CCM Systematic Macro Plus Fund

Cartwright Capital takes a quantitative and systematic approach to investment management. With no market sector or directional preference, the portfolio is systematically selected on the basis of diversification, liquidity and risk metrics. The Fund’s investment universe provides access to over 100 of the most liquid global financial, equity, currency and commodity futures. It may also trade other over-the-counter derivative contracts. The fund also trades a diversified long only portfolio of ASX200 and S&P500 cash equity securities along with unlisted unit trusts for AUD exposure.

The portfolio construction process employs a quantitative approach to collect, process and analyse market data in order for the model to determine a view of the trend-following opportunities in each market. By maintaining a comparatively small exposure to any individual contract, Cartwright Capital achieves sector and contract diversification, thereby allowing a wide range of opportunities to be exploited and maximising expected long term risk-adjusted returns. The fund also maintains a core portfolio of futures contracts in order to replicate a diversified investment portfolio.

The leverage on the Fund is utilised by altering the percentage of capital allocated towards each trade. The nature of futures instruments allows synthetic gearing of risk positions in order to increase returns. Whilst there is no physical debt in the portfolio other than the traded interest rate positions, the fund is leveraged via risk capital allocation to a level that is in line with risk parameters applied by Cartwright Capital The level of gearing of the Fund is limited to 4 times the Gross Asset Value of the Fund.