City Fund Management : DXF01 Strategy

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=0.50%): 1.33
CAROR: 6.33%

Assets: $ 1.9M
Worst DD: -8.90
S&P Correlation: -0.03

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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

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%

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.

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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.

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Index:

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	74.00	72.00	69.00	63.00	57.00	51.00	39.00	27.00
Percent Profitable	63.51	75.00	81.16	84.13	87.72	90.20	100.00	100.00
Average Period Return	0.52	1.63	3.38	7.30	11.73	16.24	25.28	34.87
Average Gain	1.22	2.67	4.81	9.46	13.93	18.26	25.28	34.87
Average Loss	-0.72	-1.49	-2.77	-4.14	-3.96	-2.36
Best Period	3.39	9.38	10.36	16.99	25.55	29.95	40.62	51.23
Worst Period	-3.78	-3.63	-4.84	-8.07	-7.11	-3.28	4.64	12.51
Standard Deviation	1.25	2.43	3.78	6.45	8.61	10.02	12.14	13.85
Gain Standard Deviation	0.86	1.77	2.52	4.32	6.63	8.30	12.14	13.85
Loss Standard Deviation	0.83	1.02	1.28	2.32	2.19	0.93
Sharpe Ratio (1%)	0.35	0.57	0.76	0.98	1.19	1.42	1.83	2.22
Average Gain / Average Loss	1.69	1.79	1.74	2.29	3.52	7.72
Profit / Loss Ratio	3.06	5.37	7.49	12.11	25.13	71.06
Downside Deviation (10%)	0.83	1.48	2.38	3.89	4.48	4.56	4.04	3.59
Downside Deviation (5%)	0.68	1.00	1.52	2.23	2.06	1.41
Downside Deviation (0%)	0.64	0.90	1.32	1.87	1.56	0.78
Sortino Ratio (10%)	0.14	0.27	0.38	0.59	0.92	1.31	2.36	3.71
Sortino Ratio (5%)	0.65	1.38	1.90	2.83	4.97	10.10
Sortino Ratio (0%)	0.81	1.82	2.57	3.91	7.52	20.70

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.

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City Fund Management : DXF01 Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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