Ravinia Investment Management : Algorithmic Multi-Strategy

Summary

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.

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.