City Fund Management : HZ Strategy

archived programs
Year-to-Date
N / A
Mar Performance
-0.09%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
1.35%
Sharpe (RFR=1%)
0.41
CAROR
-
Assets
$ 2.5M
Worst DD
-0.93
S&P Correlation
-0.08

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
11/2013
HZ Strategy -0.09 - - - - - - 2.20
S&P 500 -1.74 - - - - - - 91.86
+/- S&P 500 1.65 - - - - - - -89.66

Strategy Description

Summary

The strategy primarily trades U.S. equity index futures within one of two distinct regimes: bull market and bear market. The model defines macro regimes by pricing other risk sensitive assets: highyield, credit, volatility... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 1.00%
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 QEP
Lock-up Period 0

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity
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 50.00%
Intraday 50.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The strategy primarily trades U.S. equity index futures within one of two distinct regimes: bull market and bear market. The model defines macro regimes by pricing other risk sensitive assets: highyield, credit, volatility

Investment Strategy

Amulti-model valuation generates trading signals for under-and over-valued equity indexes within each regime. Typically, the strategy is long undervalued equity indexes in bull markets or short overvalued equity indexes with a hedge via ETF markets in bear markets. Models are grouped into intra-day and daily signals. Both groups utilize identical principles but reoptimized on different time horizons. Intra-day models are flat each day and daily models have a holding period of 2-5 days.

Risk Management

All models exit via a profit target,stop loss or a reversal of a signal.

   

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
-0.93 4 2 7/1/2014 11/1/2014
-0.09 1 - 2/1/2015 3/1/2015
-0.09 1 1 12/1/2013 1/1/2014
-0.03 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
1.40 4 2/1/2014 5/1/2014
1.24 3 12/1/2014 2/1/2015
0.48 2 11/1/2013 12/1/2013
0.22 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-0.93 4 8/1/2014 11/1/2014
-0.09 1 3/1/2015 3/1/2015
-0.09 1 1/1/2014 1/1/2014
-0.03 1 6/1/2014 6/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods17.0015.0012.00
Percent Profitable58.8280.0083.33
Average Period Return0.130.390.54
Average Gain0.330.630.79
Average Loss-0.16-0.59-0.71
Best Period1.041.311.71
Worst Period-0.71-0.80-0.74
Standard Deviation0.390.670.83
Gain Standard Deviation0.340.470.64
Loss Standard Deviation0.240.320.04
Sharpe Ratio (1%)0.120.210.05
Average Gain / Average Loss2.041.061.11
Profit / Loss Ratio2.924.255.56
Downside Deviation (10%)0.431.062.08
Downside Deviation (5%)0.210.400.53
Downside Deviation (0%)0.180.290.29
Sortino Ratio (10%)-0.65-0.79-0.93
Sortino Ratio (5%)0.210.340.08
Sortino Ratio (0%)0.721.331.86

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.