City Fund Management : BH

archived programs
Year-to-Date
N / A
Mar Performance
0.05%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
13.28%
Sharpe (RFR=1%)
0.55
CAROR
7.65%
Assets
$ 10.0M
Worst DD
-15.24
S&P Correlation
-0.12

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
1/2010
BH 0.05 6.95 - 21.45 23.12 33.10 - 47.26
S&P 500 -1.74 0.44 - 10.44 46.82 76.80 - 92.53
+/- S&P 500 1.79 6.51 - 11.00 -23.70 -43.69 - -45.27

Strategy Description

Summary

CFM BH is a purely systematic managed futures programmes that trades a portfolio of over 60 financial futures markets in a UCITS compliant framework. BH was established as a systematic manager since 2005 and has a live audited track record since then however in a prior discretionary... 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
0%
Systematic
100.00%

Strategy

Momentum
50.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Currency Futures
25.00%
Currency FX
25.00%
Composition Pie Chart

Summary

CFM BH is a purely systematic managed futures programmes that trades a portfolio of over 60 financial futures markets in a UCITS compliant framework. BH was established as a systematic manager since 2005 and has a live audited track record since then however in a prior discretionary format the business has been established since 1998.

Investment Strategy

The experienced portfolio manager has spent many years creating a detailed database of market patterns that it uses to time entry and exit points and reduce volatility around a more traditional momentum trading approach. The combination of short term pattern recognition as well as medium term momentum creates a systematic program capable of returning double digit returns across a variety of market conditions.

Risk Management

They follow an automated systematic approach and have a mature and fully automated infrastructure that reduces all form of operational and structural risk.

   

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
-15.24 5 23 1/1/2012 6/1/2012
-12.54 8 2 10/1/2010 6/1/2011
-8.61 2 3 8/1/2011 10/1/2011
-2.97 1 1 6/1/2010 7/1/2010
-2.12 1 1 11/1/2014 12/1/2014
-0.46 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
18.00 6 1/1/2010 6/1/2010
16.65 2 7/1/2011 8/1/2011
13.23 5 4/1/2014 8/1/2014
10.55 2 1/1/2013 2/1/2013
10.00 3 11/1/2011 1/1/2012
9.85 3 8/1/2010 10/1/2010
7.64 1 7/1/2012 7/1/2012
7.61 2 10/1/2013 11/1/2013
6.96 1 12/1/2010 12/1/2010
6.95 3 1/1/2015 3/1/2015
2.93 2 10/1/2014 11/1/2014
2.54 2 7/1/2013 8/1/2013
2.32 1 11/1/2012 11/1/2012
1.79 1 4/1/2011 4/1/2011
1.41 1 4/1/2013 4/1/2013
0.93 1 9/1/2012 9/1/2012
0.93 1 2/1/2011 2/1/2011
0.52 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.39 3 2/1/2012 4/1/2012
-8.61 2 9/1/2011 10/1/2011
-7.96 1 11/1/2010 11/1/2010
-6.94 1 6/1/2012 6/1/2012
-6.72 2 5/1/2011 6/1/2011
-5.71 4 12/1/2013 3/1/2014
-5.19 1 1/1/2011 1/1/2011
-4.00 1 10/1/2012 10/1/2012
-3.93 2 5/1/2013 6/1/2013
-3.79 1 8/1/2012 8/1/2012
-2.97 1 7/1/2010 7/1/2010
-2.71 1 9/1/2013 9/1/2013
-2.22 1 3/1/2011 3/1/2011
-2.12 1 12/1/2014 12/1/2014
-0.71 1 12/1/2012 12/1/2012
-0.46 1 9/1/2014 9/1/2014
-0.21 1 3/1/2013 3/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable60.3263.9367.2471.1569.5775.0089.29100.00
Average Period Return0.691.873.174.726.187.499.4616.50
Average Gain3.095.457.078.6710.6412.1310.7616.50
Average Loss-2.97-4.49-4.83-5.01-4.03-6.44-1.44
Best Period8.8814.2918.0023.8223.2325.8523.1227.90
Worst Period-7.96-9.39-12.91-11.75-11.69-12.77-2.959.60
Standard Deviation3.835.927.098.188.6111.166.526.58
Gain Standard Deviation2.503.854.525.785.988.665.576.58
Loss Standard Deviation2.292.643.963.913.213.181.43
Sharpe Ratio (1%)0.160.270.380.450.540.490.991.89
Average Gain / Average Loss1.041.211.461.732.641.887.49
Profit / Loss Ratio1.582.153.004.276.045.6562.39
Downside Deviation (10%)2.553.784.765.876.939.258.837.81
Downside Deviation (5%)2.393.243.773.823.504.491.54
Downside Deviation (0%)2.343.113.543.372.803.560.61
Sortino Ratio (10%)0.110.170.15-0.05-0.20-0.30-0.71-0.65
Sortino Ratio (5%)0.250.500.710.971.341.224.18
Sortino Ratio (0%)0.290.600.901.402.212.1015.61

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.