Metolius Capital LLC : Metolius Diversified Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 1.84% Min Investment $ 100k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 7.20% Sharpe (RFR=1%) -0.01 CAROR 0.65% Assets $ 118.6M Worst DD -18.30 S&P Correlation -0.09 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since6/2010 Metolius Diversified 1.84 - - 0.00 -7.51 -8.37 -3.63 6.43 S&P 500 2.86 - - 28.87 42.84 55.32 186.74 260.65 +/- S&P 500 -1.02 - - -28.87 -50.35 -63.69 -190.37 -254.22 Strategy Description 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... 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% 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% 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 -18.30 57 - 1/1/2015 10/1/2019 -13.63 32 6 9/1/2011 5/1/2014 -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 Show More 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 6.54 4 10/1/2017 1/1/2018 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 3.12 1 8/1/2019 8/1/2019 2.98 1 11/1/2015 11/1/2015 2.89 1 12/1/2018 12/1/2018 2.48 4 4/1/2017 7/1/2017 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 1.93 2 11/1/2019 12/1/2019 1.66 3 3/1/2013 5/1/2013 1.38 1 10/1/2018 10/1/2018 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 0.91 2 5/1/2019 6/1/2019 0.88 1 3/1/2019 3/1/2019 0.14 1 7/1/2015 7/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.83 8 2/1/2018 9/1/2018 -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 -5.07 2 9/1/2019 10/1/2019 -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 -3.97 3 1/1/2017 3/1/2017 -3.76 3 3/1/2014 5/1/2014 -3.50 2 1/1/2019 2/1/2019 -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 -1.22 2 8/1/2017 9/1/2017 -1.03 1 12/1/2015 12/1/2015 -0.97 1 2/1/2013 2/1/2013 -0.49 1 7/1/2019 7/1/2019 -0.48 1 1/1/2012 1/1/2012 -0.17 1 4/1/2019 4/1/2019 -0.15 1 8/1/2011 8/1/2011 -0.05 1 11/1/2018 11/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods115.00113.00110.00104.0098.0092.0080.0068.0056.00 Percent Profitable47.8348.6740.0037.5028.5734.7850.0072.0691.07 Average Period Return0.080.180.320.24-0.010.231.213.455.25 Average Gain1.753.105.207.4011.2711.0310.017.946.30 Average Loss-1.46-2.58-2.94-4.05-4.52-5.52-7.58-8.14-5.52 Best Period8.3315.5927.2825.4022.5718.2015.8218.0118.26 Worst Period-4.70-6.50-11.04-11.20-11.31-11.38-13.05-16.43-9.78 Standard Deviation2.083.855.827.458.248.879.368.395.19 Gain Standard Deviation1.563.286.077.486.765.683.264.033.94 Loss Standard Deviation1.051.732.372.502.302.722.834.734.08 Sharpe Ratio (1%)0.00-0.02-0.03-0.10-0.18-0.20-0.19-0.070.03 Average Gain / Average Loss1.201.201.771.832.492.001.320.981.14 Profit / Loss Ratio1.101.141.181.101.001.061.322.5211.65 Downside Deviation (10%)1.543.004.617.5910.5313.1117.2719.9322.96 Downside Deviation (5%)1.342.373.234.455.456.477.766.933.68 Downside Deviation (0%)1.292.222.923.754.284.965.714.941.98 Sortino Ratio (10%)-0.21-0.35-0.47-0.63-0.72-0.76-0.84-0.91-0.97 Sortino Ratio (5%)-0.01-0.03-0.06-0.17-0.28-0.27-0.23-0.090.04 Sortino Ratio (0%)0.060.080.110.060.000.050.210.702.65 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. x {{title}} x {{title}} Add Cancel