Altegris Clearing Solutions Ravinia Investment Management LLC Volatility Alpha Program *Prop* *Pro Forma*
Monthly Performance (%)
Date Range: 07/14 - 11/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 3.53 -0.82 1.59 2.31 0.51 -0.95 4.55 0.77 -0.42 3.10 0.90 15.96
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 - 11/17
  Program SP500 TR Altegris 40
Total Return 45.27% 45.21% 11.47%
Annualized Return 11.85% 11.54% 3.23%
Annualized Std. Deviation 12.86% 9.71% 9.12%
Correlation 0.43 -0.17
Sharpe Ratio (rf=2.5%) 0.73 0.93 0.08
Worst Month -9.71% -6.03% -5.20%
Date of Worst Month 06/2016 08/2015 06/2015
Worst Drawdown -10.44% -8.35% -12.85%
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 - 11/17
Year or YTD Program SP500 TR Altegris 40
2017 15.96 20.51 0.15
2016 -5.69 11.98 -3.13
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 - 11/17
Date: 11/30/2017
Perf: $1,123.73 Date: 10/31/2017
Perf: $1,122.27 Date: 9/30/2017
Perf: $1,077.14 Date: 8/31/2017
Perf: $1,100.35 Date: 7/31/2017
Perf: $1,082.39 Date: 6/30/2017
Perf: $1,078.18 Date: 5/31/2017
Perf: $1,110.61 Date: 4/30/2017
Perf: $1,108.50 Date: 3/31/2017
Perf: $1,115.20 Date: 2/28/2017
Perf: $1,131.72 Date: 1/31/2017
Perf: $1,107.57 Date: 12/31/2016
Perf: $1,122.05 Date: 11/30/2016
Perf: $1,113.59 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: 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: 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 - 11/17
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 - 11/17
Return: 5.00 %
Count: 1 Return: -6.00 %
Count: 1 Return: -10.00 %
Count: 1 Return: 1.00 %
Count: 5 Return: -4.00 %
Count: 1 Return: 12.00 %
Count: 1 Return: -3.00 %
Count: 2 Return: 3.00 %
Count: 3 Return: 2.00 %
Count: 8 Return: 4.00 %
Count: 5 Return: -1.00 %
Count: 4 Return: 11.00 %
Count: 1 Return: -2.00 %
Count: 3 Return: 0.00 %
Count: 5
Note: All performance data is since program inception.

Underwater Curve
Date Range: 07/14 - 11/17
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.
Notes to Performance

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

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.