Rivoli Fund Management : Rivoli International Fund (E) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance -4.42% Min Investment € 5,000k Mgmt. Fee 3.00% Perf. Fee 20.00% Annualized Vol 15.80% Sharpe (RFR=1%) 0.39 CAROR 6.02% Assets € 5.1M Worst DD -47.01 S&P Correlation -0.12 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since10/1996 Rivoli International Fund (E) -4.42 - - - -13.54 -24.55 -21.80 269.95 S&P 500 2.86 - - - 42.84 55.32 186.74 475.60 +/- S&P 500 -7.28 - - - -56.38 -79.88 -208.53 -205.65 Strategy Description SummaryRivoli International Fund (target volatility 14%) is designed to generate absolute performance with a low correlation to traditional long only investment approaches, and with a strict risk management process. It uses systematic, computerized, price based and non discretionary trading... Read More Account & Fees Type Managed Account Minimum Investment € 5,000k Trading Level Incremental Increase € 0k CTA Max Funding Factor Management Fee 3.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Diversified 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 Composition SummaryRivoli International Fund (target volatility 14%) is designed to generate absolute performance with a low correlation to traditional long only investment approaches, and with a strict risk management process. It uses systematic, computerized, price based and non discretionary trading systems which aim to profit from market inefficiencies that appear on many futures markets (interest rates, bonds, stock indices, currency markets, energy markets, metals, grains and soft commodities). The fund trading is focused on very short term to very long term trend following, short term contrarian and specific multi-market arbitrage strategies. The program is offered through a Euro master fund, a USD feeder fund, and can be duplicated for managed accounts.Risk ManagementA target level of risk is set at a fund level (risk budget = 14% volatility). This risk budget is then equally split between strategies and markets taking into account volatility and correlations. A final control of the target level of risk is done before actually taking any position. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling 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: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -47.01 47 - 3/1/2015 2/1/2019 -19.53 23 24 12/1/2010 11/1/2012 -15.49 7 10 4/1/2006 11/1/2006 -14.58 6 5 10/1/2004 4/1/2005 -12.22 4 11 12/1/2008 4/1/2009 -10.87 8 3 9/1/2001 5/1/2002 -9.82 6 3 4/1/1999 10/1/1999 -9.71 2 10 2/1/2003 4/1/2003 -6.88 2 2 9/1/2002 11/1/2002 -6.49 1 1 10/1/2010 11/1/2010 -6.46 2 6 2/1/2004 4/1/2004 -6.02 1 6 3/1/2008 4/1/2008 -5.61 1 1 9/1/2005 10/1/2005 -5.38 1 4 3/1/2010 4/1/2010 -5.06 2 1 2/1/2000 4/1/2000 -5.00 2 2 12/1/1998 2/1/1999 -3.75 1 2 8/1/2000 9/1/2000 -3.57 1 2 9/1/1998 10/1/1998 -2.49 1 1 8/1/2010 9/1/2010 -2.26 1 3 1/1/1998 2/1/1998 -1.48 1 2 3/1/2001 4/1/2001 -1.43 1 1 9/1/1997 10/1/1997 -1.32 1 1 7/1/1997 8/1/1997 -1.28 1 2 3/1/1997 4/1/1997 -0.90 1 1 1/1/2006 2/1/2006 -0.05 1 1 6/1/1998 7/1/1998 Show More Consecutive Gains Run-up Length (Mos.) Start End 45.05 8 8/1/2014 3/1/2015 36.44 7 9/1/2007 3/1/2008 27.56 6 10/1/2000 3/1/2001 20.61 