NuWave Investment Management, LLC : NuWave Investment Partners LP

Year-to-Date
3.77%
Jun Performance
3.81%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.93%
Sharpe (RFR=1%)
0.55
CAROR
8.38%
Assets
$ 25.9M
Worst DD
-32.96
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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2001
NuWave Investment Partners LP 3.81 3.20 -3.77 14.08 22.30 51.35 19.39 328.70
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 137.78
+/- S&P 500 -3.08 -0.58 -21.11 5.87 -16.43 2.80 -197.29 190.92

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
Fund
Minimum Investment
$ 250k
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
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
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

NuWave Investment Partnership will use substantially all of its capital as follows: (i) approximately 50% of the capital will be invested in a futures account held in the name of the Partnership and traded pursuant to the General Partner’s Combined Futures Portfolio, and (ii) approximately 50% of the capital will be used to purchase Class A3 Limited Partnership Interests of NuWave Long/Short Portfolio Fund LP (the “Long/Short Portfolio”), a Delaware limited partnership formed in December 2009 under the name “NuWave Long/Short Feeder Fund LP” and which underwent a name change in December 2015. The Combined Futures Portfolio is a multi-strategy systematic trading program that is comprised of four sub-portfolios: the Matrix Portfolio, the Commodity Value Portfolio, the Short-Term Futures Portfolio and the Stock Index Futures Portfolio. The underlying trading methodologies employ various mathematical and statistical formulas and techniques intended to identify and capture repetitive historical tendencies in price movement, commonly referred to as “trends,” that occur across a broad array of markets and time horizons. Prospective investors should note that, (i) prior to September 1, 2015, the Combined Futures Portfolio was comprised of the following subprograms: the Long-Term Pattern Recognition Program, the Intermediate-Term Pattern Recognition Program and the Short-Term Pattern Recognition Program; (ii) during the period from September 1, 2015 through December 31, 2016, the Combined Futures Portfolio was comprised of the following sub-portfolios: the Matrix Portfolio and the Commodity Value Portfolio; and (iii) during the period from January 1, 2017 through October 31, 2018, the Combined Futures Portfolio was comprised of the following sub-portfolios: the Matrix Portfolio, the Commodity Value Portfolio and the Short-Term Futures Portfolio. Prospective investors should further note that, prior to November 1, 2018, the Partnership did not allocate any portion of its capital to the Long/Short Portfolio. 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
-32.96 45 38 9/1/2011 6/1/2015
-16.97 4 7 10/1/2010 2/1/2011
-13.81 4 3 12/1/2001 4/1/2002
-13.50 2 6 6/1/2007 8/1/2007
-12.95 3 2 3/1/2008 6/1/2008
-11.83 4 15 3/1/2009 7/1/2009
-11.39 2 1 9/1/2002 11/1/2002
-9.49 4 5 2/1/2003 6/1/2003
-7.60 2 - 12/1/2018 2/1/2019
-6.71 4 2 12/1/2004 4/1/2005
-6.50 1 2 9/1/2005 10/1/2005
-6.49 5 3 2/1/2004 7/1/2004
-4.94 1 2 9/1/2018 10/1/2018
-4.38 2 3 1/1/2007 3/1/2007
-3.38 1 2 1/1/2006 2/1/2006
-2.46 2 1 5/1/2006 7/1/2006
-1.71 3 1 8/1/2001 11/1/2001
-0.79 1 1 10/1/2006 11/1/2006
-0.18 2 1 12/1/2008 2/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
59.27 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
24.63 4 11/1/2015 2/1/2016
23.88 5 5/1/2005 9/1/2005
23.45 5 10/1/2003 2/1/2004
21.81 5 8/1/2004 12/1/2004
21.51 7 9/1/2007 3/1/2008
18.28 6 4/1/2018 9/1/2018
17.37 3 7/1/2011 9/1/2011
15.06 2 6/1/2016 7/1/2016
11.27 3 11/1/2005 1/1/2006
11.27 2 11/1/2018 12/1/2018
10.39 4 10/1/2017 1/1/2018
8.50 3 4/1/2007 6/1/2007
8.24 1 9/1/2015 9/1/2015
6.59 1 8/1/2017 8/1/2017
6.50 3 8/1/2006 10/1/2006
6.19 2 4/1/2017 5/1/2017
6.01 3 4/1/2010 6/1/2010
5.96 2 3/1/2011 4/1/2011
5.76 2 12/1/2006 1/1/2007
5.48 3 8/1/2014 10/1/2014
5.03 2 7/1/2003 8/1/2003
4.84 3 3/1/2006 5/1/2006
4.67 2 4/1/2012 5/1/2012
4.56 1 7/1/2015 7/1/2015
4.20 2 8/1/2009 9/1/2009
4.02 3 6/1/2001 8/1/2001
3.81 1 6/1/2019 6/1/2019
3.19 1 10/1/2010 10/1/2010
3.14 1 6/1/2013 6/1/2013
3.08 1 12/1/2001 12/1/2001
3.00 1 8/1/2010 8/1/2010
2.96 1 11/1/2011 11/1/2011
2.94 1 9/1/2016 9/1/2016
2.69 1 4/1/2013 4/1/2013
2.62 1 11/1/2009 11/1/2009
2.35 1 12/1/2016 12/1/2016
2.21 1 4/1/2014 4/1/2014
2.12 1 5/1/2003 5/1/2003
1.91 1 6/1/2004 6/1/2004
1.90 2 3/1/2019 4/1/2019
1.78 1 12/1/2013 12/1/2013
1.60 1 3/1/2015 3/1/2015
1.07 1 2/1/2017 2/1/2017
1.06 1 3/1/2005 3/1/2005
0.77 1 5/1/2015 5/1/2015
0.42 1 12/1/2014 12/1/2014
0.36 1 6/1/2009 6/1/2009
0.35 1 2/1/2010 2/1/2010
0.25 1 3/1/2009 3/1/2009
0.16 1 10/1/2012 10/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.97 4 11/1/2010 2/1/2011
-13.81 4 1/1/2002 4/1/2002
-13.51 3 3/1/2016 5/1/2016
-13.50 2 7/1/2007 8/1/2007
-12.95 4 6/1/2012 9/1/2012
-12.95 3 4/1/2008 6/1/2008
-11.39 2 10/1/2002 11/1/2002
-11.32 5 7/1/2013 11/1/2013
-9.94 2 4/1/2009 5/1/2009
-9.40 2 3/1/2003 4/1/2003
-7.60 2 1/1/2019 2/1/2019
-7.51 2 2/1/2018 3/1/2018
-7.14 2 10/1/2016 11/1/2016
-6.50 1 10/1/2005 10/1/2005
-6.11 4 12/1/2011 3/1/2012
-5.74 1 10/1/2011 10/1/2011
-5.48 3 3/1/2004 5/1/2004
-5.20 1 9/1/2017 9/1/2017
-4.98 3 5/1/2014 7/1/2014
-4.94 1 10/1/2018 10/1/2018
-4.80 1 4/1/2015 4/1/2015
-4.65 5 11/1/2012 3/1/2013
-4.47 1 4/1/2005 4/1/2005
-4.38 2 2/1/2007 3/1/2007
-4.31 1 10/1/2015 10/1/2015
-3.89 1 9/1/2003 9/1/2003
-3.54 3 1/1/2014 3/1/2014
-3.52 2 6/1/2017 7/1/2017
-3.44 1 8/1/2016 8/1/2016
-3.38 1 2/1/2006 2/1/2006
-3.37 2 1/1/2005 2/1/2005
-3.29 1 6/1/2015 6/1/2015
-3.05 1 5/1/2013 5/1/2013
-2.93 1 7/1/2004 7/1/2004
-2.66 1 7/1/2010 7/1/2010
-2.46 2 6/1/2006 7/1/2006
-2.45 1 7/1/2009 7/1/2009
-2.31 2 1/1/2015 2/1/2015
-2.17 1 8/1/2015 8/1/2015
-2.17 1 6/1/2003 6/1/2003
-1.88 1 10/1/2009 10/1/2009
-1.77 2 5/1/2011 6/1/2011
-1.71 3 9/1/2001 11/1/2001
-1.55 1 5/1/2019 5/1/2019
-0.89 2 12/1/2009 1/1/2010
-0.79 1 11/1/2006 11/1/2006
-0.44 1 1/1/2017 1/1/2017
-0.38 1 3/1/2010 3/1/2010
-0.35 1 3/1/2017 3/1/2017
-0.35 1 9/1/2010 9/1/2010
-0.18 2 1/1/2009 2/1/2009
-0.16 1 11/1/2014 11/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods217.00215.00212.00206.00200.00194.00182.00170.00158.00
Percent Profitable54.3858.1460.3868.9372.5074.2372.5372.3571.52
Average Period Return0.762.334.689.7414.7119.5429.3639.7848.30
Average Gain3.707.0911.2317.4023.6930.7146.1461.7474.36
Average Loss-2.76-4.28-5.30-7.27-8.99-12.62-14.93-17.68-17.16
Best Period17.1542.9659.2755.9469.3582.38108.39162.67183.86
Worst Period-11.38-14.45-14.62-17.23-24.29-26.27-27.72-27.58-29.89
Standard Deviation4.318.5111.8716.1220.4725.1234.8847.8858.75
Gain Standard Deviation3.327.8010.7913.3216.4018.6224.9837.4149.04
Loss Standard Deviation2.263.683.594.776.177.178.126.858.25
Sharpe Ratio (1%)0.160.240.350.540.640.700.750.750.74
Average Gain / Average Loss1.341.662.122.392.642.433.093.494.33
Profit / Loss Ratio1.612.303.235.316.957.018.169.1410.88
Downside Deviation (10%)2.614.285.397.389.4212.3116.7821.4024.99
Downside Deviation (5%)2.433.764.285.316.378.2610.3111.9812.66
Downside Deviation (0%)2.393.644.024.845.707.358.899.9510.14
Sortino Ratio (10%)0.140.260.410.640.760.750.810.850.83
Sortino Ratio (5%)0.280.550.981.642.072.122.552.983.41
Sortino Ratio (0%)0.320.641.162.012.582.663.304.004.76

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 8.24 9/2015
Diversified Trader Index Month 8 8.24 9/2015
IASG CTA Index Month 9 8.24 9/2015
Diversified Trader Index Month 10 5.07 3/2011
Diversified Trader Index Month 10 10.19 8/2008
IASG CTA Index Month 9 8.29 7/2008
Systematic Trader Index Month 7 8.29 7/2008
Diversified Trader Index Month 6 8.29 7/2008
IASG CTA Index 3 Year Rolling 9 82.87 2002 - 2005
IASG CTA Index Month 7 4.41 7/2005
Systematic Trader Index Month 3 4.41 7/2005
Diversified Trader Index Month 6 4.41 7/2005
Diversified Trader Index Month 4 1.91 6/2004
Systematic Trader Index Month 7 1.91 6/2004
Systematic Trader Index Month 7 4.68 1/2004
Diversified Trader Index Month 8 4.68 1/2004
Systematic Trader Index Month 6 2.07 11/2003
Diversified Trader Index Month 9 2.07 11/2003
Diversified Trader Index Month 10 4.59 8/2003
Systematic Trader Index Month 5 4.59 8/2003
Diversified Trader Index Month 8 9.76 9/2002
Systematic Trader Index Month 8 9.76 9/2002
IASG CTA Index Month 9 9.76 9/2002
IASG CTA Index Sharpe 6 1.57 2000 - 2001
Diversified Trader Index Month 4 -0.31 11/2001
Systematic Trader Index Month 9 -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.