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
September 30, 2024
Performance
* These results are using the backtest data. All returns are net of fees. See Disclaimer below
ASX Cash Equity Sector Exposure
September 30, 2024
Portfolio Directional Risk (Phoenix Risk in Blue)
S&P Cash Equity Sector Exposure
September 30, 2024
Performance Attribution
MONTHLY COMMENTARY
Gold continues to perform masking grain pain…
The CCM Systematic Macro Plus Fund ended the third quarter of 2024 with a year-to-date (YTD) return of 15.6%. Gold was the standout performer over the past month, contributing to nearly half of the monthly +2.1% return in September 2024. The escalation of geopolitical tensions in the Middle East provided renewed demand for gold as well as the broader energy complex.
Early in the month oil prices tested support levels and the Fund initiated a number of short oil trend trades. However, as this breakdown failed to gain momentum, these trades were quickly closed with small losses. This months’ return highlights the core philosophy of the Fund’s investment process, which is to cut losses quickly and let profits run. Our systematic process enabled the strong long-term performance in metals to offset the modest loss from the unsuccessful oil trades, ultimately delivering positive performance for the month.
Staying with the metals complex, the brutal correction lower in the copper markets witnessed since the breakout earlier this year finally seemed to find support. With China announcing a massive stimulus package, copper attracted further buying flow and the correction lower appears technically complete. I have previously written how copper is the most important conduit to the electrification of the world and supply sources will continue to be outstripped by demand. Over the final quarter of this year, the combined stimulus effects of the Federal Reserve’s interest rate cuts and China’s expansive stimulus measures are anticipated to fuel further gains in copper prices in a period which has historically shown the strongest seasonal performance for the industrial metal.
Moving to the weakest sector in September’s performance, which is the heavily shorted grain markets. The monthly retracement higher in grain markets was predominately attributed to excessive short positioning and an improved outlook for grain prices as supply is threatened by adverse weather events. The September World Agricultural Supply and Demand (WASDE) report also projected lower grain production than expected. Despite these short term retracements, the overall trend in grain markets still appears to be down.
The largest allocation to trend following risk in the Fund continues to be in the Softs complex. Our long positions in coffee and orange juice have continued to perform strongly, driven by consistent price increases. Coffee, in particular remains well below its historical high, offering further potential upside. The diversification provided by this sector is invaluable due to its lack of correlation with broader financial markets. This lack of correlation is a key reason the Fund chooses to weight its portfolio construction heavily towards commodity trends when they appear. In the event of an industrial commodity supercycle or significant food price inflation or deflation for that matter, the Fund’s allocation to commodities could rise to 30-40%, offering critical diversification for portfolios predominately invested in equity or income/credit style investments.
The key event to shape September was undoubtedly the highly anticipated beginning of the 2024 U.S. Federal Reserve rate cut cycle. The 50bp cut in the U.S. cash rate followed persistent signs of cooling inflation (which was actually evident in our short grain trend positioning) and was aimed at bolstering employment and economic growth. The 50bp cut was well received by equity markets, although USD short positioning trades were reduced by the cautious approach to future rate cuts evident in the Fed Chairs post meeting statement.
The cautious language and internal dissent between a 25bp or 50bp cut also led to some retracement in the overcrowded long bond positioning in the U.S. treasury markets. Interest rates are indeed heading lower although the debate will continue to rage with regards to the timing and size of these cuts. Further interest rate decisions will be driven by employment and growth data, although many larger players may be waiting for the resolution of the upcoming U.S. election before deciding on any longer term positions in these interest rate markets. Bond positions continue to be quite light in the fund and will continue to be so until major breakouts are evident in either direction.
Finally, it would be remiss not to acknowledge the outstanding equity performance that has dominated
markets over 2024. The September/October period generally displays seasonal weakness and volatility and with the upcoming U.S. election in November it may continue for some time yet. However, recent equity market retracements have been well supported which gives credibility to further healthy gains in stock prices. When I review this month’s risk, it seems prudent that the best performing instrument is gold. Ongoing uncertainty surrounding geopolitical events and interest rate policy as well as a potential broader correction lower in the USD all bode well for the precious metal. According to the recent Betashares monthly ETF report, the Physical Gold ETF saw the highest non-equity inflows last month. While ETFs offer convenience, we believe that a managed futures strategy, such as ours, provides a more efficient use of capital by enabling the use of leverage and dynamic overlays. Combined with robust risk management techniques, our approach can deliver uncorrelated returns, which we believe is essential in any diversified investment portfolio.
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