NuWave Investment Management, LLC : NuWave Stock Index Futures Portfolio

Year-to-Date
11.90%
Aug Performance
6.46%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
17.21%
Sharpe (RFR=1%)
0.20
CAROR
-
Assets
$ 4.2M
Worst DD
-27.17
S&P Correlation
-0.44

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2018
NuWave Stock Index Futures Portfolio 6.46 15.02 -11.90 -7.42 - - - 4.93
S&P 500 -1.81 6.34 16.73 0.85 - - - 7.83
+/- S&P 500 8.27 8.68 -28.63 -8.27 - - - -2.90

Strategy Description

Summary

The Stock Index Futures Portfolio, which commenced trading in February of 2018, offers investors the potential to hedge downside equity market risk without necessarily compromising bull market equity beta. The portfolio’s unique trading methodology incorporates more than 100 systematic... 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
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
RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index 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

Stock Indices
100.00%
Composition Pie Chart

Summary

The Stock Index Futures Portfolio, which commenced trading in February of 2018, offers investors the potential to hedge downside equity market risk without necessarily compromising bull market equity beta. The portfolio’s unique trading methodology incorporates more than 100 systematic equity trading bots, which collectively tend to react to equity market risks and opportunities more rapidly than the typical diversified managed futures program.

The Stock Index Futures Portfolio began trading February 5, 2018.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Investment Strategy

The Stock Index Futures Portfolio is predicated on advanced machine learning concepts, providing investors with tactical exposure of a short-to-intermediate term nature via S&P 500 futures contracts, while targeting an annualized volatility of 12% with typical margin-to-equity ranging from 5% to 8.5% (depending upon perceived market opportunity).

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 certain portfolios, 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
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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
-27.17 4 - 12/1/2018 4/1/2019
-0.45 1 1 9/1/2018 10/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
20.96 4 5/1/2019 8/1/2019
14.04 8 2/1/2018 9/1/2018
4.90 2 11/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.17 4 1/1/2019 4/1/2019
-0.45 1 10/1/2018 10/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable73.6870.5950.0012.50
Average Period Return0.380.16-2.88-8.96
Average Gain2.705.839.323.48
Average Loss-6.12-13.46-15.08-10.73
Best Period6.8015.0210.633.48
Worst Period-13.11-20.77-23.60-16.96
Standard Deviation4.9710.1713.566.19
Gain Standard Deviation2.144.191.23
Loss Standard Deviation4.966.097.063.91
Sharpe Ratio (1%)0.06-0.01-0.25-1.61
Average Gain / Average Loss0.440.430.620.32
Profit / Loss Ratio1.231.040.620.05
Downside Deviation (10%)4.058.5013.2415.11
Downside Deviation (5%)3.918.0011.9411.48
Downside Deviation (0%)3.887.8811.6210.59
Sortino Ratio (10%)-0.01-0.13-0.40-0.92
Sortino Ratio (5%)0.07-0.01-0.28-0.87
Sortino Ratio (0%)0.100.02-0.25-0.85

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.