Rivoli Fund Management : Long/Short Bond Fund (Class P)

Year-to-Date
11.66%
Sep Performance
-2.14%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.66%
Sharpe (RFR=1%)
0.35
CAROR
3.14%
Assets
$ 5.0M
Worst DD
-15.31
S&P Correlation
-0.26

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
12/2001
Long/Short Bond Fund (Class P) -2.14 2.46 11.66 13.51 2.07 3.81 11.10 73.52
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 156.60
+/- S&P 500 -3.86 1.27 -7.08 11.36 -33.82 -45.58 -167.59 -83.08

Strategy Description

Summary

The Rivoli Long Short Bond Fund aims to generate a performance completely independent of markets conditions by maintaining an exposure to government bonds and short-term interest rates. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
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
1600 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-16.00%
Worst Peak-to-Trough
Sector Focus
Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
15.00%
Technical
50.00%
Trend-following
35.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The Rivoli Long Short Bond Fund aims to generate a performance completely independent of markets conditions by maintaining an exposure to government bonds and short-term interest rates.

Investment Strategy

The fund was created in 2001 with the aim of delivering a net performance superior to that of EONIA. To achieve this objective, the fund follows three different strategies: • A directional strategy • A relative value strategy • Finally, a strategy which aims at benefitting from markets where there is no real momentum. The fund therefore has the ability to exploit different types of behavior. In effect, the fund can demonstrate a positive sensitivity when the markets are rising, but can equally change to a negative sensitivity should rates increase, thus profiting from a downward trend in bond markets.

Risk Management

Operational Risk ➢ Diverse underlying strategies with low correlations ➢ Diversification across major asset classes ➢ Designed to seek low correlation with equity markets ➢ Multiple data sources ➢ Daily back checking of actual trades vs. hypothetical trades ➢ Human oversight of trading ➢ Daily monitoring of VaR, Cvar, stress tests ➢ Full disaster recovery site ➢ Constant monitoring of counterparty creditworthiness ➢ Daily monitoring of account transactions

   

