City Fund Management : AMAC Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since2/2014 AMAC 0.13 - - - - - - -0.02 S&P 500 3.77 - - - - - - 86.33 +/- S&P 500 -3.64 - - - - - - -86.35 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe AMAC Equity strategy is built around observations that investor sentiment on global equity indices is asymmetric.Investment StrategyAMAC 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 ManagementPositioning 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel