By: Robert Koloshuk
Chief Investment Officer at WaveFront GAM
Navigating a Challenging Trend-Following Environment
WaveFront Global Diversified returned 2.03% during the third quarter, bringing year-to-date performance to 4.39% through September 30, 2026.
The SG CTA PR USD Index returned 5.71% during the quarter and 15.52% year to date. While the Program therefore continues to trail the managed-futures benchmark in 2026, Q3 represented another quarter of positive absolute performance.
More importantly, we believe the current environment provides an opportunity to revisit both the challenges that systematic trend-following strategies have faced since 2022 and the role that managed futures is intended to play over a full market cycle.
Since inception, the WaveFront Global Investment Program has generated a cumulative return of 191.12%, compared with 104.07% for the SG CTA PR USD Index, representing compound annual returns of 5.58% and 3.69%, respectively.
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.
Why the Past 3 Years Have Been Difficult
Trend-following strategies generally seek to participate in persistent directional price movements across global futures markets.
Markets that move sharply in response to geopolitical developments, policy announcements, changing inflation expectations or rapidly shifting expectations for interest rates, only to reverse shortly thereafter, can create false breakouts and whipsaws.
The recent market environment has frequently exhibited these characteristics.
Global markets have been repeatedly required to adjust to changing trade and fiscal policies, geopolitical developments, inflation uncertainty and changing expectations around monetary policy. These forces can generate substantial market movement, but they do not necessarily create the sustained trends that systematic trend-following strategies seek to capture.
For WaveFront Global Diversified, the distinction is important.
The strategy does not attempt to predict political outcomes, economic policy or the direction of any individual market. Instead, our models seek to identify persistent price trends and adjust portfolio exposure systematically as those trends develop.
Periods in which those trends repeatedly start, reverse and restart can therefore be particularly challenging.
Perspective From Prior Trend Cycles
Periods of difficult performance are not unusual within the history of systematic trend following.
WaveFront's own track record demonstrates how materially the opportunity set can change from one market cycle to the next.
Between 2011 and 2012, WaveFront Global Diversified returned -2.10% and -13.15%, respectively.
The following three calendar years were all positive:
Performance Disclaimer
*Performance is past performance and does not guarantee future results. Data Source: WaveFront & Bloomberg. The information in this material is subject to change without notice and WaveFront will not be held liable for any inaccuracies or misprints. The 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).
Together, those three years represented a cumulative gain of approximately 45%.
A more pronounced example occurred between 2016 and 2019. Global Diversified experienced four consecutive negative calendar years. Over that four-year period, the Program declined approximately 40% cumulatively.
The subsequent market environment was very different.
Performance Disclaimer
*Performance is past performance and does not guarantee future results. Data Source: WaveFront & Bloomberg. The information in this material is subject to change without notice and WaveFront will not be held liable for any inaccuracies or misprints. The 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).
That represented a cumulative gain of approximately 102% over the following three years.
These historical examples should not be interpreted as suggesting that the current cycle will resolve in the same manner. Market environments differ, and there is no assurance that a period of weak performance will be followed by a comparable recovery.
They do, however, illustrate an important characteristic of trend following: market environments can change substantially, and periods in which persistent trends are difficult to capture can be followed by periods in which strong directional movements emerge across multiple asset classes.
This is one reason we believe managed futures should be evaluated over full market cycles rather than primarily on recent performance.
The Current Cycle Is Different
It is also important not to overstate the comparison.
The recent period has not resembled the severity of the 2016–2019 drawdown.
Global Diversified returned -2.67% in 2023, +4.41% in 2024 and -3.81% in 2025. Cumulatively, the Program was approximately flat to modestly negative across those three calendar years.
The greater challenge has been a prolonged period in which the strategy has generated relatively muted absolute returns while also trailing the broader managed-futures benchmark.
That distinction matters.
We are not suggesting that the Program is emerging from an historically extreme drawdown or that prior recovery periods provide a template for what will happen next.
Instead, the historical record provides perspective on why we remain disciplined through environments in which the strategy's opportunity set has been less favourable.
What We Are Seeing Today
Against this backdrop, several developments during the third quarter are worth monitoring.
Recent positive performance has been supported by volatility and directional movement in energy futures, together with developing trends in global bond markets.
Energy and fixed-income markets occupy an important position in the global economy.
Energy prices affect inflation, transportation, electricity generation and industrial input costs. Bond yields influence financing conditions, asset valuations and the time cost of money throughout the economy.
When persistent trends develop in these markets, the effects can extend across other commodities and financial futures.
For WaveFront Global Diversified, however, the important question is not whether energy prices or bond yields should ultimately move higher or lower.
The Program can establish both long and short positions.
Our objective is to systematically identify and participate in sustained price trends as they emerge.
There is no assurance that the market movements we are currently observing will develop into persistent trends. But compared with an environment dominated by repeated reversals and interrupted price movements, greater directionality across several key sectors of the global economy is noteworthy for our systematic process.
An Expanding Commodity Opportunity Set
We are also monitoring the significant capital investment occurring across power generation, transmission, data centres and AI-related infrastructure.
Many of the physical inputs required for this buildout overlap with markets traded within the Global Diversified Program, including Copper, Aluminum, Natural Gas, Silver and Iron Ore.
These commodities are important inputs across power substations, transmission infrastructure, transformers, electrical systems, power generation, cabling and cooling infrastructure.
Changes in supply, economic growth, geopolitical developments, financing conditions and demand can all materially alter commodity prices.
This is precisely why we believe a systematic long/short approach can be valuable.
WaveFront does not need to maintain a permanent bullish or bearish view on these markets. The Program is designed to respond to the price trends that ultimately develop.
Staying Disciplined Through the Cycle
Managed-futures strategies can experience extended periods of underperformance.
That is an inherent part of investing in a return stream designed to behave differently from traditional equity and fixed-income investments.
One of the challenges investors face with diversifying strategies is allocation timing.
After a period of strong performance, the benefits of diversification can appear obvious. After a prolonged period of weaker performance, there is a natural temptation to question the allocation precisely when its recent return pattern looks least compelling.
Our more than 20-year history reinforces why we believe discipline matters.
We do not believe in chasing recent performance, abandoning a systematic investment process backed by 20 years of research and refinement because of short-term relative results. Nor do we attempt to predict the next financial or geopolitical crisis.
Instead, we remain focused on the objective for which WaveFront Global Diversified was built: seeking attractive long-term risk-adjusted returns from sources that can be differentiated from traditional long-only investments.
Looking Ahead
We enter the fourth quarter encouraged by the improvement in absolute performance and, more importantly, by the changing characteristics we are seeing across several of the markets we trade.
At the same time, we remain disciplined in how we interpret those developments.
We are not forecasting the beginning of a new major trend cycle.
Markets can remain range-bound, emerging trends can reverse, and geopolitical or policy developments can rapidly change market expectations.
Our job is not to predict when that environment will change. Our job is to maintain a systematic process capable of adapting when it does.
Despite the challenges of the recent cycle, our conviction in that process remains unchanged. We continue to believe that managed futures can play an important role within a prudently diversified portfolio, particularly as a potential source of differentiated returns when traditional asset classes are exposed to common economic and market risks.
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.
