Ritenour Investment Group, LLC : RIG_ES_Client

archived programs
Year-to-Date
N / A
Oct Performance
-9.87%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.93%
Sharpe (RFR=1%)
-0.19
CAROR
-4.66%
Assets
$ 228k
Worst DD
-40.16
S&P Correlation
0.24

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
3/2013
RIG_ES_Client -9.87 -13.48 - -15.25 -18.47 - - -16.04
S&P 500 -1.94 -2.18 - 2.25 21.04 - - 35.49
+/- S&P 500 -7.93 -11.30 - -17.50 -39.51 - - -51.53

Strategy Description

Summary

RIG_ES trades the ES contract of the index futures market. RIG utilizes a portfolio of systems that are unique. Each system has it's own set of rules for both entry and exit. All trades are entered and exited the same day requiring no overnight exposure and margin. The systems are... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 25k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
4400 RT/YR/$M
Avg. Margin-to-Equity
1%
Targeted Worst DD
25.00%
Worst Peak-to-Trough
-29.40%
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

Technical
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

RIG_ES trades the ES contract of the index futures market. RIG utilizes a portfolio of systems that are unique. Each system has it's own set of rules for both entry and exit. All trades are entered and exited the same day requiring no overnight exposure and margin. The systems are technical and mainly automated in nature.

   

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
-40.16 19 - 3/1/2015 10/1/2016
-11.69 4 4 2/1/2014 6/1/2014
-10.66 5 2 4/1/2013 9/1/2013
-2.99 2 1 11/1/2014 1/1/2015
-0.49 1 1 1/1/0001 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
41.45 5 10/1/2013 2/1/2014
19.34 5 7/1/2014 11/1/2014
8.03 1 9/1/2016 9/1/2016
6.03 1 3/1/2016 3/1/2016
4.91 1 4/1/2013 4/1/2013
4.04 2 2/1/2015 3/1/2015
3.22 1 11/1/2015 11/1/2015
3.20 1 5/1/2015 5/1/2015
2.97 1 1/1/2016 1/1/2016
2.08 1 5/1/2016 5/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.29 3 6/1/2016 8/1/2016
-21.06 5 6/1/2015 10/1/2015
-13.34 1 4/1/2015 4/1/2015
-11.69 4 3/1/2014 6/1/2014
-10.66 5 5/1/2013 9/1/2013
-9.87 1 10/1/2016 10/1/2016
-2.99 2 12/1/2014 1/1/2015
-2.49 1 2/1/2016 2/1/2016
-0.49 1 3/1/2013 3/1/2013
-0.13 1 4/1/2016 4/1/2016
-0.01 1 12/1/2015 12/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods44.0042.0039.0033.0027.0021.00
Percent Profitable43.1847.6246.1551.5240.7438.10
Average Period Return-0.23-0.390.751.220.91-0.04
Average Gain4.699.2415.9818.7830.5625.96
Average Loss-3.98-9.15-12.31-17.43-19.48-16.03
Best Period14.2023.5840.1034.9350.4541.01
Worst Period-13.34-22.29-27.08-28.71-38.48-39.57
Standard Deviation5.7511.4416.7320.6127.6023.29
Gain Standard Deviation3.727.6610.9210.5714.5210.85
Loss Standard Deviation3.895.826.508.199.5710.36
Sharpe Ratio (1%)-0.06-0.060.010.01-0.02-0.09
Average Gain / Average Loss1.181.011.301.081.571.62
Profit / Loss Ratio0.900.921.111.141.081.00
Downside Deviation (10%)4.388.5611.8116.5722.0322.11
Downside Deviation (5%)4.207.9510.4913.9717.6616.21
Downside Deviation (0%)4.157.8010.1613.3316.6014.85
Sortino Ratio (10%)-0.15-0.19-0.15-0.23-0.30-0.47
Sortino Ratio (5%)-0.08-0.080.020.02-0.03-0.13
Sortino Ratio (0%)-0.06-0.050.070.090.050.00

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 1 8.03 9/2016
Trend Following Strategy Index Month 3 8.03 9/2016
IASG CTA Index Month 4 8.03 9/2016
Systematic Trader Index Month 4 8.03 9/2016
Trend Following Strategy Index Month 5 2.08 5/2016
Stock Index Trader Index Month 9 2.08 5/2016
Systematic Trader Index Month 10 6.03 3/2016
IASG CTA Index Month 6 6.03 3/2016
Stock Index Trader Index Month 2 6.03 3/2016
Trend Following Strategy Index Month 3 6.03 3/2016
Stock Index Trader Index Month 2 2.97 1/2016
Trend Following Strategy Index Month 10 -0.01 12/2015
Stock Index Trader Index Month 4 3.22 11/2015
Stock Index Trader Index Month 6 3.20 5/2015
Trend Following Strategy Index Month 8 3.93 2/2015

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