Ravinia Investment Management : Algorithmic Multi-Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 33.70% Dec Performance 0.99% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 22.77% Sharpe (RFR=1%) 1.24 CAROR - Assets $ 400k Worst DD -14.56 S&P Correlation 0.10 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since4/2019 Algorithmic Multi-Strategy 0.99 -3.37 33.70 34.55 - - - 51.27 S&P 500 3.71 11.69 16.26 16.26 - - - 27.50 +/- S&P 500 -2.72 -15.06 17.44 18.29 - - - 23.77 Strategy Description SummaryThe 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% Composition Stock Indices 80.00% Interest Rates 10.00% VIX 10.00% SummaryThe 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 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 -14.56 3 - 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 Show More 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 7.98 3 6/1/2019 8/1/2019 3.65 1 10/1/2020 10/1/2020 3.48 1 4/1/2019 4/1/2019 0.99 1 12/1/2020 12/1/2020 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods21.0019.0016.0010.00 Percent Profitable66.6778.9593.75100.00 Average Period Return2.446.9216.5541.63 Average Gain6.029.6117.6941.63 Average Loss-4.72-3.18-0.57 Best Period14.3023.5139.5951.78 Worst Period-10.70-8.93-0.5728.66 Standard Deviation6.578.1312.906.93 Gain Standard Deviation4.376.6912.486.93 Loss Standard Deviation3.593.91 Sharpe Ratio (1%)0.360.821.245.86 Average Gain / Average Loss1.283.0231.29 Profit / Loss Ratio2.5511.34469.41 Downside Deviation (10%)3.532.550.93 Downside Deviation (5%)3.372.210.27 Downside Deviation (0%)3.332.130.14 Sortino Ratio (10%)0.582.2315.17 Sortino Ratio (5%)0.703.0260.34 Sortino Ratio (0%)0.733.24117.10 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. x {{title}} x {{title}} Add Cancel