City Fund Management : FC Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -0.81% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 25.00% Annualized Vol 3.17% Sharpe (RFR=1%) 0.60 CAROR 2.89% Assets $ 40.0M Worst DD -2.80 S&P Correlation -0.26 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 Mar Qtr 2020 1yr 3yr 5yr 10yr Since1/2007 FC Strategy -0.81 - - - - - 3.93 16.12 S&P 500 3.13 - - - - - 22.73 158.46 +/- S&P 500 -3.94 - - - - - -18.80 -142.34 Strategy Description SummaryPure technical analysis strategy operating on highly liquid futures. It is primarily focusing on equity indices, bonds and gold futures while occasionally also investing in other liquid commodities. The past performance reported above has been achieved by the manager using... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 1,000k CTA Max Funding Factor Management Fee 2.00% Performance Fee 25.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1130 RT/YR/$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 100.00% Systematic 0% Strategy Technical 100.00% Composition Currency Futures 25.00% Interest Rates 25.00% Stock Indices 25.00% Precious Metals 15.00% Energy 10.00% SummaryPure technical analysis strategy operating on highly liquid futures. It is primarily focusing on equity indices, bonds and gold futures while occasionally also investing in other liquid commodities. The past performance reported above has been achieved by the manager using the same risk adjusted strategy through different investment vehicles (proprietary trading and managed accounts) applying proforma fees of 2% management fee and 25%. The strategy utilizes a combination of proprietary indicators diversifying risk per market as well as per timeframe. The timeframe is broken down to trade durations lasting from intraday over a few days to a few weeks. The average holding period ranges from 2 -5 days seeking to reduce longer term volatility. Additionally, market correlations are taken into account at all stages of the investment process in order to further control risks.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 -2.80 1 5 7/1/2009 8/1/2009 -2.21 3 4 1/1/0001 3/1/2007 -1.92 2 - 1/1/2012 3/1/2012 -1.70 2 2 1/1/2010 3/1/2010 -1.48 5 3 5/1/2010 10/1/2010 -1.24 1 3 4/1/2008 5/1/2008 -0.73 1 1 3/1/2009 4/1/2009 -0.61 1 2 2/1/2011 3/1/2011 -0.61 1 1 5/1/2009 6/1/2009 -0.27 1 2 8/1/2007 9/1/2007 -0.26 1 1 7/1/2011 8/1/2011 -0.16 1 1 12/1/2008 1/1/2009 -0.12 1 1 5/1/2011 6/1/2011 -0.11 1 1 9/1/2008 10/1/2008 -0.05 1 1 9/1/2011 10/1/2011 -0.01 1 1 2/1/2008 3/1/2008 Show More Consecutive Gains Run-up Length (Mos.) Start End 5.19 3 6/1/2007 8/1/2007 3.62 4 11/1/2010 2/1/2011 3.27 4 6/1/2008 9/1/2008 2.82 5 10/1/2007 2/1/2008 2.25 2 4/1/2010 5/1/2010 1.81 2 9/1/2009 10/1/2009 1.70 2 4/1/2011 5/1/2011 1.60 2 12/1/2009 1/1/2010 1.35 2 2/1/2009 3/1/2009 1.27 1 5/1/2009 5/1/2009 1.16 3 11/1/2011 1/1/2012 1.02 1 7/1/2009 7/1/2009 0.90 2 11/1/2008 12/1/2008 0.73 1 9/1/2011 9/1/2011 0.71 1 7/1/2011 7/1/2011 0.69 2 8/1/2010 9/1/2010 0.35 1 4/1/2007 4/1/2007 0.21 1 4/1/2008 4/1/2008 Show More Consecutive Losses Run-up Length (Mos.) Start End -2.80 1 8/1/2009 8/1/2009 -2.21 3 1/1/2007 3/1/2007 -1.92 2 2/1/2012 3/1/2012 -1.70 2 2/1/2010 3/1/2010 -1.24 1 5/1/2008 5/1/2008 -1.21 2 6/1/2010 7/1/2010 -0.96 1 10/1/2010 10/1/2010 -0.73 1 4/1/2009 4/1/2009 -0.61 1 3/1/2011 3/1/2011 -0.61 1 6/1/2009 6/1/2009 -0.27 1 9/1/2007 9/1/2007 -0.26 1 8/1/2011 8/1/2011 -0.17 1 5/1/2007 5/1/2007 -0.16 1 1/1/2009 1/1/2009 -0.12 1 6/1/2011 6/1/2011 -0.11 1 10/1/2008 10/1/2008 -0.05 1 10/1/2011 10/1/2011 -0.04 1 11/1/2009 11/1/2009 -0.01 1 3/1/2008 3/1/2008 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00 Percent Profitable61.9072.1384.4896.15100.00100.00100.00100.00 Average Period Return0.240.861.873.615.046.499.5814.39 Average Gain0.781.532.363.775.046.499.5814.39 Average Loss-0.63-0.87-0.79-0.25 Best Period2.125.195.238.0410.8213.0114.6218.26 Worst Period-2.80-2.41-1.44-0.290.011.995.439.90 Standard Deviation0.911.471.692.142.522.762.292.42 Gain Standard Deviation0.551.091.342.042.522.762.292.42 Loss Standard Deviation0.680.690.410.06 Sharpe Ratio (1%)0.170.420.811.221.401.622.864.26 Average Gain / Average Loss1.231.762.9915.06 Profit / Loss Ratio2.004.5516.27376.55 Downside Deviation (10%)0.771.231.552.383.484.596.587.54 Downside Deviation (5%)0.610.690.530.260.230.00 Downside Deviation (0%)0.570.580.350.05 Sortino Ratio (10%)-0.22-0.30-0.39-0.58-0.73-0.82-0.94-0.95 Sortino Ratio (5%)0.260.892.5810.1615.631369.78 Sortino Ratio (0%)0.421.485.3972.76 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