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Our thinking
- A Systematic Path to True Diversification
- A Fed cut is imminent. How do equities and bonds (typically) react?
- As Mag 7 Concentration Intensifies, So Too Does the Race To Find Diversifiers
- Monetary Policy Transmission - Broken or Sticky?
- Ponzi Funds
- Fiscal Addiction
- Global Macro Provides All-Season Coverage
- What moves markets? Inflation, Unemployment, or Growth?
- Japan - The end of Negativity?
- Commander-in-Speech: State of the Unions from Washington to Biden.
- 7 Reflections on the Magnificent 7
- Bond-equity correlations: Its correlation with inflation correlations
- Time to Pivot: Unlocking the Power of Trend to Diversify Portfolios
- Bond-equity correlations: Equity risk factors
- Bond-equity correlations: Beyond the benchmark
- CFM wins Manager of the Year
- Bond-equity correlations: An alternative measure
- CFM Discus Continues Diversifying
- AI in Investment Management: Separating Hype from Reality
- Is Trend really having a bad year?
- Hedgeweek in conversation with Benjamin Roy, CFM's CTO
- Unlocking Alpha With Alternative Data
- CFM Talks To: Janan Ganesh
- The cautious tale of CTAs trading (illiquid) alternative markets
- Global Macro as a Much-Needed Diversifier
- The Hedge Fund Award Curse
- 2023 and Beyond: An Enduring Case for Global Macro Strategies
- Why your 'Private Markets' strategy is really just one big equities play
- The enduring case for global macro
- Partisanship in the US Congress since 1789
- CFM hires Chief Technology Officer
- Using the Yield Curve to Forecast Recessions ... do you feel lucky?
- A Strategy for All Seasons (including Inflation)
- CFM Talks To: Megan Greene
- A Good Time for Trend Following
- CFM's views on Shorts and Derivatives
- A good time for Trend Following … but, then again, it's always been!
- Inflationary Regimes and Asset Class Performance - Part 2: Convexity of Trend Following
- Laurent Laloux speaks to Hedgeweek about the role of technology and alternative data
- The Hedge Fund Journal profiles CFM's Managed Futures Strategy
- What are 'systematic global macro' strategies? And why they should be considered
- CFM Talks To: Olivier Blanchard
- Creating Models That Will Shape the Now and Future of Investing
- Inflationary Regimes and Asset Class Performance
- Marie Legendre named among 50 Leading Women in Hedge Funds 2021
- Systematic Global Macro Strategies are a Timely Diversifier
- CFM Talks To: Rado Lipus
- Finding ESG Trends through Quant
- Inflation's Potential Big Flip
- Why and how systematic strategies decay
- In Challenging Markets, Systematic Global Macro Strategies Could Hold Opportunity
- A systematic approach to global macro
- Quarterly Market Recap - Q4 2020
- CFM Talks To: Jack Inglis
- Harnessing ESG to drive performance
- Capital Fund Management launches Systematic Global Macro Program
- Bond equity correlations: are the times a-changin’?
- Quarterly Market Recap - Q3 2020
- The Next Level of Alt Data
- CFM Talks To: Eric Beinhocker
- Capital Fund Management launches Institutional Systematic Trends Equity Capped UCITS Programme
- Is Factor Momentum More than Stock Momentum?
- Material winners and losers in ESG strategies
- V-, U-, L-, or W-shaped recovery after COVID? Insights from an Agent Based Model
- Spotlight on multi-asset investing
- 'Lucking Up' - until beta fails
- Trend following in the time of Covid-19
- Alternative Beta Matters - 2020 Q2 Newsletter
- The Option to Options
- CFM Talks To: Stéphane Boujnah
- Equity Factors: to short or not to short, that is the question
- Deep deterministic portfolio optimisation
- Equations and Shape of the Optimal Band Strategy
- Extracting the news(worthy) from the noise
- CFM Talks To: Jim O'Neill
- Alternative Beta Matters - 2020 Q1 Newsletter
- Zooming in on Equity Factor Crowding
- Conditional Correlations and Principal Regression Analysis for Futures
- European Autumn Seminar 2019
- Of presidents and heart attacks - Risk control as diversification through time
- Diversification Underpinned by Science
- CFM Talks To: Robert Engle
- CFM launches alternative data initiative with Columbia University’s Program for Economic Research
- Factor Investing and Smart Beta
- Is human intelligence redundant in investment management?
- Alternative Beta Matters - 2019 Q4 Newsletter
- Can alternative beta strategies help in a lower for longer environment?
