Ravinia Investment Management : Algorithmic Multi-Strategy

Year-to-Date
16.15%
Aug Performance
1.05%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.53%
Sharpe (RFR=1%)
1.38
CAROR
29.45%
Assets
$ 3.3M
Worst DD
-14.56
S&P Correlation
0.12

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
4/2019
Algorithmic Multi-Strategy 1.05 4.90 16.15 1.13 - - - 67.42
S&P 500 3.04 7.72 24.49 33.58 - - - 58.72
+/- S&P 500 -1.99 -2.82 -8.34 -32.45 - - - 8.70

Strategy Description

Summary

The Algorithmic Multi-Strategy program is an algorithmically traded managed futures portfolio that trades long and short positions in equity index, treasury and currency futures. Trading strategies include intraday strategies with average trade duration ranging from minutes to hours,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $4.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough -15.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 20.00%
Intraday 60.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Momentum
40.00%
Pattern Recognition
20.00%
Seasonal/cyclical
20.00%
Technical
20.00%
Strategy Pie Chart

Composition

Stock Indices
70.00%
Currency Futures
15.00%
Interest Rates
15.00%
Composition Pie Chart

Summary

The Algorithmic Multi-Strategy program is an algorithmically traded managed futures portfolio that trades long and short positions in equity index, treasury and currency 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.

Investment Strategy

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.

Risk Management

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 70%-80% of the account’s equity value.

   

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

Reward
Average RoR:
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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:
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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
-14.56 3 8 8/1/2020 11/1/2020
-6.17 2 2 8/1/2019 10/1/2019
-6.06 1 1 1/1/2020 2/1/2020
-1.41 1 1 6/1/2020 7/1/2020
-0.95 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
32.72 4 3/1/2020 6/1/2020
26.45 3 11/1/2019 1/1/2020
14.30 1 8/1/2020 8/1/2020
12.83 6 12/1/2020 5/1/2021
7.98 3 6/1/2019 8/1/2019
5.10 2 7/1/2021 8/1/2021
3.65 1 10/1/2020 10/1/2020
3.48 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.70 1 9/1/2020 9/1/2020
-7.69 1 11/1/2020 11/1/2020
-6.17 2 9/1/2019 10/1/2019
-6.06 1 2/1/2020 2/1/2020
-1.41 1 7/1/2020 7/1/2020
-0.95 1 5/1/2019 5/1/2019
-0.19 1 6/1/2021 6/1/2021
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Top Performer Badges

Index Award Type Rank Performance Period

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