Sie sind auf Seite 1von 2

CFM ISDiversified Trust

Fact Sheet

STRATEGY OVERVIEW/DESCRIPTION
Capital Fund Management (CFM) believes that certain CFM is a pioneer of Alternative Beta investing, leveraging
well known investment strategies can provide portfolio a 25 year systematic investment track record, a global
diversification as a result of returns that are uncorrelated research and investment team, and an extensive investment
to traditional equity and bond markets. These strategies, in implementation and risk management technology and
conceptually simple, plausible and transparent, are scalable expertise.
and persistent over long time horizons. With appropriate
technology and implementation expertise, they can be The CFM ISDiversified Trust (the Fund) provides investors with
efficiently harvested and offered in a form suitable to investor a diversified exposure to Alternative Beta strategies within a
portfolios. single highly diversified portfolio, suitable as a core component
of an investors alternative allocation.
We call these strategies Alternative Beta. Alternative Beta can
enable better portfolio outcomes, through the benefits of a
more diversified portfolio.

Traditional Beta True Alpha


Passively managed Actively managed
Easy and cheap to access Difficult to identify in true form
Typically longer term TRADITIONAL ALTERNATIVE Seeking price discrepancies,
ALPHA
Not prone to signal decay BETA BETA typically shorter-term, to generate
Correlated to traditional markets outsized excess returns
Examples Seeks to be uncorrelated to
SPDR S&P 500 ETF (SPY) traditional indices
MSCI World (NDDUWI) Heavy implementation costs
SPDR Barclays Agg. Bond ETF (LAG) Alternative Beta Higher cost to access, i.e. 2 / 20
Provides exposure to persistent fee structure
historical pricing anomalies seeking Prone to signal decay
to generate returns uncorrelated to Examples
equity and fixed income beta Multi-strategy programs with
Examples diversifying absolute return profile
Trend following futures, market
neutral equities, carry trade, short
implied volatility, merger arbitrage,
other risk premia.

ABOUT CFM
CFM is a global investment manager and a leader in the CFM is proud to be leading the vanguard of investment
creation of diversified alternative investment strategies. A managers seizing opportunities arising from global data
25 year track record of innovation in finance and economics proliferation. Undergirded by an investment in our people,
underpins a systematic, scientific and quantitative approach to our world-class research capability, a broad and deep data
identifying and implementing statistically significant investment repository and extensive technology infrastructure, every
strategies. Robust, rigorous research, combined with a strategy is rigorously tested for statistical robustness and
significant implementation platform, enables us to provide persistence.
highly diversified and de-correlated investment strategies for
our investors. CFM trades liquid instruments across global
markets, including futures, equities, bonds, options, and spot
and forward foreign exchange.

Capital Fund Management LLP www.cfmaltbeta.com.au


INVESTMENT STYLE
A research driven, systematic approach, focused on investing in persistent market anomalies across a diversified portfolio of
strategies that exhibit low correlation to traditional equity and bond markets. The core diversifying strategies of the Fund are
outlined in the table below.

INVESTMENT STYLE RISK PREMIA LONG TERM TREND FOLLOWING

Market neutral (zero beta) exposure Investment strategies that capture the Designed to capture long term trends
to a diversified portfolio of longer-term insurance risk premium in financial across a wide range of markets and
equity factors, based on price and markets. assets.
fundamental data.
Strategies include FX carry (spanning This is a diversified, low turnover
Included are multiple single-name approximately 20 currencies), and a portfolio that seeks to harvest trend
stock implementations of momentum, multi-asset class volatility premium returns via futures contracts across
value, and quality, comprising a with exposure to Government five asset classes, and more than 50
diversified portfolio of approximately Bonds, Equity Indices, Commodities, markets.
1,500 positions selected from a Currencies and the VIX index.
universe of over 3,000 stocks across Exposure to price delta on
multiple geographical markets. Government Bonds, Short-Term
Interest Rates, Currencies, Equity
Indices, and Commodities.

KEY FUND DETAILS


The fund provides investors with a highly diversified exposure to Alternative Beta, via
Asset class
systematic, rules-based investing.
To achieve long-term capital appreciation through returns that seek to be uncorrelated with
Objective traditional asset classes.
The Fund targets a Sharpe Ratio exceeding 0.8 over the investment cycle.

Annualised Volatility Target Approximately 6% annualized

Type of Fund Registered Australian Managed Investment Scheme

Style Diversified Multi Strategy Alternative Beta

Inception Date 1 December, 2015

Min Investment A$50,000

Distribution Frequency Annually as of 30 June

APIR code PIM0034AU

Management Fee 1%

Performance fee 10%

Fund expenses Capped at 0.2% p.a (both fund and master fund)

Pricing / Liquidity Weekly (5 business day notice for withdrawls)


Nil, except when net applications and withdrawals for a Dealing Day exceed the larger of
Buy / Selll Spread
$50mn or 10% of the net asset value of the Fund.

DISCLAIMER
This document is issued by CFM Fund Management LLP, (CFM LLP) in relation to the CFM Institutional Systematic Diversified Trust (the Fund). Pursuant to ASIC
Class Order 03/1099, CFM LLP, the Investment Manager of the Fund, is exempt from the requirement to hold an AFSL under the Corporations Act. CFM LLP is
regulated by the UK Financial Conduct Authority (FCA) under United Kingdom laws which may differ from Australian laws.

The Trust Company (RE Services) Limited ABN 45 003 278 831, AFSL 235 150 (Perpetual) is the trustee of, and issuer of units in the Fund, and CFM is the
investment manager of the Fund. The information provided in this document is general information only and does not constitute investment or other advice. The
content of this document does not constitute an offer or solicitation to subscribe for units in the Fund. CFM accepts no liability for any inaccurate, incomplete or
omitted information of any kind or any losses caused by using this information. Any investment decision in connection with the Fund should only be made based on
the information contained in the disclosure document for the Fund. Performance figures assume reinvestment of income. Past performance is not a reliable indicator
of future performance. Neither CFM nor Perpetual guarantee repayment of capital or any particular rate of return from the Fund. Neither CFM nor Perpetual give
any representation or warranty as to the reliability or accuracy of the information contained in this document. All opinions and estimates included in this document
constitute judgments of CFM as at the date of this document are subject to change without notice.

Capital Fund Management LLP www.cfmaltbeta.com.au

Das könnte Ihnen auch gefallen