Ravinia Investment Management, LLC
Algorithmic Multi-Strategy
Principal(s): Kyle Schultz
Strategy: Algorithmic / Multi Strategy / Indices & Financials
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The Algorithmic Multi-Strategy program is an algorithmically traded managed futures portfolio that trades long and short positions in equity index futures and treasury futures. Trading strategies include intraday strategies with average trade duration ranging from minutes to hours, and mid-frequency strategies with holdings periods measured in days to weeks. Diversification is considered by trading style, market, and timeframe to target consistent annual performance with lower drawdowns. The portfolio is constructed to generate absolute returns, while emphasizing positive convexity and negative correlation to equity markets during periods of market crisis and volatility.
The Program uses systematic trading strategies to generate trading signals, instead of attempting to predict market movements based solely on judgement or fundamental analysis. Comprehensive quantitative analysis is utilized to develop the trading strategies and determine signals and rules for establishing and closing positions. Intraday trading strategies are emphasized, in addition to mid-frequency strategies, which are all algorithmically traded.
The Program has various approaches to risk management, which includes placing "stop loss" orders, and diversifying across trading strategies. In addition, Ravinia believes an important method of managing risk is to limit position size, so as to maintain excess margin capacity in each account. At most times, the Advisor would expect each client's account to have free cash equal to 80%-90% of the account's equity value.
Kyle Schultz is the Managing Director at Ravinia Investment Management. He has over 10 years of investment management experience. Prior to starting Ravinia, Mr. Schultz led hedge fund research at Jackson National Asset Management, an insurance company with over $150 billion in assets. He researched and allocated capital to hedge funds across investment strategies, in addition to utilizing quantitative analysis to develop asset allocation funds on Jackson's platform and implement their equity attribution system. Mr. Schultz started his career as a research analyst at Ellwood Associates, an investment consulting firm in Chicago.
Mr. Schultz received his MBA from UCLA Anderson School of Management where he was awarded the Fink Center Investment Management Fellowship and Edward L. Shapiro Fellowship. Mr. Schultz earned his Bachelor of Business Administration from University of Iowa. He has passed all three Chartered Financial Analyst (CFA) exams.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR* | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -2.76% | 0.15% | -0.09% | -3.74% | – | – | – | – | – | – | – | – | -6.44% | -6.34% |
| 2023 | 4.52% | -3.22% | 0.62% | 1.40% | -2.39% | -0.09% | -0.30% | -1.51% | -1.60% | 0.45% | 3.10% | 2.90% | 3.88% | -6.95% |
| 2022 | -5.83% | -6.77% | 0.84% | 1.44% | 0.05% | -9.02% | -1.53% | 0.66% | 6.15% | -3.30% | 0.15% | 0.11% | -17.05% | -19.50% |
| 2021 | 0.22% | 3.30% | 4.07% | 3.57% | 0.12% | -0.19% | 4.01% | 1.05% | -6.62% | 1.58% | -0.65% | -4.35% | 6.11% | -9.86% |
| 2020 | 10.98% | -6.06% | 12.12% | 10.68% | 2.81% | 4.03% | -1.41% | 14.30% | -10.70% | 3.65% | -7.69% | 0.99% | 33.70% | -14.56% |
| 2019 | – | – | – | 3.48% | -0.95% | 2.53% | 0.74% | 4.54% | -2.56% | -3.70% | 6.06% | 7.43% | 17.57% | -6.16% |
Track Record Compiled By: Dan Scheffel, CPA
Accounting Notes: This program commenced trading while the Advisor was exempt from NFA registration under 4.14(a)(10) with accounts that transferred over from the Volatility Alpha Program. These account balances were transferred under their High-Water Mark and a pro-forma performance fee of 20% was applied while the account balances remained under their High-Water Mark. The pro-forma performance fee is calculated at a rate of 20% of pro-forma gross profits and losses reduced by the management fee. Performance is calculate and compiled by Dan Scheffel, CPA
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.>
Risk Disclosure
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.