Commentary & Insights

Capital Fund Management launches Systematic Global Macro Program

PRESS RELEASE

Capital Fund Management (CFM), the quantitative asset management firm, is pleased to announce the launch of a Systematic Global Macro Program (“SGM”).

SGM implements a systematic approach to a fundamental-driven, directional macro strategy and has been developed as part of CFM’s alpha programme. It comprises a number of macro-driven components, including leading indicators, sentiment indicators and yield capture, as well as a price-driven component. The strategy also includes a convexity layer designed to provide investors with equity downside protection.

SGM builds on CFM’s longstanding and well-established capabilities in directional strategies and futures trading. It also builds on the firm’s cross-asset class expertise, portfolio construction and execution capabilities, as well as the significant convexity research undertaken by the firm as part of its alternative beta programme.

For nearly 30 years, CFM has been committed to investment in quantitative and systematic techniques and to studying financial markets to create strategies that meet the changing needs of investors. SGM seeks to satisfy increasing demand from investors for systematic global macro strategies based on fundamental rather than technical models.

Philip Seager, Head of Quantitative Investment Solutions at CFM, said: “At CFM, we put our clients at the forefront of modern investment management. This systematic global macro strategy draws on our considerable futures trading expertise and the know-how developed from our Discus program over the last 15 years. With the addition of a defensive convexity layer, we are able to target alpha returns uncorrelated with traditional markets, while also providing mitigation against equity market drawdowns.”