Metolius Capital LLC : Metolius Diversified

Year-to-Date
1.53%
Jan Performance
-1.53%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
7.56%
Sharpe (RFR=1%)
0.17
CAROR
2.03%
Assets
$ 169.0M
Worst DD
-13.63
S&P Correlation
-0.08

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
6/2010
Metolius Diversified -1.53 0.38 -1.53 -4.51 12.20 3.63 - 14.34
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 121.06
+/- S&P 500 -3.32 -6.81 -3.32 -21.96 -15.64 -70.01 - -106.72

Strategy Description

Summary

Metolius Capital LLC is a commodity trading advisor managing diversified portfolios constructed using major, liquid, global futures markets.The program was launched in June 2010 with $33 mln of partners capital. The partners are Tom Mazza and Ross Crotinger. Metolius implements its... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
25.00%
1-3 Months
30.00%
1-30 Days
30.00%
Intraday
10.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Fundamental
70.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Currency Futures
22.00%
Interest Rates
21.00%
Stock Indices
19.00%
Softs
12.00%
Grains
11.00%
Energy
10.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

Metolius Capital LLC is a commodity trading advisor managing diversified portfolios constructed using major, liquid, global futures markets.The program was launched in June 2010 with $33 mln of partners capital. The partners are Tom Mazza and Ross Crotinger. Metolius implements its program using an innovative systematic approach combining multiple trend, mean reversion and volatility models with a series of systematic global macro strategies. We have a robust, multi-market, multi-model and multi-timeframe approach that is designed to deliver superior risk adjusted returns at any point in an economic cycle. The models are diversified across market, market sector and timeframe. The strategy represents a unique combination of uncorrelated logical and quantitative ideas. As positions are established, risk is dynamically and continually monitored at the market, market sector, model and portfolio level.

Investment Strategy

The combination of a macro/fundamental approach with a trend following methodology, expressed entirely through a systematic fund, gives a robust return profile that differs from the majority of CTAs. While price is always the final arbiter, we believe the unique mix of our approach to the analysis of the market, predominantly from a fundamental point of view provides diversification and less concentration risk than the traditional CTA model. A combination of 7 or more strategies, employing numerous individual macro/fundamental models, the combination and weightings of which will be monitored dynamically and maybe adjusted periodically according to the market shifts in sentiment. The inter relationship between the models (around 30% attributable to trend following and 70% to macro/fundamental inputs) drives the robust return profile that Metolius will attempt to achieve. We will only be trading in the most liquid global futures markets, commodities, bonds, equity indices, interest rates and currencies.

Risk Management

The program has embedded strict risk management policies within the system, including stops on a trade by trade, model/strategy, as well as a portfolio basis. As positions are established, risk is dynamically monitored at the market, market sector, model and portfolio level. The program is run out of a fully serviced and backed up office.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-13.63 32 6 9/1/2011 5/1/2014
-10.86 21 - 1/1/2015 10/1/2016
-2.95 2 3 4/1/2011 6/1/2011
-1.93 1 3 12/1/2010 1/1/2011
-1.84 1 1 10/1/2010 11/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
29.00 8 6/1/2014 1/1/2015
8.48 5 6/1/2010 10/1/2010
5.59 3 2/1/2011 4/1/2011
4.87 2 12/1/2012 1/1/2013
4.43 2 1/1/2016 2/1/2016
3.96 2 11/1/2013 12/1/2013
3.72 1 12/1/2010 12/1/2010
3.16 2 6/1/2016 7/1/2016
2.98 1 11/1/2015 11/1/2015
2.25 1 9/1/2011 9/1/2011
1.97 1 7/1/2012 7/1/2012
1.94 2 11/1/2016 12/1/2016
1.66 3 3/1/2013 5/1/2013
1.36 1 5/1/2012 5/1/2012
1.22 1 7/1/2011 7/1/2011
1.01 1 2/1/2014 2/1/2014
0.97 1 12/1/2011 12/1/2011
0.93 1 2/1/2012 2/1/2012
0.14 1 7/1/2015 7/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.43 5 2/1/2015 6/1/2015
-6.87 5 6/1/2013 10/1/2013
-5.18 3 3/1/2016 5/1/2016
-4.27 2 10/1/2011 11/1/2011
-4.21 2 3/1/2012 4/1/2012
-3.99 3 8/1/2016 10/1/2016
-3.97 4 8/1/2012 11/1/2012
-3.76 3 3/1/2014 5/1/2014
-3.34 1 1/1/2014 1/1/2014
-2.95 2 5/1/2011 6/1/2011
-2.75 3 8/1/2015 10/1/2015
-2.58 1 6/1/2012 6/1/2012
-1.93 1 1/1/2011 1/1/2011
-1.84 1 11/1/2010 11/1/2010
-1.53 1 1/1/2017 1/1/2017
-1.03 1 12/1/2015 12/1/2015
-0.97 1 2/1/2013 2/1/2013
-0.48 1 1/1/2012 1/1/2012
-0.15 1 8/1/2011 8/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable48.7548.7242.6747.8342.8654.3968.8990.91
Average Period Return0.190.591.071.902.533.794.776.73
Average Gain1.963.846.528.3211.6411.3710.047.50
Average Loss-1.49-2.49-2.99-3.98-4.31-5.24-6.89-1.00
Best Period8.3315.5927.2825.4022.5718.2015.8217.99
Worst Period-3.34-6.07-8.30-9.02-9.18-11.38-12.81-1.07
Standard Deviation2.184.216.568.339.199.458.534.57
Gain Standard Deviation1.643.586.617.766.605.433.084.03
Loss Standard Deviation0.971.692.042.302.282.933.380.07
Sharpe Ratio (1%)0.050.080.090.110.110.190.200.58
Average Gain / Average Loss1.311.542.182.092.702.171.467.50
Profit / Loss Ratio1.251.461.621.922.032.593.2375.00
Downside Deviation (10%)1.522.934.446.929.3110.9413.8515.49
Downside Deviation (5%)1.322.303.053.964.725.285.821.79
Downside Deviation (0%)1.272.152.733.313.684.044.250.30
Sortino Ratio (10%)-0.14-0.22-0.32-0.45-0.54-0.59-0.79-0.96
Sortino Ratio (5%)0.080.150.190.230.220.340.301.49
Sortino Ratio (0%)0.150.280.390.580.690.941.1222.28

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.