Ravinia Investment Management : Algorithmic Multi-Strategy

Year-to-Date
32.60%
Jun Performance
2.07%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.01%
Sharpe (RFR=1%)
2.09
CAROR
-
Assets
$ 400k
Worst DD
-6.17
S&P Correlation
0.15

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
4/2019
Algorithmic Multi-Strategy 2.07 16.15 32.60 53.85 - - - 50.86
S&P 500 1.84 19.95 -4.04 5.39 - - - 5.24
+/- S&P 500 0.23 -3.81 36.64 48.46 - - - 45.62

Strategy Description

Summary

The Algorithmic Multi-Strategy program is an algorithmically traded managed futures program that trades long and short positions in equity index futures, treasury futures and volatility futures. The portfolio is diversified by trading strategy, market and time-frame to provide more... 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 5000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -12.00%
Worst Peak-to-Trough -15.00%
Sector Focus Stock Index 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
80.00%
Interest Rates
10.00%
VIX
10.00%
Composition Pie Chart

Summary

The Algorithmic Multi-Strategy program is an algorithmically traded managed futures program that trades long and short positions in equity index futures, treasury futures and volatility futures. The portfolio is diversified by trading strategy, market and time-frame to provide more consistent performance with lower expected drawdowns. Trading strategies include intraday mean reversion, intraday momentum, asset rotation, seasonality and relative value trades. The portfolio is constructed to provide 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:
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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
-6.17 2 2 8/1/2019 10/1/2019
-6.06 1 1 1/1/2020 2/1/2020
-0.95 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
30.22 4 3/1/2020 6/1/2020
27.26 3 11/1/2019 1/1/2020
7.98 3 6/1/2019 8/1/2019
3.48 1 4/1/2019 4/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.17 2 9/1/2019 10/1/2019
-6.06 1 2/1/2020 2/1/2020
-0.95 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable73.3384.62100.00
Average Period Return3.399.3119.06
Average Gain5.8311.1719.06
Average Loss-3.32-0.90
Best Period12.1224.1740.26
Worst Period-6.06-1.630.58
Standard Deviation5.497.7913.05
Gain Standard Deviation4.036.9413.05
Loss Standard Deviation2.151.02
Sharpe Ratio (1%)0.601.161.42
Average Gain / Average Loss1.7612.37
Profit / Loss Ratio4.8368.01
Downside Deviation (10%)2.150.880.60
Downside Deviation (5%)2.000.53
Downside Deviation (0%)1.960.45
Sortino Ratio (10%)1.399.1627.76
Sortino Ratio (5%)1.6516.99
Sortino Ratio (0%)1.7320.53

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.