NuWave Investment Management, LLC : Electronic Futures

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
3.21%
Sharpe (RFR=1%)
0.24
CAROR
1.73%
Assets
$ 0k
Worst DD
-8.05
S&P Correlation
-0.13

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2001
Electronic Futures 0.00 - - - - - - 16.02
S&P 500 1.78 - - - - - - 175.85
+/- S&P 500 -1.78 - - - - - - -159.83

Strategy Description

Summary

-Electronic Futures Portfolio Fully automated execution and signal generation is accomplished with NuWave's automated electronic trading engine to execute a portfolio of short-term trading strategies in electronic Nasdaq and S&P 500 futures. Active trading in multiple models across... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2400 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD
Worst Peak-to-Trough 7.93%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-Electronic Futures Portfolio Fully automated execution and signal generation is accomplished with NuWave's automated electronic trading engine to execute a portfolio of short-term trading strategies in electronic Nasdaq and S&P 500 futures. Active trading in multiple models across multiple time frames has resulted in very low risk returns. Launched in March of 2001, the program has demonstrated attractive return/risk characteristics. The ability to capture directional moves in the U.S. equity market makes the Electronic Futures Portfolio an attractive overlay for those who wish to protect their long U.S. equity holdings. Correlation with the Combined Portfolio and most other trading programs is virtually zero. Target returns are 10% per annum with drawdowns expected to be contained below 6%. Margin to equity will be 2-6% of notional account value, with round turns per million at a manageable 2400 per annum.

   

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
-8.05 39 21 11/1/2003 2/1/2007
-3.02 1 8 2/1/2003 3/1/2003
-2.28 4 - 5/1/2009 9/1/2009
-0.97 1 3 12/1/2008 1/1/2009
-0.73 1 1 9/1/2001 10/1/2001
-0.19 1 1 2/1/2002 3/1/2002
-0.07 1 1 12/1/2002 1/1/2003
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
9.17 9 4/1/2002 12/1/2002
5.90 11 2/1/2008 12/1/2008
5.67 5 5/1/2001 9/1/2001
4.17 4 5/1/2007 8/1/2007
2.51 4 8/1/2003 11/1/2003
2.34 3 2/1/2005 4/1/2005
2.28 5 3/1/2006 7/1/2006
2.08 3 4/1/2003 6/1/2003
1.59 3 8/1/2004 10/1/2004
1.50 4 11/1/2001 2/1/2002
1.48 1 11/1/2006 11/1/2006
1.38 4 2/1/2009 5/1/2009
0.92 1 3/1/2007 3/1/2007
0.67 1 12/1/2005 12/1/2005
0.65 2 9/1/2005 10/1/2005
0.42 2 10/1/2007 11/1/2007
0.32 1 9/1/2006 9/1/2006
0.24 2 2/1/2004 3/1/2004
0.20 1 2/1/2003 2/1/2003
0.20 1 6/1/2004 6/1/2004
0.18 1 1/1/2007 1/1/2007
0.14 1 6/1/2005 6/1/2005
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-3.02 1 3/1/2003 3/1/2003
-2.83 2 1/1/2006 2/1/2006
-2.50 2 7/1/2005 8/1/2005
-2.28 7 6/1/2009 12/1/2009
-2.20 3 11/1/2004 1/1/2005
-2.13 1 7/1/2004 7/1/2004
-1.86 1 2/1/2007 2/1/2007
-1.56 1 5/1/2005 5/1/2005
-1.51 1 8/1/2006 8/1/2006
-1.39 2 12/1/2007 1/1/2008
-1.00 1 11/1/2005 11/1/2005
-0.97 1 1/1/2009 1/1/2009
-0.94 1 10/1/2006 10/1/2006
-0.90 2 12/1/2003 1/1/2004
-0.76 2 4/1/2004 5/1/2004
-0.73 1 10/1/2001 10/1/2001
-0.72 1 7/1/2003 7/1/2003
-0.27 1 9/1/2007 9/1/2007
-0.19 1 3/1/2002 3/1/2002
-0.07 1 1/1/2003 1/1/2003
-0.05 1 4/1/2007 4/1/2007
-0.04 1 12/1/2006 12/1/2006
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods104.00102.0099.0093.0087.0081.0069.0057.0045.00
Percent Profitable66.3558.8256.5761.2958.6262.9653.6257.8982.22
Average Period Return0.150.440.781.562.112.161.851.121.66
Average Gain0.631.602.503.885.635.826.864.412.43
Average Loss-0.87-1.25-1.46-2.11-2.87-4.07-3.93-3.41-1.93
Best Period3.005.357.429.5515.6013.6615.7815.049.06
Worst Period-3.02-3.17-3.26-5.70-6.21-7.22-7.37-7.36-3.67
Standard Deviation0.931.802.543.715.065.706.164.772.69
Gain Standard Deviation0.551.261.992.673.363.643.483.322.24
Loss Standard Deviation0.760.920.921.491.771.802.211.751.30
Sharpe Ratio (1%)0.070.110.110.150.120.03-0.19-0.62-1.28
Average Gain / Average Loss0.721.281.721.841.961.431.741.291.26
Profit / Loss Ratio1.551.882.232.912.772.432.021.785.83
Downside Deviation (10%)0.841.712.794.917.309.8615.1920.9726.11
Downside Deviation (5%)0.671.111.422.153.033.875.005.104.24
Downside Deviation (0%)0.640.981.131.602.162.703.062.480.96
Sortino Ratio (10%)-0.31-0.46-0.60-0.70-0.75-0.82-0.92-0.97-0.99
Sortino Ratio (5%)0.100.170.200.260.200.04-0.24-0.58-0.81
Sortino Ratio (0%)0.230.450.690.970.980.800.610.451.72

Top Performer Badges

Index Award Type Rank Performance Period

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