Investment Objective
The WaveFront Global Investment Program seeks to deliver superior long-term absolute and risk-adjusted returns, especially during large equity market drawdowns.
Investment Strategy
The portfolio is constructed through a quantitative investment process that produces long and short positions in futures and options on futures contracts covering global commodities, currencies, interest rates and equity indices. Factors considered include momentum, value, yield, volatility and correlation, in addition to macroeconomic and supply/demand variables.
-
5.9%
CAGR
-
180%
Total Return
-
0.37
Sharpe Ratio
-
0.71
Sortino Ratio
Performance since inception*
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 investwill 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).
IMPORTANT DISCLAIMER:
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.
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 investwill 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).
IMPORTANT DISCLAIMER:
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.
Return & Risk Statistics
| wdt_ID | Risk/Return* | WFGD | Benchmark |
|---|---|---|---|
| 1 | Total Cumulative Return | 180.01 | 74.58 |
| 2 | Compound Annual Return | 5.94 | 3.17 |
| 3 | Standard Deviation | 15.94 | 8.38 |
| 4 | Worst Drawdown | -44.44 | -14.26 |
Performance Summary
| wdt_ID | Net Returns* | WFGD | Benchmark |
|---|---|---|---|
| 1 | 3 months | -3.06 | -0.25 |
| 2 | YTD | 0.84 | 1.00 |
| 3 | 1 year | 2.19 | 0.16 |
| 4 | 3 years | 7.10 | 5.56 |
| 5 | 5 years | 15.00 | 4.97 |
| 6 | 10 years | 3.06 | 2.64 |
| 7 | Inception | 5.94 | 3.17 |
*annualized if greater than a year
Monthly Returns (%)
| wdt_ID | Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 | 2024 | 1.79 | 6.49 | 4.35 | 1.62 | -3.17 | -1.05 | -1.47 | -4.13 | 1.76 | -4.89 | 0.16 | 0.84 | |
| 2 | 2023 | -1.81 | 0.62 | -5.06 | 5.65 | 1.04 | 1.34 | -0.51 | 3.30 | 1.91 | -1.00 | -2.39 | 1.34 | -2.67 |
| 3 | 2022 | 2.32 | 6.78 | 11.21 | 10.34 | -2.47 | 0.77 | -4.12 | 0.19 | 9.44 | -2.32 | -4.38 | -2.88 | 25.66 |
| 4 | 2021 | 1.69 | 8.82 | -1.22 | 4.44 | 2.85 | -2.34 | -0.19 | -0.26 | 2.89 | 5.02 | -6.46 | -0.38 | 14.94 |
| 5 | 2020 | 3.46 | 2.00 | 21.46 | -0.03 | -3.80 | -2.41 | 2.25 | 2.53 | -5.85 | 0.13 | 5.00 | 12.20 | 40.07 |
| 6 | 2019 | -4.92 | 4.07 | 0.48 | 2.09 | -0.48 | -1.57 | -1.71 | 4.79 | -7.03 | -3.21 | 0.30 | 1.38 | -6.29 |
| 7 | 2018 | 6.96 | -10.73 | -2.21 | 0.12 | -2.87 | -0.78 | 0.39 | -0.11 | 1.90 | -6.92 | 0.16 | 3.79 | -10.92 |
| 8 | 2017 | -1.52 | -1.83 | -3.22 | -0.83 | -2.99 | -1.46 | 1.96 | 1.56 | -3.35 | -0.38 | -0.40 | 1.10 | -10.95 |
| 9 | 2016 | 3.60 | 1.72 | -3.60 | -3.23 | -4.77 | 5.18 | -0.31 | -5.82 | -3.13 | -4.96 | -5.68 | -0.23 | -19.91 |
| 10 | 2015 | 13.08 | -1.18 | 0.76 | -4.70 | 0.85 | -2.37 | 5.30 | 1.06 | 0.34 | -3.97 | 3.23 | -1.46 | 10.20 |
| 11 | 2014 | -2.85 | 1.26 | -3.61 | 0.13 | 0.18 | 0.34 | 5.19 | 3.37 | 2.77 | -0.31 | 8.50 | 3.82 | 19.76 |
| 12 | 2013 | 3.16 | -0.52 | 0.69 | 4.04 | -0.08 | 0.35 | -2.87 | -3.76 | 1.06 | 2.16 | 3.36 | 2.33 | 10.03 |
| 13 | 2012 | -2.74 | -2.75 | -1.51 | 3.16 | 6.99 | -6.02 | 1.22 | -1.46 | -4.51 | -4.79 | -1.50 | 0.63 | -13.15 |
| 14 | 2011 | -0.21 | 3.88 | -1.43 | 3.73 | -2.92 | -2.32 | 2.96 | 1.03 | -4.08 | -4.29 | 0.67 | 1.32 | -2.10 |
| 15 | 2010 | -3.36 | 2.31 | 3.52 | 0.56 | -3.44 | -0.62 | -3.88 | 9.37 | 1.80 | 5.63 | -1.86 | 3.07 | 12.94 |
| 16 | 2009 | -0.88 | -0.47 | -3.63 | -1.84 | -2.95 | 0.27 | -0.04 | 4.39 | 3.31 | -4.28 | 8.77 | -3.99 | -2.14 |
| 17 | 2008 | 4.59 | 18.84 | -1.19 | -2.77 | 1.07 | 4.26 | -6.98 | -3.39 | 4.26 | 19.65 | 2.26 | 2.23 | 47.47 |
| 18 | 2007 | -6.55 | -3.03 | 9.05 | 5.56 | 4.44 | -7.01 | -3.72 | 11.52 | 7.13 | -1.25 | 2.27 | 17.69 |
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 investwill 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).
IMPORTANT DISCLAIMER:
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.
Top 5 Holdings
as of 11/30/2024
| wdt_ID | Position | Portfolio |
|---|---|---|
| 1 | S&P Canada 60 | 5.53 |
| 2 | Wheat | 5.06 |
| 3 | SFE SPI 200 | 4.99 |
| 4 | E-Mini S&P | 4.12 |
| 5 | Cotton No.2 | 3.78 |
as of 11/30/2024
- Strategy: Systematic Macro
- Benchmark: SocGen CTA Index
- Inception Date: 02/01/2007
- Management Fee: 1.00%
- Performance Fee: 20%
Investment Team
-
Roland Austrup
Chairman & Managing Principal -
Robert Koloshuk
CIO & Managing Principal -
Mark Adams, CFA
Portfolio Manager -
Amir Ijad
Quantitative Research & Trading Associate
Now available in a mutual fund format
The WaveFront Global Investment Program is now available in a daily liquid mutual fund, the WaveFront Global Diversified Investment Class (AHP 1110).
Got Questions?
Founded in 2003, WaveFront is a privately-owned global asset management company based in Toronto, Canada.
