CFM’s Discus Managed Futures Strategy

Capital Fund Management's Discus strategy represents three decades of systematic innovation in managed futures investing. The program, launched in 1991, has evolved significantly from its original design as a standalone managed futures offering into a sophisticated, multi-asset portfolio aggregating CFM's extensive quantitative research infrastructure. On February 15, 2022, The Hedge Fund Journal published a profile recognizing Discus's award-winning performance track record, specifically highlighting its receipt of the CTA performance award for best risk-adjusted returns over the five-year period ending December 2020 in the systematic short-term trader category for funds with assets exceeding $500 million.

The strategy's operational scope reflects substantial diversification across multiple trading methodologies and asset classes. Discus now deploys over 200 alpha engines or predictors incorporating technical, fundamental, and alternative data sources. The program trades a broad universe exceeding 100 liquid instruments, including equity indices, credit indices, long and short-term interest rates, developed and emerging market currencies, and commodities spanning energy, metals, and agriculture. Some models are universal across asset classes while others are tailored to specific market segments. CFM has developed proprietary carry strategies applicable across all asset classes since 2012, extending traditional carry approaches beyond their conventional currency and fixed income applications.

The 2022 performance year demonstrated Discus's value proposition during periods when conventional diversification falters. The strategy delivered 35.3% net returns in 2022, marking the third-strongest annual performance in the program's 32-year history, exceeded only by 64.7% in 1991 and 44.8% in 1997. This performance occurred during a year when equities and bonds declined in tandem, rendering traditional long-only portfolio diversification ineffective, and when alternative strategies including private equity proved highly correlated with public equities. The strategy employs both directional long and short positioning as well as relative value trading, allowing it to capture returns across diverse market environments. CFM's $12.5 billion hedge fund reported 14.82% returns in Discus and 11.31% in its Stratus fund during this period.

Discus is structured as an absolute return strategy without benchmark constraints, offering multiple leverage configurations to accommodate varying investor risk profiles. The program is available through feeder vehicles including Class B shares with 1x USD leverage and Class C shares with 1.5x USD leverage. This structural flexibility, combined with the strategy's demonstrated ability to generate returns during periods of traditional portfolio stress, positions Discus as a liquid alternative approach for institutional investors seeking genuine diversification benefits beyond traditional equity-bond allocations.