Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
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.
Investment Strategy
The system uses momentum and retracement based entry triggers to join existing trends. All trades have hard stops, trailing stops and targets. The number of parameters is kept low to avoid over-fitting. Each position is sized based on hard stops, in addition trailing stops and targets help to create a less volatile profile. All positions sizes are volatility adjusted, so in volatile markets position sizes are reduced and given wider stops and targets. There is strong risk management in that the system allows to re-enter a cycle after a losing trade but only in reduced size, this causes losses to decelerate in losing periods. The strategy is exclusively using liquid equity and financial futures. For a new financial instrument to be added to the portfolio, it is prioritized if it reduces both the average and largest drawdown. Correlation is monitored both within asset classes and with the overall portfolio.
Risk Management
The strategy has overall risk limits set at a daily and monthly level stops. The firm uses parametric VaR for risk measurement while actively monitoring intraday PL
and volatility. Overall, risk is calculated on position and portfolio basis.
AUM & Cumulative Returns
Distribution
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
City Fund Management DXF01 Strategy
Average RoR
0.52%
Max Gain
3.39%
Gain Frequency
63.51%
Average Gain
1.22%
Gain Deviation
0.86%
Risk
Standard Deviation
1.25%
Worst Loss
-3.78%
Loss Frequency
35.14%
Average Loss
-0.72%
Loss Deviation
0.83%
Reward/Risk
Sharpe (RFR=1%)
0.35
Skewness
-0.28
Kurtosis
1.04
Reward
City Fund Management DXF01 Strategy
Compound RoR
6.33%
Average RoR
6.56%
Max Gain
16.99%
Gain Frequency
81.08%
Average Gain
9.12%
Gain Deviation
2.98%
Risk
Standard Deviation
4.33%
Worst Loss
-4.44%
Loss Frequency
18.92%
Average Loss
-4.44%
Loss Deviation
2.86%
Reward/Risk
Sharpe (RFR=1%)
1.21
Skewness
-1.27
Kurtosis
40.49
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 (Months)
Recovery (Months)
Peak
Valley
-8.90
16
—
10/2011
2/2013
-2.16
2
2
11/2009
1/2010
-1.77
1
1
5/2010
6/2010
-0.87
3
1
4/2011
7/2011
-0.78
1
1
6/2008
7/2008
-0.76
1
1
6/2009
7/2009
-0.43
2
1
12/2010
2/2011
-0.34
1
1
11/2007
12/2007
-0.33
2
1
1/2009
3/2009
-0.27
1
1
1/2007
2/2007
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
11.48
9
3/2007
11/2007
10.36
6
8/2008
1/2009
6.95
6
1/2008
6/2008
6.53
4
2/2010
5/2010
5.63
6
7/2010
12/2010
4.51
4
8/2009
11/2009
4.45
3
8/2011
10/2011
4.10
2
4/2009
5/2009
2.79
2
3/2011
4/2011
1.45
2
4/2012
5/2012
0.34
1
1/2012
1/2012
0.15
1
1/2007
1/2007
0.01
1
11/2012
11/2012
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-4.85
5
6/2012
10/2012
-3.95
2
11/2011
12/2011
-2.16
2
12/2009
1/2010
-1.77
1
6/2010
6/2010
-1.17
2
2/2012
3/2012
-0.92
3
12/2012
2/2013
-0.87
3
5/2011
7/2011
-0.78
1
7/2008
7/2008
-0.76
2
6/2009
7/2009
-0.43
2
1/2011
2/2011
-0.34
1
12/2007
12/2007
-0.33
2
2/2009
3/2009
-0.27
1
2/2007
2/2007
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
