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Rivoli Fund Management : Rivoli International Fund (E)

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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%)
0.37
CAROR
5.79%
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 YTD 1yr 3yr 5yr 10yr Since
10/1996
Rivoli International Fund (E) -4.42 - - -7.00 -18.08 -33.10 -23.90 269.95
S&P 500 2.86 - - 28.87 42.84 55.32 186.74 359.03
+/- S&P 500 -7.28 - - -35.87 -60.92 -88.43 -210.64 -89.08

Strategy Description

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... 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

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.

   

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

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
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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
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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
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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.

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