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
-15.31 76 - 5/1/2012 9/1/2018
-8.42 7 5 8/1/2010 3/1/2011
-5.79 5 7 11/1/2006 4/1/2007
-5.76 7 2 5/1/2009 12/1/2009
-5.34 3 8 6/1/2008 9/1/2008
-4.99 5 5 5/1/2003 10/1/2003
-4.14 6 2 9/1/2011 3/1/2012
-3.41 3 3 3/1/2004 6/1/2004
-2.87 2 1 2/1/2003 4/1/2003
-2.65 5 2 12/1/2001 5/1/2002
-1.98 1 1 6/1/2005 7/1/2005
-1.94 1 2 1/1/2005 2/1/2005
-1.75 2 1 9/1/2002 11/1/2002
-1.48 1 2 2/1/2010 3/1/2010
-1.10 1 1 6/1/2010 7/1/2010
-0.83 1 1 6/1/2006 7/1/2006
-0.53 1 1 9/1/2005 10/1/2005
-0.26 1 1 1/1/2006 2/1/2006
-0.22 1 2 2/1/2008 3/1/2008
-0.06 1 1 4/1/2006 5/1/2006
-0.03 1 1 9/1/2006 10/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
21.37 8 7/1/2007 2/1/2008
12.00 6 4/1/2011 9/1/2011
10.66 4 5/1/2019 8/1/2019
9.60 4 6/1/2002 9/1/2002
8.93 7 7/1/2004 1/1/2005
7.43 4 3/1/2005 6/1/2005
6.95 2 4/1/2012 5/1/2012
6.64 2 1/1/2010 2/1/2010
6.37 2 1/1/2016 2/1/2016
6.23 5 11/1/2003 3/1/2004
6.07 3 12/1/2002 2/1/2003
5.70 3 4/1/2008 6/1/2008
5.45 3 10/1/2008 12/1/2008
5.16 3 4/1/2010 6/1/2010
4.87 1 5/1/2003 5/1/2003
4.35 1 5/1/2009 5/1/2009
4.00 1 3/1/2019 3/1/2019
3.91 4 10/1/2014 1/1/2015
3.80 1 1/1/2018 1/1/2018
3.70 2 5/1/2016 6/1/2016
3.56 1 11/1/2009 11/1/2009
2.93 2 4/1/2014 5/1/2014
2.85 1 8/1/2010 8/1/2010
2.55 1 12/1/2010 12/1/2010
2.54 2 8/1/2005 9/1/2005
2.53 2 9/1/2015 10/1/2015
2.29 2 12/1/2018 1/1/2019
2.17 1 8/1/2017 8/1/2017
2.08 2 11/1/2016 12/1/2016
2.00 1 10/1/2013 10/1/2013
1.92 1 2/1/2017 2/1/2017
1.90 1 5/1/2007 5/1/2007
1.83 2 12/1/2011 1/1/2012
1.71 1 10/1/2017 10/1/2017
1.69 1 9/1/2003 9/1/2003
1.63 2 7/1/2014 8/1/2014
1.63 1 6/1/2013 6/1/2013
1.47 2 8/1/2006 9/1/2006
1.36 1 7/1/2012 7/1/2012
1.25 3 11/1/2005 1/1/2006
0.83 2 3/1/2006 4/1/2006
0.82 1 7/1/2009 7/1/2009
0.79 1 10/1/2018 10/1/2018
0.58 1 3/1/2002 3/1/2002
0.58 1 3/1/2015 3/1/2015
0.57 1 6/1/2006 6/1/2006
0.50 1 8/1/2013 8/1/2013
0.47 2 6/1/2015 7/1/2015
0.46 1 11/1/2006 11/1/2006
0.46 1 11/1/2012 11/1/2012
0.34 1 8/1/2008 8/1/2008
0.31 1 3/1/2013 3/1/2013
0.29 1 1/1/2007 1/1/2007
0.18 1 4/1/2017 4/1/2017
0.11 1 9/1/2016 9/1/2016
0.05 1 12/1/2001 12/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.58 8 2/1/2018 9/1/2018
-7.44 3 1/1/2011 3/1/2011
-4.95 2 4/1/2013 5/1/2013
-4.70 3 8/1/2012 10/1/2012
-4.60 3 8/1/2009 10/1/2009
-4.18 3 5/1/2017 7/1/2017
-4.09 2 4/1/2015 5/1/2015
-4.05 2 11/1/2015 12/1/2015
-3.93 3 2/1/2007 4/1/2007
-3.62 1 12/1/2009 12/1/2009
-3.61 2 3/1/2016 4/1/2016
-3.58 3 6/1/2003 8/1/2003
-3.52 3 9/1/2010 11/1/2010
-3.46 2 10/1/2011 11/1/2011
-3.41 3 4/1/2004 6/1/2004
-3.41 1 3/1/2017 3/1/2017
-3.41 1 9/1/2008 9/1/2008
-3.10 1 10/1/2003 10/1/2003
-2.87 2 3/1/2003 4/1/2003
-2.63 1 6/1/2012 6/1/2012
-2.60 4 1/1/2009 4/1/2009
-2.55 1 1/1/2017 1/1/2017
-2.54 2 1/1/2002 2/1/2002
-2.49 2 2/1/2012 3/1/2012
-2.33 1 7/1/2008 7/1/2008
-2.22 1 12/1/2006 12/1/2006
-2.14 1 9/1/2019 9/1/2019
-2.11 2 7/1/2016 8/1/2016
-1.98 1 7/1/2005 7/1/2005
-1.94 1 2/1/2005 2/1/2005
-1.84 1 6/1/2009 6/1/2009
-1.75 2 10/1/2002 11/1/2002
-1.73 1 9/1/2014 9/1/2014
-1.70 5 11/1/2013 3/1/2014
-1.59 1 9/1/2017 9/1/2017
-1.56 1 10/1/2016 10/1/2016
-1.48 1 3/1/2010 3/1/2010
-1.33 1 4/1/2019 4/1/2019
-1.19 3 12/1/2012 2/1/2013
-1.10 1 7/1/2010 7/1/2010
-0.96 1 2/1/2015 2/1/2015
-0.95 2 11/1/2017 12/1/2017
-0.84 1 2/1/2019 2/1/2019
-0.83 1 7/1/2006 7/1/2006
-0.82 1 6/1/2007 6/1/2007
-0.68 2 4/1/2002 5/1/2002
-0.55 1 7/1/2013 7/1/2013
-0.54 1 6/1/2014 6/1/2014
-0.53 1 8/1/2015 8/1/2015
-0.53 1 10/1/2005 10/1/2005
-0.26 1 2/1/2006 2/1/2006
-0.22 1 3/1/2008 3/1/2008
-0.12 1 9/1/2013 9/1/2013
-0.09 1 11/1/2018 11/1/2018
-0.06 1 5/1/2006 5/1/2006
-0.03 1 10/1/2006 10/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods214.00212.00209.00203.00197.00191.00179.00167.00155.00
Percent Profitable53.2759.4362.2065.0267.5171.7372.0773.0574.84
Average Period Return0.280.841.673.114.455.929.3012.8716.61
Average Gain1.652.844.266.408.259.9114.5618.9623.57
Average Loss-1.31-2.09-2.60-3.02-3.45-4.21-4.28-3.67-4.12
Best Period8.1514.8219.0328.0027.7628.7935.1944.6446.08
Worst Period-4.70-7.44-7.29-10.97-9.06-10.08-10.02-9.34-11.69
Standard Deviation1.923.164.726.667.798.8711.7214.7417.57
Gain Standard Deviation1.422.363.995.866.517.109.4212.4914.70
Loss Standard Deviation0.991.431.812.232.492.652.462.782.87
Sharpe Ratio (1%)0.100.190.250.320.380.440.530.600.65
Average Gain / Average Loss1.271.351.642.122.392.353.415.175.72
Profit / Loss Ratio1.461.982.703.944.975.978.7914.0217.03
Downside Deviation (10%)1.352.323.395.237.018.7512.3416.0119.81
Downside Deviation (5%)1.161.752.212.723.163.604.134.394.93
Downside Deviation (0%)1.111.611.952.222.422.642.602.382.51
Sortino Ratio (10%)-0.10-0.17-0.24-0.36-0.45-0.50-0.52-0.54-0.56
Sortino Ratio (5%)0.170.340.530.780.931.081.522.012.33
Sortino Ratio (0%)0.250.520.861.401.842.243.575.416.62

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.