A. The Advisory Firm
Capital Fund Management S.A. (“we”, “us”, “our” or the “Firm”) provides discretionary investment management
services to US and non-US clients from its offices in Paris, France. Founded in 1991, we are today registered
with the US SEC as an investment adviser, with the US Commodity Futures Trading Commission (“CFTC”) as a
commodity trading adviser (“CTA”) and commodity pool operator (“CPO”), and we are a member of the National
Futures Association (“NFA”) in such capacity. In France, we are regulated by the Autorité des marchés financiers
(“AMF”) as a UCITS portfolio management company in accordance with Directive 2009/65/EC of the European
Parliament and of the Council of 13 July 2009, as amended.
Today, the Firm has four wholly owned subsidiaries: Capital Fund Management International, Inc. (“CFMI”), CFM
North America, Inc (“CFM NA”), CSysNet and CFM Corporate Member Limited. CFMI and CFM NA are both
limited liability companies incorporated in Delaware, USA. CSysNet is a French corporation. CFM Corporate
Member Limited is a limited company registered in England and Wales, which holds the majority stake in Capital
Fund Management LLP (“CFM LLP”) and manages the operations of CFM LLP based on a broad power of
attorney.
CFMI has offices in New York and contracts with us to interface with investors in investment funds we advise
and maintains certain of the IT infrastructure we keep in the United States. In November 2021, CFMI filed as an
exempt reporting adviser with the SEC, providing sub-advisory services to CFM SA relating to a small portion of
the Stratus program (see below). CFMI has also contracted with Foreside Financial Services LLC (“Foreside”),
a SEC-registered broker-dealer and member of FINRA, for the purpose of registering certain employees of
CFMI’s Investor Relations team as representatives of Foreside that are permitted to engage in marketing
activities in the United States. CFM NA is the managing member/general partner of certain funds organized as
Delaware limited liability companies or offshore partnerships that we advise. CFM NA is registered with the CFTC
as a CPO and is a member of the NFA. CFM NA has delegated its powers and authority under the governing
agreements to various service providers, including to us to act as an investment adviser and to CFM LLP to act
as a private fund adviser. CSysNet acts as a purchaser of IT equipment for the Firm and its affiliates. CFM
Corporate Member Limited has offices in London and manages the operations of CFM LLP based on a broad
power of attorney. CFM LLP has offices in London and operates a branch office in Sydney. CFM LLP provides
investment management services and is registered with the UK Financial Conduct Authority (“FCA”) as an
Alternative Investment Fund Manager (“AIFM”) pursuant to Directive 2011/61/EU on Alternative Investment Fund
Managers and has filed with the SEC as an exempt reporting adviser operating from outside the United States.
For funds where CFM LLP acts as an AIFM, CFM SA will generally be appointed as a portfolio manager.
The principal owners of the Firm are Jean-Philippe Bouchaud (Chairman), Philippe Jordan, Marc Potters (CIO)
and Jacques Saulière (CEO), all of whom are also board members and investment committee members of the
Firm. We are a privately owned company, majority owned by the board members and staff. In January 2021,
Dyal Europe Holdings Limited sold the minority stake it owned through a UK based vehicle to NGI Strategic
Australia PTY Ltd, a fully owned subsidiary of the Australian Navigator group. The Firm and its subsidiaries
employ approximately 254 staff in Paris, New York, London and Sydney, divided between Research, Data, Front
Office-IT, Operations-IT & Risk Control, IT-Infrastructure, Operations, Legal & Compliance, Administration and
Investor Relations.
The clients to whom we provide portfolio management services invest in accordance with our Stratus and CFM
Cumulus (“CFM Cumulus”, formerly known as CFM Institutional Systematic Diversified (“CFM ISD”)) programs.
All Stratus clients are organized as private funds. CFM Cumulus is available in a private fund format and as
managed accounts (currently UCITS only). The Firm also operates four managed futures programs, Discus, CFM
Institutional Systematic Trends (“CFM IST”), CFM Institutional Systematic Trends Equity Capped (“CFM ISTEC”)
and CFM Systematic Global Macro (“CFM SGM”), whose clients are mainly organized as investment funds.
Finally, the firm manages the CFM Quantitative Absolute Return (“CFM QUASAR”) program that leverages new
environmental, social or governance data sets and predictors, and that is currently only available through a
European UCITS fund. CFM IST, CFM ISTEC, CFM Cumulus and CFM SGM are also available as separate
managed accounts for clients with account balances above US$200m. Stratus is currently closed for further
investment from new subscribers, but may occasionally accept subscriptions in order to replace redemptions.
B. Advisory Services
We use a systematic/quantitative approach to trading the financial markets. All of our strategies fall within what
is often referred to as “alternative investments”. Stratus, Discus and CFM SGM are “hedge fund” strategies that
seek to capture “alpha”, i.e. returns that are skill-based and seeks to be uncorrelated with traditional market
indices. CFM Cumulus, CFM IST, CFM ISTEC and CFM QUASAR (collectively “CFM IS”) may be referred to as
“absolute return” strategies that seek to follow more widely documented hedge fund strategies.
