By: Robert Koloshuk
Chief Investment Officer at WaveFront GAM
May 2025 Version
The WaveFront Global Diversified Program finished May down -2.11%, underperforming the SG CTA Index which declined -1.65% for the month. Year-to-date, the strategy is now down -10.82% versus the benchmark’s -8.42% decline. Since inception, however, the program continues to deliver superior long-term results, with +5.32% net annualized return compared to +2.66% for the SG CTA benchmark.
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 month proved difficult across multiple sectors for trend followers and macro systems broadly, with Energy and Metals leading the downside for the program. Energy markets, particularly gasoline and crude oil, reversed sharply, whipsawing existing positions. Metals, including copper, platinum, and nickel, added to the drag, reflecting continued uncertainty around global industrial demand.
Fixed Income and Currencies also detracted from performance in May. Despite sticky inflation and volatile policy expectations, yield curve dynamics and the U.S. dollar's erratic movement failed to produce durable trends. In currencies, the Mexican Peso, Euro/GBP, and were among the most significant YTD detractors, while exposure to the U.S. dollar and other majors offered limited offset.
Equities and Meats were bright spots. Tactical long positions in global equity indices - notably the Nikkei, SPI 200, DAX, and S&P 500 - helped cushion the month’s downside, while live cattle and coffee supported positive returns in commodities.
Portfolio Highlights - as of May 31, 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.
We continue to see adaptive shifts in exposure in response to evolving market dynamics:
- Equities: Shifted from net short to net long in May, increasing long exposure to risk-on indices globally.
- Softs: Increased risk exposure, deepening short positions in cotton, wheat, and sugar.
- Energy: Reduced risk exposure after notable reversals.
- Fixed Income & Currencies: Moderated exposure across short rates and major FX pairs.
Top Longs: Live cattle, wheat canola, British pound, DAX, SPX60
Top Shorts: Cotton, sugar, wheat, nickel
Macro Perspective & Outlook
Trend following - as measured by the SG Trend Index - is currently experiencing its weakest calendar YTD performance since inception. Daily US policy shifts, prolonged choppiness, erratic reversals, and indecisive market structure have made it challenging for models that rely on sustained momentum.
Yet history has consistently shown that periods like these - defined by false starts and trendless volatility - often precede some of the strongest recoveries in managed futures. With inflation expectations rising, yield curves steepening, and commodity leadership rotating, conditions may be aligning for a powerful resurgence in trend behavior, particularly within commodities and FX.
The WaveFront Global Diversified Program remains positioned for this shift. Our diversified blend of Trend, Value, and Yield models continues to adapt across nine global asset classes, balancing short-term positioning shifts with disciplined long-term risk management.
As one of the only daily-liquid, true managed futures funds available to Canadian investors, the program remains a core diversifier, especially in environments where traditional equity/bond correlations fail to protect capital.
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 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).
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.
