City Fund Management : Single Strategy - STIRB01

archived programs
Year-to-Date
N / A
Feb Performance
0.65%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
5.03%
Sharpe (RFR=1%)
0.69
CAROR
4.41%
Assets
$ 3.8M
Worst DD
-7.74
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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
11/2006
Single Strategy - STIRB01 0.65 - - - - - 0.63 37.23
S&P 500 4.31 - - - - - 62.38 147.33
+/- S&P 500 -3.66 - - - - - -61.75 -110.10

Strategy Description

Summary

The investment approach is base on technical analysis of the interest rate curves of the UL the EU and the US. The strategy benefits from curve mis-pricings and potential deviations from the fundamentals.

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

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 5.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission
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 3200 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Financial & Metals 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 100.00%
Systematic 0%

Strategy

Arbitrage
40.00%
Technical
60.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The investment approach is base on technical analysis of the interest rate curves of the UL the EU and the US. The strategy benefits from curve mis-pricings and potential deviations from the fundamentals.

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

Investment Strategy

The financial instruments invested are highly liquid futures and options in European, UK and US fixed income such as Euribor, Short Sterling and Eurodollar. There is very little directional exposure as the views are expressed via spreads in the above instruments and this gives a low correlation with the markets.

   

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
-7.74 2 - 6/1/2011 8/1/2011
-3.64 1 4 5/1/2009 6/1/2009
-2.26 2 1 7/1/2008 9/1/2008
-1.73 2 2 1/1/2009 3/1/2009
-1.37 1 3 12/1/2007 1/1/2008
-1.00 1 1 1/1/2011 2/1/2011
-0.91 1 3 7/1/2007 8/1/2007
-0.84 2 1 2/1/2010 4/1/2010
-0.17 1 1 6/1/2010 7/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
13.39 4 10/1/2008 1/1/2009
9.52 9 11/1/2006 7/1/2007
8.84 8 7/1/2009 2/1/2010
5.56 6 2/1/2008 7/1/2008
5.24 4 3/1/2011 6/1/2011
3.49 6 8/1/2010 1/1/2011
3.29 4 9/1/2011 12/1/2011
2.67 4 2/1/2013 5/1/2013
2.31 2 5/1/2010 6/1/2010
2.07 4 9/1/2007 12/1/2007
1.97 2 4/1/2009 5/1/2009
1.83 2 8/1/2012 9/1/2012
1.56 2 3/1/2012 4/1/2012
1.13 3 8/1/2013 10/1/2013
0.90 2 1/1/2014 2/1/2014
0.49 1 6/1/2012 6/1/2012
0.20 1 12/1/2012 12/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-7.74 2 7/1/2011 8/1/2011
-3.86 2 6/1/2013 7/1/2013
-3.64 1 6/1/2009 6/1/2009
-3.00 1 1/1/2013 1/1/2013
-2.26 2 8/1/2008 9/1/2008
-1.73 2 2/1/2009 3/1/2009
-1.67 2 11/1/2013 12/1/2013
-1.37 1 1/1/2008 1/1/2008
-1.00 1 2/1/2011 2/1/2011
-0.91 1 8/1/2007 8/1/2007
-0.84 2 3/1/2010 4/1/2010
-0.62 2 1/1/2012 2/1/2012
-0.59 2 10/1/2012 11/1/2012
-0.47 1 5/1/2012 5/1/2012
-0.21 1 7/1/2012 7/1/2012
-0.17 1 7/1/2010 7/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable72.7369.7773.4970.1381.6984.6292.45100.00100.00
Average Period Return0.371.102.244.517.2410.2115.8921.6326.44
Average Gain0.982.393.907.289.3912.5017.3721.6326.44
Average Loss-1.26-1.86-2.36-1.99-2.38-2.36-2.28
Best Period4.778.9811.4416.9919.1525.0731.0738.1037.24
Worst Period-5.64-7.43-5.95-4.79-4.18-6.36-3.232.166.67
Standard Deviation1.452.703.655.166.828.6711.0911.248.46
Gain Standard Deviation0.901.782.593.335.577.3510.1711.248.46
Loss Standard Deviation1.402.031.611.491.001.871.07
Sharpe Ratio (1%)0.200.320.480.680.840.951.161.562.52
Average Gain / Average Loss0.781.281.653.653.945.307.61
Profit / Loss Ratio2.082.964.588.5717.6029.1493.24
Downside Deviation (10%)1.132.042.674.025.146.237.948.127.20
Downside Deviation (5%)1.001.601.681.821.731.871.640.42
Downside Deviation (0%)0.971.501.461.351.101.160.68
Sortino Ratio (10%)-0.03-0.06-0.09-0.12-0.07-0.010.020.01-0.16
Sortino Ratio (5%)0.290.531.031.923.314.397.8442.15
Sortino Ratio (0%)0.380.741.533.346.598.8223.49

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.