NuWave Investment Management, LLC : NuWave Stock Index Futures Portfolio

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).