NWOne LLC : NWOne Diversified Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.42% May Performance -0.32% Min Investment $ 350k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 7.11% Sharpe (RFR=1%) 0.75 CAROR 6.25% Assets $ 1.0M Worst DD -7.06 S&P Correlation 0.01 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 May Qtr YTD 1yr 3yr 5yr 10yr Since10/2017 NWOne Diversified Strategy -0.32 -1.09 0.42 -2.91 - - - 17.54 S&P 500 4.53 3.05 -5.77 10.62 - - - 20.38 +/- S&P 500 -4.85 -4.14 6.19 -13.53 - - - -2.83 Strategy Description SummaryProprietary 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% Decision-Making Discretionary 5.00% Systematic 95.00% Strategy Fundamental 50.00% Pattern Recognition 20.00% Spreading/hedging 20.00% Other 10.00% Composition Energy 50.00% Grains 15.00% Softs 15.00% Precious Metals 10.00% Industrial Metals 8.00% Livestock 2.00% SummaryProprietary 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% 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 -7.06 4 4 3/1/2018 7/1/2018 -5.32 8 - 4/1/2019 12/1/2019 Show More 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 1.53 3 1/1/2020 3/1/2020 0.39 1 6/1/2019 6/1/2019 0.02 1 11/1/2019 11/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -7.06 4 4/1/2018 7/1/2018 -3.29 4 7/1/2019 10/1/2019 -2.45 1 5/1/2019 5/1/2019 -1.09 2 4/1/2020 5/1/2020 -0.05 1 12/1/2019 12/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods32.0030.0027.0021.0015.00 Percent Profitable62.5063.3359.2685.71100.00 Average Period Return0.531.572.325.489.55 Average Gain1.554.186.366.879.55 Average Loss-1.18-2.94-3.57-2.85 Best Period6.8512.3513.7314.1822.14 Worst Period-4.62-6.77-6.46-4.622.47 Standard Deviation2.054.726.315.435.90 Gain Standard Deviation1.733.704.824.485.90 Loss Standard Deviation1.272.152.121.62 Sharpe Ratio (1%)0.220.280.290.821.36 Average Gain / Average Loss1.321.421.782.41 Profit / Loss Ratio2.192.462.5914.43 Downside Deviation (10%)1.232.834.123.522.15 Downside Deviation (5%)1.072.302.901.55 Downside Deviation (0%)1.042.172.621.19 Sortino Ratio (10%)0.100.12-0.040.140.91 Sortino Ratio (5%)0.410.580.632.89 Sortino Ratio (0%)0.510.720.884.60 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