Rivoli Fund Management : Rivoli International Fund (V9)

Year-to-Date: 2.15%
May Performance: -1.21%

Min Investment: $ 5,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 13.76%
Sharpe (RFR=1%): 0.30
CAROR: 4.27%

Assets: $ 1.0M
Worst DD: -32.07
S&P Correlation: -0.08

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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	May	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2002
Rivoli International Fund (V9)	-1.21	4.14	-2.15	-8.11	-14.48	-10.54	-11.13	107.24
S&P 500	-6.58	-1.17	9.77	1.72	29.91	41.62	196.32	140.99
+/- S&P 500	5.37	5.31	-11.92	-9.83	-44.39	-52.15	-207.45	-33.75

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 5,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: Daily
Redemption Frequency: Daily
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 Managed Account Program (target volatility 9%) 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 = 9% 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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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

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Standard Deviation:
Worst Loss:
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Average Loss:
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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:
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Sharpe Ratio: (RF=1%)
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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
-32.07	47	-	3/1/2015	2/1/2019
-27.86	15	13	5/1/2003	8/1/2004
-14.89	3	2	1/1/2002	4/1/2002
-14.35	6	12	3/1/2006	9/1/2006
-12.92	6	40	12/1/2010	6/1/2011
-7.85	3	11	1/1/2009	4/1/2009
-5.82	1	1	9/1/2005	10/1/2005
-5.67	2	1	9/1/2002	11/1/2002
-4.02	1	1	10/1/2010	11/1/2010
-3.72	1	5	3/1/2008	4/1/2008
-3.25	1	4	3/1/2010	4/1/2010
-2.13	1	2	2/1/2003	3/1/2003
-1.45	1	1	8/1/2010	9/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
42.03	5	5/1/2002	9/1/2002
27.65	5	11/1/2005	3/1/2006
27.07	8	8/1/2014	3/1/2015
25.43	3	12/1/2002	2/1/2003
22.66	7	9/1/2007	3/1/2008
22.22	5	9/1/2004	1/1/2005
19.65	3	5/1/2005	7/1/2005
14.91	3	12/1/2003	2/1/2004
13.34	9	5/1/2008	1/1/2009
10.45	2	7/1/2011	8/1/2011
10.41	2	12/1/2006	1/1/2007
9.36	1	6/1/2016	6/1/2016
7.56	1	9/1/2005	9/1/2005
7.34	2	12/1/2012	1/1/2013
6.50	2	4/1/2007	5/1/2007
6.39	1	12/1/2010	12/1/2010
6.32	3	1/1/2010	3/1/2010
6.28	2	12/1/2017	1/1/2018
5.98	1	10/1/2017	10/1/2017
5.91	3	3/1/2013	5/1/2013
5.83	3	10/1/2013	12/1/2013
5.80	2	1/1/2016	2/1/2016
5.42	2	3/1/2019	4/1/2019
5.07	3	12/1/2011	2/1/2012
4.67	2	4/1/2003	5/1/2003
4.62	1	5/1/2012	5/1/2012
4.46	1	4/1/2011	4/1/2011
4.05	4	2/1/2017	5/1/2017
4.03	1	11/1/2009	11/1/2009
3.98	2	7/1/2010	8/1/2010
3.86	1	1/1/2002	1/1/2002
3.60	1	10/1/2006	10/1/2006
3.54	1	8/1/2009	8/1/2009
3.09	1	7/1/2012	7/1/2012
3.03	1	11/1/2015	11/1/2015
2.94	1	5/1/2009	5/1/2009
2.48	1	6/1/2006	6/1/2006
2.23	2	7/1/2018	8/1/2018
1.99	1	12/1/2018	12/1/2018
1.94	1	3/1/2005	3/1/2005
1.88	1	2/1/2011	2/1/2011
1.80	1	5/1/2010	5/1/2010
1.79	1	10/1/2010	10/1/2010
1.58	1	7/1/2015	7/1/2015
1.23	2	5/1/2014	6/1/2014
1.15	2	11/1/2016	12/1/2016
0.79	1	2/1/2014	2/1/2014
0.09	1	7/1/2017	7/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-21.53	6	3/1/2004	8/1/2004
-19.99	6	6/1/2003	11/1/2003
-14.89	3	2/1/2002	4/1/2002
-14.01	5	2/1/2018	6/1/2018
-11.50	3	7/1/2006	9/1/2006
-9.89	2	5/1/2011	6/1/2011
-9.77	4	7/1/2016	10/1/2016
-9.56	3	4/1/2015	6/1/2015
-9.02	3	9/1/2018	11/1/2018
-8.71	4	8/1/2012	11/1/2012
-7.85	3	2/1/2009	4/1/2009
-7.51	1	4/1/2005	4/1/2005
-7.33	4	6/1/2013	9/1/2013
-7.04	3	3/1/2016	5/1/2016
-6.89	3	8/1/2015	10/1/2015
-6.04	2	1/1/2019	2/1/2019
-5.82	1	10/1/2005	10/1/2005
-5.67	2	10/1/2002	11/1/2002
-5.56	2	4/1/2006	5/1/2006
-5.43	3	9/1/2011	11/1/2011
-5.11	1	1/1/2014	1/1/2014
-5.10	1	6/1/2012	6/1/2012
-4.77	1	1/1/2011	1/1/2011
-4.64	1	3/1/2011	3/1/2011
-4.57	1	12/1/2015	12/1/2015
-4.31	2	2/1/2007	3/1/2007
-4.02	1	11/1/2010	11/1/2010
-3.94	2	9/1/2009	10/1/2009
-3.90	1	2/1/2005	2/1/2005
-3.77	1	1/1/2017	1/1/2017
-3.72	1	4/1/2008	4/1/2008
-3.50	2	3/1/2014	4/1/2014
-3.25	1	4/1/2010	4/1/2010
-3.04	2	8/1/2017	9/1/2017
-2.13	1	3/1/2003	3/1/2003
-2.05	2	6/1/2009	7/1/2009
-1.97	2	3/1/2012	4/1/2012
-1.63	1	12/1/2009	12/1/2009
-1.45	1	9/1/2010	9/1/2010
-1.29	1	6/1/2017	6/1/2017
-1.21	1	5/1/2019	5/1/2019
-1.15	3	6/1/2007	8/1/2007
-0.95	1	6/1/2010	6/1/2010
-0.81	1	7/1/2014	7/1/2014
-0.75	1	2/1/2013	2/1/2013
-0.70	1	8/1/2005	8/1/2005
-0.64	1	11/1/2017	11/1/2017
-0.37	1	11/1/2006	11/1/2006

