Ravinia Investment Management LLC

Volatility Alpha Program *PROP* *Pro Forma*


Monthly Performance (%)

Date Range: 07/14 - 07/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 2.81 -4.44 3.49 -0.02 -2.55 0.94 1.84   1.83 
2017 3.53 -0.82 1.59 2.31 0.51 -0.95 4.55 0.77 -0.42 3.10 0.90 1.75  17.99 
2016 -3.85 0.64 2.06 2.82 3.70 -9.71 3.99 0.56 1.71 2.18 -3.22 -5.69  -5.69 
2015 3.85 4.08 0.20 1.81 1.80 -0.50 3.48 -2.10 -3.02 12.12 2.27 0.10  25.95 
2014 -2.01 -1.70 10.59 -0.07 -0.92  5.47 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

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.

Performance Statistics

Date Range: 07/14 - 07/18
  Program S&P 500 Altegris 40 
Total Return 50.52% 56.33% 9.07% 
Annualized Return 10.76% 11.56% 2.15% 
Annualized Std. Deviation 12.30% 9.76% 9.13% 
Correlation 0.42 -0.06 
Sharpe Ratio (rf=2.5%) 0.67 0.93 -0.04 
Worst Month -9.71% -6.03% -6.10% 
Date of Worst Month 06/2016 08/2015 02/2018 
Worst Drawdown -10.44% -8.35% -12.94% 
Date of Worst Drawdown 5/16 - 12/16 7/15 - 9/15 3/15 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 07/14 - 07/18

Year or YTD Program S&P 500 Altegris 40 
2018 1.83 6.47 -3.11 
2017 17.99 21.84 1.24 
2016 -5.69 11.98 -3.23 
2015 25.95 1.41 0.09 
2014 5.47 7.60 15.73 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 07/14 - 07/18
Date: 7/31/2018
Perf: $1,099.51 Date: 6/30/2018
Perf: $1,107.82 Date: 5/31/2018
Perf: $1,098.59 Date: 4/30/2018
Perf: $1,112.95 Date: 3/31/2018
Perf: $1,101.05 Date: 2/28/2018
Perf: $1,102.05 Date: 1/31/2018
Perf: $1,173.64 Date: 12/31/2017
Perf: $1,134.83 Date: 11/30/2017
Perf: $1,122.59 Date: 10/31/2017
Perf: $1,121.13 Date: 9/30/2017
Perf: $1,076.05 Date: 8/31/2017
Perf: $1,099.24 Date: 7/31/2017
Perf: $1,081.29 Date: 6/30/2017
Perf: $1,077.09 Date: 5/31/2017
Perf: $1,109.49 Date: 4/30/2017
Perf: $1,107.38 Date: 3/31/2017
Perf: $1,114.07 Date: 2/28/2017
Perf: $1,130.57 Date: 1/31/2017
Perf: $1,106.45 Date: 12/31/2016
Perf: $1,120.91 Date: 11/30/2016
Perf: $1,112.46 Date: 10/31/2016
Perf: $1,125.97 Date: 9/30/2016
Perf: $1,155.79 Date: 8/31/2016
Perf: $1,170.89 Date: 7/31/2016
Perf: $1,203.26 Date: 6/30/2016
Perf: $1,191.11 Date: 5/31/2016
Perf: $1,142.55 Date: 4/30/2016
Perf: $1,162.91 Date: 3/31/2016
Perf: $1,192.85 Date: 2/29/2016
Perf: $1,228.09 Date: 1/31/2016
Perf: $1,198.61 Date: 12/31/2015
Perf: $1,158.30 Date: 11/30/2015
Perf: $1,185.57 Date: 10/31/2015
Perf: $1,146.47 Date: 9/30/2015
Perf: $1,166.77 Date: 8/31/2015
Perf: $1,141.99 Date: 7/31/2015
Perf: $1,162.10 Date: 6/30/2015
Perf: $1,118.37 Date: 5/31/2015
Perf: $1,179.71 Date: 4/30/2015
Perf: $1,188.27 Date: 3/31/2015
Perf: $1,235.98 Date: 2/28/2015
Perf: $1,209.25 Date: 1/31/2015
Perf: $1,211.19 Date: 12/31/2014
Perf: $1,157.26 Date: 11/30/2014
Perf: $1,137.25 Date: 10/31/2014
Perf: $1,073.38 Date: 9/30/2014
Perf: $1,057.83 Date: 8/31/2014
Perf: $1,042.30 Date: 7/31/2014
Perf: $1,000.00 Date: 7/31/2018
Perf: $1,585.16 Date: 6/30/2018
Perf: $1,528.30 Date: 5/31/2018
Perf: $1,518.89 Date: 4/30/2018
Perf: $1,483.14 Date: 3/31/2018
Perf: $1,477.53 Date: 2/28/2018
Perf: $1,516.04 Date: 1/31/2018
Perf: $1,574.12 Date: 12/31/2017
Perf: $1,488.81 Date: 11/30/2017
Perf: $1,472.47 Date: 10/31/2017
Perf: $1,428.61 Date: 9/30/2017
Perf: $1,396.08 Date: 8/31/2017
Perf: $1,367.90 Date: 7/31/2017
Perf: $1,363.67 Date: 6/30/2017
Perf: $1,336.15 Date: 5/31/2017
Perf: $1,327.92 Date: 4/30/2017
Perf: $1,309.45 Date: 3/31/2017
Perf: $1,296.10 Date: 2/28/2017
Perf: $1,294.55 Date: 1/31/2017
Perf: $1,245.12 Date: 12/31/2016
Perf: $1,221.90 Date: 11/30/2016
Perf: $1,198.18 Date: 10/31/2016
Perf: $1,155.43 Date: 9/30/2016
Perf: $1,176.85 Date: 8/31/2016
Perf: $1,176.61 Date: 7/31/2016
Perf: $1,174.97 Date: 6/30/2016
Perf: $1,133.15 Date: 5/31/2016
Perf: $1,130.21 Date: 4/30/2016
Perf: $1,110.23 Date: 3/31/2016
Perf: $1,105.92 Date: 2/29/2016
Perf: $1,035.70 Date: 1/31/2016
Perf: $1,037.04 Date: 12/31/2015
Perf: $1,091.17 Date: 11/30/2015
Perf: $1,108.68 Date: 10/31/2015
Perf: $1,105.37 Date: 9/30/2015
Perf: $1,019.34 Date: 8/31/2015
Perf: $1,045.15 Date: 7/31/2015
Perf: $1,112.22 Date: 6/30/2015
Perf: $1,089.34 Date: 5/31/2015
Perf: $1,110.89 Date: 4/30/2015
Perf: $1,096.75 Date: 3/31/2015
Perf: $1,086.32 Date: 2/28/2015
Perf: $1,103.76 Date: 1/31/2015
Perf: $1,043.74 Date: 12/31/2014
Perf: $1,076.02 Date: 11/30/2014
Perf: $1,078.72 Date: 10/31/2014
Perf: $1,050.46 Date: 9/30/2014
Perf: $1,025.44 Date: 8/31/2014
Perf: $1,040.00 Date: 7/31/2014
Perf: $1,000.00 Date: 7/31/2018
Perf: $1,505.24 Date: 6/30/2018
Perf: $1,478.04 Date: 5/31/2018
Perf: $1,464.28 Date: 4/30/2018
