City Fund Management

DXF01 Strategy

Minimum Investment
Management Fee 1.50%
Performance Fee 25.00%
Annualized Volatility 4.33%
Sharpe (RFR=1%) 1.21
CAROR 6.33%
Assets 1,930,000
Worst Drawdown -8.90
S&P Correlation -0.03


Global Macro systematic strategy. It utilises a variety of systematic models in a diversified approach that ensure minimal correlation with the market. It is focusing on medium time-frame investments so as to reduce the volatility that can be observed in longer duration strategies. It is operating in the space of liquid financial futures excluding commodities.

The track record is based on proforma results prior to Nov 2011. Its methodology was excerpted from a currently active strategy.