NuWave Investment Management, LLC : NuWave Matrix Portfolio

Year-to-Date
6.40%
Oct Performance
-1.15%
Min Investment
$ 3,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.15%
Sharpe (RFR=1%)
0.34
CAROR
4.91%
Assets
$ 14.4M
Worst DD
-21.61
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/2015
NuWave Matrix Portfolio -1.15 2.31 6.40 16.89 8.64 - - 22.13
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 56.59
+/- S&P 500 -3.19 0.39 -14.76 4.88 -32.77 - - -34.47

Strategy Description

Investment Strategy

The 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%
Strategy Pie Chart

Composition

Investment Strategy

The 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 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 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).

   

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
-21.61 27 15 2/1/2016 5/1/2018
-4.27 1 1 9/1/2015 10/1/2015
-1.38 2 - 8/1/2019 10/1/2019
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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
7.19 2 4/1/2017 5/1/2017
7.17 1 9/1/2015 9/1/2015
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-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
-1.38 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable52.0062.5055.5648.7251.5237.0466.67
Average Period Return0.481.321.681.630.20-1.971.48
Average Gain3.545.357.7410.778.837.934.13
Average Loss-2.84-5.41-5.89-7.05-8.97-7.80-3.81
Best Period11.8512.8722.4820.5827.2017.038.64
Worst Period-8.48-12.51-10.89-17.94-17.73-19.68-9.75
Standard Deviation4.086.538.2910.6011.519.874.87
Gain Standard Deviation2.854.045.486.069.005.352.74
Loss Standard Deviation2.153.683.525.204.696.703.66
Sharpe Ratio (1%)0.100.160.140.06-0.11-0.40-0.32
Average Gain / Average Loss1.250.991.311.530.981.021.08
Profit / Loss Ratio1.351.651.641.451.050.602.17
Downside Deviation (10%)2.684.626.049.4212.2515.5215.03
Downside Deviation (5%)2.494.104.846.817.959.344.47
Downside Deviation (0%)2.453.974.556.227.008.062.90
Sortino Ratio (10%)0.030.02-0.13-0.36-0.60-0.79-0.95
Sortino Ratio (5%)0.160.260.240.09-0.16-0.43-0.35
Sortino Ratio (0%)0.200.330.370.260.03-0.240.51

Top Performer Badges

Index Award Type Rank Performance Period
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
Diversified Trader Index Month 7 2.52 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.