3 11/1/2005 1/1/2006 19.49 3 6/1/2019 8/1/2019 19.17 2 8/1/1998 9/1/1998 18.93 8 5/1/2008 12/1/2008 18.00 4 6/1/2002 9/1/2002 16.32 2 7/1/2011 8/1/2011 15.92 4 11/1/1999 2/1/2000 15.53 5 5/1/2001 9/1/2001 14.26 4 3/1/1998 6/1/1998 14.13 1 6/1/2016 6/1/2016 13.93 4 5/1/2000 8/1/2000 11.46 6 10/1/1996 3/1/1997 10.92 2 4/1/2007 5/1/2007 10.90 2 12/1/2012 1/1/2013 10.69 2 5/1/2005 6/1/2005 10.34 3 1/1/2010 3/1/2010 10.30 3 12/1/2002 2/1/2003 9.87 2 8/1/2005 9/1/2005 9.81 1 12/1/2010 12/1/2010 9.45 3 3/1/2013 5/1/2013 9.14 1 5/1/2003 5/1/2003 8.99 2 3/1/2019 4/1/2019 8.99 2 12/1/2017 1/1/2018 8.97 1 10/1/2017 10/1/2017 8.89 2 3/1/2006 4/1/2006 8.47 3 10/1/2013 12/1/2013 8.45 2 12/1/2006 1/1/2007 8.45 2 1/1/2016 2/1/2016 7.63 3 11/1/1997 1/1/1998 7.49 1 5/1/2012 5/1/2012 7.42 2 3/1/1999 4/1/1999 7.17 3 12/1/2011 2/1/2012 6.67 2 7/1/2010 8/1/2010 6.58 1 4/1/2011 4/1/2011 6.14 1 11/1/2009 11/1/2009 5.79 4 2/1/2017 5/1/2017 5.57 1 8/1/2009 8/1/2009 5.42 3 5/1/1997 7/1/1997 5.19 1 7/1/2004 7/1/2004 5.03 1 8/1/2003 8/1/2003 4.60 1 3/1/2002 3/1/2002 4.56 1 7/1/2012 7/1/2012 4.45 1 5/1/2009 5/1/2009 4.41 1 10/1/2004 10/1/2004 4.27 3 10/1/2003 12/1/2003 4.25 1 11/1/2015 11/1/2015 4.16 2 11/1/1998 12/1/1998 3.88 1 2/1/2004 2/1/2004 3.24 2 7/1/2018 8/1/2018 2.96 1 12/1/2018 12/1/2018 2.92 1 5/1/2010 5/1/2010 2.89 1 2/1/2011 2/1/2011 2.89 1 10/1/2010 10/1/2010 2.87 2 6/1/1999 7/1/1999 2.75 1 12/1/2004 12/1/2004 2.41 1 7/1/2015 7/1/2015 2.27 2 11/1/2016 12/1/2016 1.97 1 9/1/1997 9/1/1997 1.83 2 12/1/2001 1/1/2002 1.61 1 5/1/2004 5/1/2004 1.26 1 2/1/2014 2/1/2014 1.01 2 5/1/2014 6/1/2014 0.92 1 10/1/2006 10/1/2006 0.80 1 11/1/2019 11/1/2019 0.59 1 9/1/1999 9/1/1999 0.21 1 7/1/2017 7/1/2017 0.08 1 3/1/2005 3/1/2005 Show More Consecutive Losses Run-up Length (Mos.) Start End -20.50 5 2/1/2018 6/1/2018 -15.14 2 5/1/2011 6/1/2011 -14.84 4 7/1/2016 10/1/2016 -14.03 3 9/1/2018 11/1/2018 -13.97 3 4/1/2015 6/1/2015 -13.17 4 8/1/2012 11/1/2012 -12.42 5 5/1/2006 9/1/2006 -12.22 4 1/1/2009 4/1/2009 -11.73 2 1/1/2005 2/1/2005 -11.58 4 6/1/2013 9/1/2013 -11.02 3 3/1/2016 5/1/2016 -10.66 3 8/1/2015 10/1/2015 -9.92 2 9/1/2019 10/1/2019 -9.71 2 3/1/2003 4/1/2003 -9.70 2 1/1/2019 2/1/2019 -8.31 3 9/1/2011 11/1/2011 -7.84 1 6/1/2012 6/1/2012 -7.75 1 1/1/2014 1/1/2014 -7.64 2 6/1/2003 7/1/2003 -7.30 1 10/1/1999 10/1/1999 -7.05 1 3/1/2011 3/1/2011 -6.97 2 10/1/2001 11/1/2001 -6.90 2 2/1/2007 3/1/2007 -6.88 2 10/1/2002 11/1/2002 -6.74 1 1/1/2011 1/1/2011 -6.61 1 12/1/2015 12/1/2015 -6.49 1 11/1/2010 11/1/2010 -6.46 2 3/1/2004 4/1/2004 -6.05 2 9/1/2009 10/1/2009 -6.02 1 4/1/2008 4/1/2008 -5.89 1 2/1/2002 2/1/2002 -5.83 1 1/1/2017 1/1/2017 -5.70 1 5/1/1999 5/1/1999 -5.61 1 10/1/2005 10/1/2005 -5.38 1 4/1/2010 4/1/2010 -5.30 2 3/1/2014 4/1/2014 -5.06 2 3/1/2000 4/1/2000 -5.00 2 1/1/1999 2/1/1999 -4.50 2 8/1/2017 9/1/2017 -4.42 2 4/1/2002 5/1/2002 -4.42 1 12/1/2019 12/1/2019 -4.39 1 11/1/2006 11/1/2006 -4.11 1 11/1/2004 11/1/2004 -3.75 1 9/1/2000 9/1/2000 -3.71 1 7/1/2005 7/1/2005 -3.57 1 10/1/1998 10/1/1998 -3.36 2 8/1/2004 9/1/2004 -3.17 2 6/1/2009 7/1/2009 -2.95 2 3/1/2012 4/1/2012 -2.68 3 6/1/2007 8/1/2007 -2.55 1 12/1/2009 12/1/2009 -2.49 1 9/1/2010 9/1/2010 -2.26 1 2/1/1998 2/1/1998 -2.23 1 1/1/2004 1/1/2004 -1.95 1 