R Best LLC : World Select Program

Year-to-Date
3.07%
May Performance
-0.97%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.61%
Sharpe (RFR=1%)
-0.19
CAROR
-0.23%
Assets
$ 2.0M
Worst DD
-7.68
S&P Correlation
0.10

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
4/2016
World Select Program -0.97 1.16 -3.07 -4.03 -0.13 - - -0.72
S&P 500 -6.58 -1.17 9.77 1.72 29.91 - - 31.90
+/- S&P 500 5.61 2.33 -12.84 -5.76 -30.04 - - -32.62

Strategy Description

Summary

The objective of the World Select Program is to deliver high absolute returns in rising or falling markets through systematic, long-term positioning in managed futures. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
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
QEP
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
20.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
40.00%
1-3 Months
50.00%
1-30 Days
10.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
24.00%
Interest Rates
24.00%
Stock Indices
16.00%
Energy
12.00%
Grains
12.00%
Precious Metals
8.00%
Industrial Metals
4.00%
Composition Pie Chart

Summary

The objective of the World Select Program is to deliver high absolute returns in rising or falling markets through systematic, long-term positioning in managed futures.

Investment Strategy

The program seeks to dynamically construct long-short portfolios that efficiently allocate risk across 6 distinct sectors - equities, fixed income, currencies, energies, metals, and agricultural markets. The program invests in over 26 futures markets listed on regulated exchanges around the world and takes a long-term approach to capturing momentum by holding positions, on average, for 180 days. This long-term perspective reduces the likelihood of being shaken out of the market by short-term price fluctuations. Portfolio selection is done systematically and position evaluation criteria include absolute and relative momentum, market volatility and correlations, term structure based signals, and relative market/sector valuations.

   

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
-7.68 7 - 6/1/2018 1/1/2019
-7.15 11 12 7/1/2016 6/1/2017
-0.59 2 1 1/1/0001 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
5.24 2 6/1/2016 7/1/2016
5.00 5 12/1/2017 4/1/2018
2.52 1 6/1/2018 6/1/2018
2.38 3 2/1/2019 4/1/2019
2.16 2 7/1/2017 8/1/2017
1.42 2 8/1/2018 9/1/2018
1.20 1 11/1/2018 11/1/2018
1.03 1 10/1/2017 10/1/2017
0.51 1 2/1/2017 2/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.41 2 12/1/2018 1/1/2019
-4.88 6 8/1/2016 1/1/2017
-3.09 1 7/1/2018 7/1/2018
-2.88 4 3/1/2017 6/1/2017
-1.01 1 11/1/2017 11/1/2017
-0.97 1 5/1/2019 5/1/2019
-0.83 1 10/1/2018 10/1/2018
-0.59 2 4/1/2016 5/1/2016
-0.39 1 9/1/2017 9/1/2017
-0.34 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable47.3752.7845.4544.4461.9080.00
Average Period Return-0.010.05-0.340.331.631.51
Average Gain1.192.122.884.913.382.32
Average Loss-1.14-2.27-3.03-3.33-1.21-1.75
Best Period4.505.236.409.187.314.73
Worst Period-4.40-6.19-5.58-6.49-4.05-1.88
Standard Deviation1.622.783.494.563.042.22
Gain Standard Deviation1.201.651.881.752.411.62
Loss Standard Deviation1.131.731.801.971.250.14
Sharpe Ratio (1%)-0.06-0.07-0.24-0.150.04-0.23
Average Gain / Average Loss1.040.930.951.472.791.33
Profit / Loss Ratio0.991.040.791.184.535.31
Downside Deviation (10%)1.342.684.326.416.669.00
Downside Deviation (5%)1.162.082.913.531.881.86
Downside Deviation (0%)1.121.942.582.861.040.78
Sortino Ratio (10%)-0.31-0.44-0.65-0.73-0.90-0.97
Sortino Ratio (5%)-0.08-0.10-0.29-0.190.07-0.27
Sortino Ratio (0%)-0.010.02-0.130.111.571.92

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 10 0.29 9/2018
Trend Following Strategy Index Month 8 0.29 9/2018
Trend Following Strategy Index Month 6 2.52 6/2018
Trend Following Strategy Index Month 6 0.64 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.