Robust Methods LLC : Macro Managed Account

Year-to-Date: 0.68%
Jan Performance: 0.68%

Min Investment: $ 5,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.07%
Sharpe (RFR=1%): 0.08
CAROR: 1.28%

Assets: $ 1k
Worst DD: -39.40
S&P Correlation: 0.12

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Growth of 1,000 - VAMI

Monthly Performance

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 1/2005
Macro Managed Account	0.68	0.41	0.68	7.19	0.35	-2.33	-27.08	21.20
S&P 500	-0.16	6.19	-0.16	19.27	40.10	60.04	197.26	170.23
+/- S&P 500	0.84	-5.78	0.84	-12.08	-39.75	-62.37	-224.34	-149.03

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

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.

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Index: Chart Type:

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:

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

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
14.97	3	6/1/2019	8/1/2019
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
4.61	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

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
-5.61	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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	181.00	179.00	176.00	170.00	164.00	158.00	146.00	134.00	122.00
Percent Profitable	45.86	49.16	48.86	47.65	44.51	39.87	33.56	33.58	27.87
Average Period Return	0.15	0.42	0.92	1.37	1.22	1.45	1.19	-0.44	-4.28
Average Gain	2.55	4.36	6.81	11.06	13.83	18.29	27.66	31.27	35.41
Average Loss	-1.89	-3.39	-4.71	-7.45	-8.89	-9.72	-12.17	-16.47	-19.61
Best Period	11.76	19.21	23.77	35.75	35.25	49.20	66.16	77.69	67.97
Worst Period	-7.52	-11.43	-11.71	-14.23	-17.94	-20.89	-28.36	-34.21	-32.83
Standard Deviation	2.91	5.05	7.22	11.01	13.58	17.27	23.62	27.22	27.42
Gain Standard Deviation	2.15	3.99	5.54	7.78	9.99	14.53	22.01	23.75	18.96
Loss Standard Deviation	1.63	2.26	2.73	3.55	4.70	6.53	7.88	7.97	7.47
Sharpe Ratio (1%)	0.02	0.03	0.06	0.03	-0.02	-0.03	-0.08	-0.17	-0.34
Average Gain / Average Loss	1.35	1.28	1.45	1.48	1.55	1.88	2.27	1.90	1.81
Profit / Loss Ratio	1.14	1.24	1.38	1.35	1.25	1.25	1.15	0.96	0.70
Downside Deviation (10%)	2.07	3.67	5.52	9.41	12.88	16.57	24.05	32.06	40.86
Downside Deviation (5%)	1.88	3.05	4.20	6.63	8.49	10.40	13.95	17.94	21.92
Downside Deviation (0%)	1.83	2.90	3.89	5.97	7.48	9.06	11.80	14.89	17.81
Sortino Ratio (10%)	-0.13	-0.22	-0.28	-0.39	-0.49	-0.53	-0.61	-0.69	-0.78
Sortino Ratio (5%)	0.03	0.06	0.10	0.06	-0.03	-0.05	-0.13	-0.25	-0.43
Sortino Ratio (0%)	0.08	0.14	0.24	0.23	0.16	0.16	0.10	-0.03	-0.24

Top Performer Badges

Index	Award Type	Rank	Performance	Period
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
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
Diversified Trader Index	Month	8	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
Systematic Trader Index	Month	6	8.38	4/2016
Diversified 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.

^#2

Top Performer

DISCRETIONARY TRADER INDEX

DECEMBER
2019

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Robust Methods LLC : Macro Managed Account

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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