NuWave Investment Management, LLC : NuWave Commodity Directional Portfolio

Year-to-Date
12.04%
Apr Performance
9.29%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
19.81%
Sharpe (RFR=1%)
2.35
CAROR
-
Assets
$ 11.6M
Worst DD
-2.08
S&P Correlation
0.67

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
2/2021
NuWave Commodity Directional Portfolio 9.29 12.04 12.04 - - - - 12.04
S&P 500 5.24 16.22 14.93 - - - - 9.71
+/- S&P 500 4.05 -4.19 -2.89 - - - - 2.33

Strategy Description

Summary

The Commodity Directional Portfolio pursues a multi-strategy directional approach to investing that is grounded in advanced data science techniques. The portfolio builds upon the success of NuWave’s Commodity Value Portfolio (spread trading) and Short-Term Futures Portfolio (directional... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
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 3500 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

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

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency FX
23.00%
Grains
15.00%
Industrial Metals
13.00%
Precious Metals
13.00%
Energy
13.00%
Softs
13.00%
Livestock
10.00%
Composition Pie Chart

Summary

The Commodity Directional Portfolio pursues a multi-strategy directional approach to investing that is grounded in advanced data science techniques. The portfolio builds upon the success of NuWave’s Commodity Value Portfolio (spread trading) and Short-Term Futures Portfolio (directional trading) to systematically identify both long and short opportunities within the metal, energy, grain and soft commodity markets (with limited exposure to the currency markets), delivering tactical exposures and distinct correlation benefits relative to both traditional investments and long-only commodity indices. Past performance is not necessarily indicative of future results.

Investment Strategy

The Commodity Directional Portfolio pursues a multi-strategy directional approach to investing that is grounded in advanced data science techniques. The portfolio builds upon the success of NuWave’s Commodity Value Portfolio (spread trading) and Short-Term Futures Portfolio (directional trading) to systematically identify both long and short opportunities within the metal, energy, grain and soft commodity markets (with limited exposure to the currency markets), delivering tactical exposures and distinct correlation benefits relative to both traditional investments and long-only commodity indices. Past performance is not necessarily indicative of future results.

Risk Management

Market Risk: The firm utilizes volatility as a key component in determining a wide variety of proprietary parameters for an individual market, including stops, signal generation, risk control, value at risk and stress test measurements. Position sizing, risk targets and individual market exposures are generally 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 an entire portfolio. Value at risk measurements, sector concentrations, individual market exposures, stress-test findings and overall leverage are each constrained so as to remain within acceptable levels. A proprietary risk overlay governs each portfolio, and individual trades derived from the firm’s core trading logic may systematically accepted or rejected based upon their ability to add incremental return without exacerbating portfolio risk. Execution Risk: NuWave has developed a proprietary trading infrastructure that seamlessly integrates trade execution and risk management real-time, while also controlling order flow, optimizing trade execution and minimizing both execution slippage and operational error. Trades are primarily executed via electronic trading algorithms intended to mask the firm’s “footprint” in the marketplace, and executed trades are allocated, stored and independently reconciled via a proprietary trade management system (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.

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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
-2.08 1 1 2/1/2021 3/1/2021
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Consecutive Gains

Run-up Length (Mos.) Start End
9.29 1 4/1/2021 4/1/2021
4.69 1 2/1/2021 2/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.08 1 3/1/2021 3/1/2021
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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.