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 investor’s 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

Performance figures assume reinvestment of income. Any investment decision in connection with the Fund should only be made based on the information contained in the disclosure document for the Fund. multi-asset class volatility premium returns via futures contracts across value. To achieve long-term capital appreciation through returns that seek to be uncorrelated with Objective traditional asset classes. CFM LLP. comprising a with exposure to Government five asset classes. Annualised Volatility Target Approximately 6% annualized Type of Fund Registered Australian Managed Investment Scheme Style Diversified Multi Strategy Alternative Beta Inception Date 1 December.2% p. Capital Fund Management LLP www. focused on investing in persistent market anomalies across a diversified portfolio of strategies that exhibit low correlation to traditional equity and bond markets. incomplete or omitted information of any kind or any losses caused by using this information.000 Distribution Frequency Annually as of 30 June APIR code PIM0034AU Management Fee 1% Performance fee 10% Fund expenses Capped at 0. Neither CFM nor Perpetual guarantee repayment of capital or any particular rate of return from the Fund. The Fund targets a Sharpe Ratio exceeding 0. low turnover Included are multiple single-name approximately 20 currencies). assets. Equity Indices.8 over the investment cycle.au . CFM LLP is regulated by the UK Financial Conduct Authority (“FCA”) under United Kingdom laws which may differ from Australian laws.INVESTMENT STYLE A research driven. the Investment Manager of the Fund. Short-Term Interest Rates. Commodities. is exempt from the requirement to hold an AFSL under the Corporations Act. The information provided in this document is general information only and does not constitute investment or other advice. Currencies. and more than 50 diversified portfolio of approximately Bonds. 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. The Trust Company (RE Services) Limited ABN 45 003 278 831. via Asset class systematic. (CFM LLP) in relation to the CFM Institutional Systematic Diversified Trust (the Fund). 1. markets. and a portfolio that seeks to harvest trend stock implementations of momentum. CFM accepts no liability for any inaccurate.com. Pursuant to ASIC Class Order 03/1099. DISCLAIMER This document is issued by CFM Fund Management LLP. Strategies include FX carry (spanning This is a diversified. based on price and markets. Neither CFM nor Perpetual give any representation or warranty as to the reliability or accuracy of the information contained in this document. Government Bonds. 2015 Min Investment A$50. fundamental data.cfmaltbeta.000 stocks across Exposure to price delta on multiple geographical markets. and Commodities. systematic approach. The core diversifying strategies of the Fund are outlined in the table below. and issuer of units in the Fund. 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. and quality. and CFM is the investment manager of the Fund.a (both fund and master fund) Pricing / Liquidity Weekly (5 business day notice for withdrawls) Nil. Past performance is not a reliable indicator of future performance. KEY FUND DETAILS The fund provides investors with a highly diversified exposure to Alternative Beta. Equity Indices. The content of this document does not constitute an offer or solicitation to subscribe for units in the Fund. 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. rules-based investing. universe of over 3. AFSL 235 150 (Perpetual) is the trustee of.500 positions selected from a Currencies and the VIX index.