City Fund Management : AMAC

archived programs
Year-to-Date
N / A
Aug Performance
0.13%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.28%
Sharpe (RFR=1%)
-0.44
CAROR
-
Assets
$ 5.0M
Worst DD
-1.56
S&P Correlation
0.27

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2014
AMAC 0.13 - - - - - - -0.02
S&P 500 3.77 - - - - - - 86.33
+/- S&P 500 -3.64 - - - - - - -86.35

Strategy Description

Summary

The AMAC Equity strategy is built around observations that investor sentiment on global equity indices is asymmetric.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The AMAC Equity strategy is built around observations that investor sentiment on global equity indices is asymmetric.

Investment Strategy

AMAC constructs a portfolio to counter this asymmetry that can produce excess and uncorrelated returns over the broad market over medium and longer term horizons. The proprietary AMAC models extract various live measures of investor sentiment from primarily exchange-traded options market data. Portfolio construction is designed to produce a market-neutral portfolio, trading only the active contract of the 14 most liquid global equity index futures. The portfolio is uncorrelated to the global equity index benchmarks and aims to have zero beta over a medium term time frame.

Risk Management

Positioning is tightly controlled by the AMAC risk model and the fund manages risk to strict limits in terms of PnL stops and gross notional risk exposures.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-1.56 2 - 2/1/2014 4/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
0.94 4 5/1/2014 8/1/2014
0.61 1 2/1/2014 2/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.56 2 3/1/2014 4/1/2014
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable71.4340.00
Average Period Return0.00-0.36
Average Gain0.310.85
Average Loss-0.78-1.16
Best Period0.610.88
Worst Period-1.37-1.50
Standard Deviation0.661.12
Gain Standard Deviation0.230.05
Loss Standard Deviation0.830.29
Sharpe Ratio (1%)-0.13-0.54
Average Gain / Average Loss0.400.73
Profit / Loss Ratio0.990.49
Downside Deviation (10%)0.731.88
Downside Deviation (5%)0.561.11
Downside Deviation (0%)0.520.92
Sortino Ratio (10%)-0.56-0.85
Sortino Ratio (5%)-0.15-0.55
Sortino Ratio (0%)0.00-0.39

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.