CFM ISDiversified Trust

The CFM Institutional Systematic Diversified Trust (CFM ISDiversified) provides investors with a diversified exposure to Alternative Beta strategies.

Two and a half decades of investment in quantitative research and development have led us to observe that a class of quantitative investment strategies are scalable, sustainable and less prone to decay than others. Investors can obtain a diversified exposure to many of these strategies via the CFM ISDiversified program.

The strategies rely on low frequency phenomena that have existed for decades (and in some cases, centuries), across asset classes and geographies. The CFM ISDiversifed program is composed of four diversified portfolios:

Hear from Philippe Jordan
President of CFM

Long-Term Trend Following

Long-Term Trend Following

Momentum on exchange-traded futures across a growing universe, currently over 60 markets. The portfolio is directional, with diversified exposures to stock indices, bonds, short term interest rates and currencies.

Quality, Momentum, Value

Equity Market Neutral

1,200 single stocks, long and short. The portfolio construction is market neutral. Implementation is done with cash single name stocks and synthetic equity swaps with prime brokers.

The portfolio includes Momentum (long term trend on stock residuals), Value (long low price to fundamentals and short high P/F stocks) and Quality (assessing stock quality using fundamental data).

FX Carry Trade, Short Volatility

Risk Premia

A constant risk implementation, harvesting the Universal Carry Premium across a basket of a dozen currencies, and the Implied Volatility Premium across three asset classes (fixed interest, equity indices, and currencies).

Universal Value

Mean reversion on a multi-year timescale across asset classes. The portfolio buys cheap and sells expensive futures forwards across equity indices, government bonds, short term interest rates, commodities and currencies using fundamental and price-based metrics.

Research Ratings

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