By: Robert Koloshuk
Chief Investment Officer at WaveFront GAM
Staying the Course Through the Chop
June closed with another modest pullback for trend-following strategies, capping a quarter marked by abrupt market reversals, geopolitical uncertainty, and mixed asset class performance. The WaveFront Global Diversified Program declined -0.62% in June, bringing year-to-date returns to -11.37%. Over the same period, the SG CTA Trend Index returned 0.93% for the month and -7.65% YTD, underscoring the broad challenges trend-based strategies are facing in 2025.
Performance Overview
* Performance Disclaimer
*Performance is past performance and does not guarantee future results. Data Source: WaveFront & Bloomberg. Blended Benchmark Constituents: 20% SG CTA PR USD, 20% iShares MSCI ACWI ETF, 20% S&P GSCI Precious Metal TR, 20% Morningstar Canada REIT GR USD, 20% iShares 20+ Yr Treasury Bond ETF.
The aftermath of “Liberation Day”, a sharp macro shock driven by escalating global tariffs, continued to ripple through financial markets in Q2. Managed futures strategies, which seek to capitalize on established, durable trends, have struggled to gain traction amid the short-term whipsaws and sudden reversals that defined the quarter.
To put this in perspective: the SG Trend Index recorded a -18.7% return for the 12-month period ending April 30, 2025 - its worst in more than 25 years. Our strategy, while under pressure, has navigated this cycle better than most peers, aided by robust diversification and ongoing model refinements.
Sector and Market-Level Contributions
The program’s strongest contributions this year have come from global equities, with notable strength in markets such as the DAX, Nikkei and Hang Seng Indices. Exposure to Coffee and Gold rounded out the top 5 positive contributors to return year-to-date. Broad softness across currencies, fixed income, and energies weighed on performance - with markets such as the Mexican Peso, US 5yr Treasuries and RBOB Gasoline all detracting from YTD returns.
Portfolio Highlights - as of June 30, 2025*
* Portfolio Disclaimer
*Performance is past performance and does not guarantee future results. Data Source: WaveFront & Bloomberg. Portfolio exposure and holdings are as of May 31, 2025. Portfolio holdings and sectors will fluctuate over the life of the mutual fund as the portfolio holdings and market value of each security changes. The portfolio manager(s) may change the portfolio allocations in some or all of the sectors.
The most challenging individual positions in Q2 included Soybean Oil, Copper, and the EUR/BP cross - all of which saw trend reversals that impaired signal follow-through.
From a strategy perspective, we continue to see adaptive shifts in exposure in response to evolving market dynamics:
- Equities: Shifts from net short to net long in Q1 held, with continued growth in our long exposure to risk-on indices globally.
- Softs: Decreased risk exposure, with decreased short positions in cotton, wheat, and sugar.
- Energy: Reduced risk exposure in Q1 after notable reversals moderated.
- Fixed Income & Currencies: Shifts into net short exposure across bond markets while major FX pairs and currencies shifted to net long.
Top Longs: Silver, DAX Index, Nasdaq 100 and Lean Hogs.
Top Shorts: Corn, Kansas Wheat, Sugar and Nickel.
Staying Patient: What History Tells Us
Periods like this aren’t just noise, they’re part of the process. In fact, we’ve written extensively about what we call the “Patience Premium”: the tendency for managed futures strategies to deliver some of their strongest returns following deep drawdowns. Historical data from both our own program and industry indices show that recoveries after double-digit drawdowns have frequently been powerful and fast.
Read more in our blog post: When Managed Futures Lag, History Has a Message: Stick Around.
Our strategy is not designed to sidestep every short-term disruption, it’s designed to thrive over full market cycles by diversifying across global markets, asset classes, and strategies. Today’s environment is noisy, but we continue to invest in improving our models, including recent expansion in our market coverage (now trading 70+ uncorrelated futures markets).
While 2025 has been turbulent, we believe the stage is being set for the next cycle of macro clarity, and with it, a resurgence in trend-following returns. The portfolio remains positioned to benefit when those trends emerge.
About the WaveFront Global Diversified Program
Introducing Canada's premiere managed futures program, the WaveFront Global Diversified Investment Program. Engineered to deliver superior long-term absolute and risk-adjusted returns, especially during large equity market drawdowns. Available as one of the only daily liquid managed futures mutual funds available to Canadian investors.
For decades, institutional and high net worth investors have routinely incorporated managed futures into their portfolios, leveraging their potential to enhance investment outcomes. Built on the long view of market fundamentals, investment first principles and risk management, the WaveFront Global Diversified Investment Program has delivered consistent, long-term positive returns, uncorrelated to traditional long equity and bond investments since 2009.
Learn more about the Benefits of Managed Futures here
IMPORTANT DISCLAIMER: Past performance is not necessarily indicative of future results. Futures trading is speculative and involves substantial risk. Potential investors should note that the value of an investment may go down as well as up. There is a risk that an investment will be lost entirely or in part. An investment in the Program is speculative and involves a high degree of risk and is not intended as a complete investment program. There is no guarantee of trading performance. An investment should only be made after consultation with independent qualified sources of investment and tax advice. This communication is not and under no circumstances is to be construed as an invitation to make an investment in any WaveFront program nor does it constitute a public offering to sell a fund or program. Investors should review the Offering Documents of any WaveFront Program or Fund in their entirety for a complete description of WaveFront’s programs or Funds. Applications to invest will only be considered on the terms set out in the Offering Documents. The information in this material is subject to change without notice and WaveFront will not be held liable for any inaccuracies or misprints. The Monthly Rates of Return above are the composite weighted net returns of all client accounts of WaveFront managed pursuant to the WaveFront Global Investment Program, computed pursuant to methodologies approved by the U.S. Commodity Futures Trading Commission (CFTC).
WaveFront is officially registered with both the National Futures Association (NFA) and the Commodity Futures Trading Commission (CFTC). Notwithstanding this, it’s important to note that the WaveFront Global Diversified Program does not actively solicit or accept U.S. investors at this time. All information and resources provided by WaveFront are designed with the exclusive purpose of addressing the needs of non-U.S. investors. They should not be interpreted as an offer or an enticement to purchase securities within the United States or to U.S. persons.
