Rivercast Capital LLC : Rivercast Program

Year-to-Date: 6.46%
Dec Performance: 0.52%

Min Investment: $ 500k
Mgmt. Fee: 1.00%
Perf. Fee: 25.00%

Annualized Vol: 9.62%
Sharpe (RFR=1%): 0.65
CAROR: 6.98%

Assets: $ 1.0M
Worst DD: -21.27
S&P Correlation: 0.09

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2004
Rivercast Program	0.52	1.89	6.46	6.46	1.02	-2.84	24.84	194.49
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	182.67
+/- S&P 500	-2.34	-6.64	-22.41	-22.41	-41.82	-58.16	-161.89	11.82

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor: 3.00
Management Fee: 1.00%
Performance Fee: 25.00%
Average Commission: $7.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 1000 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: 100.00%
Intraday: 0%

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.

Risk Management

The firm is diversified in trade selection. Trades can be counter-trend, trend, or opportunistic within a 10 to 15 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, and knowledge of worst case scenarios. Rivercast does not use arbitrary stops and positions to be able to maintain consistent exposure even during draw downs. 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.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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

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
6.49	7	6/1/2019	12/1/2019
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
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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	192.00	190.00	187.00	181.00	175.00	169.00	157.00	145.00	133.00
Percent Profitable	67.71	73.16	74.87	76.80	77.14	78.70	85.35	85.52	88.72
Average Period Return	0.60	1.84	3.83	7.46	11.00	14.73	22.35	31.39	42.62
Average Gain	1.77	3.75	6.37	10.87	15.33	19.61	26.98	37.53	48.24
Average Loss	-1.84	-3.38	-3.73	-3.84	-3.61	-3.30	-4.62	-4.93	-1.61
Best Period	13.73	23.22	30.59	43.59	55.58	74.25	77.30	83.37	138.21
Worst Period	-9.79	-13.04	-21.27	-7.45	-7.20	-5.83	-9.72	-10.16	-3.41
Standard Deviation	2.78	4.97	7.11	10.67	14.17	17.06	20.22	25.73	34.25
Gain Standard Deviation	2.13	4.00	6.14	9.82	13.30	16.04	18.19	22.59	32.26
Loss Standard Deviation	2.37	3.34	3.54	2.27	2.11	1.55	2.90	3.34	0.88
Sharpe Ratio (1%)	0.19	0.32	0.47	0.61	0.67	0.75	0.96	1.06	1.10
Average Gain / Average Loss	0.96	1.11	1.71	2.83	4.24	5.95	5.84	7.62	29.97
Profit / Loss Ratio	2.02	3.03	5.09	9.37	14.32	21.98	34.02	44.97	235.77
Downside Deviation (10%)	1.85	2.96	3.62	4.63	5.88	7.01	9.26	11.51	12.25
Downside Deviation (5%)	1.72	2.54	2.75	2.57	2.65	2.56	3.15	3.66	2.31
Downside Deviation (0%)	1.70	2.45	2.56	2.14	1.99	1.68	2.08	2.25	0.61
Sortino Ratio (10%)	0.11	0.21	0.38	0.53	0.58	0.64	0.71	0.85	1.22
Sortino Ratio (5%)	0.30	0.62	1.21	2.51	3.59	4.97	6.14	7.46	16.23
Sortino Ratio (0%)	0.36	0.75	1.49	3.48	5.52	8.78	10.77	13.95	69.72

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.

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Program Name	CAROR
Rivercast Program	6.98%

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Rivercast Capital LLC : Rivercast Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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