Metolius Capital LLC

Metolius Diversified Systematic Global Macro *QEP*


Monthly Performance (%)

Date Range: 05/10 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 1.01 4.22 0.37 0.97 1.70 -0.94 -0.44 -1.17 0.18   5.95 
2020 0.09 1.07 5.21 -0.08 0.36 -0.85 5.22 1.94 -3.18 -1.52 1.18 3.79  13.65 
2019 -2.18 -1.13 0.99 -0.06 0.30 0.82 -0.39 3.24 -4.11 -0.80 0.18 1.94  -1.39 
2018 4.58 -4.57 -0.57 -1.09 -1.48 -1.67 -1.46 -1.27 -0.55 1.49 0.06 3.01  -3.77 
2017 -1.53 -1.50 -0.99 0.56 0.47 0.04 1.39 -0.83 -0.39 0.67 0.13 1.14  -0.89 
2016 3.09 1.30 -2.52 -0.32 -2.42 2.15 0.99 -1.53 -2.07 -0.45 0.43 1.50  -0.04 
2015 8.33 -1.91 -0.61 -2.92 -2.22 -1.05 0.14 -0.51 -0.01 -2.24 2.98 -1.04  -1.55 
2014 -3.34 1.01 -1.28 -1.87 -0.65 0.89 0.44 2.33 5.53 1.97 4.08 2.52  11.88 
2013 2.66 -0.97 0.10 0.75 0.84 -0.99 -2.14 -0.79 -2.89 -0.23 1.74 2.18  0.10 
2012 -0.48 0.93 -1.39 -2.86 1.36 -2.58 1.98 -0.92 -0.21 -2.20 -0.69 2.15  -4.96 
2011 -1.93 1.22 0.17 4.14 -2.85 -0.10 1.22 -0.15 2.25 -3.15 -1.15 0.97  0.40 
2010 1.04 0.37 0.81 3.80 2.22 -1.84 3.72  10.44 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The strategy encompasses highly liquid futures only, providing transparency and scalability through a small team of individuals. The combination of a macro/fundamental approached combined with trend following and price statistics to trigger trades, expressed entirely through a systematic fund, gives a robust return profile that differs from the majority of CTA’s. 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 focus provides diversification and less concentration risk than the traditional CTA model. We deploy 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. Account minimums and actual fees may be higher or lower for specific accounts as may be individually negotiated between the CTA and each account holder.

Performance Statistics

Date Range: 05/10 - 09/21
  Program S&P 500 Coquest 40 
Total Return 31.54% 357.65% 21.41% 
Annualized Return 2.45% 14.25% 1.71% 
Annualized Std. Deviation 7.26% 13.83% 8.09% 
Correlation -0.07 0.63 
Sharpe Ratio (rf=2.5%) -0.01 0.85 -0.10 
Worst Month -4.57% -12.35% -6.10% 
Date of Worst Month 02/2018 03/2020 02/2018 
Worst Drawdown -17.17% -19.60% -15.74% 
Date of Worst Drawdown 1/15 - 9/18 12/19 - 3/20 4/11 - 9/13 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 05/10 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 5.95 15.93 6.73 
2020 13.65 18.40 0.97 
2019 -1.39 31.50 7.53 
2018 -3.77 -4.38 -4.29 
2017 -0.89 21.84 1.24 
2016 -0.04 11.98 -3.13 
2015 -1.55 1.41 0.09 
2014 11.88 13.69 15.75 
2013 0.10 32.41 -2.45 
2012 -4.96 15.98 -4.75 
2011 0.40 2.12 -3.23 
2010 10.44 16.82 9.79 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 05/10 - 09/21
Date: 9/30/2021
Perf: $1,244.17 Date: 8/31/2021
Perf: $1,237.98 Date: 7/31/2021
Perf: $1,237.74 Date: 6/30/2021
Perf: $1,232.31 Date: 5/31/2021
Perf: $1,237.01 Date: 4/30/2021
Perf: $1,219.21 Date: 3/31/2021
Perf: $1,198.13 Date: 2/28/2021
Perf: $1,182.28 Date: 1/31/2021
Perf: $1,155.14 Date: 12/31/2020
Perf: $1,165.75 Date: 11/30/2020
Perf: $1,123.39 Date: 10/31/2020
Perf: $1,113.60 Date: 9/30/2020
Perf: $1,117.17 Date: 8/31/2020
Perf: $1,133.72 Date: 7/31/2020
Perf: $1,146.68 Date: 6/30/2020
Perf: $1,125.19 Date: 5/31/2020
Perf: $1,139.78 Date: 4/30/2020
Perf: $1,153.27 Date: 3/31/2020
Perf: $1,149.48 Date: 2/29/2020
Perf: $1,148.79 Date: 1/31/2020
Perf: $1,166.16 Date: 12/31/2019
Perf: $1,154.50 Date: 11/30/2019
Perf: $1,161.71 Date: 10/31/2019
Perf: $1,150.43 Date: 9/30/2019
Perf: $1,176.43 Date: 8/31/2019
Perf: $1,209.95 Date: 7/31/2019
Perf: $1,167.68 Date: 6/30/2019
Perf: $1,129.17 Date: 5/31/2019
Perf: $1,107.03 Date: 4/30/2019
Perf: $1,129.16 Date: 3/31/2019
Perf: $1,098.94 Date: 2/28/2019
Perf: $1,060.86 Date: 1/31/2019
Perf: $1,054.11 Date: 12/31/2018
Perf: $1,073.65 Date: 11/30/2018
Perf: $1,069.16 Date: 10/31/2018
Perf: $1,082.15 Date: 9/30/2018
Perf: $1,109.55 Date: 8/31/2018
Perf: $1,114.57 Date: 7/31/2018
Perf: $1,086.85 Date: 6/30/2018
Perf: $1,095.07 Date: 5/31/2018
Perf: $1,085.95 Date: 4/30/2018
Perf: $1,100.14 Date: 3/31/2018
Perf: $1,088.38 Date: 2/28/2018
Perf: $1,089.36 Date: 1/31/2018
Perf: $1,160.13 Date: 12/31/2017
Perf: $1,121.77 Date: 11/30/2017
Perf: $1,109.67 Date: 10/31/2017
Perf: $1,108.23 Date: 9/30/2017
Perf: $1,063.66 Date: 8/31/2017
Perf: $1,086.59 Date: 7/31/2017
Perf: $1,068.85 Date: 6/30/2017
Perf: $1,064.69 Date: 5/31/2017
Perf: $1,096.72 Date: 4/30/2017
Perf: $1,094.64 Date: 3/31/2017
Perf: $1,101.25 Date: 2/28/2017
Perf: $1,117.56 Date: 1/31/2017
Perf: $1,093.72 Date: 12/31/2016
Perf: $1,108.01 Date: 11/30/2016
Perf: $1,099.66 Date: 10/31/2016
Perf: $1,111.89 Date: 9/30/2016
Perf: $1,141.33 Date: 8/31/2016
Perf: $1,156.25 Date: 7/31/2016
Perf: $1,188.21 Date: 6/30/2016
Perf: $1,176.21 Date: 5/31/2016
Perf: $1,128.26 Date: 4/30/2016
Perf: $1,148.36 Date: 3/31/2016
Perf: $1,177.92 Date: 2/29/2016
Perf: $1,212.73 Date: 1/31/2016
Perf: $1,183.61 Date: 12/31/2015
Perf: $1,143.81 Date: 11/30/2015
Perf: $1,170.74 Date: 10/31/2015
Perf: $1,132.13 Date: 9/30/2015
Perf: $1,152.18 Date: 8/31/2015
Perf: $1,127.71 Date: 7/31/2015
Perf: $1,147.56 Date: 6/30/2015
Perf: $1,104.38 Date: 5/31/2015
Perf: $1,164.96 Date: 4/30/2015
Perf: $1,173.40 Date: 3/31/2015
Perf: $1,220.52 Date: 2/28/2015
Perf: $1,194.13 Date: 1/31/2015
Perf: $1,196.04 Date: 12/31/2014
Perf: $1,142.79 Date: 11/30/2014
Perf: $1,123.02 Date: 10/31/2014
Perf: $1,059.95 Date: 9/30/2014
Perf: $1,044.60 Date: 8/31/2014
Perf: $1,029.26 Date: 7/31/2014
Perf: $987.49 Date: 6/30/2014
Perf: $995.45 Date: 5/31/2014
Perf: $986.97 Date: 4/30/2014
Perf: $962.33 Date: 3/31/2014
Perf: $955.07 Date: 2/28/2014
Perf: $969.42 Date: 1/31/2014
Perf: $961.54 Date: 12/31/2013
Perf: $987.30 Date: 11/30/2013
Perf: $988.69 Date: 10/31/2013
Perf: $971.11 Date: 9/30/2013
Perf: $949.37 Date: 8/31/2013
Perf: $955.10 Date: 7/31/2013
Perf: $973.80 Date: 6/30/2013
Perf: $982.34 Date: 5/31/2013
Perf: $1,021.04 Date: 4/30/2013
Perf: $1,066.92 Date: 3/31/2013
Perf: $1,040.09 Date: 2/28/2013
Perf: $1,025.32 Date: 1/31/2013
Perf: $1,031.30 Date: 12/31/2012
Perf: $1,012.07 Date: 11/30/2012
Perf: $1,007.14 Date: 10/31/2012
Perf: $1,004.33 Date: 9/30/2012
Perf: $1,042.05 Date: 8/31/2012
Perf: $1,059.53 Date: 7/31/2012
Perf: $1,074.14 Date: 6/30/2012
Perf: $1,031.93 Date: 5/31/2012
Perf: $1,072.25 Date: 4/30/2012
Perf: $1,052.26 Date: 3/31/2012
Perf: $1,045.98 Date: 2/29/2012
Perf: $1,070.28 Date: 1/31/2012
Perf: $1,065.91 Date: 12/31/2011
Perf: $1,062.51 Date: 11/30/2011
Perf: $1,052.40 Date: 10/31/2011
Perf: $1,049.25 Date: 9/30/2011
Perf: $1,092.52 Date: 8/31/2011
Perf: $1,093.17 Date: 7/31/2011
Perf: $1,095.37 Date: 6/30/2011
Perf: $1,057.40 Date: 5/31/2011
Perf: $1,085.63 Date: 4/30/2011
Perf: $1,126.76 Date: 3/31/2011
Perf: $1,084.46 Date: 2/28/2011
Perf: $1,101.31 Date: 1/31/2011
Perf: $1,082.90 Date: 12/31/2010
Perf: $1,097.95 Date: 11/30/2010
Perf: $1,052.78 Date: 10/31/2010
Perf: $1,091.42 Date: 9/30/2010
Perf: $1,050.65 Date: 8/31/2010
Perf: $1,031.87 Date: 7/31/2010
Perf: $990.85 Date: 6/30/2010
Perf: $1,003.80 Date: 5/31/2010
Perf: $1,000.00 Date: 9/30/2021
Perf: $4,973.89 Date: 8/31/2021
Perf: $5,216.46 Date: 7/31/2021
Perf: $5,062.56 Date: 6/30/2021
Perf: $4,944.87 Date: 5/31/2021
Perf: $4,832.28 Date: 4/30/2021
Perf: $4,798.69 Date: 3/31/2021
Perf: $4,555.43 Date: 2/28/2021
Perf: $4,364.27 Date: 1/31/2021
Perf: $4,247.05 Date: 12/31/2020
Perf: $4,290.39 Date: 11/30/2020
Perf: $4,131.73 Date: 10/31/2020
Perf: $3,723.95 Date: 9/30/2020
Perf: $3,825.72 Date: 8/31/2020
Perf: $3,976.84 Date: 7/31/2020
Perf: $3,710.08 Date: 6/30/2020
Perf: $3,512.01 Date: 5/31/2020
Perf: $3,443.48 Date: 4/30/2020
Perf: $3,287.02 Date: 3/31/2020
Perf: $2,913.51 Date: 2/29/2020
Perf: $3,324.02 Date: 1/31/2020
Perf: $3,622.12 Date: 12/31/2019
Perf: $3,623.57 Date: 11/30/2019
Perf: $3,517.35 Date: 10/31/2019
Perf: $3,394.14 Date: 9/30/2019
Perf: $3,322.05 Date: 8/31/2019
Perf: $3,261.07 Date: 7/31/2019
Perf: $3,313.42 Date: 6/30/2019
Perf: $3,266.39 Date: 5/31/2019
Perf: $3,051.27 Date: 4/30/2019
Perf: $3,258.17 Date: 3/31/2019
Perf: $3,131.35 Date: 2/28/2019
Perf: $3,071.76 Date: 1/31/2019
Perf: $2,976.22 Date: 12/31/2018
Perf: $2,755.50 Date: 11/30/2018
Perf: $3,029.02 Date: 10/31/2018
Perf: $2,968.47 Date: 9/30/2018
Perf: $3,186.42 Date: 8/31/2018
Perf: $3,168.36 Date: 7/31/2018
Perf: $3,068.33 Date: 6/30/2018
Perf: $2,958.28 Date: 5/31/2018
Perf: $2,940.05 Date: 4/30/2018
Perf: $2,870.87 Date: 3/31/2018
Perf: $2,860.00 Date: 2/28/2018
Perf: $2,934.54 Date: 1/31/2018
Perf: $3,046.97 Date: 12/31/2017
Perf: $2,881.84 Date: 11/30/2017
Perf: $2,850.20 Date: 10/31/2017
Perf: $2,765.31 Date: 9/30/2017
Perf: $2,702.34 Date: 8/31/2017
Perf: $2,647.80 Date: 7/31/2017
Perf: $2,639.62 Date: 6/30/2017
Perf: $2,586.34 Date: 5/31/2017
Perf: $2,570.40 Date: 4/30/2017
Perf: $2,534.66 Date: 3/31/2017
Perf: $2,508.82 Date: 2/28/2017
Perf: $2,505.81 Date: 1/31/2017
Perf: $2,410.13 Date: 12/31/2016
Perf: $2,365.19 Date: 11/30/2016
Perf: $2,319.27 Date: 10/31/2016
Perf: $2,236.52 Date: 9/30/2016
Perf: $2,277.98 Date: 8/31/2016
Perf: $2,277.52 Date: 7/31/2016
Perf: $2,274.34 Date: 6/30/2016
Perf: $2,193.40 Date: 5/31/2016
Perf: $2,187.72 Date: 4/30/2016
Perf: $2,149.03 Date: 3/31/2016
Perf: $2,140.68 Date: 2/29/2016
Perf: $2,004.76 Date: 1/31/2016
Perf: $2,007.37 Date: 12/31/2015
Perf: $2,112.13 Date: 11/30/2015
Perf: $2,146.04 Date: 10/31/2015
Perf: $2,139.62 Date: 9/30/2015
Perf: $1,973.09 Date: 8/31/2015
Perf: $2,023.06 Date: 7/31/2015
Perf: $2,152.88 Date: 6/30/2015
Perf: $2,108.60 Date: 5/31/2015
Perf: $2,150.32 Date: 4/30/2015
Perf: $2,122.93 Date: 3/31/2015
Perf: $2,102.74 Date: 2/28/2015
Perf: $2,136.50 Date: 1/31/2015
Perf: $2,020.33 Date: 12/31/2014
Perf: $2,082.82 Date: 11/30/2014
Perf: $2,088.04 Date: 10/31/2014
Perf: $2,033.34 Date: 9/30/2014
Perf: $1,984.91 Date: 8/31/2014
Perf: $2,013.09 Date: 7/31/2014
Perf: $1,935.66 Date: 6/30/2014
Perf: $1,962.75 Date: 5/31/2014
Perf: $1,922.94 Date: 4/30/2014
Perf: $1,878.79 Date: 3/31/2014
Perf: $1,864.99 Date: 2/28/2014
Perf: $1,849.46 Date: 1/31/2014
Perf: $1,768.63 Date: 12/31/2013
Perf: $1,832.02 Date: 11/30/2013
Perf: $1,786.81 Date: 10/31/2013
Perf: $1,733.93 Date: 9/30/2013
Perf: $1,657.67 Date: 8/31/2013
Perf: $1,607.21 Date: 7/31/2013
Perf: $1,655.21 Date: 6/30/2013
Perf: $1,575.04 Date: 5/31/2013
