NuWave Investment Management, LLC : Commodity Value Portfolio

Closed to new investments
Year-to-Date
0.72%
Aug Performance
1.03%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
4.17%
Sharpe (RFR=1%)
0.97
CAROR
5.05%
Assets
$ 44.1M
Worst DD
-3.19
S&P Correlation
0.11

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
10/2014
Commodity Value Portfolio 1.03 -0.04 -0.72 -2.20 16.13 - - 27.43
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 43.54
+/- S&P 500 2.84 -6.38 -17.45 -3.05 -17.30 - - -16.11

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
$ 2,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$2.79
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2250 RT/YR/$M
Avg. Margin-to-Equity
3%
Targeted Worst DD
5.00%
Worst Peak-to-Trough
-0.79%
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Precious Metals
25.00%
Energy
25.00%
Grains
25.00%
Softs
25.00%
Composition Pie Chart

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 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. Simulated trading history (prior to launch date of Oct 2014) is available back to 2004. 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
-3.19 11 - 8/1/2018 7/1/2019
-1.54 2 2 8/1/2017 10/1/2017
-1.33 2 1 3/1/2017 5/1/2017
-1.19 1 5 1/1/2016 2/1/2016
-0.80 2 1 11/1/2014 1/1/2015
-0.50 2 3 2/1/2015 4/1/2015
-0.28 1 1 3/1/2018 4/1/2018
-0.24 1 2 12/1/2016 1/1/2017
-0.09 1 1 7/1/2015 8/1/2015
-0.07 1 1 7/1/2016 8/1/2016
-0.06 1 1 10/1/2016 11/1/2016
-0.05 1 1 11/1/2015 12/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
9.22 3 6/1/2017 8/1/2017
6.45 5 11/1/2017 3/1/2018
4.76 1 2/1/2015 2/1/2015
3.27 4 5/1/2018 8/1/2018
1.91 2 10/1/2014 11/1/2014
1.85 1 1/1/2016 1/1/2016
1.30 2 9/1/2016 10/1/2016
1.22 3 5/1/2016 7/1/2016
1.21 3 5/1/2015 7/1/2015
1.03 1 8/1/2019 8/1/2019
0.90 3 9/1/2015 11/1/2015
0.61 1 4/1/2019 4/1/2019
0.61 1 12/1/2016 12/1/2016
0.46 2 2/1/2017 3/1/2017
0.38 1 12/1/2018 12/1/2018
0.32 1 3/1/2016 3/1/2016
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-1.86 3 9/1/2018 11/1/2018
-1.54 3 5/1/2019 7/1/2019
-1.54 2 9/1/2017 10/1/2017
-1.33 2 4/1/2017 5/1/2017
-1.19 1 2/1/2016 2/1/2016
-0.80 2 12/1/2014 1/1/2015
-0.80 3 1/1/2019 3/1/2019
-0.50 2 3/1/2015 4/1/2015
-0.28 1 4/1/2018 4/1/2018
-0.24 1 1/1/2017 1/1/2017
-0.09 1 8/1/2015 8/1/2015
-0.07 1 8/1/2016 8/1/2016
-0.06 1 11/1/2016 11/1/2016
-0.05 1 12/1/2015 12/1/2015
-0.02 1 4/1/2016 4/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods59.0057.0054.0048.0042.0036.0024.00
Percent Profitable57.6373.6879.6391.67100.00100.00100.00
Average Period Return0.421.232.545.438.8712.3919.05
Average Gain1.031.913.426.078.8712.3919.05
Average Loss-0.42-0.69-0.92-1.68
Best Period5.719.228.7415.8716.7218.7422.82
Worst Period-1.53-1.86-2.06-2.621.354.7614.87
Standard Deviation1.202.002.824.404.634.132.07
Gain Standard Deviation1.231.882.444.004.634.132.07
Loss Standard Deviation0.390.560.750.95
Sharpe Ratio (1%)0.280.490.721.011.592.527.72
Average Gain / Average Loss2.482.793.703.61
Profit / Loss Ratio3.387.8014.4839.67
Downside Deviation (10%)0.601.101.732.522.211.950.18
Downside Deviation (5%)0.410.560.720.810.02
Downside Deviation (0%)0.370.450.530.54
Sortino Ratio (10%)0.020.000.040.170.581.1017.98
Sortino Ratio (5%)0.821.762.845.45308.40
Sortino Ratio (0%)1.142.734.8210.03

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 5.71 8/2017
IASG CTA Index Month 10 5.71 8/2017

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