Robust Methods LLC : Macro Managed Account

Year-to-Date
3.05%
Apr Performance
-1.10%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.90%
Sharpe (RFR=1%)
0.00
CAROR
0.49%
Assets
$ 1k
Worst DD
-39.40
S&P Correlation
0.12

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Macro Managed Account -1.10 -5.20 -3.05 -7.35 -15.76 -17.64 -36.11 7.20
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 146.82
+/- S&P 500 -5.03 -14.14 -20.57 -18.59 -56.96 -72.43 -270.16 -139.62

Strategy Description

Summary

A seasoned money manager and pioneer of Robust Portfolio Management, the firm's mission is to generate investment returns that do not expose the portfolio to significant systemic risk. Towards this goal, we follow an opportunistic investment approach aimed at the global liquid... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
3.00
Management Fee
2.00%
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
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.80%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Composition

Summary

A seasoned money manager and pioneer of Robust Portfolio Management, the firm's mission is to generate investment returns that do not expose the portfolio to significant systemic risk. Towards this goal, we follow an opportunistic investment approach aimed at the global liquid markets.

Investment Strategy

While the investment approach at Robust Methods begun as a quantitative strategy in 2005, it became imperative to revamp the strategy after the Federal Reserve started creating trillions of dollars from thin air in order to buy the markets it wants to buy, and sell those it wants to sell. The Fed basically hijacked the entire system and started setting the prices of the major financial markets. As a result, both fundamental and technical approaches to investing became practically irrelevant. With ‘QE” supposed to be a one-time exception after the 2008 crash, it has become a regular routine of market interventions and debt monetization with illicit funds – now going well into 2015. Clearly, today’s market prices no longer represent the balance between supply and demand, and as the price discovery mechanism has been severed; the financial markets have lost the good part of their freedom as a result of the Fed’s actions. Suppressing the markets for so long and by so much is clearly not sustainable based on historical precedents. We now see an epic failure in the making unfolding from here. We are now focused at turning this inevitable outcome into major investment returns to our clients. Our portfolio is strategically positioned to fulfill this goal.

Risk Management

Risk is managed using a strict and disciplined approach across asset classes and geographic blocs.

   

