City Fund Management : PB Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance 1.01% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 25.00% Annualized Vol 2.11% Sharpe (RFR=1%) -1.08 CAROR - Assets $ 11.1M Worst DD -4.05 S&P Correlation -0.45 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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since2/2013 PB Strategy 1.01 - - - - - - -2.16 S&P 500 -1.55 - - - - - - 128.74 +/- S&P 500 2.56 - - - - - - -130.90 Strategy Description SummaryShort term quantitative systematic strategy in the highly liquid US and EU equity index futures.... Read More Account & Fees Type Managed Account Minimum Investment $ 1,000k Trading Level Incremental Increase $ 0k 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 0% Intraday 100.00% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Stock Indices 100.00% SummaryShort term quantitative systematic strategy in the highly liquid US and EU equity index futures.Risk ManagementThe strategy edge is based on short-term market behaviours that recur over time statistically, achieving steady returns across market conditions. It has high win rate and well defined entry and exits and strong risk management. 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 -4.05 11 - 3/1/2013 2/1/2014 Show More Consecutive Gains Run-up Length (Mos.) Start End 1.01 1 9/1/2014 9/1/2014 0.96 4 3/1/2014 6/1/2014 0.80 2 2/1/2013 3/1/2013 0.41 1 1/1/2014 1/1/2014 0.41 1 11/1/2013 11/1/2013 0.08 1 8/1/2013 8/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -3.02 4 4/1/2013 7/1/2013 -1.02 1 12/1/2013 12/1/2013 -0.81 2 7/1/2014 8/1/2014 -0.77 1 2/1/2014 2/1/2014 -0.17 2 9/1/2013 10/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods20.0018.0015.009.00 Percent Profitable50.0027.7820.0011.11 Average Period Return-0.11-0.53-1.03-1.94 Average Gain0.370.370.450.04 Average Loss-0.58-0.87-1.41-2.19 Best Period1.010.830.610.04 Worst Period-1.48-2.15-2.98-3.83 Standard Deviation0.610.851.201.30 Gain Standard Deviation0.290.270.27 Loss Standard Deviation0.450.721.031.14 Sharpe Ratio (1%)-0.31-0.92-1.28-2.26 Average Gain / Average Loss0.630.430.320.02 Profit / Loss Ratio0.630.160.080.00 Downside Deviation (10%)0.771.943.697.05 Downside Deviation (5%)0.561.121.923.19 Downside Deviation (0%)0.510.951.542.30 Sortino Ratio (10%)-0.67-0.91-0.95-0.98 Sortino Ratio (5%)-0.34-0.69-0.80-0.92 Sortino Ratio (0%)-0.21-0.56-0.67-0.84 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