City Fund Management : DXF01 Strategy

archived programs
Year-to-Date
N / A
Feb Performance
-0.15%
Min Investment
$ 1,500k
Mgmt. Fee
1.50%
Perf. Fee
25.00%
Annualized Vol
4.33%
Sharpe (RFR=1%)
1.21
CAROR
6.33%
Assets
$ 1.9M
Worst DD
-8.90
S&P Correlation
-0.03

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
DXF01 Strategy -0.15 -0.74 - -4.35 2.90 26.73 - 46.00
S&P 500 1.11 6.96 - 10.91 37.12 13.81 - 5.30
+/- S&P 500 -1.26 -7.69 - -15.26 -34.21 12.91 - 40.70

Strategy Description

Summary

Global Macro systematic strategy. It utilises a variety of systematic models in a diversified approach that ensure minimal correlation with the market. It is focusing on medium time-frame investments so as to reduce the volatility that can be observed in longer duration strategies.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 1,500k
CTA Max Funding Factor
Management Fee
1.50%
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
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2250 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
N/A
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
0%
Systematic
100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
40.00%
Currency Futures
40.00%
Interest Rates
20.00%
Composition Pie Chart

Summary

Global Macro systematic strategy. It utilises a variety of systematic models in a diversified approach that ensure minimal correlation with the market. It is focusing on medium time-frame investments so as to reduce the volatility that can be observed in longer duration strategies. It is operating in the space of liquid financial futures excluding commodities.

The track record is based on proforma results prior to Nov 2011. Its methodology was excerpted from a currently active strategy.

Investment Strategy

The system uses momentum and retracement based entry triggers to join existing trends. All trades have hard stops, trailing stops and targets. The number of parameters is kept low to avoid over-fitting. Each position is sized based on hard stops, in addition trailing stops and targets help to create a less volatile profile. All positions sizes are volatility adjusted, so in volatile markets position sizes are reduced and given wider stops and targets. There is strong risk management in that the system allows to re-enter a cycle after a losing trade but only in reduced size, this causes losses to decelerate in losing periods. The strategy is exclusively using liquid equity and financial futures. For a new financial instrument to be added to the portfolio, it is prioritized if it reduces both the average and largest drawdown. Correlation is monitored both within asset classes and with the overall portfolio.

Risk Management

The strategy has overall risk limits set at a daily and monthly level stops. The firm uses parametric VaR for risk measurement while actively monitoring intraday PL and volatility. Overall, risk is calculated on position and portfolio basis.

   

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
-8.90 16 - 10/1/2011 2/1/2013
-2.16 2 2 11/1/2009 1/1/2010
-1.77 1 1 5/1/2010 6/1/2010
-0.87 3 1 4/1/2011 7/1/2011
-0.78 1 1 6/1/2008 7/1/2008
-0.76 1 1 6/1/2009 7/1/2009
-0.43 2 1 12/1/2010 2/1/2011
-0.34 1 1 11/1/2007 12/1/2007
-0.33 2 1 1/1/2009 3/1/2009
-0.27 1 1 1/1/2007 2/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
11.48 9 3/1/2007 11/1/2007
10.36 6 8/1/2008 1/1/2009
6.95 6 1/1/2008 6/1/2008
6.53 4 2/1/2010 5/1/2010
5.63 6 7/1/2010 12/1/2010
4.51 4 8/1/2009 11/1/2009
4.45 3 8/1/2011 10/1/2011
4.10 2 4/1/2009 5/1/2009
2.79 2 3/1/2011 4/1/2011
1.45 2 4/1/2012 5/1/2012
0.34 1 1/1/2012 1/1/2012
0.15 1 1/1/2007 1/1/2007
0.01 1 11/1/2012 11/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.85 5 6/1/2012 10/1/2012
-3.95 2 11/1/2011 12/1/2011
-2.16 2 12/1/2009 1/1/2010
-1.77 1 6/1/2010 6/1/2010
-1.17 2 2/1/2012 3/1/2012
-0.92 3 12/1/2012 2/1/2013
-0.87 3 5/1/2011 7/1/2011
-0.78 1 7/1/2008 7/1/2008
-0.76 2 6/1/2009 7/1/2009
-0.43 2 1/1/2011 2/1/2011
-0.34 1 12/1/2007 12/1/2007
-0.33 2 2/1/2009 3/1/2009
-0.27 1 2/1/2007 2/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods74.0072.0069.0063.0057.0051.0039.0027.00
Percent Profitable63.5175.0081.1684.1387.7290.20100.00100.00
Average Period Return0.521.633.387.3011.7316.2425.2834.87
Average Gain1.222.674.819.4613.9318.2625.2834.87
Average Loss-0.72-1.49-2.77-4.14-3.96-2.36
Best Period3.399.3810.3616.9925.5529.9540.6251.23
Worst Period-3.78-3.63-4.84-8.07-7.11-3.284.6412.51
Standard Deviation1.252.433.786.458.6110.0212.1413.85
Gain Standard Deviation0.861.772.524.326.638.3012.1413.85
Loss Standard Deviation0.831.021.282.322.190.93
Sharpe Ratio (1%)0.350.570.760.981.191.421.832.22
Average Gain / Average Loss1.691.791.742.293.527.72
Profit / Loss Ratio3.065.377.4912.1125.1371.06
Downside Deviation (10%)0.831.482.383.894.484.564.043.59
Downside Deviation (5%)0.681.001.522.232.061.41
Downside Deviation (0%)0.640.901.321.871.560.78
Sortino Ratio (10%)0.140.270.380.590.921.312.363.71
Sortino Ratio (5%)0.651.381.902.834.9710.10
Sortino Ratio (0%)0.811.822.573.917.5220.70

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.