- CFM named “Best Offshore Manager operating in Australia”
- Hedge fund CFM says ignore the news
- CFM Talks To: Emanuel Derman
- On business cycles... and when trend following works
- Alternative Beta Matters - 2019 Q3 Newsletter
- North America Spring Seminar 2019
- Optimizing Alternative Beta in a Lower for Longer Environment
- The case for long-only agnostic allocation portfolios
- Impact is not just volatility
- CFM Talks To: Professor Johannes Muhle-Karbe
- Alternative Beta Strategies: The only free lunch in finance
- Alternative Beta Matters - 2019 Q2 Newsletter
- Packed in like sardines: how crowding in trade flow can adversely affect execution costs
- Separating myth from reality in AI
- École Polytechnique launches a research chair with Capital Fund Management (CFM)
- Are trading invariants really invariant? Trading costs matter
- The what, why, and decisively, the how of ESG investing
- CFM Talks To: Fiona Reynolds
- How should you discount your backtest PnL?
- Alternative Beta Matters - 2019 Q1 Newsletter
- Slow decay of impact in equity markets: insights from the ANcerno database
- Optimal cleaning for singular values of cross-covariance matrices
- Econophysics: still fringe after 30 years?
- The Multivariate Kyle model: more is different
- European Autumn Seminar summary
- Crossover from linear to square-root market impact
- Understanding the noise that comes with ESG investing
- CFM Talks To: Dr. Bruno Dupire
- The real secret behind winning with AI
- Alternative Beta Matters - 2018 Q4 Newsletter
- Making fat right tails fatter with trend following... most of the time
- Portfolio Construction Matters
- Philippe Jordan appointed to AIMA's Board of Directors
- Alix Egloff-Guéant named among 50 leading women in hedge funds 2018
- A new hype or a new hope? Neural networks applied to live market data
- Artificial Intelligence: how CFM uses machine learning to remain at the forefront of asset management
- Co-existence of Trend and Value in financial markets: Estimating an Extended Chiarella Model
- Everything you think you know about Risk Premia is wrong
- CFM Talks To: Prof. Dr. Thorsten Hens
- Alternative Beta Matters - 2018 Q3 Newsletter
- Artificial Intelligence: perspectives from the quant coalface
- Is ESG an equity factor or just an investment guide?
- The real reason to include Trend Following in a portfolio (hint: it’s not as a hedge)
- Improving trade execution systematically
- North America Spring Seminar 2018
- Is there a 'new normal' in Volatility Markets?... Probably not!
- Alternative Beta Matters - 2018 Q2 Newsletter
- Alternative Beta: A strategy that hits the portfolio sweet spot
- Co-impact: Crowding effects in institutional trading activity
- Sticky Expectations and the Profitability Anomaly
- The Convexity of Trend Following
- Alternative Beta Matters - 2018 Q1 Newsletter
- Buy-side quant of the year 2018 - Jean-Philippe Bouchaud
- Black was right: Price is within a factor 2 of Value
- Mini-symposium on automatic differentiation and its applications in the financial industry
- Explaining hedge fund index returns
- Alternative Beta Matters - 2017 Q4 Newsletter
- Demystifying smart and alternative beta
- Nonlinear price impact from linear models
- Risk Premium investing – A tale of two tails
- The 'Size Premium' in Equity Markets: Where is the Risk?
- The statistics of random walks: how long can you go and when should you panic?
- Alternative Beta Matters - 2017 Q3 Newsletter
- You are in a drawdown. When should you start worrying?
- Universal scaling and nonlinearity of aggregate price impact in financial markets
- Asset management firms must adapt or die
- Financial crises: how CFM navigates the markets
- Making optimisation techniques robust with agnostic risk parity
- Alternative Beta Matters - 2017 Q2 Newsletter
- A fractional reaction-diffusion description of supply and demand
- Alternative Beta Matters - 2017 Q1 Newsletter
- The short-term price impact of trades is universal
- Trading lightly: cross-impact and optimal portfolio execution
- Modelling forward looking returns and combining traditional and alternative benchmarks
- Executing with impact: why the price you want is not the price you get!
