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City Fund Management : FC Strategy

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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 2020 1yr 3yr 5yr 10yr Since
1/2007
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

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... 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%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Precious Metals
15.00%
Energy
10.00%
Composition Pie Chart

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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
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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
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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.

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