City Fund Management : ANK

archived programs
Year-to-Date
N / A
Mar Performance
0.16%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
3.29%
Sharpe (RFR=1%)
-0.12
CAROR
-
Assets
$ 5.0M
Worst DD
-1.39
S&P Correlation
0.24

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
9/2014
ANK 0.16 - - - - - - 0.32
S&P 500 -1.74 - - - - - - 75.67
+/- S&P 500 1.90 - - - - - - -75.35

Strategy Description

Summary

Ankam is a predominantly intra-day trading strategy with 80% of the portfolio - opening and closing to cash. It is not based on traditional momentum or mean reversionary models but focuses on using pattern recognition and probabilistic statistical patterns to predict the likelihood... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
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 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Fundamental
10.00%
Momentum
20.00%
Pattern Recognition
70.00%
Strategy Pie Chart

Composition

Stock Indices
80.00%
Currency Futures
20.00%
Composition Pie Chart

Summary

Ankam is a predominantly intra-day trading strategy with 80% of the portfolio - opening and closing to cash. It is not based on traditional momentum or mean reversionary models but focuses on using pattern recognition and probabilistic statistical patterns to predict the likelihood of subsequent market moves

Investment Strategy

They only trade the most liquid Equity index and FX futures only and have developed between 15-20 unique models that operate across these markets. Each individual trade has a stop loss and there is also a stop loss on each model too. Gross notional exposure is also a means to cap the risk of portfolio with a strict risk cap currently set at 2x of notional at all times.

Risk Management

The average portfolio holding period is hence quite short at 1.5 days with models achieving a 60% winning hit ratio over time. The Singapore based portfolio manager has over 18 years experience in portfolio management working on the trading desks of many well known banks including Credit Suisse, Deutsche Bank and also Merrill Lynch.

   

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
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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
-1.39 1 2 9/1/2014 10/1/2014
-0.99 1 - 12/1/2014 1/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
1.67 2 11/1/2014 12/1/2014
0.97 2 2/1/2015 3/1/2015
0.09 1 9/1/2014 9/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.39 1 10/1/2014 10/1/2014
-0.99 1 1/1/2015 1/1/2015
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable71.4360.00
Average Period Return0.050.21
Average Gain0.550.68
Average Loss-1.19-0.48
Best Period1.301.11
Worst Period-1.39-0.94
Standard Deviation0.950.77
Gain Standard Deviation0.510.42
Loss Standard Deviation0.280.64
Sharpe Ratio (1%)-0.03-0.04
Average Gain / Average Loss0.461.41
Profit / Loss Ratio1.152.11
Downside Deviation (10%)0.871.23
Downside Deviation (5%)0.690.54
Downside Deviation (0%)0.650.42
Sortino Ratio (10%)-0.41-0.83
Sortino Ratio (5%)-0.05-0.06
Sortino Ratio (0%)0.080.51

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.