Perf: $1,502.59 Date: 3/31/2018
Perf: $1,502.89 Date: 2/28/2018
Perf: $1,452.21 Date: 1/31/2018
Perf: $1,519.69 Date: 12/31/2017
Perf: $1,478.15 Date: 11/30/2017
Perf: $1,452.73 Date: 10/31/2017
Perf: $1,439.77 Date: 9/30/2017
Perf: $1,396.48 Date: 8/31/2017
Perf: $1,402.37 Date: 7/31/2017
Perf: $1,391.65 Date: 6/30/2017
Perf: $1,331.09 Date: 5/31/2017
Perf: $1,343.86 Date: 4/30/2017
Perf: $1,337.04 Date: 3/31/2017
Perf: $1,306.85 Date: 2/28/2017
Perf: $1,286.39 Date: 1/31/2017
Perf: $1,297.03 Date: 12/31/2016
Perf: $1,252.81 Date: 11/30/2016
Perf: $1,328.39 Date: 10/31/2016
Perf: $1,372.59 Date: 9/30/2016
Perf: $1,343.30 Date: 8/31/2016
Perf: $1,320.72 Date: 7/31/2016
Perf: $1,313.37 Date: 6/30/2016
Perf: $1,262.97 Date: 5/31/2016
Perf: $1,398.80 Date: 4/30/2016
Perf: $1,348.89 Date: 3/31/2016
Perf: $1,311.89 Date: 2/29/2016
Perf: $1,285.41 Date: 1/31/2016
Perf: $1,277.24 Date: 12/31/2015
Perf: $1,328.38 Date: 11/30/2015
Perf: $1,327.05 Date: 10/31/2015
Perf: $1,297.60 Date: 9/30/2015
Perf: $1,157.33 Date: 8/31/2015
Perf: $1,193.37 Date: 7/31/2015
Perf: $1,218.97 Date: 6/30/2015
Perf: $1,177.97 Date: 5/31/2015
Perf: $1,183.89 Date: 4/30/2015
Perf: $1,162.96 Date: 3/31/2015
Perf: $1,142.29 Date: 2/28/2015
Perf: $1,140.01 Date: 1/31/2015
Perf: $1,095.32 Date: 12/31/2014
Perf: $1,054.71 Date: 11/30/2014
Perf: $1,064.50 Date: 10/31/2014
Perf: $1,065.25 Date: 9/30/2014
Perf: $963.24 Date: 8/31/2014
Perf: $979.90 Date: 7/31/2014
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 07/14 - 07/18
Date: 7/31/2018
Return: 1.84 % Date: 6/30/2018
Return: 0.94 % Date: 5/31/2018
Return: -2.55 % Date: 4/30/2018
Return: -0.02 % Date: 3/31/2018
Return: 3.49 % Date: 2/28/2018
Return: -4.44 % Date: 1/31/2018
Return: 2.81 % Date: 12/31/2017
Return: 1.75 % Date: 11/30/2017
Return: 0.90 % Date: 10/31/2017
Return: 3.10 % Date: 9/30/2017
Return: -0.42 % Date: 8/31/2017
Return: 0.77 % Date: 7/31/2017
Return: 4.55 % Date: 6/30/2017
Return: -0.95 % Date: 5/31/2017
Return: 0.51 % Date: 4/30/2017
Return: 2.31 % Date: 3/31/2017
Return: 1.59 % Date: 2/28/2017
Return: -0.82 % Date: 1/31/2017
Return: 3.53 % Date: 12/31/2016
Return: -5.69 % Date: 11/30/2016
Return: -3.22 % Date: 10/31/2016
Return: 2.18 % Date: 9/30/2016
Return: 1.71 % Date: 8/31/2016
Return: 0.56 % Date: 7/31/2016
Return: 3.99 % Date: 6/30/2016
Return: -9.71 % Date: 5/31/2016
Return: 3.70 % Date: 4/30/2016
Return: 2.82 % Date: 3/31/2016
Return: 2.06 % Date: 2/29/2016
Return: 0.64 % Date: 1/31/2016
Return: -3.85 % Date: 12/31/2015
Return: 0.10 % Date: 11/30/2015
Return: 2.27 % Date: 10/31/2015
Return: 12.12 % Date: 9/30/2015
Return: -3.02 % Date: 8/31/2015
Return: -2.10 % Date: 7/31/2015
Return: 3.48 % Date: 6/30/2015
Return: -0.50 % Date: 5/31/2015
Return: 1.80 % Date: 4/30/2015
Return: 1.81 % Date: 3/31/2015
Return: 0.20 % Date: 2/28/2015
Return: 4.08 % Date: 1/31/2015
Return: 3.85 % Date: 12/31/2014
Return: -0.92 % Date: 11/30/2014
Return: -0.07 % Date: 10/31/2014
Return: 10.59 % Date: 9/30/2014
Return: -1.70 % Date: 8/31/2014
Return: -2.01 % Date: 7/31/2014
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 07/14 - 07/18
Return: 5.00 %
Count: 1 Return: -6.00 %
Count: 1 Return: -10.00 %
Count: 1 Return: 1.00 %
Count: 6 Return: -4.00 %
Count: 2 Return: 12.00 %
Count: 1 Return: -3.00 %
Count: 3 Return: 3.00 %
Count: 5 Return: 2.00 %
Count: 10 Return: 4.00 %
Count: 5 Return: -1.00 %
Count: 4 Return: 11.00 %
Count: 1 Return: -2.00 %
Count: 3 Return: 0.00 %
Count: 6
Note: All performance data is since program inception.

