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OUR SOLUTIONS

Global Program

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.

  • 6.9%

    CAGR
  • 218%

    Total Return
  • 0.43

    Sharpe Ratio
  • 0.84

    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 218.26 92.66
2 Compound Annual Return 6.94 3.87
3 Standard Deviation 16.07 8.36
4 Worst Drawdown -44.44 -14.26
Performance Summary
wdt_ID Net Returns* WFGD Benchmark
1 3 months 12.60 10.56
2 YTD 14.62 11.67
3 1 year 12.68 11.38
4 3 years 12.16 9.12
5 5 years 15.79 7.51
6 10 years 6.44 5.19
7 Inception 6.94 3.87

*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 1.33 14.62
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 4/30/2024

wdt_ID Position Portfolio
1 Japanese Yen 5.63
2 US 5yr Notes 4.63
3 German BOBL 4.19
4 EUR/JPY CME 3.86
5 Soybean Oil 3.61
  • Strategy: Systematic Macro
  • Benchmark: SocGen CTA Index
  • Inception Date: 02/01/2007
  • Management Fee: 1.00%
  • Performance Fee: 20%

Investment Team
  • image

    Roland Austrup

    Chairman & Managing Principal
  • image

    Robert Koloshuk

    CIO & Managing Principal
  • image

    Mark Adams, CFA

    Portfolio Manager
  • image

    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.

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