City Fund Management : LC

archived programs
Year-to-Date
N / A
Mar Performance
0.13%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.90%
Sharpe (RFR=1%)
-0.05
CAROR
-
Assets
$ 3.0M
Worst DD
-1.13
S&P Correlation
0.72

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
12/2014
LC 0.13 - - - - - - 0.27
S&P 500 -1.74 - - - - - - 57.21
+/- S&P 500 1.87 - - - - - - -56.94

Strategy Description

Summary

LCIM focusses on the short term trading of only the 3 most liquid equity index futures markets the E-Mini S&P500, the DAX and the EuroStoxx 50. There are 9 independent trading systems that comprise the overall portfolio each looking to generate positive return outcome and maintain... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission
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 Not Specified

Holding Periods

Over 12 Months
4-12 Months
1-3 Months
1-30 Days
Intraday

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Pattern Recognition
50.00%
Trend-following
30.00%
Other
20.00%
Strategy Pie Chart

Composition

Stock Indices
75.00%
Currency Futures
25.00%
Composition Pie Chart

Summary

LCIM focusses on the short term trading of only the 3 most liquid equity index futures markets the E-Mini S&P500, the DAX and the EuroStoxx 50. There are 9 independent trading systems that comprise the overall portfolio each looking to generate positive return outcome and maintain low correlations to each other.

Investment Strategy

The models cover a range of systematic trading styles with Short term, trends, pattern recognition, volatility brake outs and short term mean reversion all combining to produce a portfolio with an Average holding period of 4 hours. There is also a purely discretionary risk management overlay focussed on the DAX where risk is capped to 15% of overall portfolio risk at any time

Risk Management

Limited overnight position with the exceptions of the trend models leads to a low margin to equity level of around 4% on average. The experienced PM has over 25 years of market trading experience at well-known names such Goldman Sachs as well as Deutsche Bank. The portfolio is looking to deliver double digit absolute returns with a low volatility and drawdown risk profile. Strategy Net Returns Statistics

   

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
-1.13 1 - 12/1/2014 1/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
0.83 2 2/1/2015 3/1/2015
0.58 1 12/1/2014 12/1/2014
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-1.13 1 1/1/2015 1/1/2015
Show More

Time Windows Analysis

 1 Month
Number of Periods4.00
Percent Profitable75.00
Average Period Return0.07
Average Gain0.47
Average Loss-1.13
Best Period0.70
Worst Period-1.13
Standard Deviation0.84
Gain Standard Deviation0.30
Loss Standard Deviation
Sharpe Ratio (1%)-0.02
Average Gain / Average Loss0.42
Profit / Loss Ratio1.25
Downside Deviation (10%)0.78
Downside Deviation (5%)0.61
Downside Deviation (0%)0.57
Sortino Ratio (10%)-0.43
Sortino Ratio (5%)-0.02
Sortino Ratio (0%)0.12

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.