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Program Details

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Rivoli Fund Management 

Rivoli International Fund EUR

Manager: Thaddee Tyl Vincent Gleyze

Address: 6 avenue Kl├ęber, Paris, 75116, France

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Sep 28, 1996
AUM:$98,530,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:3%
Min Investment:$10,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:153.84%243.75%
Annual ROR:6.37%8.53%
YTD:0.00%5.53%
1 Year:0.00%14.40%
Alpha:-0.45
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.70%6295.28%
Average Monthly Loss:-3.28%-3.69%
Winning Months:109171
Losing Months:7110
Current DD:30.0619.11
Max DD:37.7952.56
Sharpe Ratio (RF 1%):0.35
Annualized Std Dev:15.21

Methodology

Discretionary:0%
Systematic:100%

Strategy

DirectionalLong / Short
Holding PeriodLong Term
---------------------------

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2011-6.742.89-7.056.58-10.63-5.0512.713.20-0.82-5.83-12.37
20100.427.242.46-5.382.92-1.730.735.90-2.492.89-6.499.8116.04
2009-0.05-0.38-4.51-7.684.45-2.72-0.465.57-0.86-5.246.14-2.62-31.22
20087.069.030.64-6.020.250.761.241.432.247.692.571.5331.31
20074.50-5.40-1.607.003.70-1.50-0.75-0.4310.272.532.230.4922.03
20063.80-0.904.003.90-2.20-0.30-4.60-5.00-1.000.90-4.403.70-2.73
2005-2.60-9.300.10-1.902.308.20-3.702.107.60-5.609.905.7025.97
2004-2.203.90-3.70-2.901.60-0.705.20-1.70-1.704.40-4.102.700.20
20032.802.10-6.20-3.709.10-3.90-3.905.00-0.500.700.802.804.14
20021.30-5.904.60-1.60-2.906.803.502.104.60-4.50-2.505.1010.06
20010.401.009.40-1.500.501.503.004.804.90-0.80-6.200.5018.03
20006.103.50-4.60-0.509.900.300.802.50-3.801.206.107.10-15.07
1999-2.00-3.102.305.00-5.702.000.80-0.300.60-7.302.802.70-2.92
19983.00-2.301.806.305.60-0.1015.603.10-3.602.501.6037.45
19975.603.100.20-2.101.501.902.80-1.302.00-1.401.502.9017.73
19960.300.301.602.21

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

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 Strategy
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.

Company Info

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Manager Info

Thaddee TYL (President and Chief Executive Officer) : As a graduate from the Ecole Polytechnique and ENSAE, Thaddee Tyl started his career at the French National Institute of Statistics (INSEE). He then joined the Societe Generale group where he had various successively different responsibilities in the derivatives arena, in France, Australia and Asia. He launched the futures fund activity at BAREP (SG group).

Vincent GLEYZE (Associate and Executive Officer) : After mathematical studies, Vincent Gleyze started his career in 1987 at SG Warburg as a trader on futures and bonds. He then joined BRED (Banques Populaires group) where he developed the market-making activity for the bond markets.