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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

Apr 2024 Return -3.74%	Worst Drawdown ⁽²⁾ -27.44%	Minimum Investment $100,000
YTD Return: 0%	Losing Streak ⁽³⁾: -27.04%	AUM ⁽⁵⁾: $1,100,000
Annual Mean Return⁽¹⁾ 0.07%	Sharpe Ratio 4% RF ROR⁽⁴⁾: 0.21	Calmar Ratio ⁽⁶⁾: N/A
1) This CTA reports performance based on a fixed trading level rather than actual equity; therefore, the returns shown are not compounded

Trading Methodology 100% Systematic	Style Sub-Categories Momentum Pattern Recognition Quantitative Mean Reversion Algorithmic	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	Management Fee 2%
Accepting New Accounts Yes	Min Investment $100,000	Incentive Fee 20.00
NFA Member Yes	Fund Minimum $0	Other Fees None
NFA Number 0500489	Margin ⁽⁷⁾ Average 4% Range 0%-20%	Avg Comm ⁽⁸⁾ $3
Notional Funds Yes	Round Turns Per Million ⁽¹⁰⁾ 8,000	Max Comm ⁽⁹⁾

Starting Date: Apr-2019	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $1,100,000
Open to US Investors: Yes	Annualized CROR: 6.25%
Minimum Fund Investment: $0
Minimum Managed Account: $100,000	Current Losing Streak: -27.04 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR 0.21
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:

Growth of $1,000 VAMI and Monthly Returns

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.

Performance

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%	-19.50%
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%	33.69%	-14.56%
2019				3.48%	-0.95%	2.53%	0.74%	4.54%	-2.56%	-3.70%	6.06%	7.43%	17.56%	-6.16%

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

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

RISK DISCLOSURE

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES 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.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS