City Fund Management : DXF01 Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2007 DXF01 Strategy -0.15 - - - - - -3.65 46.00 S&P 500 1.11 - - - - - 80.04 182.25 +/- S&P 500 -1.26 - - - - - -83.69 -136.25 Strategy Description SummaryGlobal 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 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% Composition Currency Futures 40.00% Stock Indices 40.00% Interest Rates 20.00% SummaryGlobal 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel