a period of time. The program trades a broad range of most liquid futures and FX forwards on exchange markets globally.

On 3 May 2021, CFM InRIS Trends was merged into CFM UCITS ICAV and was renamed CFM ISTrends Fund.

Latest Meeting Note

Meeting 18 Apr 2024

Founded in 1991, Capital Fund Management is one of the early pioneers of quantitative investing.  The CFM ISTrends fund sits at the slightly longer end of the medium-term trend following sector, with a focus towards 7-11 month holding pe...

Founded in 1991, Capital Fund Management is one of the early pioneers of quantitative investing.  The CFM ISTrends fund sits at the slightly longer end of the medium-term trend following sector, with a focus towards 7-11 month holding periods. The strategy aims to deliver a pure trend exposure by limiting signals to 3 moving averages using technical predictors to form the basis for signal generation. The signals are then applied to a highly liquid investment universe (over 110 instruments traded)  in a single asset and cross-asset framework. Portfolio positions are determined through a proprietary optimization technique known as 'agnostic risk-parity’, which aims to deliver strong out-of-sample diversification compared to traditional risk allocation frameworks, such as risk parity. The investment process is informed by over more than three decades of market and research expertise at the firm. In addition to portfolio construction, original research on impact and cross-impact produces estimates of transaction costs that feed into the portfolio construction process. Sophistication in implementation aims at improving upon the long-term Sharpe ratio expectations for trend following.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.2 0.5 0.2 0.7 0.1 0.1 1.0 0.8 0.9 0.8 0.3 0.3 0.4
2022 0.6 0.4 0.4 0.1 1.0 0.7 0.5 0.7 0.5 0.3 0.7 0.4 0.4

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