NuWave Investment Management LLC

Short-Term Futures Portfolio *QEP*


Monthly Performance (%)

Date Range: 06/16 - 11/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 1.31 -0.64 0.52 0.62 -0.13 0.63 -0.05 -0.53 -1.82 1.48 -0.27   1.08 
2017 2.05 -0.69 0.89 0.84 -0.36 -1.28 1.50 -2.49 -0.30 1.64 0.09 1.11  2.94 
2016 0.52 2.57 -0.57 1.65 0.25 0.32  4.80 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Short-Term Futures Portfolio represents a relatively new model set that is entirely focused on intra-day and short-term directional trading opportunities, yet shares a common heritage with many of NuWave’s flagship methodologies. The portfolio employs a fully automated signaling and execution engine and utilizes a variety of intra-day modeling techniques to predict short-term price dislocations across a broad array of diversified futures markets, including stock indices, fixed income, currencies and commodities. The Short-Term Futures Portfolio targets a consistent volatility profile over time, while seeking to deliver distinct correlation benefits and a unique risk-return profile relative to both traditional investments and other managed futures offerings. *The Short-Term Futures Portfolio began trading on July 27, 2016.

Performance Statistics

Date Range: 06/16 - 11/18
  Program S&P 500 Altegris 40 
Total Return 9.05% 38.46% -5.24% 
Annualized Return 3.65% 13.90% -2.13% 
Annualized Std. Deviation 3.90% 8.47% 7.66% 
Correlation -0.07 0.00 
Sharpe Ratio (rf=2.5%) 0.29 1.35 -0.60 
Worst Month -2.49% -6.84% -6.10% 
Date of Worst Month 08/2017 10/2018 02/2018 
Worst Drawdown -2.94% -6.84% -10.48% 
Date of Worst Drawdown 4/17 - 9/17 9/18 - 10/18 7/16 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/16 - 11/18