- Agnostic Risk Parity: Taming Known and Unknown-Unknowns
- Alternative Beta Matters - 2016 Q3 Quarterly Report
- Price impact without order book: A study of the OTC credit index market
- Dissecting cross-impact on stock markets: An empirical analysis
- Alternative Beta Matters - 2016 Q2 Quarterly Report
- Tail protection for long investors: convexity at work
- Why have asset price properties changed so little in 200 years
- Alternative Beta Matters - 2016 Q1 Quarterly Report
- CTAs in a Regime of Rising Rates
- In-sample overfitting: avoiding the pitfalls in data mining
- Linear models for the impact of order flow on prices II. The Mixture Transition Distribution model
- Cleaning correlation matrices
- On the overlaps between eigenvectors of correlated random matrices
- Alternative Beta Matters - 2015 Q4 Quarterly Report
- The square-root impact law also holds for option markets
- Unravelling the trading invariance hypothesis
- Linear models for the impact of order flow on prices I. Propagators: Transient vs. History Dependent Impact
- The Excess Returns of 'Quality' Stocks: A Behavioral Anomaly
- Do investors trade too much? A laboratory experiment
- Optimal Trading with Linear and (small) Non-Linear Costs
- Deconstructing the Low-Vol Anomaly
- Quadratic Hawkes processes for financial prices
- The misleading nature of correlations
- On growth-optimal tax rates and the issue of wealth inequalities
- What’s what? Long only Smart Beta & equity market neutral Alternative Beta
- From Walras' auctioneer to continuous time double auctions: A general dynamic theory of supply and demand
- Trend Following: a persistent market anomaly
- Why do markets crash? Bitcoin data offers unprecedented insights
- Rotational invariant estimator for general noisy matrices
- Monetary Policy and Dark Corners in a stylized Agent-Based Model
- The eigenvectors of Gaussian matrices with an external source
- A fully consistent, minimal model for non-linear market impact
- Equity Market Neutral portfolios: hedging out market factors
- Explore or exploit? A generic model and an exactly solvable case
- Sudden trust collapse in networked societies
- Endogenous crisis waves: a stochastic model with synchronised collective behavior
- Instabilities in large economies: aggregate volatility without idiosyncratic shocks
- Risk Premia: Asymmetric Tail Risks and Excess Returns
- Slow decay of impact in equity markets
- Signal-wise performance attribution for constrained portfolio optimisation
- Two centuries of trend following
- Anomalous impact in reaction-diffusion models
- Momentum Strategies with L1 Filter
- An instanton approach to large N Harish-Chandra-Itzykson-Zuber integrals
- Branching ratio approximation for the self-exciting Hawkes process
- Agent-based models for latent liquidity and concave price impact
- Skew and implied leverage effect: smile dynamics revisited
- On the emergence of an 'intention field' for socially cohesive agents
- A nested factor model for non-linear dependences in stock returns
- The fine structure of volatility feedback II overnight and intra-day effects
- Tipping points in macroeconomic agent-based models
- Some applications of first-passage ideas to finance
- A Fokker-Planck description for the queue dynamics of large tick stocks
- Critical reflexivity in financial markets: a Hawkes process analysis
- Eigenvectors dynamic and local density of states under free addition
- Weighted Kolmogorov-Smirnov test: Accounting for the tails
- Invariant β-Wishart ensembles, crossover densities and asymptotic corrections to the Marchenko-Pastur law
- Crises and collective socio-economic phenomena: simple models and challenges
- A proposal for impact-adjusted valuation: critical leverage and execution risk
- The fine structure of volatility feedback I: multi-scale self-reflexivity
- Invariant β-ensembles and the Gauss-Wigner crossover
- We've walked a million miles for one of these smiles
- Optimal Trading with Linear Costs
- The joint distribution of stock returns is not elliptical
- Anomalous price impact and the critical nature of liquidity in financial markets
- Why is order flow so persistent?
- Goodness-of-Fit tests with dependent observations
- Eigenvector dynamics: theory and some applications
- Models for the impact of all order book events
- Smile dynamics - a theory of the implied leverage effect: ERRATUM
- How does the market react to your order flow?
