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Rivoli Fund Management : Rivoli International Fund (V9)

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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
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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 2020 1yr 3yr 5yr 10yr Since
1/2002
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

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... 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

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.

   

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
-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
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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
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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.

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