City Fund Management : GST Strategy

archived programs
Year-to-Date
N / A
Feb Performance
-0.26%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
25.00%
Annualized Vol
9.10%
Sharpe (RFR=1%)
1.68
CAROR
17.14%
Assets
$ 134.6M
Worst DD
-4.44
S&P Correlation
-0.19

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
12/2005
GST Strategy -0.26 -0.49 - -2.36 6.45 49.56 - 214.81
S&P 500 1.11 6.96 - 10.91 37.12 13.81 - 21.32
+/- S&P 500 -1.37 -7.44 - -13.27 -30.67 35.74 - 193.49

Strategy Description

Summary

Macro Strategy in UK, European, and US fixed income, equity index, and FX futures markets. A major component of the strategy revolves around a directional play of the interest rate curves based on fundamental analysis and coupled with inputs from technical analysis.

The past... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Financial & Metals 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

Arbitrage
30.00%
Technical
60.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Interest Rates
80.00%
Stock Indices
19.00%
Currency Futures
1.00%
Composition Pie Chart

Summary

Macro Strategy in UK, European, and US fixed income, equity index, and FX futures markets. A major component of the strategy revolves around a directional play of the interest rate curves based on fundamental analysis and coupled with inputs from technical analysis.

The past performance reported above reflects the original strategy where the exposure has been increased by five times applying proforma fees of 1.5% management fee and 25% performance fee.

Risk Management

The cfm risk management hub effectively operates as a risk management platform assessing risk at individual strategy level as well as on a consolidated portfolio basis. This process takes into account risk offsets across strategies in order to optimize risk adjusted returns.

Key risks are tracked both intra-day and over variable time series. Essentially the risk hub dictates portfolio profiling in order to optimize returns. It is essential to not only track individual strategy performance but also style, market conditions, daily trading ranges, market volatility, momentum shifts, scenario risk exposure, and most importantly changes in correlation within the portfolio. The whole concept is based on proactive portfolio management and the avoidance of shocks. Risk/Reward ratios can be adjusted to meet individual clients return requirements without increasing the core relative risk profile.

   

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

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
-4.44 1 1 11/1/2008 12/1/2008
-3.88 17 - 9/1/2011 2/1/2013
-3.28 1 2 10/1/2007 11/1/2007
-2.74 1 1 6/1/2007 7/1/2007
-2.45 1 2 5/1/2006 6/1/2006
-1.35 1 3 8/1/2010 9/1/2010
-1.17 2 1 1/1/2011 3/1/2011
-0.98 1 1 3/1/2009 4/1/2009
-0.82 1 1 10/1/2006 11/1/2006
-0.05 1 1 11/1/2009 12/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
51.63 12 12/1/2007 11/1/2008
23.72 5 12/1/2006 4/1/2007
22.39 3 8/1/2007 10/1/2007
15.02 6 12/1/2005 5/1/2006
11.34 4 7/1/2006 10/1/2006
10.36 8 1/1/2010 8/1/2010
7.19 3 1/1/2009 3/1/2009
5.10 7 5/1/2009 11/1/2009
3.29 4 10/1/2010 1/1/2011
3.03 6 4/1/2011 9/1/2011
0.48 1 11/1/2011 11/1/2011
0.32 1 6/1/2007 6/1/2007
0.12 1 9/1/2012 9/1/2012
0.01 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.44 1 12/1/2008 12/1/2008
-3.28 1 11/1/2007 11/1/2007
-2.86 9 12/1/2011 8/1/2012
-2.74 1 7/1/2007 7/1/2007
-2.45 1 6/1/2006 6/1/2006
-1.35 1 9/1/2010 9/1/2010
-1.17 2 2/1/2011 3/1/2011
-0.98 1 4/1/2009 4/1/2009
-0.82 1 11/1/2006 11/1/2006
-0.73 1 10/1/2011 10/1/2011
-0.49 2 1/1/2013 2/1/2013
-0.45 2 10/1/2012 11/1/2012
-0.05 1 12/1/2009 12/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable71.2677.6582.9385.5388.5795.31100.00100.00100.00
Average Period Return1.364.188.6519.2031.4745.1772.28101.02139.20
Average Gain2.265.5810.7122.8535.7847.4672.28101.02139.20
Average Loss-0.91-0.69-1.34-2.38-1.94-1.40
Best Period12.2822.3932.0958.0086.55116.68168.46186.16215.62
Worst Period-4.44-2.43-2.22-3.18-3.62-1.886.7415.0250.00
Standard Deviation2.635.398.9618.0728.2438.4853.1258.1250.60
Gain Standard Deviation2.525.358.4717.0027.1437.9653.1258.1250.60
Loss Standard Deviation1.160.570.590.841.200.83
Sharpe Ratio (1%)0.490.730.911.011.061.121.301.672.65
Average Gain / Average Loss2.488.148.019.6118.4333.95
Profit / Loss Ratio6.4228.2638.9256.78142.85690.32
Downside Deviation (10%)0.920.991.632.953.603.712.221.49
Downside Deviation (5%)0.790.520.791.321.230.81
Downside Deviation (0%)0.760.420.600.950.760.34
Sortino Ratio (10%)1.042.983.784.816.649.4225.5153.44
Sortino Ratio (5%)1.617.6210.2713.7824.3353.51
Sortino Ratio (0%)1.7810.0114.4420.1141.50134.41

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.