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	209.00	207.00	204.00	198.00	192.00	186.00	174.00	162.00	150.00
Percent Profitable	52.63	54.11	53.43	53.54	60.42	63.98	72.99	75.93	80.00
Average Period Return	0.43	1.30	2.78	5.34	7.29	9.72	16.36	24.43	30.99
Average Gain	3.32	6.44	9.87	15.32	16.60	19.49	25.48	34.75	40.39
Average Loss	-2.79	-4.75	-5.36	-6.17	-6.92	-7.64	-8.27	-8.09	-6.63
Best Period	14.91	28.63	39.57	66.59	63.26	56.69	78.41	108.24	115.42
Worst Period	-10.43	-14.89	-21.53	-22.59	-26.10	-18.20	-23.67	-30.21	-16.39
Standard Deviation	3.97	7.34	10.33	15.37	16.64	17.91	22.83	32.15	35.08
Gain Standard Deviation	2.82	5.63	8.50	14.21	14.78	14.81	19.70	29.86	33.01
Loss Standard Deviation	2.19	3.50	4.73	5.35	5.64	5.35	6.93	9.36	4.96
Sharpe Ratio (1%)	0.09	0.14	0.22	0.28	0.35	0.43	0.58	0.63	0.74
Average Gain / Average Loss	1.19	1.36	1.84	2.48	2.40	2.55	3.08	4.29	6.09
Profit / Loss Ratio	1.32	1.60	2.11	2.86	3.66	4.53	8.32	13.54	24.38
Downside Deviation (10%)	2.67	4.69	6.25	8.49	10.02	11.55	14.08	17.26	19.40
Downside Deviation (5%)	2.48	4.13	5.13	6.09	6.37	6.61	6.88	7.52	5.80
Downside Deviation (0%)	2.44	3.99	4.87	5.56	5.60	5.58	5.58	6.03	3.68
Sortino Ratio (10%)	0.01	0.02	0.05	0.04	-0.03	-0.05	0.04	0.17	0.17
Sortino Ratio (5%)	0.14	0.26	0.44	0.71	0.91	1.17	1.94	2.71	4.47
Sortino Ratio (0%)	0.18	0.33	0.57	0.96	1.30	1.74	2.93	4.05	8.42

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	4	2.48	6/2006
Systematic Trader Index	Month	8	2.48	6/2006
Diversified Trader Index	Month	7	8.37	12/2005
IASG CTA Index	Month	8	8.37	12/2005
Systematic Trader Index	Month	5	8.37	12/2005
Systematic Trader Index	Month	10	7.56	9/2005
Diversified Trader Index	Month	10	7.12	6/2005
Systematic Trader Index	Month	10	7.12	6/2005
Diversified Trader Index	Month	10	9.79	5/2005
IASG CTA Index	Month	6	2.19	1/2005
Diversified Trader Index	Month	2	2.19	1/2005
Systematic Trader Index	Month	4	2.19	1/2005
Systematic Trader Index	Month	9	3.17	12/2004
Diversified Trader Index	Month	9	3.17	12/2004

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

^#4

Top Performer

DIVERSIFIED TRADER INDEX

JUNE
2006

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More Programs by Rivoli Fund Management

Program Name	CAROR
Rivoli International Fund (E)	6.02%
Long/Short Bond Fund (Class P)	3.04%

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Rivoli Fund Management : Rivoli International Fund (V9)

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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