Ravinia Investment Management
Volatility Alpha
Principal(s): Kyle Schultz
Strategy: Options Spreads / Relative Value
Statistical Reports are Subscription Based
Trading Description, Risk Strategy & Background
The Volatility Alpha program is a multi-strategy managed futures program that trades long and short positions in volatility futures, equity index futures and equity index options. The strategy centers around three essential characteristics of volatility: 1) Implied volatility tends to be higher than realized volatility causing options to be overpriced; 2) Volatility is mean reverting over the long-run; 3) Roll yield is a large component of VIX futures performance. The Program does not attempt to predict market movements, but rather utilizes a systematic approach to generate buy and sell signals based on rules devised from statistical and quantitative analysis. The objective of the Program is to provide absolute returns throughout all market environments with low correlations to traditional asset classes.
A critical element of investment success is risk management. The Volatility Alpha Program has various specific approaches to risk management, which includes using hedges, 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.
Kyle Schultz is the Managing Director at Ravinia Investment Management, LLC. He has over 9 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 holds the Chartered Financial Analyst (CFA) designation. He 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.
Performance
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | – | 1.62% | 2.87% | 0.51% | -2.21% | 1.05% | 1.60% | 0.96% | 0.90% | -8.96% | 0.74% | -7.94% | -9.27% | -15.57% |
Track Record 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.