City Fund Management : Single Strategy - ECLV

archived programs
Year-to-Date
N / A
Feb Performance
-0.15%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
25.00%
Annualized Vol
7.02%
Sharpe (RFR=1%)
1.11
CAROR
8.87%
Assets
$ 165.4M
Worst DD
-4.23
S&P Correlation
-0.05

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2010
Single Strategy - ECLV -0.15 -0.14 - 0.11 30.10 - - 29.94
S&P 500 1.11 6.96 - 10.91 37.12 - - 37.12
+/- S&P 500 -1.26 -7.10 - -10.80 -7.02 - - -7.17

Strategy Description

Summary

Multi-strategy approach with a short term duration while occasionally participating in larger macroeconomic events and views. Multi-market views expressed in Equities, Commodities, fixed income and Foreign Exchange.

The past performance reported above has been achieved by... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
25.00%
Average Commission
$2.00
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
3000 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
N/A
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
5.00%
Intraday
95.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
5.00%
Technical
95.00%
Strategy Pie Chart

Composition

Interest Rates
40.00%
Stock Indices
40.00%
Currency Futures
20.00%
Composition Pie Chart

Summary

Multi-strategy approach with a short term duration while occasionally participating in larger macroeconomic events and views. Multi-market views expressed in Equities, Commodities, fixed income and Foreign Exchange.

The past performance reported above has been achieved by the manager using the same risk adjusted strategy through different investment vehicles (proprietary trading and managed accounts) applying proforma fees of 2% management fee and 25%.

Investment Strategy

Discretionary strategy with a technical focus. The strategy duration is mostly intraday but small positions can be carried overnight. It aims to identify pattern formations and technical levels on the daily and intraday charts. Market sentiment as well as economic fundamentals and news are also an important element that complements the decision making process.

Risk Management

It is operating in the space of highly liquid futures in equities and financials. The Manager exercises strong capital preservation principles that achieve high quality of returns.

   

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:
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Average Gain:
Gain Deviation:
Risk
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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
-4.23 2 2 7/1/2010 9/1/2010
-0.32 4 1 1/1/0001 5/1/2010
-0.20 3 - 11/1/2012 2/1/2013
-0.16 2 2 7/1/2012 9/1/2012
-0.14 2 2 2/1/2012 4/1/2012
-0.04 2 1 11/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
34.95 14 10/1/2010 11/1/2011
0.65 2 6/1/2010 7/1/2010
0.28 2 10/1/2012 11/1/2012
0.27 3 5/1/2012 7/1/2012
0.21 1 2/1/2012 2/1/2012
0.07 1 3/1/2010 3/1/2010
0.01 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.23 2 8/1/2010 9/1/2010
-0.20 2 4/1/2010 5/1/2010
-0.19 1 2/1/2010 2/1/2010
-0.16 2 8/1/2012 9/1/2012
-0.15 1 2/1/2013 2/1/2013
-0.14 2 3/1/2012 4/1/2012
-0.06 1 12/1/2012 12/1/2012
-0.04 2 12/1/2011 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable64.8677.1490.63100.00100.00100.00
Average Period Return0.732.405.4013.4920.4528.22
Average Gain1.343.346.1113.4920.4528.22
Average Loss-0.40-0.78-1.53
Best Period8.2019.1727.7533.9735.0935.14
Worst Period-3.86-4.15-3.800.051.0413.27
Standard Deviation2.035.018.7812.2612.185.11
Gain Standard Deviation2.185.328.9112.2612.185.11
Loss Standard Deviation1.041.432.00
Sharpe Ratio (1%)0.320.430.561.021.565.13
Average Gain / Average Loss3.364.313.99
Profit / Loss Ratio6.2014.5438.58
Downside Deviation (10%)0.781.321.972.452.42
Downside Deviation (5%)0.660.810.820.310.10
Downside Deviation (0%)0.640.740.69
Sortino Ratio (10%)0.410.891.483.475.31
Sortino Ratio (5%)0.982.665.9540.66183.68
Sortino Ratio (0%)1.143.257.88

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.