City Fund Management : Single Strategy - ECLV Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since2/2010 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 SummaryMulti-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% Composition Stock Indices 40.00% Interest Rates 40.00% Currency Futures 20.00% SummaryMulti-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 StrategyDiscretionary 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 ManagementIt 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. 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 -4.23 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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel