Robust Methods LLC : Macro Managed Account Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 10.59% Mar Performance -7.70% Min Investment $ 5,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 12.38% Sharpe (RFR=1%) 0.13 CAROR 1.88% Assets $ 1k Worst DD -39.40 S&P Correlation 0.20 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since1/2005 Macro Managed Account -7.70 -10.59 -10.59 24.44 16.82 15.26 -18.89 35.33 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 206.17 243.65 +/- S&P 500 -11.94 -19.80 -19.80 -34.27 -38.49 -81.86 -225.06 -208.32 Strategy Description SummaryA seasoned money manager and pioneer of Robust Portfolio Management, the firm's mission is to generate uncorrelated investment returns that do not expose the portfolio to significant systemic risk. Towards this goal, we follow an opportunistic investment approach aimed at the... 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 SummaryA seasoned money manager and pioneer of Robust Portfolio Management, the firm's mission is to generate uncorrelated 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 StrategyThe Robust Portfolio Management approach started as a quantitative strategy in 2005. Post the 2008/2009 banking insolvency crisis, it became imperative to revamp the strategy to account for the Federal Reserve printing currency by the trillions and tampering with almost all major markets. The Fed basically hijacked the entire system and started setting the prices in order to fit its own agenda. 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 2021. Obviously, today’s markets 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 ManagementRisk is managed using a strict and disciplined approach across asset classes and geographic blocs. 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 -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 Show More Consecutive Gains Run-up Length (Mos.) Start End 46.10 5 4/1/2020 8/1/2020 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 14.97 3 6/1/2019 8/1/2019 14.45 2 6/1/2016 7/1/2016 13.77 2 12/1/2020 1/1/2021 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 4.61 2 12/1/2019 1/1/2020 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 2.42 1 10/1/2019 10/1/2019 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -15.42 3 9/1/2020 11/1/2020 -13.73 8 11/1/2012 6/1/2013 -11.58 10 11/1/2009 8/1/2010 -11.48 2 2/1/2021 3/1/2021 -11.43 3 10/1/2016 12/1/2016 -10.27 2 2/1/2020 3/1/2020 -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 -5.61 4 2/1/2019 5/1/2019 -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 -4.01 1 11/1/2019 11/1/2019 -3.96 1 9/1/2019 9/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods195.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable46.1533.3350.00100.0083.3387.5050.0022.9260.00 Average Period Return0.22-4.240.1828.2212.1517.195.14-1.003.60 Average Gain2.951.014.6128.2215.3919.7714.9216.109.12 Average Loss-2.13-6.86-4.25-4.06-0.90-4.65-6.09-4.67 Best Period19.871.016.4246.1034.8246.0237.1630.1035.32 Worst Period-9.58-10.59-6.465.37-7.72-1.91-8.59-13.30-9.82 Standard Deviation3.575.885.4712.6813.1914.6613.3311.0110.52 Gain Standard Deviation3.032.2712.6811.9213.8212.439.6010.05 Loss Standard Deviation1.995.273.273.220.942.954.073.35 Sharpe Ratio (1%)0.04-0.76-0.062.150.811.040.16-0.46-0.14 Average Gain / Average Loss1.390.151.083.7922.013.212.641.95 Profit / Loss Ratio1.190.071.0818.97154.063.210.792.93 Downside Deviation (10%)2.367.275.125.684.5915.7825.0126.17 Downside Deviation (5%)2.186.563.852.511.065.829.616.79 Downside Deviation (0%)2.136.383.551.970.423.866.403.61 Sortino Ratio (10%)-0.08-0.75-0.450.801.51-0.67-0.90-0.92 Sortino Ratio (5%)0.06-0.68-0.084.2314.270.36-0.53-0.22 Sortino Ratio (0%)0.10-0.660.056.1641.141.33-0.161.00 Top Performer Badges Index Award Type Rank Performance Period Discretionary Trader Index Month 2 12.63 12/2020 Systematic Trader Index Month 10 12.63 12/2020 Diversified Trader Index Month 10 12.63 12/2020 IASG CTA Index Month 9 7.56 8/2020 Discretionary Trader Index Month 4 7.56 8/2020 Systematic Trader Index Month 6 7.56 8/2020 Diversified Trader Index Month 6 7.56 8/2020 Systematic Trader Index Month 4 19.87 7/2020 Diversified Trader Index Month 4 19.87 7/2020 IASG CTA Index Month 4 19.87 7/2020 Discretionary Trader Index Month 1 19.87 7/2020 Diversified Trader Index Month 2 6.16 5/2020 Systematic Trader Index Month 4 6.16 5/2020 Discretionary Trader Index Month 2 6.16 5/2020 IASG CTA Index Month 5 6.16 5/2020 Discretionary Trader Index Month 9 5.37 4/2020 Diversified Trader Index Month 9 5.37 4/2020 Discretionary Trader Index Month 9 5.37 4/2020 Diversified Trader Index Month 8 5.37 4/2020 Discretionary Trader Index Month 2 3.90 12/2019 Diversified Trader Index Month 9 3.90 12/2019 Diversified Trader Index Month 9 2.42 10/2019 Discretionary Trader Index Month 6 2.42 10/2019 Discretionary Trader Index Month 3 3.44 7/2019 Discretionary Trader Index Month 2 4.06 6/2019 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 Diversified Trader Index Month 8 5.39 7/2016 IASG CTA Index Month 7 5.39 7/2016 Discretionary Trader Index Month 3 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 Discretionary Trader Index Month 3 8.38 4/2016 Diversified Trader Index Month 6 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. x {{title}} x {{title}} Add Cancel