Rivercast Capital LLC : Rivercast Program

Year-to-Date
2.11%
Jul Performance
0.11%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
9.74%
Sharpe (RFR=1%)
0.63
CAROR
6.89%
Assets
$ 1.0M
Worst DD
-21.27
S&P Correlation
0.09

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
1/2004
Rivercast Program 0.11 0.93 2.11 0.05 -2.21 -2.57 24.74 182.46
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 198.70 160.76
+/- S&P 500 -1.20 -0.24 -16.77 -5.77 -37.93 -55.37 -173.96 21.70

Strategy Description

Summary

Rivercast seeks to provide clients with consistent returns in highly liquid financial futures markets through statistical modeling and disciplined short-term trading. The firm employs a quantitative platform that uses pattern recognition to predict price movements. The program uses... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 500k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
22.00%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
30.00%
Systematic
70.00%

Strategy

Counter-trend
25.00%
Pattern Recognition
50.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Interest Rates
40.00%
Composition Pie Chart

Summary

Rivercast seeks to provide clients with consistent returns in highly liquid financial futures markets through statistical modeling and disciplined short-term trading. The firm employs a quantitative platform that uses pattern recognition to predict price movements. The program uses systematic models for signals and trader oversight on execution. Performance results are net of fees and include notional funding. Rivercast began managing customer accounts in 2013. Prior to that the firm managed proprietary funds.

Investment Strategy

The Rivercast program trades in equity index futures, 30-year Treasury bond futures and 10-year Treasury note futures.

Risk Management

The firm is diversified in trade selection. Trades can be counter-trend, trend, inter-market or opportunistic within a two day average holding period. Rivercast targets annualized volatility below 11% and a Sharpe ratio over 1. Rivercast uses a fixed risk management program that includes consistent sizing, capped margin usage, time stops at 4 days, and portfolio drawdown stops. The offered program is for consideration by qualified eligible persons ("QEPs") only, as such persons are defined in CFTC rule 4.7(a), and the Advisor will comply with the applicable requirements of R. 4.7. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. COMMODITY TRADING INVOLVES A SUBSTANTIAL RISK OF LOSS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION.

   

