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Ravinia Investment Management, LLC - Algorithmic Multi-Strategy

Principal(s): Kyle Schultz
Strategy: Algorithmic / Multi Strategy / Indices & Financials
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Statistics & Program Information - Fixed Trade Level

Apr Return -3.74%	Worst Drawdown ⁽²⁾ -30.86%	Minimum Investment $100,000
YTD Return -6.44%	Losing Streak ⁽³⁾ -29.65 %	AUM⁽⁵⁾ $1,100,000
Annualized Return¹ 6.30%	Sharpe Ratio ⁽⁴⁾ 0.39	Calmar Ratio ⁽⁶⁾ N/A
1) The program trades a fixed number of contracts in a nominal account (Fixed Trade Level). The Annualized Return annualizes the average monthly return

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Pattern Recognition Quantitative Mean Reversion	Trading Style 100% Short-term Mean Reversion & Momentum
Market Sector 80% Stock Indices 10% Currencies 10% Financials	Holding Period 40% Short Term 60% Intraday	Geographic Sector: US Contracts:

Start Date Apr-2019	Currency US Dollar	Margin ⁽⁷⁾ Average 4% Range 0%-20%
New Money Yes	AUM ⁽⁵⁾ $1,100,000	Management Fee 2%
Min Investment $100,000	Annual ROR ⁽¹⁾ 6.30%	Incentive Fee 20%
Fund Minimum $0	Losing Streak ⁽³⁾ -29.65 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -30.86 %	Avg Comm ⁽⁸⁾ $3
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.39	Max Comm ⁽⁹⁾
NFA Number 0500489	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 8,000

Starting Date: Apr-2019	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $1,100,000
Open to US Investors: Yes	Annual CROR: 6.25%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -27.44
Minimum Managed Account: $100,000	Current Losing Streak: -29.65 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.39
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Dan Scheffel, CPA

Correlations:

Trading Description, Risk Strategy & Background

Trading Description

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.

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 Strategy

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 80%-90% of the account's equity value.

Background

Kyle Schultz is the Managing Director at Ravinia Investment Management. He has over 10 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 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. He has passed all three Chartered Financial Analyst (CFA) exams.

Accounting Notes:

This program commenced trading while the Advisor was exempt from NFA registration under 4.14(a)(10) with accounts that transferred over from the Volatility Alpha Program. These account balances were transferred under their High-Water Mark and a pro-forma performance fee of 20% was applied while the account balances remained under their High-Water Mark. The pro-forma performance fee is calculated at a rate of 20% of pro-forma gross profits and losses reduced by the management fee. Performance is calculate and compiled by Dan Scheffel, CPA

Please see Accounting Notes for Important Details on this Pro-Forma performance.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-2.76%	0.15%	-0.09%	-3.74%									-6.44%	-6.34%
2023	4.52%	-3.22%	0.62%	1.40%	-2.39%	-0.09%	-0.30%	-1.51%	-1.60%	0.45%	3.10%	2.90%	3.88%	-6.95%
2022	-5.83%	-6.77%	0.84%	1.44%	0.05%	-9.02%	-1.53%	0.66%	6.15%	-3.30%	0.15%	0.11%	-17.05%	-19.5%
2021	0.22%	3.30%	4.07%	3.57%	0.12%	-0.19%	4.01%	1.05%	-6.62%	1.58%	-0.65%	-4.35%	6.11%	-9.86%
2020	10.98%	-6.06%	12.12%	10.68%	2.81%	4.03%	-1.41%	14.30%	-10.70%	3.65%	-7.69%	0.99%	33.7%	-14.56%
2019				3.48%	-0.95%	2.53%	0.74%	4.54%	-2.56%	-3.70%	6.06%	7.43%	17.57%	-6.16%

*The Annual ROR (Rate of Return) for Fixed Trade Level Accounts has been calculated by adding each monthly return.

Annual Performance

Years	2019	2020	2021	2022	2023	2024
ROR	17.56%	33.69%	6.11%	-17.05%	3.88%	-6.44%
Max DD	-6.16%	-14.56%	-9.86%	-19.50%	-6.95%	-6.34%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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.

Footnotes & Definitions:

P - Proprietary Trading Results
C - Client Trading Results
Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.

Rates of Return: The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. Annual CROR is not applicable to CTAs that sum their monthly returns.
Worst Peak-to-Valley Drawdown: The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.
Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
Annualzied Standard Deviation: Annualized Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.
Downside Deviation: Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.
Sharpe Ratio: Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
Sortino Ratio: Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.
Sterling Ratio: Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.
Calmar Ratio: Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
Omega Function: The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.
Minimum Investment: Minimum Investment represents the minimum account size.
Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
Number of Winning Months: Number of Winning Months represents the months with positive return.
Number of Losing Months: Number of Losing Months represents the months with negative return.
Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
Average Commission: The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.
Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS