Rivoli Fund Management : Rivoli International Fund (E)

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

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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	2020	1yr	3yr	5yr	10yr	Since 10/1996
Rivoli International Fund (E)	-4.42	-	-	0.00	-20.56	-23.09	-30.25	269.95
S&P 500	2.86	-	-	28.87	42.84	55.32	186.74	427.08
+/- S&P 500	-7.28	-	-	-28.87	-63.40	-78.41	-216.98	-157.13

Strategy Description

Summary

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

Summary

Rivoli 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 Management

A 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.

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	279.00	277.00	274.00	268.00	262.00	256.00	244.00	232.00	220.00
Percent Profitable	56.63	58.48	58.39	61.19	65.65	70.31	76.23	77.59	77.73
Average Period Return	0.57	1.73	3.54	6.82	10.28	14.16	22.09	31.73	40.85
Average Gain	3.67	6.72	10.63	16.07	20.26	24.98	33.41	45.03	55.92
Average Loss	-3.48	-5.31	-6.42	-7.77	-8.81	-11.48	-14.22	-14.29	-11.74
Best Period	15.63	22.02	38.43	47.28	58.45	73.74	90.26	129.93	166.78
Worst Period	-14.54	-16.51	-20.06	-33.21	-25.48	-27.78	-36.24	-44.79	-35.57
Standard Deviation	4.56	7.44	10.97	15.63	18.70	22.45	29.89	38.51	43.76
Gain Standard Deviation	3.01	4.93	8.19	12.36	14.73	17.16	24.52	32.80	37.66
Loss Standard Deviation	2.68	3.81	5.04	6.35	6.86	7.99	9.91	12.64	9.00
Sharpe Ratio (1%)	0.11	0.20	0.28	0.37	0.47	0.54	0.64	0.72	0.82
Average Gain / Average Loss	1.06	1.27	1.66	2.07	2.30	2.18	2.35	3.15	4.76
Profit / Loss Ratio	1.38	1.78	2.33	3.26	4.40	5.15	7.53	10.91	16.63
Downside Deviation (10%)	3.10	4.87	6.59	8.94	10.55	12.79	16.13	19.11	20.47
Downside Deviation (5%)	2.93	4.33	5.51	6.74	7.25	8.53	9.69	10.53	9.02
Downside Deviation (0%)	2.89	4.20	5.25	6.24	6.53	7.60	8.43	8.99	6.95
Sortino Ratio (10%)	0.05	0.10	0.16	0.20	0.25	0.31	0.39	0.53	0.65
Sortino Ratio (5%)	0.17	0.34	0.55	0.86	1.21	1.42	1.97	2.63	3.96
Sortino Ratio (0%)	0.20	0.41	0.67	1.09	1.57	1.86	2.62	3.53	5.88

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.

^#10

Top Performer

SYSTEMATIC TRADER INDEX

FEBRUARY
2010

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Rivoli Fund Management : Rivoli International Fund (E)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Rivoli Fund Management : Rivoli International Fund (E)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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