- Principal Regression Analysis and the index leverage effect
- Individual and collective stock dynamics: intra-day seasonalities
- The price impact of order book events: market orders, limit orders and cancellations
- The endogenous dynamics of markets: price impact and feedback loops
- Population dynamics in a random environment
- Spatial correlations in vote statistics: a diffusive field model for decision-making
- Of Songs and Men: a Model for Multiple Choice with Herding
- Price Impact
- Financial applications of Random Matrix Theory: a short review
- A shift-optimised Hill-type estimator
- The (unfortunate) complexity of the economy
- Smile dynamics - a theory of the implied leverage effect
- Economics needs a scientific revolution
- Optimal Time to Sell a Stock in Black-Scholes Model: Comment on 'Thou shall buy and hold'
- How markets slowly digest changes in supply and demand
- Stock price jumps: news and volume play a minor role
- Large dimension forecasting models and random singular value spectra
- The student ensemble of correlation matrices: eigenvalue spectrum and Kullback-Leibler entropy
- Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets
- Trend followers lose more often than they gain
- Financial applications of Random Matrix Theory: old laces and new pieces
- On a multi-timescale statistical feedback model for volatility fluctuations
- Theory of collective opinion shifts: from smooth trends to abrupt swings
- The dynamics of financial markets - Mandelbrot's multifractal cascades, and beyond
- Experts' earning forecasts: bias, herding and gossamer information
- Random walks, liquidity molasses and critical response in financial markets
- A Non-Gaussian Option Pricing Model with Skew
- Stiff Field Theory of Interest Rates and Psychological Future Time
- Theory of financial risk and derivative pricing
- Option pricing and hedging with minimum expected shortfall
- Fluctuations and response in financial markets: the subtle nature of 'random' price changes
- Comment on Two-phase behaviour of financial markets
- Self-referential behaviour, overreaction and conventions in financial markets
- Multiple time scales in volatility and leverage correlation: A stochastic volatility model
- More statistical properties of order books and price impact
- Statistical models for company growth
- An introduction to statistical finance
- Bubbles, crashes and intermittency in agent based market models
- Statistical properties of stock order books: empirical results and models
- The skewed multifractal random walk with applications to option smiles
- Introducing Variety in Risk Management
- Microscopic models for long ranged volatility correlations
- Hedge your Monte Carlo
- More stylized facts of financial markets: leverage effect and downside correlations
- The leverage effect in financial markets: retarded volatility and market panic
- Welcome to a non-Black-Scholes world
- Option pricing and hedging with temporal correlations
- Hedged Monte-Carlo: low variance derivative pricing with objective probabilities
- Power-laws in economics and finance: some ideas from physics
- Correlation structure of extreme stock returns
- Path dependent option pricing: the path integral partial averaging method
- Hedging large risks reduces the transaction costs
- Wealth condensation in a simple model of economy
- Explaining the forward interest rate term structure
- Worst fluctuation method for fast value-at-risk estimates
- An empirical investigation of the forward interest rate term structure
- Apparent multifractality in financial time series
- Random matrix theory and financial correlations
- Noise Dressing of Financial Correlation Matrices
- Back to basics: historical option pricing revisited
- Elements for a theory of financial risks
- Are financial crashes predictable?
- A Langevin approach to stock market fluctuations and crashes
- Rational Decisions, Random Matrices and Spin Glasses
- Taming large events: portfolio selection for strongly fluctuating assets
- Herd behavior and aggregate fluctuations in financial markets
- Phenomenology of the interest rate curve
- Financial modeling and option theory with the truncated Lévy process
- Missing information and asset allocation
- Universality classes for extreme value statistics
- Scaling in stock market data: stable laws and beyond
- Option pricing in the presence of extreme fluctuations
- Comment on Turbulent cascades in foreign exchange markets
- Real-world options: smile and residual risk
Our awards
- The Hedge Fund Journal CTA & Discretionary Trader Awards 2024
- The Hedge Fund Journal CTA & Discretionary Trader Awards 2024
- The Hedge Fund Journal CTA & Discretionary Trader Awards 2024
- The Hedge Fund Journal CTA & Discretionary Trader Awards 2024
- The Hedge Fund Journal 2024 UCITS Hedge Awards
- The Hedge Fund Journal 2024 UCITS Hedge Awards
- EuroHedge Awards 2023
- EuroHedge Awards 2023
- Hedgeweek European Awards 2024
- Hedgeweek European Awards 2024
- HFM European Performance Awards 2023
- HFM European Performance Awards 2023
- HFM European Performance Awards 2023
- Australian Alternative Investment Award 2023
- Australian Alternative Investment Award 2023
- Australian Alternative Investment Award 2023
- Australian Alternative Investment Award 2023
- The Hedge Fund Journal CTA and Discretionary Trader Awards 2023
- The Hedge Fund Journal CTA and Discretionary Trader Awards 2023
- Hedgeweek European Awards 2023
- The Hedge Fund Journal CTA and Discretionary Trader Awards 2022
- HFM European Quant Performance Awards 2021
- The Hedge Fund Journal CTA and Discretionary Trader Awards 2021
- The Hedge Fund Journal CTA and Discretionary Trader Awards 2021