Metori Capital Management

Metori Epsilon Global Trend Program *QEP*


Monthly Performance (%)

Date Range: 07/11 - 09/21
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2021 -0.31 -0.09 0.21 -1.21 2.06 -1.71 -2.29 -0.71 -0.92   -4.92 
2020 3.34 0.82 3.14 -0.24 -0.08 -0.74 0.83 1.11 -0.63 -0.73 1.03 2.52  10.75 
2019 -0.55 0.40 6.03 2.73 0.50 4.83 2.54 2.98 -1.00 -2.64 1.48 -1.26  16.86 
2018 5.29 -3.26 -0.26 -0.74 0.30 0.05 -0.22 0.03 -1.42 -2.34 -1.19 -2.45  -6.27 
2017 0.43 5.09 -1.54 0.04 1.75 -4.10 4.72 0.33 -2.80 2.31 3.42 2.26  12.09 
2016 5.02 0.74 -2.14 -1.85 -0.56 3.77 1.10 -1.01 -0.24 -2.93 -2.83 1.10  -0.17 
2015 7.41 0.82 1.75 -3.09 1.25 -3.31 2.30 -2.78 2.44 0.13 0.89 -2.70  4.69 
2014 2.01 -2.13 -2.95 1.99 0.16 2.59 1.66 4.82 -0.98 1.51 4.98 2.93  17.52 
2013 3.99 -0.10 4.00 4.39 -2.00 -5.04 1.58 -3.61 -0.59 1.77 8.47 2.66  15.78 
2012 -0.61 -2.35 0.54 0.10 1.63 -5.55 2.24 -4.12 -6.05 -3.55 0.94 2.31  -13.99 
2011 -1.25 -2.31 -5.82 1.57 3.19  -4.78 

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 Epsilon program (“Epsilon”) was launched in 1994 by SociétéGénérale. Theinvestmentmodelwasredesignedin2012byGuillaumeJamet while at Lyxor. It was eventually transferred to METORI in 2017.METORI implements several versions of Epsilon, with the EpsilonGlobal Trend program (“Epsilon GT”) being the largest. Epsilon GT isimplemented in Lyxor Epsilon Global Trend Fund, a UCITS fund (notoffered to US investors) on the Lyxor platform.Epsilon is a holistic, statistical approach to trend-following.Trend estimators are computed using a multi-variate statisticalprocess, which analyses each futures contract in relation to globalmarket factors rather than in isolation. The program combinesmedium-to-long-term trend estimators with short-term volatility andcorrelation estimators, which helps to quickly adapt to prevailingmarket regimes. Portfolio construction relies on a proprietarymean-variance model, designed to optimize expected returns vs. riskwhile limiting turnover

Performance Statistics

Date Range: 07/11 - 09/21
  Program S&P 500 Coquest 40 
Total Return 50.56% 301.57% 17.66% 
Annualized Return 4.11% 14.53% 1.60% 
Annualized Std. Deviation 9.39% 13.50% 7.85% 
Correlation 0.06 0.73 
Sharpe Ratio (rf=2.5%) 0.17 0.89 -0.11 
Worst Month -6.05% -12.35% -6.10% 
Date of Worst Month 09/2012 03/2020 02/2018 
Worst Drawdown -20.69% -19.60% -13.63% 
Date of Worst Drawdown 7/11 - 10/12 12/19 - 3/20 3/15 - 1/19 

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: 07/11 - 09/21
Year or YTD Program S&P 500 Coquest 40 
2021 -4.92 15.93 6.73 
2020 10.75 18.40 0.97 
2019 16.86 31.50 7.53 
2018 -6.27 -4.38 -4.29 
2017 12.09 21.84 1.24 
2016 -0.17 11.98 -3.13 
2015 4.69 1.41 0.09 
2014 17.52 13.69 15.75 
2013 15.78 32.41 -2.45 
2012 -13.99 15.98 -4.75 
2011 -4.78 -1.69 -3.00 

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: 07/11 - 09/21
Date: 9/30/2021
Perf: $1,135.85 Date: 8/31/2021
Perf: $1,130.20 Date: 7/31/2021
Perf: $1,129.98 Date: 6/30/2021
Perf: $1,125.03 Date: 5/31/2021
Perf: $1,129.32 Date: 4/30/2021
Perf: $1,113.07 Date: 3/31/2021
Perf: $1,093.82 Date: 2/28/2021
Perf: $1,079.35 Date: 1/31/2021
Perf: $1,054.57 Date: 12/31/2020
Perf: $1,064.25 Date: 11/30/2020
Perf: $1,025.59 Date: 10/31/2020
Perf: $1,016.64 Date: 9/30/2020
Perf: $1,019.91 Date: 8/31/2020
Perf: $1,035.02 Date: 7/31/2020
Perf: $1,046.85 Date: 6/30/2020
Perf: $1,027.23 Date: 5/31/2020
Perf: $1,040.55 Date: 4/30/2020
Perf: $1,052.86 Date: 3/31/2020
Perf: $1,049.40 Date: 2/29/2020
Perf: $1,048.77 Date: 1/31/2020
Perf: $1,064.64 Date: 12/31/2019
Perf: $1,053.99 Date: 11/30/2019
Perf: $1,060.57 Date: 10/31/2019
Perf: $1,050.27 Date: 9/30/2019
Perf: $1,074.01 Date: 8/31/2019
Perf: $1,104.61 Date: 7/31/2019
Perf: $1,066.02 Date: 6/30/2019
Perf: $1,030.86 Date: 5/31/2019
Perf: $1,010.65 Date: 4/30/2019
Perf: $1,030.86 Date: 3/31/2019
Perf: $1,003.27 Date: 2/28/2019
Perf: $968.50 Date: 1/31/2019
Perf: $962.34 Date: 12/31/2018
Perf: $980.18 Date: 11/30/2018
Perf: $976.08 Date: 10/31/2018
Perf: $987.93 Date: 9/30/2018
Perf: $1,012.95 Date: 8/31/2018
Perf: $1,017.53 Date: 7/31/2018
Perf: $992.23 Date: 6/30/2018
Perf: $999.73 Date: 5/31/2018
Perf: $991.40 Date: 4/30/2018
Perf: $1,004.36 Date: 3/31/2018
Perf: $993.63 Date: 2/28/2018
Perf: $994.52 Date: 1/31/2018
Perf: $1,059.13 Date: 12/31/2017
Perf: $1,024.10 Date: 11/30/2017
Perf: $1,013.06 Date: 10/31/2017
Perf: $1,011.75 Date: 9/30/2017
Perf: $971.06 Date: 8/31/2017
Perf: $991.99 Date: 7/31/2017
Perf: $975.79 Date: 6/30/2017
Perf: $972.00 Date: 5/31/2017
Perf: $1,001.24 Date: 4/30/2017
Perf: $999.34 Date: 3/31/2017
Perf: $1,005.37 Date: 2/28/2017
Perf: $1,020.27 Date: 1/31/2017
Perf: $998.50 Date: 12/31/2016
Perf: $1,011.55 Date: 11/30/2016
Perf: $1,003.92 Date: 10/31/2016
Perf: $1,015.08 Date: 9/30/2016
Perf: $1,041.97 Date: 8/31/2016
Perf: $1,055.58 Date: 7/31/2016
Perf: $1,084.76 Date: 6/30/2016
Perf: $1,073.81 Date: 5/31/2016
Perf: $1,030.03 Date: 4/30/2016
Perf: $1,048.38 Date: 3/31/2016
Perf: $1,075.37 Date: 2/29/2016
Perf: $1,107.15 Date: 1/31/2016
Perf: $1,080.57 Date: 12/31/2015
Perf: $1,044.23 Date: 11/30/2015
Perf: $1,068.81 Date: 10/31/2015
Perf: $1,033.56 Date: 9/30/2015
Perf: $1,051.87 Date: 8/31/2015
Perf: $1,029.53 Date: 7/31/2015
Perf: $1,047.65 Date: 6/30/2015
Perf: $1,008.23 Date: 5/31/2015
Perf: $1,063.53 Date: 4/30/2015
Perf: $1,071.25 Date: 3/31/2015
Perf: $1,114.26 Date: 2/28/2015
Perf: $1,090.16 Date: 1/31/2015
Perf: $1,091.91 Date: 12/31/2014
Perf: $1,043.29 Date: 11/30/2014
Perf: $1,025.25 Date: 10/31/2014
Perf: $967.67 Date: 9/30/2014
Perf: $953.65 Date: 8/31/2014
Perf: $939.65 Date: 7/31/2014
Perf: $901.52 Date: 6/30/2014
Perf: $908.79 Date: 5/31/2014
Perf: $901.04 Date: 4/30/2014
Perf: $878.55 Date: 3/31/2014
Perf: $871.92 Date: 2/28/2014
Perf: $885.02 Date: 1/31/2014
Perf: $877.82 Date: 12/31/2013
Perf: $901.35 Date: 11/30/2013
Perf: $902.61 Date: 10/31/2013
Perf: $886.56 Date: 9/30/2013
Perf: $866.72 Date: 8/31/2013
Perf: $871.95 Date: 7/31/2013
Perf: $889.02 Date: 6/30/2013
Perf: $896.82 Date: 5/31/2013
Perf: $932.15 Date: 4/30/2013
Perf: $974.03 Date: 3/31/2013
Perf: $949.53 Date: 2/28/2013
Perf: $936.05 Date: 1/31/2013
Perf: $941.51 Date: 12/31/2012
Perf: $923.96 Date: 11/30/2012
Perf: $919.45 Date: 10/31/2012
Perf: $916.89 Date: 9/30/2012
Perf: $951.33 Date: 8/31/2012
Perf: $967.29 Date: 7/31/2012
Perf: $980.62 Date: 6/30/2012
Perf: $942.09 Date: 5/31/2012
Perf: $978.90 Date: 4/30/2012
Perf: $960.64 Date: 3/31/2012
Perf: $954.91 Date: 2/29/2012
Perf: $977.10 Date: 1/31/2012
Perf: $973.11 Date: 12/31/2011
Perf: $970.00 Date: 11/30/2011
Perf: $960.78 Date: 10/31/2011
Perf: $957.90 Date: 9/30/2011
Perf: $997.40 Date: 8/31/2011
Perf: $998.00 Date: 7/31/2011
Perf: $1,000.00 Date: 9/30/2021
Perf: $4,098.88 Date: 8/31/2021
Perf: $4,298.77 Date: 7/31/2021
Perf: $4,171.94 Date: 6/30/2021
Perf: $4,074.96 Date: 5/31/2021
Perf: $3,982.17 Date: 4/30/2021
Perf: $3,954.49 Date: 3/31/2021
Perf: $3,754.03 Date: 2/28/2021
Perf: $3,596.50 Date: 1/31/2021
Perf: $3,499.90 Date: 12/31/2020
Perf: $3,535.61 Date: 11/30/2020
Perf: $3,404.87 Date: 10/31/2020
Perf: $3,068.83 Date: 9/30/2020
Perf: $3,152.69 Date: 8/31/2020
Perf: $3,277.23 Date: 7/31/2020
Perf: $3,057.40 Date: 6/30/2020
Perf: $2,894.17 Date: 5/31/2020
Perf: $2,837.70 Date: 4/30/2020
Perf: $2,708.76 Date: 3/31/2020
Perf: $2,400.96 Date: 2/29/2020
Perf: $2,739.26 Date: 1/31/2020
Perf: $2,984.91 Date: 12/31/2019
Perf: $2,986.11 Date: 11/30/2019
Perf: $2,898.57 Date: 10/31/2019
Perf: $2,797.04 Date: 9/30/2019
Perf: $2,737.63 Date: 8/31/2019
Perf: $2,687.38 Date: 7/31/2019
Perf: $2,730.52 Date: 6/30/2019
Perf: $2,691.76 Date: 5/31/2019
Perf: $2,514.49 Date: 4/30/2019
Perf: $2,684.98 Date: 3/31/2019
Perf: $2,580.48 Date: 2/28/2019
Perf: $2,531.37 Date: 1/31/2019
Perf: $2,452.64 Date: 12/31/2018
Perf: $2,270.75 Date: 11/30/2018
Perf: $2,496.15 Date: 10/31/2018
Perf: $2,446.25 Date: 9/30/2018
Perf: $2,625.86 Date: 8/31/2018
Perf: $2,610.98 Date: 7/31/2018
Perf: $2,528.54 Date: 6/30/2018
Perf: $2,437.86 Date: 5/31/2018
Perf: $2,422.84 Date: 4/30/2018
Perf: $2,365.82 Date: 3/31/2018
Perf: $2,356.86 Date: 2/28/2018
Perf: $2,418.29 Date: 1/31/2018
Perf: $2,510.94 Date: 12/31/2017
Perf: $2,374.86 Date: 11/30/2017
Perf: $2,348.79 Date: 10/31/2017
Perf: $2,278.83 Date: 9/30/2017
Perf: $2,226.94 Date: 8/31/2017
Perf: $2,181.99 Date: 7/31/2017
Perf: $2,175.25 Date: 6/30/2017
Perf: $2,131.34 Date: 5/31/2017
Perf: $2,118.21 Date: 4/30/2017
Perf: $2,088.76 Date: 3/31/2017
Perf: $2,067.46 Date: 2/28/2017
Perf: $2,064.99 Date: 1/31/2017
Perf: $1,986.14 Date: 12/31/2016
Perf: $1,949.10 Date: 11/30/2016
Perf: $1,911.26 Date: 10/31/2016
Perf: $1,843.07 Date: 9/30/2016
Perf: $1,877.23 Date: 8/31/2016
Perf: $1,876.86 Date: 7/31/2016
Perf: $1,874.23 Date: 6/30/2016
Perf: $1,807.54 Date: 5/31/2016
Perf: $1,802.85 Date: 4/30/2016
Perf: $1,770.97 Date: 3/31/2016
Perf: $1,764.09 Date: 2/29/2016
Perf: $1,652.08 Date: 1/31/2016
Perf: $1,654.23 Date: 12/31/2015
Perf: $1,740.56 Date: 11/30/2015
Perf: $1,768.50 Date: 10/31/2015
Perf: $1,763.22 Date: 9/30/2015
Perf: $1,625.98 Date: 8/31/2015
Perf: $1,667.16 Date: 7/31/2015
Perf: $1,774.14 Date: 6/30/2015
Perf: $1,737.65 Date: 5/31/2015
Perf: $1,772.03 Date: 4/30/2015
Perf: $1,749.46 Date: 3/31/2015
Perf: $1,732.83 Date: 2/28/2015
Perf: $1,760.64 Date: 1/31/2015
Perf: $1,664.91 Date: 12/31/2014
Perf: $1,716.40 Date: 11/30/2014
Perf: $1,720.71 Date: 10/31/2014
Perf: $1,675.63 Date: 9/30/2014
Perf: $1,635.72 Date: 8/31/2014
Perf: $1,658.94 Date: 7/31/2014
Perf: $1,595.14 Date: 6/30/2014
Perf: $1,617.46 Date: 5/31/2014
Perf: $1,584.66 Date: 4/30/2014
Perf: $1,548.27 Date: 3/31/2014
Perf: $1,536.90 Date: 2/28/2014
Perf: $1,524.10 Date: 1/31/2014
Perf: $1,457.49 Date: 12/31/2013
Perf: $1,509.73 Date: 11/30/2013
Perf: $1,472.47 Date: 10/31/2013
Perf: $1,428.89 Date: 9/30/2013
Perf: $1,366.05 Date: 8/31/2013
Perf: $1,324.47 Date: 7/31/2013
Perf: $1,364.02 Date: 6/30/2013
Perf: $1,297.96 Date: 5/31/2013
Perf: $1,315.58 Date: 4/30/2013
Perf: $1,285.50 Date: 3/31/2013
Perf: $1,261.16 Date: 2/28/2013
Perf: $1,215.58 Date: 1/31/2013
Perf: $1,199.27 Date: 12/31/2012
Perf: $1,140.21 Date: 11/30/2012
Perf: $1,129.92 Date: 10/31/2012
Perf: $1,123.41 Date: 9/30/2012
Perf: $1,144.58 Date: 8/31/2012
Perf: $1,115.80 Date: 7/31/2012
Perf: $1,091.24 Date: 6/30/2012
Perf: $1,076.28 Date: 5/31/2012
Perf: $1,033.69 Date: 4/30/2012
Perf: $1,099.79 Date: 3/31/2012
Perf: $1,106.76 Date: 2/29/2012
Perf: $1,071.51 Date: 1/31/2012
Perf: $1,027.14 Date: 12/31/2011
Perf: $983.10 Date: 11/30/2011
Perf: $973.17 Date: 10/31/2011
Perf: $975.32 Date: 9/30/2011
Perf: $879.22 Date: 8/31/2011
Perf: $945.70 Date: 7/31/2011
Perf: $1,000.00 Date: 9/30/2021
Perf: $1,505.55 Date: 8/31/2021
Perf: $1,519.53 Date: 7/31/2021
Perf: $1,530.40 Date: 6/30/2021
Perf: $1,566.26 Date: 5/31/2021
Perf: $1,593.51 Date: 4/30/2021
Perf: $1,561.35 Date: 3/31/2021
Perf: $1,580.47 Date: 2/28/2021
Perf: $1,577.16 Date: 1/31/2021
Perf: $1,578.58 Date: 12/31/2020
Perf: $1,583.49 Date: 11/30/2020
Perf: $1,544.57 Date: 10/31/2020
Perf: $1,528.82 Date: 9/30/2020
Perf: $1,540.06 Date: 8/31/2020
Perf: $1,549.83 Date: 7/31/2020
Perf: $1,532.81 Date: 6/30/2020
Perf: $1,520.19 Date: 5/31/2020
Perf: $1,531.53 Date: 4/30/2020
Perf: $1,532.75 Date: 3/31/2020
Perf: $1,536.44 Date: 2/29/2020
Perf: $1,489.67 Date: 1/31/2020
Perf: $1,477.55 Date: 12/31/2019
Perf: $1,429.79 Date: 11/30/2019
Perf: $1,448.04 Date: 10/31/2019
Perf: $1,426.92 Date: 9/30/2019
Perf: $1,465.61 Date: 8/31/2019
Perf: $1,480.42 Date: 7/31/2019
Perf: $1,437.58 Date: 6/30/2019
Perf: $1,401.97 Date: 5/31/2019
Perf: $1,337.37 Date: 4/30/2019
Perf: $1,330.72 Date: 3/31/2019
Perf: $1,295.36 Date: 2/28/2019
Perf: $1,221.69 Date: 1/31/2019
Perf: $1,216.82 Date: 12/31/2018
Perf: $1,223.55 Date: 11/30/2018
Perf: $1,254.28 Date: 10/31/2018
Perf: $1,269.39 Date: 9/30/2018
Perf: $1,299.80 Date: 8/31/2018
Perf: $1,318.52 Date: 7/31/2018
Perf: $1,318.13 Date: 6/30/2018
Perf: $1,321.04 Date: 5/31/2018
Perf: $1,320.38 Date: 4/30/2018
Perf: $1,316.43 Date: 3/31/2018
Perf: $1,326.24 Date: 2/28/2018
Perf: $1,329.70 Date: 1/31/2018
Perf: $1,374.51 Date: 12/31/2017
Perf: $1,305.45 Date: 11/30/2017
Perf: $1,276.60 Date: 10/31/2017
Perf: $1,234.38 Date: 9/30/2017
Perf: $1,206.51 Date: 8/31/2017
Perf: $1,241.27 Date: 7/31/2017
Perf: $1,237.18 Date: 6/30/2017
Perf: $1,181.42 Date: 5/31/2017
Perf: $1,231.93 Date: 4/30/2017
Perf: $1,210.74 Date: 3/31/2017
Perf: $1,210.26 Date: 2/28/2017
Perf: $1,229.19 Date: 1/31/2017
Perf: $1,169.65 Date: 12/31/2016
Perf: $1,164.64 Date: 11/30/2016
Perf: $1,151.97 Date: 10/31/2016
Perf: $1,185.52 Date: 9/30/2016
Perf: $1,221.31 Date: 8/31/2016
Perf: $1,224.24 Date: 7/31/2016
Perf: $1,236.74 Date: 6/30/2016
Perf: $1,223.28 Date: 5/31/2016
Perf: $1,178.84 Date: 4/30/2016
Perf: $1,185.48 Date: 3/31/2016
Perf: $1,207.82 Date: 2/29/2016
Perf: $1,234.23 Date: 1/31/2016
Perf: $1,225.17 Date: 12/31/2015
Perf: $1,166.60 Date: 11/30/2015
Perf: $1,198.98 Date: 10/31/2015
Perf: $1,188.40 Date: 9/30/2015
Perf: $1,186.86 Date: 8/31/2015
Perf: $1,158.59 Date: 7/31/2015
Perf: $1,191.72 Date: 6/30/2015
Perf: $1,164.92 Date: 5/31/2015
Perf: $1,204.80 Date: 4/30/2015
Perf: $1,189.93 Date: 3/31/2015
Perf: $1,227.87 Date: 2/28/2015
Perf: $1,206.75 Date: 1/31/2015
Perf: $1,196.94 Date: 12/31/2014
Perf: $1,114.36 Date: 11/30/2014
Perf: $1,082.64 Date: 10/31/2014
Perf: $1,031.28 Date: 9/30/2014
Perf: $1,015.94 Date: 8/31/2014
Perf: $1,026.00 Date: 7/31/2014
Perf: $978.82 Date: 6/30/2014
Perf: $962.83 Date: 5/31/2014
Perf: $938.53 Date: 4/30/2014
Perf: $937.03 Date: 3/31/2014
Perf: $918.74 Date: 2/28/2014
Perf: $946.67 Date: 1/31/2014
Perf: $967.27 Date: 12/31/2013
Perf: $948.22 Date: 11/30/2013
Perf: $923.65 Date: 10/31/2013
Perf: $851.52 Date: 9/30/2013
Perf: $836.71 Date: 8/31/2013
Perf: $841.68 Date: 7/31/2013
Perf: $873.20 Date: 6/30/2013
Perf: $859.62 Date: 5/31/2013
Perf: $905.24 Date: 4/30/2013
Perf: $923.72 Date: 3/31/2013
Perf: $884.87 Date: 2/28/2013
Perf: $850.84 Date: 1/31/2013
Perf: $851.69 Date: 12/31/2012
Perf: $819.01 Date: 11/30/2012
Perf: $800.52 Date: 10/31/2012
Perf: $793.06 Date: 9/30/2012
Perf: $822.25 Date: 8/31/2012
Perf: $875.20 Date: 7/31/2012
Perf: $912.81 Date: 6/30/2012
Perf: $892.81 Date: 5/31/2012
Perf: $945.28 Date: 4/30/2012
Perf: $930.12 Date: 3/31/2012
Perf: $929.19 Date: 2/29/2012
Perf: $924.20 Date: 1/31/2012
Perf: $946.44 Date: 12/31/2011
Perf: $952.25 Date: 11/30/2011
Perf: $922.81 Date: 10/31/2011
Perf: $908.54 Date: 9/30/2011
Perf: $964.69 Date: 8/31/2011
Perf: $987.50 Date: 7/31/2011
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: 07/11 - 09/21
Date: 9/30/2021
Return: -0.92 % Date: 8/31/2021
Return: -0.71 % Date: 7/31/2021
Return: -2.29 % Date: 6/30/2021
Return: -1.71 % Date: 5/31/2021
Return: 2.06 % Date: 4/30/2021
Return: -1.21 % Date: 3/31/2021
Return: 0.21 % Date: 2/28/2021
Return: -0.09 % Date: 1/31/2021
Return: -0.31 % Date: 12/31/2020
Return: 2.52 % Date: 11/30/2020
Return: 1.03 % Date: 10/31/2020
Return: -0.73 % Date: 9/30/2020
Return: -0.63 % Date: 8/31/2020
Return: 1.11 % Date: 7/31/2020
Return: 0.83 % Date: 6/30/2020
Return: -0.74 % Date: 5/31/2020
Return: -0.08 % Date: 4/30/2020
Return: -0.24 % Date: 3/31/2020
Return: 3.14 % Date: 2/29/2020
Return: 0.82 % Date: 1/31/2020
Return: 3.34 % Date: 12/31/2019
Return: -1.26 % Date: 11/30/2019
Return: 1.48 % Date: 10/31/2019
Return: -2.64 % Date: 9/30/2019
Return: -1.00 % Date: 8/31/2019
Return: 2.98 % Date: 7/31/2019
Return: 2.54 % Date: 6/30/2019
Return: 4.83 % Date: 5/31/2019
Return: 0.50 % Date: 4/30/2019
Return: 2.73 % Date: 3/31/2019
Return: 6.03 % Date: 2/28/2019
Return: 0.40 % Date: 1/31/2019
Return: -0.55 % Date: 12/31/2018
Return: -2.45 % Date: 11/30/2018
Return: -1.19 % Date: 10/31/2018
Return: -2.34 % Date: 9/30/2018
Return: -1.42 % Date: 8/31/2018
Return: 0.03 % Date: 7/31/2018
Return: -0.22 % Date: 6/30/2018
Return: 0.05 % Date: 5/31/2018
Return: 0.30 % Date: 4/30/2018
Return: -0.74 % Date: 3/31/2018
Return: -0.26 % Date: 2/28/2018
Return: -3.26 % Date: 1/31/2018
Return: 5.29 % Date: 12/31/2017
Return: 2.26 % Date: 11/30/2017
Return: 3.42 % Date: 10/31/2017
Return: 2.31 % Date: 9/30/2017
Return: -2.80 % Date: 8/31/2017
Return: 0.33 % Date: 7/31/2017
Return: 4.72 % Date: 6/30/2017
Return: -4.10 % Date: 5/31/2017
Return: 1.75 % Date: 4/30/2017
Return: 0.04 % Date: 3/31/2017
Return: -1.54 % Date: 2/28/2017
Return: 5.09 % Date: 1/31/2017
Return: 0.43 % Date: 12/31/2016
Return: 1.10 % Date: 11/30/2016
Return: -2.83 % Date: 10/31/2016
Return: -2.93 % Date: 9/30/2016
Return: -0.24 % Date: 8/31/2016
Return: -1.01 % Date: 7/31/2016
Return: 1.10 % Date: 6/30/2016
Return: 3.77 % Date: 5/31/2016
Return: -0.56 % Date: 4/30/2016
Return: -1.85 % Date: 3/31/2016
Return: -2.14 % Date: 2/29/2016
Return: 0.74 % Date: 1/31/2016
Return: 5.02 % Date: 12/31/2015
Return: -2.70 % Date: 11/30/2015
Return: 0.89 % Date: 10/31/2015
Return: 0.13 % Date: 9/30/2015
Return: 2.44 % Date: 8/31/2015
Return: -2.78 % Date: 7/31/2015
Return: 2.30 % Date: 6/30/2015
Return: -3.31 % Date: 5/31/2015
Return: 1.25 % Date: 4/30/2015
Return: -3.09 % Date: 3/31/2015
Return: 1.75 % Date: 2/28/2015
Return: 0.82 % Date: 1/31/2015
Return: 7.41 % Date: 12/31/2014
Return: 2.93 % Date: 11/30/2014
Return: 4.98 % Date: 10/31/2014
Return: 1.51 % Date: 9/30/2014
Return: -0.98 % Date: 8/31/2014
Return: 4.82 % Date: 7/31/2014
Return: 1.66 % Date: 6/30/2014
Return: 2.59 % Date: 5/31/2014
Return: 0.16 % Date: 4/30/2014
Return: 1.99 % Date: 3/31/2014
Return: -2.95 % Date: 2/28/2014
Return: -2.13 % Date: 1/31/2014
Return: 2.01 % Date: 12/31/2013
Return: 2.66 % Date: 11/30/2013
Return: 8.47 % Date: 10/31/2013
Return: 1.77 % Date: 9/30/2013
Return: -0.59 % Date: 8/31/2013
Return: -3.61 % Date: 7/31/2013
Return: 1.58 % Date: 6/30/2013
Return: -5.04 % Date: 5/31/2013
Return: -2.00 % Date: 4/30/2013
Return: 4.39 % Date: 3/31/2013
Return: 4.00 % Date: 2/28/2013
Return: -0.10 % Date: 1/31/2013
Return: 3.99 % Date: 12/31/2012
Return: 2.31 % Date: 11/30/2012
Return: 0.94 % Date: 10/31/2012
Return: -3.55 % Date: 9/30/2012
Return: -6.05 % Date: 8/31/2012
Return: -4.12 % Date: 7/31/2012
Return: 2.24 % Date: 6/30/2012
Return: -5.55 % Date: 5/31/2012
Return: 1.63 % Date: 4/30/2012
Return: 0.10 % Date: 3/31/2012
Return: 0.54 % Date: 2/29/2012
Return: -2.35 % Date: 1/31/2012
Return: -0.61 % Date: 12/31/2011
Return: 3.19 % Date: 11/30/2011
Return: 1.57 % Date: 10/31/2011
Return: -5.82 % Date: 9/30/2011
Return: -2.31 % Date: 8/31/2011
Return: -1.25 % Date: 7/31/2011
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: 07/11 - 09/21
Return: 6.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: 5.00 %
Count: 7 Return: -3.00 %
Count: 10 Return: 8.00 %
Count: 1 Return: -5.00 %
Count: 1 Return: 4.00 %
Count: 4 Return: -4.00 %
Count: 4 Return: 1.00 %
Count: 14 Return: 3.00 %
Count: 11 Return: 2.00 %
Count: 17 Return: -6.00 %
Count: 3 Return: -2.00 %
Count: 11 Return: -1.00 %
Count: 18 Return: 0.00 %
Count: 20

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: 07/11 - 09/21
Date: 9/30/2021
Drawdown: -5.52 % Date: 8/31/2021
Drawdown: -4.64 % Date: 7/31/2021
Drawdown: -3.96 % Date: 6/30/2021
Drawdown: -1.71 % Date: 5/31/2021
Drawdown: 0.00 % Date: 4/30/2021
Drawdown: -1.40 % Date: 3/31/2021
Drawdown: -0.19 % Date: 2/28/2021
Drawdown: -0.40 % Date: 1/31/2021
Drawdown: -0.31 % Date: 12/31/2020
Drawdown: 0.00 % Date: 11/30/2020
Drawdown: -0.34 % Date: 10/31/2020
Drawdown: -1.36 % Date: 9/30/2020
Drawdown: -0.63 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: -0.24 % Date: 6/30/2020
Drawdown: -1.06 % Date: 5/31/2020
Drawdown: -0.32 % Date: 4/30/2020
Drawdown: -0.24 % Date: 3/31/2020
Drawdown: 0.00 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -0.19 % Date: 12/31/2019
Drawdown: -3.42 % Date: 11/30/2019
Drawdown: -2.19 % Date: 10/31/2019
Drawdown: -3.61 % Date: 9/30/2019
Drawdown: -1.00 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: 0.00 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: -2.70 % Date: 4/30/2019
Drawdown: -3.19 % Date: 3/31/2019
Drawdown: -5.76 % Date: 2/28/2019
Drawdown: -11.12 % Date: 1/31/2019
Drawdown: -11.47 % Date: 12/31/2018
Drawdown: -10.98 % Date: 11/30/2018
Drawdown: -8.75 % Date: 10/31/2018
Drawdown: -7.65 % Date: 9/30/2018
Drawdown: -5.44 % Date: 8/31/2018
Drawdown: -4.07 % Date: 7/31/2018
Drawdown: -4.10 % Date: 6/30/2018
Drawdown: -3.89 % Date: 5/31/2018
Drawdown: -3.94 % Date: 4/30/2018
Drawdown: -4.23 % Date: 3/31/2018
Drawdown: -3.51 % Date: 2/28/2018
Drawdown: -3.26 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: -0.55 % Date: 9/30/2017
Drawdown: -2.80 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: -4.47 % Date: 5/31/2017
Drawdown: -0.39 % Date: 4/30/2017
Drawdown: -2.10 % Date: 3/31/2017
Drawdown: -2.14 % Date: 2/28/2017
Drawdown: -0.61 % Date: 1/31/2017
Drawdown: -5.42 % Date: 12/31/2016
Drawdown: -5.83 % Date: 11/30/2016
Drawdown: -6.85 % Date: 10/31/2016
Drawdown: -4.14 % Date: 9/30/2016
Drawdown: -1.25 % Date: 8/31/2016
Drawdown: -1.01 % Date: 7/31/2016
Drawdown: 0.00 % Date: 6/30/2016
Drawdown: -0.89 % Date: 5/31/2016
Drawdown: -4.49 % Date: 4/30/2016
Drawdown: -3.95 % Date: 3/31/2016
Drawdown: -2.14 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -0.22 % Date: 12/31/2015
Drawdown: -4.99 % Date: 11/30/2015
Drawdown: -2.35 % Date: 10/31/2015
Drawdown: -3.21 % Date: 9/30/2015
Drawdown: -3.34 % Date: 8/31/2015
Drawdown: -5.64 % Date: 7/31/2015
Drawdown: -2.94 % Date: 6/30/2015
Drawdown: -5.13 % Date: 5/31/2015
Drawdown: -1.88 % Date: 4/30/2015
Drawdown: -3.09 % Date: 3/31/2015
Drawdown: 0.00 % Date: 2/28/2015
Drawdown: 0.00 % 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: 0.00 % Date: 9/30/2014
Drawdown: -0.98 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -2.12 % Date: 6/30/2014
Drawdown: -3.72 % Date: 5/31/2014
Drawdown: -6.15 % Date: 4/30/2014
Drawdown: -6.30 % Date: 3/31/2014
Drawdown: -8.13 % Date: 2/28/2014
Drawdown: -5.33 % Date: 1/31/2014
Drawdown: -3.27 % Date: 12/31/2013
Drawdown: -5.18 % Date: 11/30/2013
Drawdown: -7.64 % Date: 10/31/2013
Drawdown: -14.85 % Date: 9/30/2013
Drawdown: -16.33 % Date: 8/31/2013
Drawdown: -15.83 % Date: 7/31/2013
Drawdown: -12.68 % Date: 6/30/2013
Drawdown: -14.04 % Date: 5/31/2013
Drawdown: -9.48 % Date: 4/30/2013
Drawdown: -7.63 % Date: 3/31/2013
Drawdown: -11.51 % Date: 2/28/2013
Drawdown: -14.92 % Date: 1/31/2013
Drawdown: -14.83 % Date: 12/31/2012
Drawdown: -18.10 % Date: 11/30/2012
Drawdown: -19.95 % Date: 10/31/2012
Drawdown: -20.69 % Date: 9/30/2012
Drawdown: -17.77 % Date: 8/31/2012
Drawdown: -12.48 % Date: 7/31/2012
Drawdown: -8.72 % Date: 6/30/2012
Drawdown: -10.72 % Date: 5/31/2012
Drawdown: -5.47 % Date: 4/30/2012
Drawdown: -6.99 % Date: 3/31/2012
Drawdown: -7.08 % Date: 2/29/2012
Drawdown: -7.58 % Date: 1/31/2012
Drawdown: -5.36 % Date: 12/31/2011
Drawdown: -4.78 % Date: 11/30/2011
Drawdown: -7.72 % Date: 10/31/2011
Drawdown: -9.15 % Date: 9/30/2011
Drawdown: -3.53 % Date: 8/31/2011
Drawdown: -1.25 %

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:  Metori Capital Management
Address:
City:
State:
Zip:
Country:

Key People

Name:  Guillaume Jamet
Position:  Principal
Biography: 

Guillaume Jamet, PhD has been the principal manager of the Epsilon program since 2013 and joined METORI as partner andco-CIO. He has over 16 years of experience in the finance industry, as a quantitative analyst, researcher and fund manager forSGAM and Lyxor (Société Générale Group). He designed and implemented the latest generation model of Epsilon while atLyxor. Prior to joining the asset management industry, Guillaume worked 5 years teaching mathematics at University Paris VI.Guillaume holds a PhD in mathematics and a Master of Applied Probability & Finance.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Investment Methodology
 Trend Following Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum:  
 Margin / Equity Ratio: 20% 
 Managed Account Availability: Open 
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