CCM Systematic Macro Plus Fund
Performance Summary
*The fund inception date is 9th May 2023. The backtest data inception is from 1st January 2021. These results are using the backtest data inception date. See Disclaimer below
Cumulative Returns
Drawdown
Fund Facts
| Name | Amount |
|---|---|
| Fund Inception Date | 9th May 2023 |
| Investment Manager | Cartwright Capital Management Pty Ltd |
| Benchmark | RBA Total Return Index |
| Suggested Investment Time-frame | 3 - 5 Years |
| Typical number of Investments held | 100 Instruments |
| Management Costs | 1.31% p.a. + GST |
| Performance fee | 15.00% over index subject to high watermark |
| Buy/Sell Spread | Buy 0.10% / Sell 0.10% |
| Applications/Redemptions | Monthly |
| Minimum Initial Investment | $250,000 |
| Minimum Additional Investment | $25,000 |
Investment Strategy
Cartwright Capital has created a managed futures fund similar to a core-satellite investment approach. It’s an investment vehicle that offers core growth with the defensive overlay of trend-following strategies. The CCM Systematic Macro Plus Fund differentiates by breaking down trend-following risks into asset sectors to overlay the core investment portfolio and by letting profits run for an extended period of time to seek out excess returns.
Trend Sector Exposure
December 31, 2024
Performance
* These results are using the backtest data. All returns are net of fees. See full Disclaimer below
ASX Cash Equity Sector Exposure
December 31, 2024
Portfolio Directional Risk (Phoenix Risk in Blue)
S&P Cash Equity Sector Exposure
December 31, 2024
Performance Attribution
*The sector performance attribution displayed on this graph is intended to be indicative and give an estimate of winning and losing components of the Fund. It does not include management fees, cash and other expenses.
MONTHLY COMMENTARY
Fed trumps Trump as the rate cut cycle fades into 2025…
The CCM Systematic Macro Plus Fund closed the calendar year-to-date with a return of 10%. The FOMC meeting in the U.S. was the primary risk event in December, with the Federal Reserve dampening expectations of aggressive rate cuts going forward, putting pressure on equity and bond markets into year-end. The rate-cut cycle may continue but will remain highly data-dependent, with all eyes on inflation, labour market prints, and the impact of incoming President Trump's pro-U.S. policies. The December return of -4.2% capped another choppy year for trend-following strategies, with few long-term trends maturing across asset classes aside from equities. With most long-term trend-following funds facing difficult conditions in recent years, now could be the time to pivot into this liquid alternative asset class.
Onto a quick summary of the Funds' return for December and leading the asset class performance is the FX sector, particularly the USD denominated risks. The Fund ended the month with nearly a full allocation to long USD risk, with our short Korean Won and Canadian Dollar positions adding a healthy 0.9% to returns. The long USD trade continues to perform on the back of Trump inspired policy proposals which is somewhat ironic given his preference towards a weaker USD to bolster onshore competitiveness. Opinions are divided on how this dynamic pans out in 2025. As always, we will let our systematic approach dictate our risk allocation in this sector.
The top performing instrument in December and the top performing instrument throughout 2024 was Cocoa. Cocoa risk was reintroduced into the fund in November following a six-month consolidation period after the extreme breakout and momentum in Q1. Cocoa contributed to an incredible 27.5% return in Q1 2024, though the recent breakout isn’t displaying the same patterns observed earlier in the year. Regardless, the soft commodity sector continues to provide good hunting ground for potential outlier trades. We will continue to systematically allocate risk to this sector throughout 2025 especially given it’s contribution to our 2024 YTD return.
Energy has been a sleeping giant for much of 2024, as Oil has traded within a broad narrowing wedge range for nearly two years. A December rally saw Oil contribute 0.7% to returns and we once again find ourselves at the top end of the range above $70. Volatility in this instrument is well below its two-year high, which in turn increases the potential trend trade size, as our model systematically calculates trade size relative to an instrument’s volatility. Keep a close eye on this sector in 2025, as the correlation between higher yields and a rising oil price could exacerbate the inflation concerns markets are already grappling with. The Fund’s exposure to inflation-sensitive trading instruments is the primary reason it can serve as an effective hedge in an inflationary market regime.
The Bond reversal began to gather momentum towards the end of December, and the Fund naturally rotated into short positions over the course of the month. Equity and bond reversals were the largest detractors from December returns with equity in particular experiencing a much needed reality check after two years of record performance.
Short Grain positions remain a significant part of our risk allocation, although momentum has waned. The profitable downward trends in Soy and Wheat markets over 2024 started to show signs of slowing in December, with both instruments approaching our take-profit levels.
In the Metals sector, we continue to hold long positions in Gold and Silver trends, although both have struggled to maintain positive momentum due to the strength of the USD. While Silver is up for the year, it has not matched the exceptional gains seen in Gold throughout 2024. Regardless, we are thankful to maintain positions in these metals which should provide some cushioning if an aggressive reversal is seen in the USD index in 2025.
So that’s a wrap on 2024, and I’d like to end the year with the following reflection. Considering the exceptional performance of equities over the past two years, it may be time to consider allocating to a true liquid alternative asset. With defensive overlay capabilities and the potential to act as an inflation hedge, our fund offers a unique approach to portfolio construction and risk management designed to capitalise on varying market regimes.
A common perception about emerging fund managers is the hesitation to invest until performance is fully established. We believe once a profitable well thought out strategy is established within a systematic framework, it’s the governance and process supporting the strategy that counts more. Hence, our recent 3.75-star favorable rating from SQM Research reflects our dedication to high governance standards and robust processes. In addition, our performance has been among the highest in our peer group.
However, ultimate performance within our investment style is a function of what the market offers us. While we can’t predict when the appropriate market regime will arrive, a consistent allocation towards a trend following fund is essential in any diversified investment portfolio to ensure you are invested appropriately when it does.
Who knows what 2025 will deliver but one thing is for certain, you don’t want to miss the boat if there are any outlier movements in asset markets. The trend is your friend and the best time to get in is at the beginning. The time is now.
Troy Hamblion is an investment manager as well as the co-founder and Managing Director of Cartwright Capital Management. Troy is responsible for the day to day operation of the CCM Systematic Macro Plus Fund as well as driving the business growth and operational excellence. Troy has completed a Master of Applied Finance at Macquarie University and has had a long career in Deutsche Bank's Global Markets team. Troy has extensive experience in exchange traded and over the counter derivatives as well as balance sheet and liquidity management. Troy is based in Queensland Australia.
Nicolas Hernout is an investment manager as well as the co-founder and Managing Director of Cartwright Capital Management. Nico is responsible for day to day operations as well as maintainance of the quantitative functiontionality of the CCM Systematic Macro Plus Fund. Nico completed a five-year Mechanical Engineering degree, as well as a Master of Finance at ESSEC International Business School. Nico's career includes trading interest rate derivatives with Credit Agricole, Bank of America-Merryl Lynch and Deutsche Bank. Nico is based in Queensland Australia