City Fund Management : M2T

archived programs
Year-to-Date
N / A
Sep Performance
1.87%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
4.87%
Sharpe (RFR=1%)
-0.97
CAROR
-
Assets
$ 8.5M
Worst DD
-4.01
S&P Correlation
-0.65

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2014
M2T 1.87 - - - - - - -2.22
S&P 500 -1.55 - - - - - - 77.79
+/- S&P 500 3.42 - - - - - - -80.01

Strategy Description

Summary

The M2T strategy is a discretionary macro fund trading only liquid index futures and options. The three M2T portfolio managers currently sum more than 6 years of relevant trading experience in these markets. ... 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 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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

Fundamental
20.00%
Pattern Recognition
10.00%
Technical
45.00%
Trend-following
20.00%
Other
5.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Currency FX
25.00%
Stock Indices
25.00%
VIX
15.00%
Other
10.00%
Composition Pie Chart

Summary

The M2T strategy is a discretionary macro fund trading only liquid index futures and options. The three M2T portfolio managers currently sum more than 6 years of relevant trading experience in these markets.

Investment Strategy

The M2T strategy consists of to types of clear trading styles directional and relative value. Firstly they take outright directional positions here short positions are allocated here there are also to different approaches for each asset one based on fundamental analysis and the other on technical indicators. The second style focuses on relative value positions within different asset classes.

Risk Management

The strategy allocations between these different models are done through a VaR based risk approach. When relative value opportunities arise they are the first priority for implementation in the book reducing the risk in directional trading boo. M2T is not a systematic trading fund manager discretion is applied on all the model outputs and trades.

   

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
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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
-4.01 -1 - 1/1/0001 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
1.87 1 9/1/2014 9/1/2014
0.81 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.62 4 3/1/2014 6/1/2014
-1.21 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month
Number of Periods7.005.00
Percent Profitable28.5720.00
Average Period Return-0.31-1.25
Average Gain1.341.45
Average Loss-0.97-1.92
Best Period1.871.45
Worst Period-2.41-3.61
Standard Deviation1.412.20
Gain Standard Deviation0.75
Loss Standard Deviation0.961.84
Sharpe Ratio (1%)-0.28-0.68
Average Gain / Average Loss1.380.76
Profit / Loss Ratio0.550.19
Downside Deviation (10%)1.373.16
Downside Deviation (5%)1.152.41
Downside Deviation (0%)1.092.24
Sortino Ratio (10%)-0.52-0.78
Sortino Ratio (5%)-0.34-0.62
Sortino Ratio (0%)-0.28-0.56

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.