R Best LLC : Private Client Plus

Year-to-Date
5.41%
Oct Performance
1.58%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.89%
Sharpe (RFR=1%)
-0.79
CAROR
-2.12%
Assets
$ 3.8M
Worst DD
-7.67
S&P Correlation
-0.07

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2017
Private Client Plus 1.58 0.85 -5.41 -4.48 - - - -4.20
S&P 500 2.04 1.92 21.16 12.01 - - - 17.51
+/- S&P 500 -0.46 -1.07 -26.57 -16.49 - - - -21.70

Strategy Description

Summary

The Private Client Plus Program seeks to deliver high absolute returns by applying intraday momentum and reversal strategies to a diversified basket of futures markets. It utilizes short term, systematic technical models across a broad universe of instruments to capitalize on directional... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$8.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
-8.00%
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
0%
Intraday
100.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Counter-trend
20.00%
Momentum
80.00%
Strategy Pie Chart

Composition

Energy
30.00%
Currency Futures
15.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Stock Indices
15.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

The Private Client Plus Program seeks to deliver high absolute returns by applying intraday momentum and reversal strategies to a diversified basket of futures markets. It utilizes short term, systematic technical models across a broad universe of instruments to capitalize on directional moves in the fixed-income, equity, commodity, and currency futures markets​.

R Best, LLC currently uses its systematic trading systems to act as trade manager for the Kottke/Hehmeyer R Best Program, a managed futures program with a minimum investment of $250,000 and a targeted risk per trade of 0.5% of nominal account value.

Please see the performance section for a presentation of the performance of the Kottke R Best Program since its inception in February, 2010. Performance between February 2010 and March 2013 includes returns generated using only a trend following strategy in the Ten-Year Treasury Note. The performance between April, 2013 and through March, 2015 includes returns generated using an additional trend following strategy in the S&P e-mini, and a reversal strategy in the same. Performance from November 2017 ongoing includes Gold, Copper, Natural Gas, Crude and Euro currency.

Investment Strategy

The R Best Private Client Plus program utilizes the same short term, systematic technical models as the Private Client program but expands its scope to capitalize on directional moves in the fixed-income, equity, commodity, and currency futures markets. Our models are designed to establish intraday trading positions when the markets exhibit a high probability of developing a sustained trending move or a sustained reversion move that day. The programs use machine learning to intelligently select profitable opportunity, and use specific profit targets and stops to limit market exposure. Proprietary indicators and strict risk management policies reduce trading in volatile conditions to protect capital. All trades are liquidated by the end of each trading day.

Risk Management

Strict risk management controls prevent the strategy from trading in highly volatile 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
-7.67 19 - 2/1/2018 9/1/2019
-0.58 1 2 1/1/0001 11/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
2.74 3 12/1/2017 2/1/2018
2.10 4 8/1/2018 11/1/2018
1.58 1 10/1/2019 10/1/2019
1.01 1 8/1/2019 8/1/2019
0.80 1 6/1/2018 6/1/2018
0.47 2 1/1/2019 2/1/2019
0.35 1 4/1/2018 4/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.65 5 3/1/2019 7/1/2019
-2.39 1 5/1/2018 5/1/2018
-1.71 1 9/1/2019 9/1/2019
-0.77 1 7/1/2018 7/1/2018
-0.58 1 11/1/2017 11/1/2017
-0.48 1 3/1/2018 3/1/2018
-0.40 1 12/1/2018 12/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable54.1750.0042.1130.770.00
Average Period Return-0.17-0.59-1.49-1.87-4.46
Average Gain0.691.191.271.14
Average Loss-1.20-2.37-3.50-3.21-4.46
Best Period1.582.742.132.28-0.86
Worst Period-2.39-4.18-6.51-5.60-7.22
Standard Deviation1.122.072.882.582.56
Gain Standard Deviation0.540.800.850.96
Loss Standard Deviation0.651.201.981.772.56
Sharpe Ratio (1%)-0.23-0.40-0.69-1.11-2.33
Average Gain / Average Loss0.580.500.360.36
Profit / Loss Ratio0.690.500.260.16
Downside Deviation (10%)1.172.694.857.3012.29
Downside Deviation (5%)0.962.023.363.776.42
Downside Deviation (0%)0.911.863.023.015.05
Sortino Ratio (10%)-0.50-0.67-0.82-0.94-0.98
Sortino Ratio (5%)-0.27-0.41-0.59-0.76-0.93
Sortino Ratio (0%)-0.19-0.32-0.49-0.62-0.88

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.