R Best LLC : R Best Private Client Program

Year-to-Date
0.01%
Oct Performance
3.02%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.66%
Sharpe (RFR=1%)
0.22
CAROR
2.09%
Assets
$ 700k
Worst DD
-10.66
S&P Correlation
-0.02

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
2/2010
R Best Private Client Program 3.02 1.52 -0.01 1.44 -3.22 10.12 - 22.31
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 172.18
+/- S&P 500 0.98 -0.40 -21.17 -10.56 -44.63 -38.87 - -149.87

Strategy Description

Summary

The R Best Private Client program utilizes short term, systematic technical models to capitalize on directional moves in the Treasury and Equity Futures markets. R Best, LLC currently uses its systematic trading systems to act as trade manager for the Kottke R Best Program, a managed... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
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
5000 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
Worst Peak-to-Trough
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
10.00%
Systematic
90.00%

Strategy

Momentum
20.00%
Pattern Recognition
20.00%
Technical
50.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Stock Indices
72.00%
Interest Rates
28.00%
Composition Pie Chart

Summary

The R Best Private Client program utilizes short term, systematic technical models to capitalize on directional moves in the Treasury and Equity Futures markets. R Best, LLC currently uses its systematic trading systems to act as trade manager for the Kottke 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.

Investment Strategy

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. 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 risk capital.

Risk Management

Strict risk management policies reduce trading in volatile conditions to protect risk capital.

   

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
-10.66 19 - 2/1/2018 9/1/2019
-8.94 17 20 9/1/2011 2/1/2013
-4.35 21 1 4/1/2016 1/1/2018
-2.58 2 3 10/1/2014 12/1/2014
-1.39 1 1 7/1/2011 8/1/2011
-1.39 1 1 7/1/2010 8/1/2010
-1.32 1 3 12/1/2010 1/1/2011
-0.30 1 1 4/1/2011 5/1/2011
-0.19 1 1 2/1/2016 3/1/2016
-0.17 1 1 8/1/2015 9/1/2015
-0.12 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
11.52 8 1/1/2015 8/1/2015
7.56 5 10/1/2015 2/1/2016
6.76 1 2/1/2018 2/1/2018
5.71 2 2/1/2014 3/1/2014
4.89 2 9/1/2014 10/1/2014
4.78 1 11/1/2018 11/1/2018
4.07 5 3/1/2010 7/1/2010
3.96 2 5/1/2013 6/1/2013
3.49 2 9/1/2010 10/1/2010
3.02 1 10/1/2019 10/1/2019
2.53 1 8/1/2017 8/1/2017
2.48 2 1/1/2019 2/1/2019
2.44 1 8/1/2013 8/1/2013
2.28 3 2/1/2011 4/1/2011
2.02 1 5/1/2017 5/1/2017
2.00 1 9/1/2011 9/1/2011
1.61 2 6/1/2011 7/1/2011
1.51 1 5/1/2014 5/1/2014
1.26 1 4/1/2018 4/1/2018
1.13 1 3/1/2012 3/1/2012
1.02 1 8/1/2019 8/1/2019
0.98 1 7/1/2014 7/1/2014
0.91 1 3/1/2013 3/1/2013
0.64 1 4/1/2016 4/1/2016
0.61 1 7/1/2016 7/1/2016
0.59 2 11/1/2011 12/1/2011
0.50 1 10/1/2016 10/1/2016
0.40 1 7/1/2012 7/1/2012
0.35 1 4/1/2019 4/1/2019
0.33 1 1/1/2013 1/1/2013
0.22 2 2/1/2017 3/1/2017
0.21 1 12/1/2010 12/1/2010
0.03 1 9/1/2018 9/1/2018
0.01 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.41 4 5/1/2018 8/1/2018
-3.65 1 10/1/2011 10/1/2011
-3.56 5 8/1/2012 12/1/2012
-3.18 1 12/1/2018 12/1/2018
-3.16 2 5/1/2016 6/1/2016
-3.13 3 11/1/2017 1/1/2018
-3.07 3 5/1/2019 7/1/2019
-2.62 5 9/1/2013 1/1/2014
-2.59 1 10/1/2018 10/1/2018
-2.58 2 11/1/2014 12/1/2014
-2.45 1 9/1/2019 9/1/2019
-2.23 1 2/1/2013 2/1/2013
-2.00 1 4/1/2014 4/1/2014
-1.75 1 3/1/2018 3/1/2018
-1.62 1 6/1/2014 6/1/2014
-1.41 1 7/1/2013 7/1/2013
-1.39 1 8/1/2011 8/1/2011
-1.39 1 8/1/2010 8/1/2010
-1.33 2 1/1/2012 2/1/2012
-1.33 2 6/1/2017 7/1/2017
-1.32 1 1/1/2011 1/1/2011
-1.19 1 3/1/2019 3/1/2019
-0.86 3 4/1/2012 6/1/2012
-0.83 2 8/1/2016 9/1/2016
-0.77 1 9/1/2017 9/1/2017
-0.75 1 4/1/2017 4/1/2017
-0.71 1 4/1/2013 4/1/2013
-0.61 1 8/1/2014 8/1/2014
-0.30 1 5/1/2011 5/1/2011
-0.21 3 11/1/2016 1/1/2017
-0.19 1 3/1/2016 3/1/2016
-0.17 1 9/1/2015 9/1/2015
-0.12 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods117.00115.00112.00106.00100.0094.0082.0070.0058.00
Percent Profitable50.4353.0458.9352.8358.0061.7068.2997.14100.00
Average Period Return0.190.531.042.163.374.898.8314.3719.14
Average Gain1.372.433.316.228.089.9514.2614.8119.14
Average Loss-1.04-1.63-2.23-2.40-3.13-3.26-2.85-0.78
Best Period6.766.219.5517.5722.3525.2230.4726.8933.49
Worst Period-3.65-4.55-8.80-6.16-9.07-7.59-5.59-1.449.52
Standard Deviation1.632.473.505.577.508.8810.918.884.94
Gain Standard Deviation1.291.582.444.526.337.648.948.614.94
Loss Standard Deviation0.891.161.761.872.321.931.350.93
Sharpe Ratio (1%)0.060.110.150.210.250.320.531.162.84
Average Gain / Average Loss1.321.501.492.602.583.055.0119.09
Profit / Loss Ratio1.371.692.132.913.564.9110.79648.92
Downside Deviation (10%)1.192.123.305.437.629.3812.1611.269.74
Downside Deviation (5%)1.001.512.082.663.373.493.461.17
Downside Deviation (0%)0.951.361.812.082.512.341.770.17
Sortino Ratio (10%)-0.19-0.33-0.43-0.52-0.55-0.57-0.57-0.64-0.87
Sortino Ratio (5%)0.100.180.260.430.550.831.688.80
Sortino Ratio (0%)0.190.390.571.041.342.095.0083.47

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 10 2.06 1/2019
IASG CTA Index Month 8 6.76 2/2018

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.