City Fund Management : PB Strategy

archived programs
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

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
2/2013
PB Strategy 1.01 - - - - - - -2.16
S&P 500 -1.55 - - - - - - 128.74
+/- S&P 500 2.56 - - - - - - -130.90

Strategy Description

Summary

Short 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%
Composition Pie Chart

Summary

Short term quantitative systematic strategy in the highly liquid US and EU equity index futures.

Risk Management

The 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.

   

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
-4.05 11 - 3/1/2013 2/1/2014
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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
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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
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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.