NWOne LLC : NWOne Diversified Strategy

Year-to-Date: 1.98%
Jul Performance: -1.50%

Min Investment: $ 350k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 8.48%
Sharpe (RFR=1%): 1.03
CAROR: -

Assets: $ 1.1M
Worst DD: -7.06
S&P Correlation: 0.12

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Growth of 1,000 - VAMI

Monthly Performance

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	Jul	Qtr	YTD	1yr	3yr	5yr	10yr	Since 10/2017
NWOne Diversified Strategy	-1.50	-4.05	1.98	12.24	-	-	-	18.63
S&P 500	1.31	1.17	18.88	5.82	-	-	-	15.72
+/- S&P 500	-2.81	-5.22	-16.90	6.42	-	-	-	2.90

Strategy Description

Summary

Proprietary accounts from 2017 to February 2019 net of 2% management and 20% incentive fees. Client accounts from March 2019.... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 350k
Trading Level Incremental Increase: $ 350k
CTA Max Funding Factor: 1.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: Any Investor
Lock-up Period: 1

Trading

Trading Frequency: 4000 RT/YR/$M
Avg. Margin-to-Equity: 6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 5.00%
1-30 Days: 70.00%
Intraday: 25.00%

Summary

Proprietary accounts from 2017 to February 2019 net of 2% management and 20% incentive fees. Client accounts from March 2019.

Investment Strategy

• Quantitative strategies in commodity and commodity-linked futures based on sound fundamentals that are rigorously tested and confirmed using statistical/machine learning methods

• Strategies are designed to extract uncorrelated alphas from the market under a variety of market conditions and take long and short positions in outright futures, calendar spreads, and asset spreads with holding periods ranging from 10 minutes to 8 weeks depending on the strategy

• Portfolio target annual volatility of 10%

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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.

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Index:

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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
-7.06	4	4	3/1/2018	7/1/2018
-4.05	3	-	4/1/2019	7/1/2019

Consecutive Gains

Run-up	Length (Mos.)	Start	End
16.97	9	8/1/2018	4/1/2019
13.73	6	10/1/2017	3/1/2018
0.47	1	6/1/2019	6/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.06	4	4/1/2018	7/1/2018
-3.04	1	5/1/2019	5/1/2019
-1.50	1	7/1/2019	7/1/2019

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month
Number of Periods	22.00	20.00	17.00	11.00
Percent Profitable	72.73	70.00	70.59	100.00
Average Period Return	0.81	2.55	4.31	8.38
Average Gain	1.84	5.35	8.10	8.38
Average Loss	-1.96	-3.99	-4.79
Best Period	6.85	12.35	13.73	13.58
Worst Period	-4.62	-6.77	-6.46	3.54
Standard Deviation	2.45	5.49	7.06	3.47
Gain Standard Deviation	1.82	3.64	4.21	3.47
Loss Standard Deviation	1.62	2.60	1.97
Sharpe Ratio (1%)	0.30	0.42	0.54	2.13
Average Gain / Average Loss	0.94	1.34	1.69
Profit / Loss Ratio	2.51	3.13	4.05
Downside Deviation (10%)	1.46	3.15	4.06	0.60
Downside Deviation (5%)	1.31	2.66	3.03
Downside Deviation (0%)	1.28	2.54	2.77
Sortino Ratio (10%)	0.27	0.42	0.45	5.63
Sortino Ratio (5%)	0.55	0.86	1.26
Sortino Ratio (0%)	0.63	1.00	1.55

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.

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NWOne LLC : NWOne Diversified Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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