NuWave Investment Management, LLC : Short-Term Futures Portfolio

Year-to-Date
0.84%
Aug Performance
2.39%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
3.90%
Sharpe (RFR=1%)
0.49
CAROR
2.87%
Assets
$ 37.8M
Worst DD
-4.23
S&P Correlation
-0.09

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
7/2016
Short-Term Futures Portfolio 2.39 2.00 0.84 -0.34 6.09 - - 9.38
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 33.27
+/- S&P 500 4.20 -4.34 -15.89 -1.19 -27.34 - - -23.89

Strategy Description

Summary

The Short-Term Futures Portfolio represents a relatively new model set that is entirely focused on intra-day and short-term directional trading opportunities, yet shares a common heritage with many of NuWave’s flagship methodologies. The portfolio employs a fully automated signaling... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
1.00%
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
3500 RT/YR/$M
Avg. Margin-to-Equity
5%
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
100.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Energy
15.00%
Stock Indices
15.00%
Precious Metals
10.00%
Grains
10.00%
Softs
10.00%
Other
10.00%
Industrial Metals
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The Short-Term Futures Portfolio represents a relatively new model set that is entirely focused on intra-day and short-term directional trading opportunities, yet shares a common heritage with many of NuWave’s flagship methodologies. The portfolio employs a fully automated signaling and execution engine and utilizes a variety of intra-day modeling techniques to predict short-term price dislocations across a broad array of diversified futures markets, including stock indices, fixed income, currencies and commodities. The Short-Term Futures Portfolio targets a consistent volatility profile over time, while seeking to deliver distinct correlation benefits and a unique risk-return profile relative to both traditional investments and other managed futures offerings. * The Short-Term Futures Portfolio began trading on July 27, 2016. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Investment Strategy

The Short-Term Futures Portfolio represents a relatively new model set that is entirely focused on intra-day and short-term directional trading opportunities, yet shares a common heritage with many of NuWave’s flagship methodologies. The portfolio employs a fully automated signaling and execution engine and utilizes a variety of intra-day modeling techniques to predict short-term price dislocations across a broad array of diversified futures markets, including stock indices, fixed income, currencies and commodities. The Short-Term Futures Portfolio targets a consistent volatility profile over time, while seeking to deliver distinct correlation benefits and a unique risk-return profile relative to both traditional investments and other managed futures offerings.

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 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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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-4.23 9 - 6/1/2018 3/1/2019
-2.94 5 4 4/1/2017 9/1/2017
-0.69 1 1 1/1/2017 2/1/2017
-0.64 1 2 1/1/2018 2/1/2018
-0.57 1 1 8/1/2016 9/1/2016
-0.13 1 1 4/1/2018 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
4.33 4 10/1/2016 1/1/2017
4.21 4 10/1/2017 1/1/2018
3.10 2 7/1/2016 8/1/2016
2.39 1 8/1/2019 8/1/2019
1.74 2 3/1/2017 4/1/2017
1.62 3 4/1/2019 6/1/2019
1.50 1 7/1/2017 7/1/2017
1.48 1 10/1/2018 10/1/2018
1.14 2 3/1/2018 4/1/2018
0.63 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.32 5 11/1/2018 3/1/2019
-2.78 2 8/1/2017 9/1/2017
-2.39 3 7/1/2018 9/1/2018
-1.64 2 5/1/2017 6/1/2017
-0.69 1 2/1/2017 2/1/2017
-0.64 1 2/1/2018 2/1/2018
-0.57 1 9/1/2016 9/1/2016
-0.56 1 7/1/2019 7/1/2019
-0.13 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable55.2666.6754.5570.3785.7173.33
Average Period Return0.240.550.861.322.673.10
Average Gain1.051.532.822.823.284.59
Average Loss-0.75-1.42-1.50-2.24-0.97-1.01
Best Period2.573.676.407.338.7310.39
Worst Period-2.49-2.54-2.95-3.18-2.26-1.34
Standard Deviation1.131.662.502.762.993.83
Gain Standard Deviation0.720.921.511.622.763.35
Loss Standard Deviation0.620.790.760.971.120.44
Sharpe Ratio (1%)0.140.180.140.120.390.28
Average Gain / Average Loss1.391.081.881.263.394.54
Profit / Loss Ratio1.722.152.252.9920.3212.49
Downside Deviation (10%)0.881.632.784.545.718.05
Downside Deviation (5%)0.691.061.441.841.121.69
Downside Deviation (0%)0.640.931.131.320.500.56
Sortino Ratio (10%)-0.19-0.42-0.58-0.81-0.86-0.89
Sortino Ratio (5%)0.230.280.250.181.040.64
Sortino Ratio (0%)0.380.590.761.005.305.55

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.