CCM Systematic Macro Plus Fund
The Fund aims to generate long-term uncorrelated returns in excess of the RBA Total Return Index after fees. (For Wholesale Investors Only)
The CCM Systematic Macro Plus Fund was launched in May 2023. The fund is designed to be a standalone investment vehicle that aims to generate returns uncorrelated with equity markets. In essence it has 3 main drivers;
- The first driver is a core investment portfolio, built using futures contracts from main four asset classes. This portfolio aims to harvest the gradual growth within the economy. It is our “All Weather Portfolio”.
- On top of this investment portfolio, we overlay long term trend following strategies which help to neutralize or enhance movements in each of the four asset classes.
- By using diversification in instruments and diversification of strategies we have reduced drawdown and volatility expectations. We are then able to apply a leverage factor to amplify returns according to our own risk tolerance level.
We developed the CCM Systematic Macro Plus Fund out of a desire to have a stand alone investment vehicle that provides a consistent return profile. We wanted to incorporate a passive diversified investment portfolio with an active hedge fund style using cost effective futures instruments.
In essence, the CCM Systematic Macro Plus fund is a diversified investment portfolio that employs trend following techniques for their defensive properties as well as alpha generating capabilities. The amalgamation of these strategies allows for increased leverage to match our own risk tolerance level.
We believe the combination of these factors has created a unique alternative investment that is tailored towards consistent long term growth. While there are a handful of institutionalised managed futures funds operating in Australia, none are home grown. We offer a greater degree of transparency and focus on the process.
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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. The following diagram shows a simple process of how the strategy operates. It begins with the core portfolio of futures instruments, CCM Phoenix Portfolio. It then overlays trend trades and alternative trend trades on these instruments. In the final stages it overlays cash equity trades and allocates the excess cash.
The Fund’s objective is to achieve capital appreciation using three core strategies that display positive and negative skew return distributions. This philosophy aims to achieve consistent uncorrelated returns.
The 3 Core Systems are:
Phoenix Portfolio Strategy
(Diversified Carry Portfolio)
- The CCM Phoenix Portfolio is a portfolio of equity, bond, commodity and currency futures contracts that aims to replicate a diversified investment portfolio.
- This strategy does not have any stop loss however it is designed as an “All-Weather” portfolio which can withstand some shocks via diversification amongst risky assets.
- In the event of a RISK-OFF situation, the trend-following techniques will overlay the underlying positions in this portfolio
Trend Following Strategy
(Hunt for Outliers)
- The major trend following strategy is applied over the full universe of products we monitor. We apply a unique trend-following strategy based on breakouts of these products.
- We maintain Good-til-cancelled (GTC) stop-loss orders constantly in the market for these positions.
- This enables Cartwright Capital to review the Fund’s maximum potential loss from those positions on a daily basis.
Cash Strategy
(Excess Cash Optimisation)
- Cash management in a managed futures fund is important. We have a number of techniques to efficiently utilise cash unused in margin requirements.
- The Fund runs a conservative long-only ASX200 and S&P500 breakout system diversified using the 11 GICS sectors.
- Every Cash stock position also has a GTC stop loss order constantly in the market.
Cartwright Capital Management (CCM) is a multi-strategy, systematic managed futures fund founded in 2022 by Troy Hamblion and Nicolas Hernout. We primarily trade in highly liquid exchange traded derivative products with a conservative exposure to the ASX200 and S&P500 via cash securities. We seek to achieve capital appreciation using a number of core strategies that display positive and negative skew return distributions. Via the amalgamation of these strategies, we have created a diversified asymmetric investment portfolio.
So, what is the difference?
At Cartwright Capital Management, unlike traditional Managed Futures Funds, we combine a number of positive and negative skew strategies in order to achieve consistent returns and lower drawdowns over a longer period. This is our edge. Most traditional Managed Futures Funds will try to achieve a negative beta with the equity market in order to provide the missing piece to an investment portfolio. We have created the CCM Systematic Macro Plus Fund which is a complete investment portfolio with a stand-alone asymmetric return profile more akin to a systematic hedge fund than a traditional trend-following CTA.
Troy Hamblion is a strategic, motivated and successful financial executive, with an extensive trading career across complex financial market. Troy completed his tertiary studies with a Master of Applied Finance at Macquarie University in 2004.
Highly experienced in interest rate swap book management in both the long and short end as well as balance sheet management, Troy was most recently employed by Deutsche Bank Sydney where he had worked since 2005.
Originally employed to optimise the Australian asset and liability mismatch Troy moved from cash interest rate products to the derivative books in 2008, after successfully helping to navigate the bank through the Global Financial Crisis. Troy ran the AUD Short-Term and then Long-Term Interest Rate Swap books for the next 10 years before he retired from the investment banking industry in 2018 to pursue his funds management career.
With extensive trading of futures products as well as a career well experienced in portfolio management, Troy has the experience to manage a large portfolio of risk.
After moving with his family from Sydney to the Sunshine Coast of Queensland in 2018 and four years of research and planning, Troy successfully launched Cartwright Capital with his long-term trading partner at Deutsche Bank, Nicolas Hernout.
Nicolas Hernout was raised in France. After completing a five-year Mechanical Engineering degree, he moved to Paris to undertake a Master of Finance at ESSEC International Business School.
After completing this degree, Nico moved into a role with Credit Agricole in France trading interest rate derivatives. After moving through a number of other trading institutions in Paris, London and Amsterdam, Nico was employed by the Bank of America-Merryll Lynch as a proprietary trader in London before finally moving with his family to Sydney to join Deutsche Bank in 2009.
Nico continued as a proprietary trader until 2016 when regulations forced him to move into the franchise part of the DB business as a Cross-Currency Trader. He is experienced in earning money with his own ideas using directional trading and relative value strategies.
He moved from Sydney to the Sunshine Coast of Queensland in 2019, where he began his journey into the funds management world. In late 2020 Nico started using a short-term trend-following system in his own company 2NH. He ran this system successfully for 18 months before launching Cartwright Capital Management with business partner Troy Hamblion in mid-2022.
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