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
-21.27 6 4 1/1/2007 7/1/2007
-13.04 3 5 11/1/2007 2/1/2008
-10.76 47 - 6/1/2015 5/1/2019
-9.92 2 3 2/1/2004 4/1/2004
-7.88 3 3 4/1/2006 7/1/2006
-7.76 6 12 2/1/2010 8/1/2010
-5.50 4 1 3/1/2005 7/1/2005
-3.55 2 3 8/1/2009 10/1/2009
-2.93 2 4 8/1/2011 10/1/2011
-2.70 1 2 12/1/2005 1/1/2006
-2.04 1 1 1/1/0001 1/1/2004
-1.09 2 3 12/1/2013 2/1/2014
-0.96 2 1 10/1/2008 12/1/2008
-0.89 1 2 9/1/2012 10/1/2012
-0.84 1 2 6/1/2012 7/1/2012
-0.56 2 2 2/1/2013 4/1/2013
-0.54 1 1 7/1/2013 8/1/2013
-0.49 1 1 12/1/2014 1/1/2015
-0.40 1 1 10/1/2004 11/1/2004
-0.17 1 1 10/1/2005 11/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
30.59 6 5/1/2004 10/1/2004
27.81 4 8/1/2007 11/1/2007
23.87 8 1/1/2009 8/1/2009
21.16 5 6/1/2008 10/1/2008
19.10 6 8/1/2006 1/1/2007
13.60 3 2/1/2006 4/1/2006
12.12 3 8/1/2005 10/1/2005
10.58 4 12/1/2004 3/1/2005
7.80 8 11/1/2011 6/1/2012
7.68 10 3/1/2014 12/1/2014
6.33 7 12/1/2010 6/1/2011
6.21 4 11/1/2009 2/1/2010
5.01 2 3/1/2008 4/1/2008
4.53 2 9/1/2010 10/1/2010
4.18 4 9/1/2013 12/1/2013
3.87 4 11/1/2012 2/1/2013
3.62 1 12/1/2005 12/1/2005
3.16 3 5/1/2013 7/1/2013
2.97 1 2/1/2004 2/1/2004
2.74 5 2/1/2015 6/1/2015
2.65 1 6/1/2006 6/1/2006
2.48 1 8/1/2011 8/1/2011
2.39 1 5/1/2007 5/1/2007
2.14 2 6/1/2019 7/1/2019
1.67 6 5/1/2016 10/1/2016
1.60 5 6/1/2017 10/1/2017
1.47 1 5/1/2005 5/1/2005
1.44 2 8/1/2012 9/1/2012
1.23 3 7/1/2018 9/1/2018
1.17 4 1/1/2019 4/1/2019
0.99 4 1/1/2017 4/1/2017
0.59 1 11/1/2018 11/1/2018
0.49 1 4/1/2010 4/1/2010
0.38 2 4/1/2018 5/1/2018
0.01 1 6/1/2010 6/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.04 3 12/1/2007 2/1/2008
-12.96 3 2/1/2007 4/1/2007
-11.66 2 6/1/2007 7/1/2007
-9.92 2 3/1/2004 4/1/2004
-6.99 10 7/1/2015 4/1/2016
-6.95 1 5/1/2006 5/1/2006
-6.51 5 11/1/2017 3/1/2018
-4.82 1 4/1/2005 4/1/2005
-4.22 1 5/1/2010 5/1/2010
-3.56 1 7/1/2006 7/1/2006
-3.55 2 9/1/2009 10/1/2009
-2.93 2 7/1/2010 8/1/2010
-2.93 2 9/1/2011 10/1/2011
-2.84 1 11/1/2010 11/1/2010
-2.70 1 1/1/2006 1/1/2006
-2.29 1 10/1/2018 10/1/2018
-2.15 2 6/1/2005 7/1/2005
-2.04 1 1/1/2004 1/1/2004
-1.28 1 3/1/2010 3/1/2010
-1.19 1 5/1/2019 5/1/2019
-1.09 2 1/1/2014 2/1/2014
-0.96 2 11/1/2008 12/1/2008
-0.89 1 10/1/2012 10/1/2012
-0.84 1 7/1/2012 7/1/2012
-0.62 1 12/1/2018 12/1/2018
-0.56 2 3/1/2013 4/1/2013
-0.54 1 8/1/2013 8/1/2013
-0.52 2 11/1/2016 12/1/2016
-0.49 1 1/1/2015 1/1/2015
-0.40 1 11/1/2004 11/1/2004
-0.32 1 5/1/2008 5/1/2008
-0.25 1 5/1/2017 5/1/2017
-0.17 1 11/1/2005 11/1/2005
-0.09 1 6/1/2018 6/1/2018
-0.07 1 7/1/2011 7/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods187.00185.00182.00176.00170.00164.00152.00140.00128.00
Percent Profitable66.8472.4374.1876.1476.4781.1086.8487.8692.19
Average Period Return0.601.813.827.5511.2015.2523.0932.5444.34
Average Gain1.803.796.4511.1215.7619.6127.3837.8448.24
Average Loss-1.84-3.38-3.73-3.84-3.61-3.46-5.21-5.76-1.68
Best Period13.7323.2230.5943.5955.5874.2577.3083.37138.21
Worst Period-9.79-13.04-21.27-7.45-7.20-5.83-9.72-10.16-3.41
Standard Deviation2.815.037.2010.8014.3217.0520.1325.4433.76
Gain Standard Deviation2.164.076.239.9013.3616.0418.0322.4332.26
Loss Standard Deviation2.373.343.542.272.111.562.623.140.93
Sharpe Ratio (1%)0.180.310.460.610.680.781.001.121.16
Average Gain / Average Loss0.981.121.732.904.365.665.256.5728.79
Profit / Loss Ratio1.982.954.979.2414.1824.2934.6647.52339.69
Downside Deviation (10%)1.873.003.674.685.936.778.9610.9111.08
Downside Deviation (5%)1.752.582.792.612.692.483.143.601.96
Downside Deviation (0%)1.722.482.602.172.021.652.112.270.53
Sortino Ratio (10%)0.100.200.370.550.610.740.821.011.51
Sortino Ratio (5%)0.290.611.192.513.615.336.387.9220.02
Sortino Ratio (0%)0.350.731.473.485.549.2610.9614.3383.71

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.