Rivoli Fund Management : Rivoli International Fund (V9) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 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 May Qtr 2020 1yr 3yr 5yr 10yr Since1/2002 Rivoli International Fund (V9) -1.21 - - - -15.32 -15.89 -19.31 107.24 S&P 500 -6.58 - - - 29.91 41.62 196.32 228.90 +/- S&P 500 5.37 - - - -45.23 -57.51 -215.63 -121.66 Strategy Description SummaryRivoli 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... Read More 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 SummaryRivoli 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 ManagementA 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods209.00207.00204.00198.00192.00186.00174.00162.00150.00 Percent Profitable52.6354.1153.4353.5460.4263.9872.9975.9380.00 Average Period Return0.431.302.785.347.299.7216.3624.4330.99 Average Gain3.326.449.8715.3216.6019.4925.4834.7540.39 Average Loss-2.79-4.75-5.36-6.17-6.92-7.64-8.27-8.09-6.63 Best Period14.9128.6339.5766.5963.2656.6978.41108.24115.42 Worst Period-10.43-14.89-21.53-22.59-26.10-18.20-23.67-30.21-16.39 Standard Deviation3.977.3410.3315.3716.6417.9122.8332.1535.08 Gain Standard Deviation2.825.638.5014.2114.7814.8119.7029.8633.01 Loss Standard Deviation2.193.504.735.355.645.356.939.364.96 Sharpe Ratio (1%)0.090.140.220.280.350.430.580.630.74 Average Gain / Average Loss1.191.361.842.482.402.553.084.296.09 Profit / Loss Ratio1.321.602.112.863.664.538.3213.5424.38 Downside Deviation (10%)2.674.696.258.4910.0211.5514.0817.2619.40 Downside Deviation (5%)2.484.135.136.096.376.616.887.525.80 Downside Deviation (0%)2.443.994.875.565.605.585.586.033.68 Sortino Ratio (10%)0.010.020.050.04-0.03-0.050.040.170.17 Sortino Ratio (5%)0.140.260.440.710.911.171.942.714.47 Sortino Ratio (0%)0.180.330.570.961.301.742.934.058.42 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. x {{title}} x {{title}} Add Cancel