Wavefront Global Asset Management : IMFC Global Investment Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 39.73% Dec Performance 12.20% Min Investment $ 2,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.30% Sharpe (RFR=1%) 0.32 CAROR 4.99% Assets $ 11.6M Worst DD -44.45 S&P Correlation -0.18 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since2/2007 IMFC Global Investment Program 12.20 17.96 39.73 39.73 16.63 -16.82 2.65 97.03 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 164.23 +/- S&P 500 8.49 6.28 23.47 23.47 -23.85 -98.72 -192.92 -67.20 Strategy Description Summary-The IMFC Global Investment Program invests in a globally diversified portfolio of futures, options and forward contracts, swaps and other financial derivative instruments giving investors exposure to a broadly based portfolio of both long and short investments in agricultural and... Read More Account & Fees Type Fund Minimum Investment $ 2,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 1.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 1900 RT/YR/$M Avg. Margin-to-Equity 12% Targeted Worst DD -13.00% Worst Peak-to-Trough 0% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 100.00% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Currency Futures 20.00% Interest Rates 20.00% Industrial Metals 13.00% Energy 12.00% Grains 12.00% Softs 11.00% Stock Indices 10.00% Livestock 2.00% Summary-The IMFC Global Investment Program invests in a globally diversified portfolio of futures, options and forward contracts, swaps and other financial derivative instruments giving investors exposure to a broadly based portfolio of both long and short investments in agricultural and soft commodities, metals, energies, currencies, interest rates and equity indices.Investment StrategyThe central investment tenet of the IMFC Global Investment Program is that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.The IMFC Global Investment Program IMFC utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. IMFC’s strategies utilize multiple non-correlated signal generators applied across several long-term timeframes of market data. The effect of this diversification is a reduction of position sizes in markets at equilibrium often to the point of having no exposure to those markets, and increased position sizes in markets that are exhibiting extreme price swings. Proprietary smoothing techniques are also used to separate underlying trend-persistence from random market noise, resulting in continuous exposure to long-term market trends of one year or longer.In addition, IMFC’s strategies incorporate portfolio management algorithms that adjust individual, sector and overall market exposure based on observed and simulated patterns of market returns.Risk ManagementPosition Management: IMFC utilizes proprietary quantitative algorithms to identify potential periods of underperformance in any particular commodity for IMFC strategies. In these situations, position sizes may be systematically reduced or eliminated until the same algorithms portend an end to the potential period of underperformance.As markets continue to evolve over time and as IMFC is continuously engaged in market research, a core feature if The IMFC Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and/or modify or eliminate all or some of the current trading strategies already in use.IMFC believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. IMFC utilizes a multi-faceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures:Margin-to-Equity Targets: In an attempt to minimize exposure to the risk of adverse price movements, IMFC targets a level of trading activity that results in initial margin requirements that are generally between 12% and 17%. However, depending on market volatility and liquidity, these margin-to-equity ranges can be higher or lower;Risk Exposure Limits: IMFC utilizes a fixed risk budget that targets long-term average annualized portfolio volatility of less than 17% and long-term average downside deviation of less than 14%. This risk budget is equally allocated across over 60 markets and 576 distinct signal generators per market, resulting in a targeted risk budget per market and signal generator respectively, as measured by long-term average annualized volatility, of less than 50 basis points and 0.001%. This risk budget results in a 99% 1-month Portfolio Value-at-Risk (VaR) using Extreme Value Theory (EVT) of between 10-12%. Short-term volatility can however deviate substantially from targeted long-term average volatility. Furthermore, there may be circumstances where it is impossible to limit risk as described above. Such a circumstance may be a market that is locked limit up or down, or the occurrence of severe slippage on order execution due to extreme market volatility.Diversification: Diversification is applied to minimize the overall portfolio risk from any given market or trading model. IMFC uses multiple non-correlated signal generators and trades a diversified portfolio of futures contracts that involves most major commodity groups (i.e., agriculture, currencies, energy, interest rates, equities, livestock, metals and soft commodities). The selection process seeks to avoid undue concentration in any particular futures group and to achieve a balance across several groups. However, on occasion there may be a heavier concentration of a given commodity or commodity group, or no weighting of a given commodity or commodity group, which could result in a greater return or risk to the account; 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 -44.45 44 - 2/1/2016 10/1/2019 -20.34 19 24 4/1/2011 11/1/2012 -10.47 2 2 6/1/2007 8/1/2007 -10.13 2 2 6/1/2008 8/1/2008 -9.43 5 6 12/1/2008 5/1/2009 -9.38 2 2 1/1/0001 3/1/2007 -8.85 8 2 11/1/2009 7/1/2010 -6.57 5 7 1/1/2015 6/1/2015 -3.94 2 2 2/1/2008 4/1/2008 -1.86 1 1 10/1/2010 11/1/2010 -1.43 1 1 2/1/2011 3/1/2011 -1.25 1 1 10/1/2007 11/1/2007 -0.21 1 1 12/1/2010 1/1/2011 Show More Consecutive Gains Run-up Length (Mos.) Start End 30.43 4 9/1/2008 12/1/2008 29.54 5 11/1/2019 3/1/2020 27.41 3 11/1/2014 1/1/2015 27.17 3 12/1/2007 2/1/2008 20.22 3 4/1/2007 6/1/2007 19.47 2 9/1/2007 10/1/2007 17.96 3 10/1/2020 12/1/2020 17.61 3 8/1/2010 10/1/2010 12.47 6 4/1/2014 9/1/2014 10.37 2 4/1/2012 5/1/2012 9.20 4 9/1/2013 12/1/2013 8.77 1 11/1/2009 11/1/2009 8.14 2 12/1/2017 1/1/2018 7.85 2 8/1/2009 9/1/2009 6.78 3 7/1/2015 9/1/2015 6.76 3 2/1/2019 4/1/2019 6.50 3 2/1/2010 4/1/2010 5.39 2 5/1/2008 6/1/2008 5.38 2 1/1/2016 2/1/2016 5.18 1 6/1/2016 6/1/2016 4.79 2 7/1/2020 8/1/2020 4.78 1 8/1/2019 8/1/2019 4.76 2 3/1/2013 4/1/2013 4.02 2 7/1/2011 8/1/2011 3.96 2 11/1/2018 12/1/2018 3.88 1 2/1/2011 2/1/2011 3.81 2 12/1/2012 1/1/2013 3.73 1 4/1/2011 4/1/2011 3.54 2 7/1/2017 8/1/2017 3.23 1 11/1/2015 11/1/2015 3.07 1 12/1/2010 12/1/2010 1.91 2 11/1/2011 12/1/2011 1.90 1 9/1/2018 9/1/2018 1.26 1 2/1/2014 2/1/2014 1.22 1 7/1/2012 7/1/2012 0.85 1 5/1/2015 5/1/2015 0.76 1 3/1/2015 3/1/2015 0.39 1 7/1/2018 7/1/2018 0.35 1 6/1/2013 6/1/2013 0.27 1 6/1/2009 6/1/2009 0.12 1 4/1/2018 4/1/2018 Show More Consecutive Losses Run-up Length (Mos.) Start End -27.85 12 7/1/2016 6/1/2017 -12.70 2 2/1/2018 3/1/2018 -11.75 4 8/1/2012 11/1/2012 -11.16 3 3/1/2016 5/1/2016 -10.47 2 7/1/2007 8/1/2007 -10.13 2 7/1/2008 8/1/2008 -10.01 2 9/1/2019 10/1/2019 -9.43 5 1/1/2009 5/1/2009 -9.38 2 2/1/2007 3/1/2007 -8.19 2 9/1/2011 10/1/2011 -7.76 3 5/1/2010 7/1/2010 -7.22 2 12/1/2009 1/1/2010 -6.92 1 10/1/2018 10/1/2018 -6.84 3 1/1/2012 3/1/2012 -6.52 2 7/1/2013 8/1/2013 -6.02 1 6/1/2012 6/1/2012 -5.90 3 4/1/2020 6/1/2020 -5.70 1 9/1/2020 9/1/2020 -5.17 2 5/1/2011 6/1/2011 -4.92 1 1/1/2019 1/1/2019 -4.70 1 4/1/2015 4/1/2015 -4.28 1 10/1/2009 10/1/2009 -4.10 3 9/1/2017 11/1/2017 -3.97 1 10/1/2015 10/1/2015 -3.94 2 3/1/2008 4/1/2008 -3.72 3 5/1/2019 7/1/2019 -3.63 2 5/1/2018 6/1/2018 -3.61 1 3/1/2014 3/1/2014 -2.85 1 1/1/2014 1/1/2014 -2.37 1 6/1/2015 6/1/2015 -1.86 1 11/1/2010 11/1/2010 -1.46 1 12/1/2015 12/1/2015 -1.43 1 3/1/2011 3/1/2011 -1.25 1 11/1/2007 11/1/2007 -1.18 1 2/1/2015 2/1/2015 -0.52 1 2/1/2013 2/1/2013 -0.31 1 10/1/2014 10/1/2014 -0.21 1 1/1/2011 1/1/2011 -0.11 1 8/1/2018 8/1/2018 -0.08 1 5/1/2013 5/1/2013 -0.04 1 7/1/2009 7/1/2009 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods167.00165.00162.00156.00150.00144.00132.00120.00108.00 Percent Profitable50.9048.4853.7051.9252.6756.2559.8559.1762.04 Average Period Return0.511.502.815.406.617.588.419.2210.11 Average Gain3.807.9411.0719.3124.8427.4327.7628.9727.06 Average Loss-2.89-4.56-6.76-9.61-13.67-17.94-20.44-19.42-17.59 Best Period20.7827.5850.0359.5775.6483.3391.95116.4393.00 Worst Period-10.73-13.29-19.65-27.85-30.20-35.38-41.69-42.14-39.98 Standard Deviation4.718.4512.0718.4023.5827.2731.1434.4130.04 Gain Standard Deviation4.177.4910.2714.1316.8918.6123.6529.8725.14 Loss Standard Deviation2.073.144.637.298.599.5813.6814.8010.20 Sharpe Ratio (1%)0.090.150.190.240.220.200.170.150.17 Average Gain / Average Loss1.311.741.642.011.821.531.361.491.54 Profit / Loss Ratio1.361.641.902.172.021.972.022.162.51 Downside Deviation (10%)2.734.727.0411.3315.7919.7425.1328.8230.64 Downside Deviation (5%)2.544.115.858.9111.9714.6217.1817.7015.33 Downside Deviation (0%)2.493.975.568.3411.0813.4315.5415.5412.49 Sortino Ratio (10%)0.040.060.050.04-0.06-0.14-0.29-0.43-0.57 Sortino Ratio (5%)0.170.300.400.490.430.380.310.290.33 Sortino Ratio (0%)0.210.380.510.650.600.560.540.590.81 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