Who we are Our vision Our history Our board Our approach Technology Research Risk What we do Absolute Return Alternative Beta Implementation Community CFM-Imperial Institute CFM Foundation Work With Us Publications Events Contact Us CFM has pioneered and applied an academic and scientific approach to financial markets, creating award winning strategies and a market leading investment management firm. As technology and data further proliferate in financial markets CFM aims to be at the vanguard of firms using these trends for the benefit of investors. Our approach What we do Featured Publications Trend Following: a Persistent Market Anomaly In this note we present a study of trend following using two centuries of data. We find that trend following is a persistent market anomaly with highly significant performance over this long back-test. We also present a combined portfolio of a trend following investment and a standard basket of equities and bonds. Read More Hedging Out Market Factors Large shocks in an equity portfolio are typically driven by correlated (and hence collective) moves of its constituents. This accords correlation matrices a historically central place in numerous studies on portfolio construction and risk management [1]. In this note, we illustrate how certain statistical methods enable us to identify the main market factors (or “modes”) that an equity market neutral portfolio should hedge, in order to extract value from signals, while avoiding exposure to large, collective market moves. These methods rely on the processing of stock returns correlation matrices. However, because time series are finite, measured correlations are subject to the effects of noise: a fact that one must take into account when employing empirical correlation matrices in portfolio construction. Comparing the properties of empirical correlation matrices to those obtained in random cases, and using results from the theory of random matrices, enables us to distinguish genuine characteristics of the dependence structure of a set of stocks from noisy and unreliable features. Read More Explore or exploit? A generic model and an exactly solvable case Authors Thomas Gueudré, Alexander Dobrinevski, Jean-Philippe Bouchaud E print http://arxiv.org/abs/1310.5114 Finding a good compromise between the exploitation of known resources and the exploration of unknown, but potentially more profitable choices, is a general problem, which arises in many different scientific disciplines. We propose a stylized model for these exploration-exploitation situations, including population or economic growth, portfolio optimisation, evolutionary dynamics, or the problem of optimal pinning of vortices or dislocations in disordered materials. We find the exact growth rate of this model for tree-like geometries and prove the existence of an optimal migration rate in this case. Numerical simulations in the one-dimensional case confirm the generic existence of an optimum. Read More Featured Events Southeast Institutional Investor Forum Atlanta Global Volatility Summit Tokyo The Global Volatility Summit Tokyo is a half-day event specifically crafted for large, Japan-based institutional investors interested in hearing from leading volatility, quantitative and tail hedge managers. Since its inception in 2010, the Global Volatility Summit has been an educational center for investors wanting to learn about volatility and options-based trading strategies and the role they play in investment portfolios. This year will be GVS Tokyo’s inaugural event with programming that will include thought-provoking manager panels and presentations, a keynote address, as well as a cocktail reception for informal networking with participating managers. Panelists will be senior level portfolio managers representing the following firms: Argentière Capital, Capstone Investment Advisors, Capital Fund Management (CFM), Dominicé & Co., Graticule Asset Management Asia, III Capital Management, Ionic Capital Management, JD Capital Management, Parallax Volatility Advisers, and Pine River Capital Management. Read More Context Summits West 2017 - Austin, TX Context Summits brings its broad spectrum of high-quality managers and allocators to Austin, Texas. This Summit will bring together qualified investors and alternative asset managers for two days of highly targeted and productive, prescheduled one-on-one meetings. Unparalleled networking events for all Summit participants will be hosted at conveniently located sites at the Austin location. Participants can arrange one-on-one, back-to-back meetings with vetted, interested parties, keeping their time and efforts highly productive. Inclusive, single-site social events provide additional opportunities for effective networking. Overall, participants gain solid leads, cultivate tangible opportunities, and build meaningful relationships. Read More Work with us Site map Terms of use Accessibility Contact Us © 2017 CFM - All Rights Reserved