Perf: $1,596.43 Date: 4/30/2013
Perf: $1,559.93 Date: 3/31/2013
Perf: $1,530.39 Date: 2/28/2013
Perf: $1,475.08 Date: 1/31/2013
Perf: $1,455.29 Date: 12/31/2012
Perf: $1,383.61 Date: 11/30/2012
Perf: $1,371.14 Date: 10/31/2012
Perf: $1,363.23 Date: 9/30/2012
Perf: $1,388.93 Date: 8/31/2012
Perf: $1,353.99 Date: 7/31/2012
Perf: $1,324.20 Date: 6/30/2012
Perf: $1,306.04 Date: 5/31/2012
Perf: $1,254.36 Date: 4/30/2012
Perf: $1,334.57 Date: 3/31/2012
Perf: $1,343.03 Date: 2/29/2012
Perf: $1,300.25 Date: 1/31/2012
Perf: $1,246.41 Date: 12/31/2011
Perf: $1,192.96 Date: 11/30/2011
Perf: $1,180.92 Date: 10/31/2011
Perf: $1,183.52 Date: 9/30/2011
Perf: $1,066.91 Date: 8/31/2011
Perf: $1,147.59 Date: 7/31/2011
Perf: $1,213.48 Date: 6/30/2011
Perf: $1,238.62 Date: 5/31/2011
Perf: $1,259.66 Date: 4/30/2011
Perf: $1,274.05 Date: 3/31/2011
Perf: $1,237.43 Date: 2/28/2011
Perf: $1,236.93 Date: 1/31/2011
Perf: $1,195.91 Date: 12/31/2010
Perf: $1,168.22 Date: 11/30/2010
Perf: $1,095.07 Date: 10/31/2010
Perf: $1,094.96 Date: 9/30/2010
Perf: $1,054.78 Date: 8/31/2010
Perf: $968.40 Date: 7/31/2010
Perf: $1,014.13 Date: 6/30/2010
Perf: $947.70 Date: 5/31/2010
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,315.41 Date: 8/31/2021
Perf: $1,313.04 Date: 7/31/2021
Perf: $1,328.59 Date: 6/30/2021
Perf: $1,334.46 Date: 5/31/2021
Perf: $1,347.12 Date: 4/30/2021
Perf: $1,324.61 Date: 3/31/2021
Perf: $1,311.88 Date: 2/28/2021
Perf: $1,307.04 Date: 1/31/2021
Perf: $1,254.12 Date: 12/31/2020
Perf: $1,241.58 Date: 11/30/2020
Perf: $1,196.24 Date: 10/31/2020
Perf: $1,182.29 Date: 9/30/2020
Perf: $1,200.54 Date: 8/31/2020
Perf: $1,239.97 Date: 7/31/2020
Perf: $1,216.37 Date: 6/30/2020
Perf: $1,156.03 Date: 5/31/2020
Perf: $1,165.94 Date: 4/30/2020
Perf: $1,161.76 Date: 3/31/2020
Perf: $1,162.69 Date: 2/29/2020
Perf: $1,105.11 Date: 1/31/2020
Perf: $1,093.41 Date: 12/31/2019
Perf: $1,092.43 Date: 11/30/2019
Perf: $1,071.64 Date: 10/31/2019
Perf: $1,069.71 Date: 9/30/2019
Perf: $1,078.34 Date: 8/31/2019
Perf: $1,124.56 Date: 7/31/2019
Perf: $1,089.27 Date: 6/30/2019
Perf: $1,093.53 Date: 5/31/2019
Perf: $1,084.64 Date: 4/30/2019
Perf: $1,081.39 Date: 3/31/2019
Perf: $1,082.04 Date: 2/28/2019
Perf: $1,071.44 Date: 1/31/2019
Perf: $1,083.68 Date: 12/31/2018
Perf: $1,107.83 Date: 11/30/2018
Perf: $1,075.46 Date: 10/31/2018
Perf: $1,074.82 Date: 9/30/2018
Perf: $1,059.04 Date: 8/31/2018
Perf: $1,064.89 Date: 7/31/2018
Perf: $1,078.59 Date: 6/30/2018
Perf: $1,094.57 Date: 5/31/2018
Perf: $1,113.16 Date: 4/30/2018
Perf: $1,129.88 Date: 3/31/2018
Perf: $1,142.33 Date: 2/28/2018
Perf: $1,148.88 Date: 1/31/2018
Perf: $1,203.90 Date: 12/31/2017
Perf: $1,151.18 Date: 11/30/2017
Perf: $1,138.20 Date: 10/31/2017
Perf: $1,136.72 Date: 9/30/2017
Perf: $1,129.16 Date: 8/31/2017
Perf: $1,133.58 Date: 7/31/2017
Perf: $1,143.07 Date: 6/30/2017
Perf: $1,127.40 Date: 5/31/2017
Perf: $1,126.95 Date: 4/30/2017
Perf: $1,121.67 Date: 3/31/2017
Perf: $1,115.43 Date: 2/28/2017
Perf: $1,126.58 Date: 1/31/2017
Perf: $1,143.74 Date: 12/31/2016
Perf: $1,161.51 Date: 11/30/2016
Perf: $1,144.34 Date: 10/31/2016
Perf: $1,139.44 Date: 9/30/2016
Perf: $1,144.59 Date: 8/31/2016
Perf: $1,168.79 Date: 7/31/2016
Perf: $1,186.95 Date: 6/30/2016
Perf: $1,175.31 Date: 5/31/2016
Perf: $1,150.58 Date: 4/30/2016
Perf: $1,179.11 Date: 3/31/2016
Perf: $1,182.90 Date: 2/29/2016
Perf: $1,213.47 Date: 1/31/2016
Perf: $1,197.90 Date: 12/31/2015
Perf: $1,162.00 Date: 11/30/2015
Perf: $1,174.21 Date: 10/31/2015
Perf: $1,140.23 Date: 9/30/2015
Perf: $1,166.36 Date: 8/31/2015
Perf: $1,166.47 Date: 7/31/2015
Perf: $1,172.45 Date: 6/30/2015
Perf: $1,170.81 Date: 5/31/2015
Perf: $1,183.24 Date: 4/30/2015
Perf: $1,210.10 Date: 3/31/2015
Perf: $1,246.50 Date: 2/28/2015
Perf: $1,254.15 Date: 1/31/2015
Perf: $1,278.57 Date: 12/31/2014
Perf: $1,180.25 Date: 11/30/2014
Perf: $1,151.24 Date: 10/31/2014
Perf: $1,106.11 Date: 9/30/2014
Perf: $1,084.74 Date: 8/31/2014
Perf: $1,027.90 Date: 7/31/2014
Perf: $1,004.50 Date: 6/30/2014
Perf: $1,000.10 Date: 5/31/2014
Perf: $991.27 Date: 4/30/2014
Perf: $997.76 Date: 3/31/2014
Perf: $1,016.77 Date: 2/28/2014
Perf: $1,029.96 Date: 1/31/2014
Perf: $1,019.66 Date: 12/31/2013
Perf: $1,054.89 Date: 11/30/2013
Perf: $1,032.38 Date: 10/31/2013
Perf: $1,014.73 Date: 9/30/2013
Perf: $1,017.07 Date: 8/31/2013
Perf: $1,047.34 Date: 7/31/2013
Perf: $1,055.68 Date: 6/30/2013
Perf: $1,078.76 Date: 5/31/2013
Perf: $1,089.55 Date: 4/30/2013
Perf: $1,080.47 Date: 3/31/2013
Perf: $1,072.43 Date: 2/28/2013
Perf: $1,071.36 Date: 1/31/2013
Perf: $1,081.85 Date: 12/31/2012
Perf: $1,053.82 Date: 11/30/2012
Perf: $1,031.64 Date: 10/31/2012
Perf: $1,038.81 Date: 9/30/2012
Perf: $1,062.17 Date: 8/31/2012
Perf: $1,064.41 Date: 7/31/2012
Perf: $1,074.29 Date: 6/30/2012
Perf: $1,053.44 Date: 5/31/2012
Perf: $1,081.33 Date: 4/30/2012
Perf: $1,066.83 Date: 3/31/2012
Perf: $1,098.23 Date: 2/29/2012
Perf: $1,113.72 Date: 1/31/2012
Perf: $1,103.45 Date: 12/31/2011
Perf: $1,108.78 Date: 11/30/2011
Perf: $1,098.12 Date: 10/31/2011
Perf: $1,110.90 Date: 9/30/2011
Perf: $1,147.03 Date: 8/31/2011
Perf: $1,121.79 Date: 7/31/2011
Perf: $1,123.48 Date: 6/30/2011
Perf: $1,109.93 Date: 5/31/2011
Perf: $1,111.05 Date: 4/30/2011
Perf: $1,143.64 Date: 3/31/2011
Perf: $1,098.17 Date: 2/28/2011
Perf: $1,096.31 Date: 1/31/2011
Perf: $1,083.10 Date: 12/31/2010
Perf: $1,104.41 Date: 11/30/2010
Perf: $1,064.80 Date: 10/31/2010
Perf: $1,084.76 Date: 9/30/2010
Perf: $1,061.20 Date: 8/31/2010
Perf: $1,022.35 Date: 7/31/2010
Perf: $1,014.14 Date: 6/30/2010
Perf: $1,010.40 Date: 5/31/2010
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 05/10 - 09/21
Date: 9/30/2021
Return: 0.18 % Date: 8/31/2021
Return: -1.17 % Date: 7/31/2021
Return: -0.44 % Date: 6/30/2021
Return: -0.94 % Date: 5/31/2021
Return: 1.70 % Date: 4/30/2021
Return: 0.97 % Date: 3/31/2021
Return: 0.37 % Date: 2/28/2021
Return: 4.22 % Date: 1/31/2021
Return: 1.01 % Date: 12/31/2020
Return: 3.79 % Date: 11/30/2020
Return: 1.18 % Date: 10/31/2020
Return: -1.52 % Date: 9/30/2020
Return: -3.18 % Date: 8/31/2020
Return: 1.94 % Date: 7/31/2020
Return: 5.22 % Date: 6/30/2020
Return: -0.85 % Date: 5/31/2020
Return: 0.36 % Date: 4/30/2020
Return: -0.08 % Date: 3/31/2020
Return: 5.21 % Date: 2/29/2020
Return: 1.07 % Date: 1/31/2020
Return: 0.09 % Date: 12/31/2019
Return: 1.94 % Date: 11/30/2019
Return: 0.18 % Date: 10/31/2019
Return: -0.80 % Date: 9/30/2019
Return: -4.11 % Date: 8/31/2019
Return: 3.24 % Date: 7/31/2019
Return: -0.39 % Date: 6/30/2019
Return: 0.82 % Date: 5/31/2019
Return: 0.30 % Date: 4/30/2019
Return: -0.06 % Date: 3/31/2019
Return: 0.99 % Date: 2/28/2019
Return: -1.13 % Date: 1/31/2019
Return: -2.18 % Date: 12/31/2018
Return: 3.01 % Date: 11/30/2018
Return: 0.06 % Date: 10/31/2018
Return: 1.49 % Date: 9/30/2018
Return: -0.55 % Date: 8/31/2018
Return: -1.27 % Date: 7/31/2018
Return: -1.46 % Date: 6/30/2018
Return: -1.67 % Date: 5/31/2018
Return: -1.48 % Date: 4/30/2018
Return: -1.09 % Date: 3/31/2018
Return: -0.57 % Date: 2/28/2018
Return: -4.57 % Date: 1/31/2018
Return: 4.58 % Date: 12/31/2017
Return: 1.14 % Date: 11/30/2017
Return: 0.13 % Date: 10/31/2017
Return: 0.67 % Date: 9/30/2017
Return: -0.39 % Date: 8/31/2017
Return: -0.83 % Date: 7/31/2017
Return: 1.39 % Date: 6/30/2017
Return: 0.04 % Date: 5/31/2017
Return: 0.47 % Date: 4/30/2017
Return: 0.56 % Date: 3/31/2017
Return: -0.99 % Date: 2/28/2017
Return: -1.50 % Date: 1/31/2017
Return: -1.53 % Date: 12/31/2016
Return: 1.50 % Date: 11/30/2016
Return: 0.43 % Date: 10/31/2016
Return: -0.45 % Date: 9/30/2016
Return: -2.07 % Date: 8/31/2016
Return: -1.53 % Date: 7/31/2016
Return: 0.99 % Date: 6/30/2016
Return: 2.15 % Date: 5/31/2016
Return: -2.42 % Date: 4/30/2016
Return: -0.32 % Date: 3/31/2016
Return: -2.52 % Date: 2/29/2016
Return: 1.30 % Date: 1/31/2016
Return: 3.09 % Date: 12/31/2015
Return: -1.04 % Date: 11/30/2015
Return: 2.98 % Date: 10/31/2015
Return: -2.24 % Date: 9/30/2015
Return: -0.01 % Date: 8/31/2015
Return: -0.51 % Date: 7/31/2015
Return: 0.14 % Date: 6/30/2015
Return: -1.05 % Date: 5/31/2015
Return: -2.22 % Date: 4/30/2015
Return: -2.92 % Date: 3/31/2015
Return: -0.61 % Date: 2/28/2015
Return: -1.91 % Date: 1/31/2015
Return: 8.33 % Date: 12/31/2014
Return: 2.52 % Date: 11/30/2014
Return: 4.08 % Date: 10/31/2014
Return: 1.97 % Date: 9/30/2014
Return: 5.53 % Date: 8/31/2014
Return: 2.33 % Date: 7/31/2014
Return: 0.44 % Date: 6/30/2014
Return: 0.89 % Date: 5/31/2014
Return: -0.65 % Date: 4/30/2014
Return: -1.87 % Date: 3/31/2014
Return: -1.28 % Date: 2/28/2014
Return: 1.01 % Date: 1/31/2014
Return: -3.34 % Date: 12/31/2013
Return: 2.18 % Date: 11/30/2013
Return: 1.74 % Date: 10/31/2013
Return: -0.23 % Date: 9/30/2013
Return: -2.89 % Date: 8/31/2013
Return: -0.79 % Date: 7/31/2013
Return: -2.14 % Date: 6/30/2013
Return: -0.99 % Date: 5/31/2013
Return: 0.84 % Date: 4/30/2013
Return: 0.75 % Date: 3/31/2013
Return: 0.10 % Date: 2/28/2013
Return: -0.97 % Date: 1/31/2013
Return: 2.66 % Date: 12/31/2012
Return: 2.15 % Date: 11/30/2012
Return: -0.69 % Date: 10/31/2012
Return: -2.20 % Date: 9/30/2012
Return: -0.21 % Date: 8/31/2012
Return: -0.92 % Date: 7/31/2012
Return: 1.98 % Date: 6/30/2012
Return: -2.58 % Date: 5/31/2012
Return: 1.36 % Date: 4/30/2012
Return: -2.86 % Date: 3/31/2012
Return: -1.39 % Date: 2/29/2012
Return: 0.93 % Date: 1/31/2012
Return: -0.48 % Date: 12/31/2011
Return: 0.97 % Date: 11/30/2011
Return: -1.15 % Date: 10/31/2011
Return: -3.15 % Date: 9/30/2011
Return: 2.25 % Date: 8/31/2011
Return: -0.15 % Date: 7/31/2011
Return: 1.22 % Date: 6/30/2011
Return: -0.10 % Date: 5/31/2011
Return: -2.85 % Date: 4/30/2011
Return: 4.14 % Date: 3/31/2011
Return: 0.17 % Date: 2/28/2011
Return: 1.22 % Date: 1/31/2011
Return: -1.93 % Date: 12/31/2010
Return: 3.72 % Date: 11/30/2010
Return: -1.84 % Date: 10/31/2010
Return: 2.22 % Date: 9/30/2010
Return: 3.80 % Date: 8/31/2010
Return: 0.81 % Date: 7/31/2010
Return: 0.37 % Date: 6/30/2010
Return: 1.04 % Date: 5/31/2010
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 05/10 - 09/21
Return: -4.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 5.00 %
Count: 3 Return: 8.00 %
Count: 1 Return: 6.00 %
Count: 1 Return: 3.00 %
Count: 6 Return: -1.00 %
Count: 26 Return: -3.00 %
Count: 9 Return: -2.00 %
Count: 16 Return: 2.00 %
Count: 13 Return: 4.00 %
Count: 6 Return: 1.00 %
Count: 24 Return: 0.00 %
Count: 30

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 05/10 - 09/21
Date: 9/30/2021
Drawdown: -2.35 % Date: 8/31/2021
Drawdown: -2.53 % Date: 7/31/2021
Drawdown: -1.38 % Date: 6/30/2021
Drawdown: -0.94 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: 0.00 % Date: 3/31/2021
Drawdown: 0.00 % Date: 2/28/2021
Drawdown: 0.00 % Date: 1/31/2021
Drawdown: -1.91 % Date: 12/31/2020
Drawdown: -2.89 % Date: 11/30/2020
Drawdown: -6.44 % Date: 10/31/2020
Drawdown: -7.53 % Date: 9/30/2020
Drawdown: -6.10 % Date: 8/31/2020
Drawdown: -3.02 % Date: 7/31/2020
Drawdown: -4.86 % Date: 6/30/2020
Drawdown: -9.58 % Date: 5/31/2020
Drawdown: -8.81 % Date: 4/30/2020
Drawdown: -9.14 % Date: 3/31/2020
Drawdown: -9.06 % Date: 2/29/2020
Drawdown: -13.57 % Date: 1/31/2020
Drawdown: -14.48 % Date: 12/31/2019
Drawdown: -14.56 % Date: 11/30/2019
Drawdown: -16.18 % Date: 10/31/2019
Drawdown: -16.34 % Date: 9/30/2019
Drawdown: -15.66 % Date: 8/31/2019
Drawdown: -12.05 % Date: 7/31/2019
Drawdown: -14.81 % Date: 6/30/2019
Drawdown: -14.47 % Date: 5/31/2019
Drawdown: -15.17 % Date: 4/30/2019
Drawdown: -15.42 % Date: 3/31/2019
Drawdown: -15.37 % Date: 2/28/2019
Drawdown: -16.20 % Date: 1/31/2019
Drawdown: -15.24 % Date: 12/31/2018
Drawdown: -13.35 % Date: 11/30/2018
Drawdown: -15.89 % Date: 10/31/2018
Drawdown: -15.94 % Date: 9/30/2018
Drawdown: -17.17 % Date: 8/31/2018
Drawdown: -16.71 % Date: 7/31/2018
Drawdown: -15.64 % Date: 6/30/2018
Drawdown: -14.39 % Date: 5/31/2018
Drawdown: -12.94 % Date: 4/30/2018
Drawdown: -11.63 % Date: 3/31/2018
Drawdown: -10.66 % Date: 2/28/2018
Drawdown: -10.14 % Date: 1/31/2018
Drawdown: -5.84 % Date: 12/31/2017
Drawdown: -9.96 % Date: 11/30/2017
Drawdown: -10.98 % Date: 10/31/2017
Drawdown: -11.09 % Date: 9/30/2017
Drawdown: -11.69 % Date: 8/31/2017
Drawdown: -11.34 % Date: 7/31/2017
Drawdown: -10.60 % Date: 6/30/2017
Drawdown: -11.82 % Date: 5/31/2017
Drawdown: -11.86 % Date: 4/30/2017
Drawdown: -12.27 % Date: 3/31/2017
Drawdown: -12.76 % Date: 2/28/2017
Drawdown: -11.89 % Date: 1/31/2017
Drawdown: -10.55 % Date: 12/31/2016
Drawdown: -9.16 % Date: 11/30/2016
Drawdown: -10.50 % Date: 10/31/2016
Drawdown: -10.88 % Date: 9/30/2016
Drawdown: -10.48 % Date: 8/31/2016
Drawdown: -8.59 % Date: 7/31/2016
Drawdown: -7.17 % Date: 6/30/2016
Drawdown: -8.08 % Date: 5/31/2016
Drawdown: -10.01 % Date: 4/30/2016
Drawdown: -7.78 % Date: 3/31/2016
Drawdown: -7.48 % Date: 2/29/2016
Drawdown: -5.09 % Date: 1/31/2016
Drawdown: -6.31 % Date: 12/31/2015
Drawdown: -9.12 % Date: 11/30/2015
Drawdown: -8.16 % Date: 10/31/2015
Drawdown: -10.82 % Date: 9/30/2015
Drawdown: -8.78 % Date: 8/31/2015
Drawdown: -8.77 % Date: 7/31/2015
Drawdown: -8.30 % Date: 6/30/2015
Drawdown: -8.43 % Date: 5/31/2015
Drawdown: -7.46 % Date: 4/30/2015
Drawdown: -5.36 % Date: 3/31/2015
Drawdown: -2.51 % Date: 2/28/2015
Drawdown: -1.91 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -3.57 % Date: 9/30/2014
Drawdown: -5.43 % Date: 8/31/2014
Drawdown: -10.39 % Date: 7/31/2014
Drawdown: -12.43 % Date: 6/30/2014
Drawdown: -12.81 % Date: 5/31/2014
Drawdown: -13.58 % Date: 4/30/2014
Drawdown: -13.01 % Date: 3/31/2014
Drawdown: -11.36 % Date: 2/28/2014
Drawdown: -10.21 % Date: 1/31/2014
Drawdown: -11.10 % Date: 12/31/2013
Drawdown: -8.03 % Date: 11/30/2013
Drawdown: -9.99 % Date: 10/31/2013
Drawdown: -11.53 % Date: 9/30/2013
Drawdown: -11.33 % Date: 8/31/2013
Drawdown: -8.69 % Date: 7/31/2013
Drawdown: -7.96 % Date: 6/30/2013
Drawdown: -5.95 % Date: 5/31/2013
Drawdown: -5.01 % Date: 4/30/2013
Drawdown: -5.80 % Date: 3/31/2013
Drawdown: -6.50 % Date: 2/28/2013
Drawdown: -6.60 % Date: 1/31/2013
Drawdown: -5.68 % Date: 12/31/2012
Drawdown: -8.13 % Date: 11/30/2012
Drawdown: -10.06 % Date: 10/31/2012
Drawdown: -9.44 % Date: 9/30/2012
Drawdown: -7.40 % Date: 8/31/2012
Drawdown: -7.20 % Date: 7/31/2012
Drawdown: -6.34 % Date: 6/30/2012
Drawdown: -8.16 % Date: 5/31/2012
Drawdown: -5.73 % Date: 4/30/2012
Drawdown: -6.99 % Date: 3/31/2012
Drawdown: -4.25 % Date: 2/29/2012
Drawdown: -2.90 % Date: 1/31/2012
Drawdown: -3.80 % Date: 12/31/2011
Drawdown: -3.34 % Date: 11/30/2011
Drawdown: -4.26 % Date: 10/31/2011
Drawdown: -3.15 % Date: 9/30/2011
Drawdown: 0.00 % Date: 8/31/2011
Drawdown: -1.91 % Date: 7/31/2011
Drawdown: -1.76 % Date: 6/30/2011
Drawdown: -2.95 % Date: 5/31/2011
Drawdown: -2.85 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: -0.56 % Date: 2/28/2011
Drawdown: -0.73 % Date: 1/31/2011
Drawdown: -1.93 % Date: 12/31/2010
Drawdown: 0.00 % Date: 11/30/2010
Drawdown: -1.84 % Date: 10/31/2010
Drawdown: 0.00 % Date: 9/30/2010
Drawdown: 0.00 % Date: 8/31/2010
Drawdown: 0.00 % Date: 7/31/2010
Drawdown: 0.00 % Date: 6/30/2010
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Metolius Capital LLC
Address: 120 East Liberty Drive, Suite 220
City: Wheaton
State: IL
Zip: 60187
Country: USA

Key People

Name:  Thomas Mazza
Position:  Principal
Biography: 

Tom Mazza managed a team of proprietary traders and quantitative analysts in an office outside downtown Chicago developing, testing and trading systematic and fundamental models. In his 32 years of trading his own account, Tom has traded in excess of 75 million futures contracts. Prior to 2000, Tom worked on the floor of the CBOT, developing his own unique methodology of trading, both in the US 5 year pit (where he often accounted for more than 2% of the exchange volume), while also trading across most other markets. Tom began his career at the Mid-Am Exchange in 1987 and subsequently moved onto the CBOT in 1990. Tom received his Bachelor’s Degree in Finance from Marquette University in Milwaukee, Wisconsin in 1987.


Name:  Ross Crotinger
Position:  Trader
Biography: 

Ross Crotinger worked at Newedge Group in Chicago where he was responsible for the sales and coverage of the global relationships of CTAs and hedge funds for more than $50 billion cumulatively in customer assets. His passion since completing his MBA in Finance from Loyola University has always been in trend following techniques. Since 1991, he has written and developed his own systematic trend following systems, culminating in him running his family money through them since 1993. Prior to Newedge, Ross worked for 5 years at Lehman Brothers and before that at Fimat Futures, all in a similar capacity. Ross graduated from the University of Illinois at Urbana-Champaign in 1987 (Bachelor’s Degree in Agricultural Economics), which launched him into a career on the sell-side, predominantly focused on futures and options.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Mini-Futures Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Trend Following Yes 
 Macro-economic Yes 
 Systematic Yes 
 Diversified Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Short Term Yes 
 Intra-Week Yes 
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $3,000,000 
 Margin / Equity Ratio: 6% 
 Managed Account Availability: Open 
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