City Fund Management : ORI

archived programs
Year-to-Date
N / A
Jan Performance
-0.10%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.80%
Sharpe (RFR=1%)
0.53
CAROR
-
Assets
$ 2.5M
Worst DD
-1.29
S&P Correlation
0.04

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
4/2014
ORI -0.10 - - - - - - 2.05
S&P 500 -3.10 - - - - - - 90.28
+/- S&P 500 3.00 - - - - - - -88.23

Strategy Description

Summary

Oris is a short term momentum driven futures trader. They use a unique fractal based analytical technique called time deformation to time the entry and exit of markets depending on whether they are in a low volatility or high volatility phase.... 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
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 90.00%
Intraday 10.00%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Currency FX
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

Oris is a short term momentum driven futures trader. They use a unique fractal based analytical technique called time deformation to time the entry and exit of markets depending on whether they are in a low volatility or high volatility phase.

Investment Strategy

They focus only on the 6 most liquid futures markets (4 FX futures contracts and 2 Equity markets) trading each market approximately 500 times a year(or twice daily)on average.

Risk Management

Each market trades completely independently from each other using its own customised model parameters–the risk is allocated independently and equally to each market.

   

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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Sharpe Ratio: (RF=1%)
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Kurtosis:
Reward
Compound RoR:
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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
-1.29 2 - 11/1/2014 1/1/2015
-0.80 2 3 4/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
2.64 3 9/1/2014 11/1/2014
1.36 1 4/1/2014 4/1/2014
0.32 1 7/1/2014 7/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.29 2 12/1/2014 1/1/2015
-0.80 2 5/1/2014 6/1/2014
-0.15 1 8/1/2014 8/1/2014
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable50.0062.50
Average Period Return0.210.67
Average Gain0.861.20
Average Loss-0.45-0.22
Best Period1.362.64
Worst Period-1.19-0.48
Standard Deviation0.810.98
Gain Standard Deviation0.450.85
Loss Standard Deviation0.440.23
Sharpe Ratio (1%)0.150.42
Average Gain / Average Loss1.925.47
Profit / Loss Ratio1.929.12
Downside Deviation (10%)0.670.96
Downside Deviation (5%)0.470.31
Downside Deviation (0%)0.420.18
Sortino Ratio (10%)-0.30-0.59
Sortino Ratio (5%)0.261.35
Sortino Ratio (0%)0.493.77

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.