The Firm primarily trades futures, foreign exchange, securities (equities, fixed income and exchange traded
funds), options, credit default swaps, as well as derivatives on all of the foregoing underlyings, in leading financial
centres in the US and internationally. Our strategies are global in nature and focus on trading in liquid financial
instruments generally available on exchanges, electronic platforms or in certain cases liquid markets that are
dealer focused. Such liquid instruments are generally “easy to value”. We also participate in OTC markets, where
we trade privately negotiated options contracts and credit default swaps. The OTC activity remains small
compared to the overall activity of the Firm. In addition, certain of our securities trades may be considered as
OTC as they are financed synthetically as swaps. Such swaps (foreign exchange forwards, options, credit default
swaps and equity swaps) held by our private fund clients are all valued based on quotes from central
counterparties, electronic platforms, brokers or by service providers appointed by a third party administrator for
the purposes of determining the applicable private fund’s NAV. The investment strategies of, and other material
information about, each private fund are set forth in each private fund’s offering documents provided to investors
in such fund at or prior to their investment.
We have invested significant resources in developing our proprietary technology platform for trading decisions,
execution, post-trade processing and risk management. We carry out materially all of our trading electronically
on exchanges or electronic platforms either through direct market access through brokers or through exchange
memberships. Only a small share of our trading is carried out manually in the OTC markets over electronic
screens, chat, email and/or telephone. Our systems support straight-through processing of substantially all post-
trade activity. Our own in-house IT engineers develop and maintain all core software we use to operate our
business and trading.
C. Tailoring of Advisory Services
We currently manage seven trading programs: Stratus, Discus, CFM SGM, CFM Cumulus, CFM IST, CFM
ISTEC and CFM QUASAR.
Stratus is a quantitative trading program providing exposure to our “hedge fund” strategies including directional
trading, intraday trading, directional volatility, statistical equity arbitrage and statistical volatility arbitrage. Stratus
trades futures, foreign exchange, sovereign debt as well as equities, listed options, credit default swaps and
derivatives on all of the foregoing. Stratus is included in our regulatory assets under management (“RAUM”) as
well as in our Form PF. Stratus is closed for investment, and accepts subscriptions only in order to replace
redemptions.
Discus is a managed futures program focusing on directional trading in futures and foreign exchange and does
not invest in securities. Discus has been reopened for subscriptions as of June 2019. As Discus does not include
securities in its portfolios, we have excluded this program from our RAUM. We report, however, commodity pools
trading in accordance with Discus on Form PF on a voluntary basis.
CFM SGM was launched in September 2020 and is a global macro futures program with defensive overlay which
uses similar inputs as discretionary macro strategies but employs a systematic process to generate and
implement signals. The program leverages decades of research on Discus, especially research on
macroeconomic data.
CFM ISD was launched in January 2014. In 2022 the program was updated and consequently changed its name
to CFM Cumulus. It is an absolute return multi-strategy program comprised of equities and futures strategies with
a defensive overlay. CFM Cumulus trades futures, foreign exchange, as well as equities, credit default indices
and derivatives on all of the foregoing. Since the beginning of 2015, private funds trading in accordance with
CFM ISD/Cumulus are included in our RAUM and reported on Form PF.
CFM IST was launched in January 2013 and is a managed futures program focusing on trend following by trading
futures and foreign exchange. CFM IST does not include securities in its portfolios and is therefore not included
in our RAUM. We report, however, commodity pools that trade in accordance with CFM IST on Form PF on a
voluntary basis.
CFM ISTEC is a managed futures program focusing on trend following by trading futures and foreign exchange.
The program is different from CFM IST in that its equity beta exposure is to be capped at zero relative to the beta
of a portfolio of global equity indices. CFM IST does not include securities in its portfolios and will therefore not
be included in our RAUM. We will, however, report commodity pools that trade in accordance with CFM ISTEC
on Form PF on a voluntary basis.
CFM QUASAR was launched on December 1, 2020 and is an absolute return program which aims to deliver
positive returns over the long term benefiting from carbon transition. The program invests in long/short equities
strategies across global developed markets and is currently only offered in UCITS format.
We generally implement our trading programs in a similar manner for all investors. For the Stratus master fund,
there are private feeder funds available for US and non-US investors (also available to certain tax-exempt US
investors). The Discus master fund had one private feeder fund available for non-US investors as of 31 December
2022, with a second one for US investors established in February 2023. The CFM IST master fund is currently
fed by two private feeder funds established for non-US investors and one feeder fund established for US
investors. The CFM SGM master fund is currently fed by a private feeder fund established for non-US investor.
The CFM ISTEC master fund is currently fed by two private feeder funds established for non-US investors; an
additional one feeder fund was established for US investors in February 2023. Certain of the feeder funds
established for non-US investors may also accept investment from tax exempt US investors. Depending on the
structure, the feeder funds may offer shares or partnership interests to investors. For convenience, these are
both referred to herein as “interests”. Our client feeder funds generally offer both US$ and EUR interests in order
to allow investors to choose base currency. Certain feeders also offer interests denominated in AUD, CAD, GBP
and/or JPY. In addition to the private funds and commodity pools discussed above, the Firm also advises certain
Non-US funds that do not accept US investors such as UCITS funds. Such non-US funds are not included as a
part of our RAUM and are excluded from Form PF.
As of the date of this document we advise one separately managed account that trades securities, for a non-US
person.
D. Wrap fee programs
We do not participate in any wrap fee programs.
E. Assets Under Management
As of December 31, 2022, we managed total client assets of US$9,334.3m in leveraged equity corresponding to
US$$6,709.5m in net assets. Our RAUM, which only includes portfolios available to US Persons that trade
securities, comprises a total leveraged equity of US$7,658.0m corresponding to net assets of US$5,331.8m. The
above figures are reported in accordance with US GAAP. We managed all of this RAUM on a discretionary basis.