Underwater Curve

Date Range: 07/14 - 07/18
Date: 7/31/2018
Drawdown: -0.95 % Date: 6/30/2018
Drawdown: -2.74 % Date: 5/31/2018
Drawdown: -3.65 % Date: 4/30/2018
Drawdown: -1.12 % Date: 3/31/2018
Drawdown: -1.10 % Date: 2/28/2018
Drawdown: -4.44 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -0.42 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: -0.51 % Date: 6/30/2017
Drawdown: -4.84 % Date: 5/31/2017
Drawdown: -3.93 % Date: 4/30/2017
Drawdown: -4.42 % Date: 3/31/2017
Drawdown: -6.57 % Date: 2/28/2017
Drawdown: -8.04 % Date: 1/31/2017
Drawdown: -7.28 % Date: 12/31/2016
Drawdown: -10.44 % Date: 11/30/2016
Drawdown: -5.03 % Date: 10/31/2016
Drawdown: -1.87 % Date: 9/30/2016
Drawdown: -3.97 % Date: 8/31/2016
Drawdown: -5.58 % Date: 7/31/2016
Drawdown: -6.11 % Date: 6/30/2016
Drawdown: -9.71 % Date: 5/31/2016
Drawdown: 0.00 % Date: 4/30/2016
Drawdown: 0.00 % Date: 3/31/2016
Drawdown: -1.24 % Date: 2/29/2016
Drawdown: -3.23 % Date: 1/31/2016
Drawdown: -3.85 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 % Date: 10/31/2015
Drawdown: 0.00 % Date: 9/30/2015
Drawdown: -5.06 % Date: 8/31/2015
Drawdown: -2.10 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: -0.50 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: -0.99 % Date: 11/30/2014
Drawdown: -0.07 % Date: 10/31/2014
Drawdown: 0.00 % Date: 9/30/2014
Drawdown: -3.68 % Date: 8/31/2014
Drawdown: -2.01 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Ravinia Investment Management LLC
Address: 2491 Purdue Ave, Suite 201
City: Los Angeles
State: CA
Zip: 90064
Country: USA

Key People

Name:  Kyle Schultz
Position:  Principal
Biography: 

Ravinia Investment Management, LLC (“Ravinia”) was founded with the flagship Volatility Alpha Program. Kyle Schultz is the Managing Partner and sole Principal of Ravinia with over 9 years of investment experience. He is a graduate of UCLA Anderson School of Management, where he was awarded the Fink Center for Investment Management Fellowship and the Edward L. Shapiro Fellowship. Kyle earned his BBA in Finance from University of Iowa and holds the Chartered Financial Analyst (“CFA”) designation


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Other Futures Yes 
 Investment Methodology
 Systematic Yes 
 Sector Specialist Yes 
 Mean-reversion Yes 
 Volatility Trading Yes 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $75,000 
 Margin / Equity Ratio: 20% 
 Managed Account Availability: Open