NWOne LLC : NWOne Diversified Strategy

Year-to-Date
0.64%
Sep Performance
-0.79%
Min Investment
$ 350k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.23%
Sharpe (RFR=1%)
0.88
CAROR
8.20%
Assets
$ 1.4M
Worst DD
-7.06
S&P Correlation
0.12

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2017
NWOne Diversified Strategy -0.79 -2.79 0.64 7.08 - - - 17.08
S&P 500 1.72 1.19 18.74 2.15 - - - 15.58
+/- S&P 500 -2.51 -3.98 -18.09 4.93 - - - 1.50

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%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Fundamental
50.00%
Pattern Recognition
20.00%
Spreading/hedging
20.00%
Other
10.00%
Strategy Pie Chart

Composition

Energy
50.00%
Grains
15.00%
Softs
15.00%
Precious Metals
10.00%
Industrial Metals
8.00%
Livestock
2.00%
Composition Pie Chart

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%

   

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
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
-5.30 5 - 4/1/2019 9/1/2019
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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
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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
-2.79 3 7/1/2019 9/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable66.6763.6468.42100.00100.00
Average Period Return0.692.123.718.5310.92
Average Gain1.845.357.498.5310.92
Average Loss-1.63-3.54-4.47
Best Period6.8512.3513.7313.5822.14
Worst Period-4.62-6.77-6.463.542.95
Standard Deviation2.385.406.913.327.96
Gain Standard Deviation1.823.644.593.327.96
Loss Standard Deviation1.492.381.93
Sharpe Ratio (1%)0.250.350.472.271.18
Average Gain / Average Loss1.131.511.67
Profit / Loss Ratio2.262.653.63
Downside Deviation (10%)1.433.184.070.552.32
Downside Deviation (5%)1.282.652.97
Downside Deviation (0%)1.242.522.70
Sortino Ratio (10%)0.190.280.316.391.44
Sortino Ratio (5%)0.470.711.08
Sortino Ratio (0%)0.550.841.37

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.