NuWave Investment Management, LLC : NuWave Stock Index Futures Portfolio Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance -12.66% Min Investment $ 2,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 15.68% Sharpe (RFR=1%) 0.28 CAROR 4.18% Assets $ 2.7M Worst DD -43.42 S&P Correlation -0.50 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since2/2018 NuWave Stock Index Futures Portfolio -12.66 - - -36.22 -34.61 - - -32.62 S&P 500 7.01 - - 19.61 40.39 - - 44.98 +/- S&P 500 -19.67 - - -55.83 -75.00 - - -77.60 Strategy Description SummaryThe 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 No 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% Composition Stock Indices 100.00% SummaryThe 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 StrategyThe 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 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 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). 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 -43.42 20 - 12/1/2018 8/1/2020 -0.45 1 1 9/1/2018 10/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 24.64 6 5/1/2019 10/1/2019 14.04 8 2/1/2018 9/1/2018 4.90 2 11/1/2018 12/1/2018 0.83 2 12/1/2019 1/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -37.97 7 2/1/2020 8/1/2020 -27.17 4 1/1/2019 4/1/2019 -0.45 1 10/1/2018 10/1/2018 -0.36 1 11/1/2019 11/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods31.0029.0026.0020.0014.00 Percent Profitable58.0658.6250.0025.0035.71 Average Period Return-1.12-2.40-3.27-7.05-9.71 Average Gain2.315.5211.097.101.99 Average Loss-5.88-13.63-17.63-11.76-16.21 Best Period6.8015.0224.6411.003.73 Worst Period-13.11-22.51-36.22-35.78-30.34 Standard Deviation5.2811.0416.5111.0612.94 Gain Standard Deviation2.074.325.653.061.60 Loss Standard Deviation4.646.979.448.2511.74 Sharpe Ratio (1%)-0.23-0.24-0.23-0.73-0.87 Average Gain / Average Loss0.390.400.630.600.12 Profit / Loss Ratio0.540.570.630.200.07 Downside Deviation (10%)4.9910.4815.6016.0821.33 Downside Deviation (5%)4.829.9014.3313.0316.75 Downside Deviation (0%)4.789.7614.0212.3015.74 Sortino Ratio (10%)-0.31-0.35-0.37-0.75-0.81 Sortino Ratio (5%)-0.25-0.27-0.26-0.62-0.67 Sortino Ratio (0%)-0.24-0.25-0.23-0.57-0.62 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. x {{title}} x {{title}} Add Cancel