City Fund Management : BB

archived programs
Year-to-Date
N / A
Mar Performance
1.16%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
1.07%
Sharpe (RFR=1%)
14.02
CAROR
-
Assets
$ 2.5M
Worst DD
N/A
S&P Correlation
-0.64

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
1/2015
BB 1.16 - - - - - - 4.05
S&P 500 -1.74 - - - - - - 73.67
+/- S&P 500 2.90 - - - - - - -69.62

Strategy Description

Summary

CFM BB is a longshort trading strategy focused only on trading the most liquid Asian futures and options markets. The trader has over a period of 8 years based in in HK, developed a unique and proprietary trading system based on statistical analysis to capture returns from short... 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
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 100.00%
Systematic

Strategy

Option-purchasing
10.00%
Pattern Recognition
80.00%
Technical
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

CFM BB is a longshort trading strategy focused only on trading the most liquid Asian futures and options markets. The trader has over a period of 8 years based in in HK, developed a unique and proprietary trading system based on statistical analysis to capture returns from short term trends to longer term market cycles using pattern recognition style of models

Investment Strategy

The trading program can hold long or short futures positions across 5 Asian futures contracts (HK, Singapore, Australia Taiwan and Korea) over periods ranging between 1 day to 1 month.

Risk Management

Utilising a disciplined risk management process the manager is able to extract the best of trend following to generate an absolute return profile that is de-correlated to both Asian and Global stock index returns. As an experienced discretionary option trader CFM BB also utilises a discretionary Korean Option trading program to mitigate the risk from a purely systematic futures program. The combination of systematic futures and discretionary options in Asian markets leads to a high level of diversification and return enhancement compared to many managers in Europe.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
4.05 3 1/1/2015 3/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
Show More

Time Windows Analysis

 1 Month
Number of Periods3.00
Percent Profitable100.00
Average Period Return1.33
Average Gain1.33
Average Loss
Best Period1.69
Worst Period1.15
Standard Deviation0.31
Gain Standard Deviation0.31
Loss Standard Deviation
Sharpe Ratio (1%)4.05
Average Gain / Average Loss
Profit / Loss Ratio
Downside Deviation (10%)
Downside Deviation (5%)
Downside Deviation (0%)
Sortino Ratio (10%)
Sortino Ratio (5%)
Sortino Ratio (0%)

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.