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CTA Spotlight: Ravinia Investment Management

January 16, 2018

We recently spoke with Kyle Schultz, founder of Ravinia Investment Management (Ravinia) regarding his Volatility Alpha Program and this is what he shared,

Ravina

Ravinia is a Commodity Trading Advisor (CTA) which trades long and short positions in volatility futures, equity index futures and options on equity index futures, typically through spread trades which are derived from systematic trading models.

Manager Background

Mr. Schultz developed the Volatility Alpha’s trading strategies while completing his MBA at UCLA Anderson School of Management. Mr. Schultz mentioned that prior to business school, he led hedge fund manager research at Jackson National Asset Management (Jackson), an insurance company with over $150 billion in assets. During his time at Jackson, he researched, interviewed and allocated capital to hedge fund managers, allowing him to gain a deep understanding of a variety of trading strategies. Mr. Schultz explains, “It was during my experience and research at Jackson that I began to recognize the inefficiencies of the VIX futures and equity option markets. This ultimately led to the development of the underlying trading strategies of the Volatility Alpha Program.”

The Strategy

The Volatility Alpha Program takes a diversified approach to the unique and emergent asset class of volatility. The Program takes advantage of structural inefficiencies in the VIX futures market and harnesses the volatility risk premium inherent in the equity option markets through a variety of trading strategies. The Program trades relative value arbitrage by taking long and short positions across the VIX futures curve, while hedging with other volatility futures or equity indices. Due to the volatility risk premium inherent in options market, the Program also sells option spreads on equity index futures with a structured risk management approach. As a result of strategy diversification, Ravinia focuses on the goal of generating consistent performance throughout various market environments. Holding periods range from 1 day to 2 months, with an average margin to equity of 20%.

Performance

Ravina

Click for full performance.

Foremost has placed the Volatility Alpha Program on our radar as a strategy to watch closely. The strategy’s inception dates back to August 2014 and the performance shown is proprietary. Ravinia became a registered CTA in November 2016, with a low account minimum of $75,000. The manager places a large emphasis on risk management tools including stop-loss orders on option spreads, low margin to equity and diversification across strategies to minimize drawdowns.

Proprietary Performance (Aug 2014 – December 2017)
-2017 Return: 17.99%
-Cumulative Return: 47.83%
-Compound Rate of Return: 12.12%
-Peak-to-Valley Drawdown: -10.43% (May 2016-Dec 2016)
-Minimum Investment: $75,000

Past Performance in Not Necessarily Indicative of Future Results

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