City Fund Management : FC Strategy

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

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/2007
FC Strategy	-0.81	-	-	-	-	-	4.14	16.12
S&P 500	3.13	-	-	-	-	-	22.73	140.86
+/- S&P 500	-3.94	-	-	-	-	-	-18.59	-124.74

Strategy Description

Summary

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%

Summary

Pure 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 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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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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
-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	1	5/1/2009	6/1/2009
-0.61	1	2	2/1/2011	3/1/2011
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	63.00	61.00	58.00	52.00	46.00	40.00	28.00	16.00
Percent Profitable	61.90	72.13	84.48	96.15	100.00	100.00	100.00	100.00
Average Period Return	0.24	0.86	1.87	3.61	5.04	6.49	9.58	14.39
Average Gain	0.78	1.53	2.36	3.77	5.04	6.49	9.58	14.39
Average Loss	-0.63	-0.87	-0.79	-0.25
Best Period	2.12	5.19	5.23	8.04	10.82	13.01	14.62	18.26
Worst Period	-2.80	-2.41	-1.44	-0.29	0.01	1.99	5.43	9.90
Standard Deviation	0.91	1.47	1.69	2.14	2.52	2.76	2.29	2.42
Gain Standard Deviation	0.55	1.09	1.34	2.04	2.52	2.76	2.29	2.42
Loss Standard Deviation	0.68	0.69	0.41	0.06
Sharpe Ratio (1%)	0.17	0.42	0.81	1.22	1.40	1.62	2.86	4.26
Average Gain / Average Loss	1.23	1.76	2.99	15.06
Profit / Loss Ratio	2.00	4.55	16.27	376.55
Downside Deviation (10%)	0.77	1.23	1.55	2.38	3.48	4.59	6.58	7.54
Downside Deviation (5%)	0.61	0.69	0.53	0.26	0.23	0.00
Downside Deviation (0%)	0.57	0.58	0.35	0.05
Sortino Ratio (10%)	-0.22	-0.30	-0.39	-0.58	-0.73	-0.82	-0.94	-0.95
Sortino Ratio (5%)	0.26	0.89	2.58	10.16	15.63	1369.78
Sortino Ratio (0%)	0.42	1.48	5.39	72.76

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.

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City Fund Management : FC Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

City Fund Management : FC Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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