City Fund Management : C8

archived programs
Year-to-Date
N / A
Aug Performance
0.03%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
1.75%
Sharpe (RFR=1%)
-0.11
CAROR
-
Assets
$ 15.0M
Worst DD
-1.00
S&P Correlation
0.59

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
10/2013
C8 0.03 - - - - - - 0.73
S&P 500 3.77 - - - - - - 97.25
+/- S&P 500 -3.74 - - - - - - -96.52

Strategy Description

Summary

C8 Investments are an quantitative systematic multi strategy investment manager. The firm’s objective is to generate attractive risk adjusted returns for investors through the implementation of systematic models trading a range of FX instruments. The firm comprises an experienced investment... 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
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 Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

C8 Investments are an quantitative systematic multi strategy investment manager. The firm’s objective is to generate attractive risk adjusted returns for investors through the implementation of systematic models trading a range of FX instruments. The firm comprises an experienced investment team with a shared history of success.

Investment Strategy

The firm deploys state of the art proprietary technology, cutting edge models and portfolio construction techniques whilst adopting rigorous risk management techniques. Their focus is on trading intraday, continuously from Monday morning to Friday afternoon, with no weekend positions. Investment universe is FX G10 Spot - trading rules are based on intraday trends, market volatility and liquidity.

Risk Management

Average holding time is 4 hours. Fully automated execution through leading liquid providers with best price execution.

   

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
-1.00 3 - 4/1/2014 7/1/2014
-0.36 1 1 12/1/2013 1/1/2014
-0.02 1 1 2/1/2014 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
1.60 3 10/1/2013 12/1/2013
0.44 1 2/1/2014 2/1/2014
0.21 1 6/1/2014 6/1/2014
0.06 1 4/1/2014 4/1/2014
0.03 1 8/1/2014 8/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.92 1 7/1/2014 7/1/2014
-0.36 1 1/1/2014 1/1/2014
-0.29 1 5/1/2014 5/1/2014
-0.02 1 3/1/2014 3/1/2014
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable63.6455.56
Average Period Return0.070.27
Average Gain0.330.87
Average Loss-0.40-0.49
Best Period0.941.60
Worst Period-0.92-1.00
Standard Deviation0.500.88
Gain Standard Deviation0.360.61
Loss Standard Deviation0.380.44
Sharpe Ratio (1%)-0.030.02
Average Gain / Average Loss0.841.79
Profit / Loss Ratio1.472.24
Downside Deviation (10%)0.561.26
Downside Deviation (5%)0.350.56
Downside Deviation (0%)0.310.41
Sortino Ratio (10%)-0.60-0.76
Sortino Ratio (5%)-0.040.04
Sortino Ratio (0%)0.220.65

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.