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
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
-39.40 107 - 10/1/2009 9/1/2018
-8.94 2 5 4/1/2006 6/1/2006
-5.78 1 2 9/1/2005 10/1/2005
-4.65 2 2 2/1/2005 4/1/2005
-3.64 2 3 12/1/2008 2/1/2009
-3.04 1 2 1/1/2006 2/1/2006
-2.76 2 2 12/1/2006 2/1/2007
-2.45 2 2 10/1/2007 12/1/2007
-2.28 1 1 7/1/2007 8/1/2007
-2.19 3 3 2/1/2008 5/1/2008
-0.86 2 1 7/1/2009 9/1/2009
-0.53 1 1 1/1/0001 1/1/2005
-0.46 1 1 5/1/2009 6/1/2009
-0.17 1 1 9/1/2008 10/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
19.21 3 11/1/2005 1/1/2006
18.23 4 1/1/2016 4/1/2016
17.52 5 5/1/2005 9/1/2005
14.45 2 6/1/2016 7/1/2016
13.61 2 9/1/2007 10/1/2007
10.57 5 3/1/2007 7/1/2007
10.13 3 2/1/2011 4/1/2011
9.97 3 10/1/2006 12/1/2006
6.67 2 12/1/2018 1/1/2019
6.46 2 1/1/2017 2/1/2017
6.07 2 3/1/2006 4/1/2006
5.89 3 3/1/2009 5/1/2009
5.88 2 7/1/2011 8/1/2011
4.58 2 1/1/2008 2/1/2008
4.44 2 11/1/2008 12/1/2008
3.98 2 1/1/2014 2/1/2014
3.49 2 11/1/2010 12/1/2010
3.40 1 8/1/2012 8/1/2012
3.35 2 7/1/2017 8/1/2017
3.20 2 7/1/2013 8/1/2013
2.76 2 1/1/2012 2/1/2012
2.58 2 7/1/2006 8/1/2006
2.43 1 10/1/2015 10/1/2015
2.31 2 12/1/2017 1/1/2018
1.99 1 6/1/2014 6/1/2014
1.67 1 9/1/2016 9/1/2016
1.65 2 8/1/2008 9/1/2008
1.43 3 11/1/2014 1/1/2015
1.34 1 7/1/2009 7/1/2009
1.17 1 6/1/2008 6/1/2008
1.10 1 10/1/2009 10/1/2009
1.06 1 2/1/2005 2/1/2005
1.06 1 4/1/2012 4/1/2012
0.77 1 8/1/2015 8/1/2015
0.49 1 10/1/2018 10/1/2018
0.46 1 9/1/2010 9/1/2010
0.43 1 5/1/2015 5/1/2015
0.11 1 5/1/2018 5/1/2018
0.08 1 5/1/2017 5/1/2017
0.01 1 10/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.73 8 11/1/2012 6/1/2013
-11.58 10 11/1/2009 8/1/2010
-11.43 3 10/1/2016 12/1/2016
-9.15 4 9/1/2011 12/1/2011
-8.94 2 5/1/2006 6/1/2006
-8.57 4 6/1/2018 9/1/2018
-6.81 1 5/1/2016 5/1/2016
-6.73 4 7/1/2014 10/1/2014
-6.60 2 6/1/2015 7/1/2015
-6.55 2 11/1/2015 12/1/2015
-6.32 2 5/1/2011 6/1/2011
-5.87 4 9/1/2013 12/1/2013
-5.78 1 10/1/2005 10/1/2005
-5.20 3 2/1/2019 4/1/2019
-4.98 1 8/1/2016 8/1/2016
-4.71 3 5/1/2012 7/1/2012
-4.65 2 3/1/2005 4/1/2005
-4.03 3 3/1/2014 5/1/2014
-3.64 2 1/1/2009 2/1/2009
-3.45 1 3/1/2012 3/1/2012
-3.43 3 2/1/2015 4/1/2015
-3.32 3 2/1/2018 4/1/2018
-3.10 3 9/1/2017 11/1/2017
-3.04 1 2/1/2006 2/1/2006
-2.88 2 3/1/2017 4/1/2017
-2.82 1 6/1/2017 6/1/2017
-2.76 2 1/1/2007 2/1/2007
-2.45 2 11/1/2007 12/1/2007
-2.28 1 8/1/2007 8/1/2007
-2.19 3 3/1/2008 5/1/2008
-1.62 1 1/1/2011 1/1/2011
-0.86 2 8/1/2009 9/1/2009
-0.74 1 9/1/2015 9/1/2015
-0.74 1 9/1/2006 9/1/2006
-0.53 1 1/1/2005 1/1/2005
-0.51 1 9/1/2012 9/1/2012
-0.46 1 6/1/2009 6/1/2009
-0.38 1 11/1/2018 11/1/2018
-0.25 1 10/1/2010 10/1/2010
-0.17 1 10/1/2008 10/1/2008
-0.02 1 7/1/2008 7/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods172.00170.00167.00161.00155.00149.00137.00125.00113.00
Percent Profitable44.7747.6546.1145.9643.2339.6034.3130.4030.09
Average Period Return0.080.270.631.071.221.621.67-0.74-4.04
Average Gain2.474.286.8811.1814.6419.4028.7535.7335.41
Average Loss-1.86-3.37-4.71-7.53-9.00-10.04-12.48-16.67-21.01
Best Period11.7619.2123.7735.7535.2549.2066.1677.6967.97
Worst Period-7.52-11.43-11.71-14.23-17.94-20.89-28.36-34.21-32.83
Standard Deviation2.864.977.2511.1313.9017.7424.2628.1028.44
Gain Standard Deviation2.153.945.718.079.9814.3421.8123.1818.96
Loss Standard Deviation1.622.282.733.534.736.508.007.946.29
Sharpe Ratio (1%)0.000.000.020.01-0.02-0.02-0.06-0.17-0.32
Average Gain / Average Loss1.331.271.461.491.631.932.302.141.69
Profit / Loss Ratio1.081.151.251.261.241.271.200.940.73
Downside Deviation (10%)2.073.725.669.6213.0916.8024.1432.8041.27
Downside Deviation (5%)1.883.094.326.788.6710.6414.1318.5122.45
Downside Deviation (0%)1.832.943.996.117.659.2811.9915.3918.33
Sortino Ratio (10%)-0.16-0.26-0.32-0.41-0.49-0.51-0.58-0.68-0.77
Sortino Ratio (5%)0.000.010.030.01-0.03-0.04-0.10-0.26-0.41
Sortino Ratio (0%)0.040.090.160.180.160.170.14-0.05-0.22

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 9 2.26 1/2019
Discretionary Trader Index Month 3 4.31 12/2018
Discretionary Trader Index Month 9 2.38 2/2017
Discretionary Trader Index Month 9 3.99 1/2017
Diversified Trader Index Month 6 3.99 1/2017
Systematic Trader Index Month 7 3.99 1/2017
IASG CTA Index Month 7 5.39 7/2016
Discretionary Trader Index Month 3 5.39 7/2016
Diversified Trader Index Month 8 5.39 7/2016
Systematic Trader Index Month 9 5.39 7/2016
Discretionary Trader Index Month 3 8.60 6/2016
IASG CTA Index Month 6 8.38 4/2016
Diversified Trader Index Month 6 8.38 4/2016
Discretionary Trader Index Month 3 8.38 4/2016
Systematic Trader Index Month 6 8.38 4/2016
Discretionary Trader Index Month 7 1.96 3/2016
Discretionary Trader Index Month 3 5.01 2/2016
Discretionary Trader Index Month 10 1.89 1/2016
Discretionary Trader Index Month 8 2.43 10/2015
Diversified Trader Index Month 8 2.05 7/2006
Systematic Trader Index Month 8 2.05 7/2006
Systematic Trader Index Month 8 11.76 1/2006
Diversified Trader Index Month 8 11.76 1/2006
IASG CTA Index Month 10 11.76 1/2006
Diversified Trader Index Month 10 3.88 7/2005
Systematic Trader Index Month 6 3.88 7/2005

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