Metolius Capital LLC : Metolius Diversified

Summary

**As of 1/1/2020, 86% of the $119 Total Firm AUM is comprised of proprietary capital (principals and employees). 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.