City Fund Management : HZ Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 YTD 1yr 3yr 5yr 10yr Since11/2013 HZ Strategy -0.09 - - - - - - 2.20 S&P 500 -1.74 - - - - - - 91.86 +/- S&P 500 1.65 - - - - - - -89.66 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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, volatilityInvestment 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 ManagementAll models exit via a profit target,stop loss or a reversal of a signal. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel