NuWave Investment Management, LLC : NuWave Matrix Portfolio Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 28.04% Oct Performance 3.66% Min Investment $ 3,000k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 16.03% Sharpe (RFR=1%) -0.18 CAROR -3.10% Assets $ 10.4M Worst DD -38.42 S&P Correlation -0.18 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Oct Qtr 2020 1yr 3yr 5yr 10yr Since9/2015 NuWave Matrix Portfolio 3.66 3.66 -28.04 -28.04 -22.57 -22.88 - -15.04 S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 93.64 +/- S&P 500 6.43 3.70 -29.25 -35.69 -49.54 -78.54 - -108.67 Strategy Description Investment StrategyThe 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”... Read More Account & Fees Type Managed Account Minimum Investment $ 3,000k Trading Level Incremental Increase $ 1,000k CTA Max Funding Factor Management Fee 1.50% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1250 RT/YR/$M Avg. Margin-to-Equity 12% 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 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Pattern Recognition 100.00% Composition Investment StrategyThe 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. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.Risk ManagementMarket 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 be 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). Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -38.42 6 - 2/1/2020 8/1/2020 -21.61 27 15 2/1/2016 5/1/2018 -4.66 4 2 8/1/2019 12/1/2019 -4.27 1 1 9/1/2015 10/1/2015 Show More Consecutive Gains Run-up Length (Mos.) Start End 19.39 4 11/1/2015 2/1/2016 14.91 4 6/1/2018 9/1/2018 12.22 2 6/1/2016 7/1/2016 11.90 3 6/1/2019 8/1/2019 9.86 2 11/1/2018 12/1/2018 9.34 2 9/1/2020 10/1/2020 7.19 2 4/1/2017 5/1/2017 7.17 1 9/1/2015 9/1/2015 6.87 2 1/1/2020 2/1/2020 2.86 1 10/1/2017 10/1/2017 2.30 2 3/1/2019 4/1/2019 1.84 1 12/1/2017 12/1/2017 1.47 1 12/1/2016 12/1/2016 1.46 1 9/1/2016 9/1/2016 1.28 1 2/1/2017 2/1/2017 0.86 1 8/1/2017 8/1/2017 0.82 1 11/1/2019 11/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -38.42 6 3/1/2020 8/1/2020 -12.51 3 3/1/2016 5/1/2016 -12.50 5 1/1/2018 5/1/2018 -7.49 2 10/1/2016 11/1/2016 -7.49 2 6/1/2017 7/1/2017 -5.30 1 10/1/2018 10/1/2018 -4.27 1 10/1/2015 10/1/2015 -4.12 1 12/1/2019 12/1/2019 -3.70 2 1/1/2019 2/1/2019 -3.30 1 9/1/2017 9/1/2017 -3.23 1 8/1/2016 8/1/2016 -2.14 1 5/1/2019 5/1/2019 -1.45 1 1/1/2017 1/1/2017 -1.37 2 9/1/2019 10/1/2019 -1.32 1 3/1/2017 3/1/2017 -0.77 1 11/1/2017 11/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00 Percent Profitable50.0055.0050.8847.0651.1143.5955.5653.33 Average Period Return-0.16-0.80-1.44-1.12-0.65-1.14-2.15-4.01 Average Gain3.515.017.3410.2010.7910.806.2010.98 Average Loss-3.82-7.88-10.53-11.19-12.61-10.37-12.60-21.13 Best Period11.8512.8722.4820.5828.2528.2614.0723.83 Worst Period-12.31-25.29-38.42-37.25-29.70-27.82-28.82-33.23 Standard Deviation4.638.4911.9013.8214.8413.1111.9819.51 Gain Standard Deviation2.674.025.375.909.616.884.248.02 Loss Standard Deviation2.937.009.7610.618.458.3810.1213.08 Sharpe Ratio (1%)-0.05-0.12-0.16-0.15-0.15-0.24-0.43-0.41 Average Gain / Average Loss0.920.630.700.910.861.040.490.52 Profit / Loss Ratio0.920.780.720.810.890.800.620.59 Downside Deviation (10%)3.627.6611.3314.0415.4416.8621.4331.75 Downside Deviation (5%)3.437.1410.2411.6711.4411.1512.2719.11 Downside Deviation (0%)3.397.019.9811.1210.549.9210.5916.64 Sortino Ratio (10%)-0.16-0.26-0.34-0.44-0.53-0.68-0.84-0.80 Sortino Ratio (5%)-0.07-0.15-0.19-0.18-0.19-0.28-0.42-0.42 Sortino Ratio (0%)-0.05-0.11-0.14-0.10-0.06-0.12-0.20-0.24 Top Performer Badges Index Award Type Rank Performance Period Diversified Trader Index Month 7 3.66 10/2020 Systematic Trader Index Month 8 3.66 10/2020 IASG CTA Index Month 10 3.66 10/2020 Systematic Trader Index Month 8 5.48 9/2020 IASG CTA Index Month 7 5.48 9/2020 Diversified Trader Index Month 5 5.48 9/2020 IASG CTA Index Month 6 5.48 9/2020 Systematic Trader Index Month 7 5.48 9/2020 Diversified Trader Index Month 3 5.48 9/2020 IASG CTA Index Month 8 4.63 7/2019 Diversified Trader Index Month 8 4.63 7/2019 Systematic Trader Index Month 10 4.63 7/2019 IASG CTA Index Month 9 5.22 11/2018 Systematic Trader Index Month 8 5.22 11/2018 Diversified Trader Index Month 7 5.22 11/2018 Diversified Trader Index Month 8 2.49 9/2018 IASG CTA Index Month 6 8.74 8/2018 Systematic Trader Index Month 6 8.74 8/2018 Diversified Trader Index Month 6 8.74 8/2018 Diversified Trader Index Month 9 2.94 6/2018 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel