Commentary & Insights

Capital Fund Management launches Institutional Systematic Trends Equity Capped UCITS Programme


Capital Fund Management (“CFM”), the quantitative asset management firm, is today announcing the launch of a new UCITS programme, Institutional Systematic Trends Equity Capped (ISTEC). The ISTEC UCITS programme applies the Cayman-based ISTEC strategy (as modified to comply with UCITS constraints), which launched in April 2019.

ISTEC was developed as part of CFM’s Quantitative Investment Solutions programme and responds to a growing appetite amongst investors for a diversifying trend following strategy with more defensive characteristics, particularly against acute equity market downturns.

Building on CFM’s longstanding and well-established trend following programme, ISTEC is adapted to provide equity downside protection on all timescales through the addition of three components: a beta cap, such that the portfolio has a maximum of zero correlation to equities; a shorter-term trend following layer; and an equity-hedged, long VIX element.

For nearly 30 years, CFM has been committed to investing in quantitative and systematic techniques and to studying financial markets to create strategies that meet the changing needs of its investors. ISTEC UCITS gives investors access to this well-known Trend-Following strategy with its distinctive defensive features, making it an accretive complement to traditional portfolios.

Philip Seager, Head of Quantitative Investment Solutions, CFM said “Portfolios need to be diversified to withstand the corrections and crashes that impact our financial markets. The launch of ISTEC UCITS provides our European clients with access to a strategy that is designed to enhance equity downside protection and help build resilience to crises in the future”.