6/1/2017 6/1/2017 -1.86 1 4/1/2005 4/1/2005 -1.73 1 6/1/2010 6/1/2010 -1.60 1 5/1/2019 5/1/2019 -1.48 1 4/1/2001 4/1/2001 -1.43 1 10/1/1997 10/1/1997 -1.40 1 7/1/2014 7/1/2014 -1.32 1 8/1/1997 8/1/1997 -1.28 1 4/1/1997 4/1/1997 -1.14 1 2/1/2013 2/1/2013 -1.03 1 11/1/2017 11/1/2017 -0.90 1 2/1/2006 2/1/2006 -0.75 1 6/1/2004 6/1/2004 -0.46 1 9/1/2003 9/1/2003 -0.30 1 8/1/1999 8/1/1999 -0.05 1 7/1/1998 7/1/1998 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods279.00277.00274.00268.00262.00256.00244.00232.00220.00 Percent Profitable56.6358.4858.3961.1965.6570.3176.2377.5977.73 Average Period Return0.571.733.546.8210.2814.1622.0931.7340.85 Average Gain3.676.7210.6316.0720.2624.9833.4145.0355.92 Average Loss-3.48-5.31-6.42-7.77-8.81-11.48-14.22-14.29-11.74 Best Period15.6322.0238.4347.2858.4573.7490.26129.93166.78 Worst Period-14.54-16.51-20.06-33.21-25.48-27.78-36.24-44.79-35.57 Standard Deviation4.567.4410.9715.6318.7022.4529.8938.5143.76 Gain Standard Deviation3.014.938.1912.3614.7317.1624.5232.8037.66 Loss Standard Deviation2.683.815.046.356.867.999.9112.649.00 Sharpe Ratio (1%)0.110.200.280.370.470.540.640.720.82 Average Gain / Average Loss1.061.271.662.072.302.182.353.154.76 Profit / Loss Ratio1.381.782.333.264.405.157.5310.9116.63 Downside Deviation (10%)3.104.876.598.9410.5512.7916.1319.1120.47 Downside Deviation (5%)2.934.335.516.747.258.539.6910.539.02 Downside Deviation (0%)2.894.205.256.246.537.608.438.996.95 Sortino Ratio (10%)0.050.100.160.200.250.310.390.530.65 Sortino Ratio (5%)0.170.340.550.861.211.421.972.633.96 Sortino Ratio (0%)0.200.410.671.091.571.862.623.535.88 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 10 7.24 2/2010 Diversified Trader Index Month 9 7.63 9/2005 IASG CTA Index Month 10 7.63 9/2005 Systematic Trader Index Month 8 7.63 9/2005 Systematic Trader Index Month 8 8.19 6/2005 Diversified Trader Index Month 8 8.19 6/2005 Diversified Trader Index Month 10 2.75 12/2004 IASG CTA Index Month 9 5.19 7/2004 Systematic Trader Index Month 8 5.19 7/2004 Diversified Trader Index Month 7 5.19 7/2004 Systematic Trader Index Month 4 5.03 8/2003 Diversified Trader Index Month 8 5.03 8/2003 IASG CTA Index Month 10 5.03 8/2003 Systematic Trader Index Month 10 1.34 1/2002 Diversified Trader Index Month 8 1.34 1/2002 Diversified Trader Index Month 10 0.85 7/2000 Diversified Trader Index Month 6 9.85 5/2000 IASG CTA Index Month 7 9.85 5/2000 Systematic Trader Index Month 6 9.85 5/2000 Diversified Trader Index Month 4 6.14 1/2000 IASG CTA Index Month 5 6.14 1/2000 Systematic Trader Index Month 5 6.14 1/2000 Systematic Trader Index Month 9 2.33 3/1999 Systematic Trader Index Month 10 2.55 11/1998 Systematic Trader Index Month 1 5.58 6/1998 Diversified Trader Index Month 2 5.58 6/1998 IASG CTA Index Month 4 5.58 6/1998 Systematic Trader Index Month 8 0.04 4/1998 Diversified Trader Index Month 7 0.04 4/1998 Systematic Trader Index Month 8 -1.32 8/1997 Diversified Trader Index Month 6 -1.32 8/1997 Diversified Trader Index Month 10 -1.28 4/1997 Systematic Trader Index Month 10 -1.28 4/1997 Diversified Trader Index Month 6 1.59 12/1996 Systematic Trader Index Month 3 1.59 12/1996 IASG CTA Index Month 6 1.59 12/1996 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel