NuWave Investment Management, LLC : Combined Futures Portfolio

Year-to-Date
6.07%
Aug Performance
6.77%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.89%
Sharpe (RFR=1%)
0.56
CAROR
8.63%
Assets
$ 28.0M
Worst DD
-31.23
S&P Correlation
-0.32

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
6/2001
Combined Futures Portfolio 6.77 16.59 6.07 11.75 32.67 66.96 29.61 353.13
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 136.55
+/- S&P 500 8.58 10.26 -10.66 10.90 -0.76 22.37 -154.16 216.59

Strategy Description

Summary

Since its inception in 2000, NuWave Investment Management has combined ingenuity, insightful research and cutting-edge technology to successfully navigate the complexities of global investing. Our unique multi-strategy approach to investing in many of the world’s most liquid financial... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
4500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
0%
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
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Summary

Since its inception in 2000, NuWave Investment Management has combined ingenuity, insightful research and cutting-edge technology to successfully navigate the complexities of global investing. Our unique multi-strategy approach to investing in many of the world’s most liquid financial and commodities markets offers investors the potential to achieve risk-adjusted returns (with commensurate risk) in a variety of market environments, while also providing diversification and non-correlation benefits relative to both traditional investments and other hedge fund strategies.

Investment Strategy

The Combined Futures Portfolio pursues a unique multi-strategy approach to investing in many of the world’s most liquid financial and commodities futures markets, offering investors the potential to achieve compelling risk-adjusted returns in a variety of market environments while also providing the potential for significant diversification and non-correlation benefits relative to both traditional investments and other hedge fund strategies. *As of January 1, 2017 there is an addition of a third sub-portfolio, Short Term Futures. Prior to September 1, 2015, the Combined Futures Portfolio was comprised of three distinct sub-programs: the Long-Term Pattern Recognition Program, the Intermediate-Term Pattern Recognition Program and the Short-Term Pattern Recognition Program. Commencing September 1, 2015, the Combined Futures Portfolio is comprised of the following distinct sub-portfolios: • The Matrix Portfolio pursues a multi-model trend-based approach to investing across a diverse selection of liquid financial and commodities futures markets. The portfolio seeks to provide investors with managed futures “beta” as well as the potential for enhanced “alpha” through the systematic application of approximately 50 individual pattern-based trading models, which collectively provide exposure to short-, intermediate- and long-term trading opportunities. The underlying trading models are selected based upon their individual risk/return characteristics, as well as their ability to smooth/diversify overall portfolio returns. While each of the trading models trades the same set of broadly diversified markets (with approximately 65% of market exposure being derived from financial futures (such as stock indices, fixed income and currencies) and approximately 35% of market exposure being derived from commodity futures (such as energies, metals, grains, softs and meats)), each is also differentiated by a unique trading style and time frame. The aggregate portfolio is therefore broadly diversified across markets, time horizons and trading styles. • The Commodity Value Portfolio pursues a relative value approach to investing across a selection of liquid commodities futures markets. The portfolio systematically identifies intra-market spread opportunities within the energy, metal, grain and soft commodities markets that exhibit the greatest probability of near- to intermediate-term mispricing in strip values (based upon the Investment Manager’s proprietary forecasting methodology); thereafter, the portfolio seeks to capture any such intermittent price distortions via trading in calendar spreads. The Commodity Value Portfolio is actually comprised of two trading models: one of which focuses on the identification of repetitive patterns in relative price behaviors, while the other seeks to identify key elements of non-price data generally associated with cash market trading activities. Although systematically applied, every trade is reviewed by the Investment Manager’s portfolio management team for consistency with respect to the relative value framework employed. Holding periods generally range from several days to several weeks in duration. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Risk Management

Successful investment strategies must identify complex risk relationships across an increasingly interdependent world. At NuWave, careful attention is paid to a variety of risks, including the following: Market Risk: The firm incorporates proprietary pattern recognition forecasts for each market which help define signal generation, risk control, value at risk and stress test measurements. Position sizing, risk targets and individual market exposure are managed in a manner that attempts to equalize risk across all positions. Portfolio Risk: Portfolio construction emphasizes an optimal blend of opportunistic sub-strategies that are focused on directional market cycles of varying duration. Multiple constraints are incorporated to minimize aggregate risk across the entire portfolio. Value at risk measurements, sector concentrations, individual market exposure, stress-test findings and overall leverage are each constrained so as to remain within acceptable levels. A proprietary risk overlay governs the entire portfolio, and individual trades derived from the firm’s core trading logic are systematically accepted or rejected based upon their ability to add incremental return without exacerbating portfolio risk. Execution Risk: NuWave Investment Management has developed a proprietary trading infrastructure that seamlessly integrates trade execution and risk management real-time. Trades are primarily executed via electronic trading algorithms intended to mask the firm’s “footprint” in the marketplace, and executed trades are immediately entered into the firm’s database, with the resulting impact on portfolio risk being measured accordingly.

   

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
-31.23 45 38 9/1/2011 6/1/2015
-17.03 23 7 3/1/2009 2/1/2011
-13.91 2 6 6/1/2007 8/1/2007
-13.81 4 3 12/1/2001 4/1/2002
-12.73 3 2 3/1/2008 6/1/2008
-11.39 2 1 9/1/2002 11/1/2002
-9.49 4 5 2/1/2003 6/1/2003
-9.03 5 3 12/1/2018 5/1/2019
-7.18 1 3 9/1/2005 10/1/2005
-6.90 4 2 12/1/2004 4/1/2005
-6.49 5 3 2/1/2004 7/1/2004
-5.11 1 2 9/1/2018 10/1/2018
-4.72 2 3 1/1/2007 3/1/2007
-3.50 1 2 1/1/2006 2/1/2006
-2.69 2 2 5/1/2006 7/1/2006
-1.71 3 1 8/1/2001 11/1/2001
-0.95 1 1 10/1/2006 11/1/2006
-0.09 2 1 12/1/2008 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
59.89 6 7/1/2008 12/1/2008
40.57 3 12/1/2002 2/1/2003
36.07 5 5/1/2002 9/1/2002
24.15 4 11/1/2015 2/1/2016
23.45 5 10/1/2003 2/1/2004
23.18 5 5/1/2005 9/1/2005
21.81 5 8/1/2004 12/1/2004
21.07 7 9/1/2007 3/1/2008
16.59 3 6/1/2019 8/1/2019
16.38 3 7/1/2011 9/1/2011
15.71 6 4/1/2018 9/1/2018
15.14 2 6/1/2016 7/1/2016
10.81 3 11/1/2005 1/1/2006
9.97 2 11/1/2018 12/1/2018
9.90 4 10/1/2017 1/1/2018
8.41 3 4/1/2007 6/1/2007
8.37 1 9/1/2015 9/1/2015
6.79 6 8/1/2014 1/1/2015
6.49 1 8/1/2017 8/1/2017
6.16 3 8/1/2006 10/1/2006
6.00 2 4/1/2017 5/1/2017
5.85 2 3/1/2011 4/1/2011
5.71 2 12/1/2006 1/1/2007
5.56 3 4/1/2010 6/1/2010
5.14 3 3/1/2006 5/1/2006
5.03 2 7/1/2003 8/1/2003
4.89 1 7/1/2015 7/1/2015
4.52 2 4/1/2012 5/1/2012
4.18 2 8/1/2009 9/1/2009
4.02 3 6/1/2001 8/1/2001
3.27 1 6/1/2013 6/1/2013
3.08 1 12/1/2001 12/1/2001
3.04 1 11/1/2011 11/1/2011
2.97 1 8/1/2010 8/1/2010
2.90 1 9/1/2016 9/1/2016
2.79 1 10/1/2010 10/1/2010
2.74 1 4/1/2013 4/1/2013
2.63 1 11/1/2009 11/1/2009
2.36 1 4/1/2014 4/1/2014
2.32 1 12/1/2016 12/1/2016
2.12 1 5/1/2003 5/1/2003
1.91 1 6/1/2004 6/1/2004
1.89 1 12/1/2013 12/1/2013
1.81 1 3/1/2015 3/1/2015
1.10 1 3/1/2005 3/1/2005
1.04 1 2/1/2017 2/1/2017
1.00 1 3/1/2019 3/1/2019
0.93 1 5/1/2015 5/1/2015
0.37 1 2/1/2010 2/1/2010
0.33 1 6/1/2009 6/1/2009
0.21 1 3/1/2009 3/1/2009
0.11 1 10/1/2012 10/1/2012
0.02 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.51 4 11/1/2010 2/1/2011
-13.91 2 7/1/2007 8/1/2007
-13.81 4 1/1/2002 4/1/2002
-13.03 4 6/1/2012 9/1/2012
-13.03 3 3/1/2016 5/1/2016
-12.73 3 4/1/2008 6/1/2008
-11.39 2 10/1/2002 11/1/2002
-11.28 5 7/1/2013 11/1/2013
-9.95 2 4/1/2009 5/1/2009
-9.40 2 3/1/2003 4/1/2003
-8.53 2 1/1/2019 2/1/2019
-7.33 2 2/1/2018 3/1/2018
-7.18 1 10/1/2005 10/1/2005
-6.88 2 10/1/2016 11/1/2016
-6.14 4 12/1/2011 3/1/2012
-5.57 1 10/1/2011 10/1/2011
-5.48 3 3/1/2004 5/1/2004
-5.11 1 10/1/2018 10/1/2018
-5.07 1 9/1/2017 9/1/2017
-4.93 1 4/1/2005 4/1/2005
-4.87 3 5/1/2014 7/1/2014
-4.78 1 4/1/2015 4/1/2015
-4.72 2 2/1/2007 3/1/2007
-4.59 3 11/1/2012 1/1/2013
-4.02 1 10/1/2015 10/1/2015
-3.89 1 9/1/2003 9/1/2003
-3.56 2 6/1/2017 7/1/2017
-3.50 1 2/1/2006 2/1/2006
-3.27 1 8/1/2016 8/1/2016
-3.26 3 1/1/2014 3/1/2014
-3.20 1 6/1/2015 6/1/2015
-3.14 2 1/1/2005 2/1/2005
-2.98 1 5/1/2013 5/1/2013
-2.93 1 7/1/2004 7/1/2004
-2.69 2 6/1/2006 7/1/2006
-2.69 1 7/1/2010 7/1/2010
-2.52 1 7/1/2009 7/1/2009
-2.17 1 6/1/2003 6/1/2003
-2.14 1 2/1/2015 2/1/2015
-2.11 1 8/1/2015 8/1/2015
-1.85 1 10/1/2009 10/1/2009
-1.76 2 5/1/2011 6/1/2011
-1.71 3 9/1/2001 11/1/2001
-1.53 2 4/1/2019 5/1/2019
-0.95 1 11/1/2006 11/1/2006
-0.83 2 12/1/2009 1/1/2010
-0.41 1 1/1/2017 1/1/2017
-0.34 1 3/1/2010 3/1/2010
-0.31 1 9/1/2010 9/1/2010
-0.24 1 3/1/2017 3/1/2017
-0.09 2 1/1/2009 2/1/2009
-0.05 1 3/1/2013 3/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods219.00217.00214.00208.00202.00196.00184.00172.00160.00
Percent Profitable55.7157.6062.1571.6373.2775.0073.9173.8472.50
Average Period Return0.782.334.579.4814.4119.1528.6438.7646.60
Average Gain3.627.1210.7016.2822.8829.7244.1258.8170.37
Average Loss-2.81-4.18-5.51-7.69-8.82-12.54-15.20-17.84-16.07
Best Period17.2043.0459.8956.0069.3582.38108.25158.03174.97
Worst Period-11.72-14.33-14.44-17.22-24.16-25.74-26.71-27.32-28.64
Standard Deviation4.308.4911.7715.9420.2124.6233.7145.4055.06
Gain Standard Deviation3.307.8210.7813.5316.5518.5524.4235.1445.70
Loss Standard Deviation2.273.683.464.626.166.947.466.249.11
Sharpe Ratio (1%)0.160.250.350.530.640.700.760.760.75
Average Gain / Average Loss1.291.701.942.122.592.372.903.304.38
Profit / Loss Ratio1.632.323.195.357.117.118.239.3011.54
Downside Deviation (10%)2.614.265.377.269.2512.1016.4520.8024.02
Downside Deviation (5%)2.433.744.265.236.208.0510.0511.6412.07
Downside Deviation (0%)2.393.624.004.775.547.158.639.669.66
Sortino Ratio (10%)0.140.260.390.620.740.740.780.830.79
Sortino Ratio (5%)0.290.560.951.622.082.132.552.983.44
Sortino Ratio (0%)0.330.641.141.992.602.683.324.014.82

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 8.37 9/2015
Diversified Trader Index Month 7 8.37 9/2015
IASG CTA Index Month 8 8.37 9/2015
IASG CTA Index Month 7 8.70 7/2008
Systematic Trader Index Month 5 8.70 7/2008
Diversified Trader Index Month 4 8.70 7/2008
Systematic Trader Index Month 8 3.81 7/2005
Diversified Trader Index Month 5 1.91 6/2004
Systematic Trader Index Month 8 1.91 6/2004
Systematic Trader Index Month 8 4.68 1/2004
Diversified Trader Index Month 9 4.68 1/2004
Diversified Trader Index Month 10 2.07 11/2003
Systematic Trader Index Month 7 2.07 11/2003
Systematic Trader Index Month 6 4.59 8/2003
Systematic Trader Index Month 9 9.76 9/2002
Diversified Trader Index Month 9 9.76 9/2002
IASG CTA Index Month 10 9.76 9/2002
IASG CTA Index Sharpe 7 1.57 2000 - 2001
Diversified Trader Index Month 5 -0.31 11/2001
Systematic Trader Index Month 10 -0.31 11/2001

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