R Best LLC : Private Client Institutional

Year-to-Date
5.96%
Jun Performance
4.92%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.04%
Sharpe (RFR=1%)
0.61
CAROR
4.03%
Assets
$ 20.5M
Worst DD
-4.13
S&P Correlation
0.00

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
Private Client Institutional 4.92 2.48 5.96 8.86 7.58 9.93 - 29.26
S&P 500 1.84 19.95 -4.04 5.39 26.82 48.74 - 81.64
+/- S&P 500 3.08 -17.48 10.00 3.47 -19.25 -38.81 - -52.38

Strategy Description

Summary

The Private Client Institutional Program seeks to deliver high absolute returns by applying intraday momentum and reversal strategies to the S&P 500 e-mini futures market. It utilizes short term, systematic technical models to capitalize on directional moves in the equity futures... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
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 1800 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 4.10%
Sector Focus Stock Index 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 5.00%
Systematic 95.00%

Strategy

Counter-trend
25.00%
Momentum
75.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Private Client Institutional Program seeks to deliver high absolute returns by applying intraday momentum and reversal strategies to the S&P 500 e-mini futures market. It utilizes short term, systematic technical models to capitalize on directional moves in the equity futures markets

Risk Management

Intraday only. No overnight risk. Risk up to .5% (1/2%) per trade.

   

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
-4.13 5 6 2/1/2019 7/1/2019
-3.21 3 1 2/1/2020 5/1/2020
-2.96 4 6 4/1/2018 8/1/2018
-2.66 2 14 4/1/2016 6/1/2016
-2.58 2 3 10/1/2014 12/1/2014
-2.13 3 4 3/1/2014 6/1/2014
-2.12 5 1 8/1/2017 1/1/2018
-1.65 2 2 7/1/2015 9/1/2015
-0.27 1 1 2/1/2018 3/1/2018
-0.12 1 1 2/1/2016 3/1/2016
-0.03 1 1 1/1/0001 1/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
10.88 7 1/1/2015 7/1/2015
7.03 5 10/1/2019 2/1/2020
5.69 2 2/1/2014 3/1/2014
5.03 5 10/1/2015 2/1/2016
4.92 1 6/1/2020 6/1/2020
4.89 2 9/1/2014 10/1/2014
3.02 1 2/1/2018 2/1/2018
2.58 3 9/1/2018 11/1/2018
2.02 1 5/1/2017 5/1/2017
1.70 1 8/1/2017 8/1/2017
1.51 1 5/1/2014 5/1/2014
1.48 1 8/1/2019 8/1/2019
0.98 1 7/1/2014 7/1/2014
0.82 2 1/1/2019 2/1/2019
0.78 1 4/1/2018 4/1/2018
0.50 1 4/1/2016 4/1/2016
0.47 1 10/1/2016 10/1/2016
0.46 1 7/1/2016 7/1/2016
0.37 1 4/1/2019 4/1/2019
0.27 3 1/1/2017 3/1/2017
0.07 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.60 3 5/1/2019 7/1/2019
-3.21 3 3/1/2020 5/1/2020
-2.96 4 5/1/2018 8/1/2018
-2.66 2 5/1/2016 6/1/2016
-2.58 2 11/1/2014 12/1/2014
-2.00 1 4/1/2014 4/1/2014
-1.70 3 11/1/2017 1/1/2018
-1.65 2 8/1/2015 9/1/2015
-1.62 1 6/1/2014 6/1/2014
-1.31 1 9/1/2019 9/1/2019
-0.95 2 6/1/2017 7/1/2017
-0.92 1 3/1/2019 3/1/2019
-0.61 1 8/1/2014 8/1/2014
-0.50 1 9/1/2017 9/1/2017
-0.50 1 4/1/2017 4/1/2017
-0.37 2 8/1/2016 9/1/2016
-0.35 1 12/1/2018 12/1/2018
-0.27 1 3/1/2018 3/1/2018
-0.13 2 11/1/2016 12/1/2016
-0.12 1 3/1/2016 3/1/2016
-0.03 1 1/1/2014 1/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable53.8563.1672.6076.1283.6185.4597.67100.00
Average Period Return0.340.911.773.194.635.637.5910.33
Average Gain1.302.233.114.575.746.757.7810.33
Average Loss-0.81-1.34-1.80-1.23-1.02-0.95-0.40
Best Period4.925.729.5513.4117.6220.4119.3520.04
Worst Period-2.33-3.60-3.87-2.47-3.23-2.20-0.400.98
Standard Deviation1.452.222.974.295.596.106.176.58
Gain Standard Deviation1.251.622.274.005.445.896.126.58
Loss Standard Deviation0.640.940.930.691.100.72
Sharpe Ratio (1%)0.180.300.430.510.560.590.740.95
Average Gain / Average Loss1.621.661.733.735.627.0819.41
Profit / Loss Ratio1.942.854.5811.9028.6541.59815.17
Downside Deviation (10%)0.921.692.423.845.427.0610.1612.95
Downside Deviation (5%)0.731.121.291.161.171.211.100.92
Downside Deviation (0%)0.680.991.050.680.590.440.06
Sortino Ratio (10%)-0.07-0.19-0.29-0.47-0.55-0.65-0.80-0.87
Sortino Ratio (5%)0.350.590.981.892.682.994.136.83
Sortino Ratio (0%)0.500.921.684.687.8212.66124.16

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.