Year or YTD Program S&P 500 Altegris 40 
2018 1.08 5.11 -4.69 
2017 2.94 21.84 1.24 
2016 4.80 7.83 -5.80 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/16 - 11/18
Date: 11/30/2018
Perf: $908.99 Date: 10/31/2018
Perf: $920.03 Date: 9/30/2018
Perf: $943.33 Date: 8/31/2018
Perf: $947.59 Date: 7/31/2018
Perf: $924.03 Date: 6/30/2018
Perf: $931.01 Date: 5/31/2018
Perf: $923.25 Date: 4/30/2018
Perf: $935.32 Date: 3/31/2018
Perf: $925.33 Date: 2/28/2018
Perf: $926.16 Date: 1/31/2018
Perf: $986.33 Date: 12/31/2017
Perf: $953.71 Date: 11/30/2017
Perf: $943.43 Date: 10/31/2017
Perf: $942.20 Date: 9/30/2017
Perf: $904.31 Date: 8/31/2017
Perf: $923.80 Date: 7/31/2017
Perf: $908.72 Date: 6/30/2017
Perf: $905.19 Date: 5/31/2017
Perf: $932.41 Date: 4/30/2017
Perf: $930.65 Date: 3/31/2017
Perf: $936.26 Date: 2/28/2017
Perf: $950.14 Date: 1/31/2017
Perf: $929.86 Date: 12/31/2016
Perf: $942.02 Date: 11/30/2016
Perf: $934.91 Date: 10/31/2016
Perf: $945.31 Date: 9/30/2016
Perf: $970.34 Date: 8/31/2016
Perf: $983.03 Date: 7/31/2016
Perf: $1,010.20 Date: 6/30/2016
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,380.97 Date: 10/31/2018
Perf: $1,353.36 Date: 9/30/2018
Perf: $1,452.73 Date: 8/31/2018
Perf: $1,444.49 Date: 7/31/2018
Perf: $1,398.89 Date: 6/30/2018
Perf: $1,348.72 Date: 5/31/2018
Perf: $1,340.41 Date: 4/30/2018
Perf: $1,308.86 Date: 3/31/2018
Perf: $1,303.91 Date: 2/28/2018
Perf: $1,337.89 Date: 1/31/2018
Perf: $1,389.15 Date: 12/31/2017
Perf: $1,313.87 Date: 11/30/2017
Perf: $1,299.44 Date: 10/31/2017
Perf: $1,260.74 Date: 9/30/2017
Perf: $1,232.03 Date: 8/31/2017
Perf: $1,207.16 Date: 7/31/2017
Perf: $1,203.43 Date: 6/30/2017
Perf: $1,179.14 Date: 5/31/2017
Perf: $1,171.88 Date: 4/30/2017
Perf: $1,155.58 Date: 3/31/2017
Perf: $1,143.80 Date: 2/28/2017
Perf: $1,142.43 Date: 1/31/2017
Perf: $1,098.81 Date: 12/31/2016
Perf: $1,078.32 Date: 11/30/2016
Perf: $1,057.38 Date: 10/31/2016
Perf: $1,019.66 Date: 9/30/2016
Perf: $1,038.56 Date: 8/31/2016
Perf: $1,038.35 Date: 7/31/2016
Perf: $1,036.90 Date: 6/30/2016
Perf: $1,000.00 Date: 11/30/2018
Perf: $1,090.49 Date: 10/31/2018
Perf: $1,093.44 Date: 9/30/2018
Perf: $1,077.50 Date: 8/31/2018
Perf: $1,097.47 Date: 7/31/2018
Perf: $1,103.32 Date: 6/30/2018
Perf: $1,103.87 Date: 5/31/2018
Perf: $1,096.96 Date: 4/30/2018
Perf: $1,098.39 Date: 3/31/2018
Perf: $1,091.62 Date: 2/28/2018
Perf: $1,085.97 Date: 1/31/2018
Perf: $1,092.97 Date: 12/31/2017
Perf: $1,078.84 Date: 11/30/2017
Perf: $1,066.99 Date: 10/31/2017
Perf: $1,066.03 Date: 9/30/2017
Perf: $1,048.83 Date: 8/31/2017
Perf: $1,051.99 Date: 7/31/2017
Perf: $1,078.85 Date: 6/30/2017
Perf: $1,062.91 Date: 5/31/2017
Perf: $1,076.69 Date: 4/30/2017
Perf: $1,080.58 Date: 3/31/2017
Perf: $1,071.58 Date: 2/28/2017
Perf: $1,062.12 Date: 1/31/2017
Perf: $1,069.50 Date: 12/31/2016
Perf: $1,048.02 Date: 11/30/2016
Perf: $1,044.68 Date: 10/31/2016
Perf: $1,042.07 Date: 9/30/2016
Perf: $1,025.16 Date: 8/31/2016
Perf: $1,031.03 Date: 7/31/2016
Perf: $1,005.20 Date: 6/30/2016
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 06/16 - 11/18
Date: 11/30/2018
Return: -0.27 % Date: 10/31/2018
Return: 1.48 % Date: 9/30/2018
Return: -1.82 % Date: 8/31/2018
Return: -0.53 % Date: 7/31/2018
Return: -0.05 % Date: 6/30/2018
Return: 0.63 % Date: 5/31/2018
Return: -0.13 % Date: 4/30/2018
Return: 0.62 % Date: 3/31/2018
Return: 0.52 % Date: 2/28/2018
Return: -0.64 % Date: 1/31/2018
Return: 1.31 % Date: 12/31/2017
Return: 1.11 % Date: 11/30/2017
Return: 0.09 % Date: 10/31/2017
Return: 1.64 % Date: 9/30/2017
Return: -0.30 % Date: 8/31/2017
Return: -2.49 % Date: 7/31/2017
Return: 1.50 % Date: 6/30/2017
Return: -1.28 % Date: 5/31/2017
Return: -0.36 % Date: 4/30/2017
Return: 0.84 % Date: 3/31/2017
Return: 0.89 % Date: 2/28/2017
Return: -0.69 % Date: 1/31/2017
Return: 2.05 % Date: 12/31/2016
Return: 0.32 % Date: 11/30/2016
Return: 0.25 % Date: 10/31/2016
Return: 1.65 % Date: 9/30/2016
Return: -0.57 % Date: 8/31/2016
Return: 2.57 % Date: 7/31/2016
Return: 0.52 % Date: 6/30/2016
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/16 - 11/18
Return: -2.00 %
Count: 2 Return: 2.00 %
Count: 3 Return: -1.00 %
Count: 5 Return: 3.00 %
Count: 1 Return: 1.00 %
Count: 10 Return: 0.00 %
Count: 9
Note: All performance data is since program inception.

Underwater Curve

Date Range: 06/16 - 11/18
Date: 11/30/2018
Drawdown: -1.21 % Date: 10/31/2018
Drawdown: -0.94 % Date: 9/30/2018
Drawdown: -2.39 % Date: 8/31/2018
Drawdown: -0.58 % Date: 7/31/2018
Drawdown: -0.05 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: -0.13 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: -0.12 % Date: 2/28/2018
Drawdown: -0.64 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -0.16 % Date: 11/30/2017
Drawdown: -1.26 % Date: 10/31/2017
Drawdown: -1.35 % Date: 9/30/2017
Drawdown: -2.94 % Date: 8/31/2017
Drawdown: -2.65 % Date: 7/31/2017
Drawdown: -0.16 % Date: 6/30/2017
Drawdown: -1.64 % Date: 5/31/2017
Drawdown: -0.36 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: -0.69 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: -0.57 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  NuWave Investment Management LLC
Address: 35 Waterview Blvd
City: Parsippany
State: NJ
Zip: 07054
Country: USA

Key People

Name:  Troy W. Buckner
Position:  Principal
Biography: 

Troy W. Buckner is the Founder and Managing Principal of NuWave Investment Management, LLC (“NuWave”). Mr. Buckner founded NuWave in 2000 and has directly overseen the firm’s investment activities since its inception. Mr. Buckner’s primary responsibilities include the strategic management of the firm, as well as serving as Co-Head of Research and Chairman of NuWave’s Management and Risk Committees. As the primary architect of NuWave’s investment style, Mr. Buckner remains intimately involved in the firm’s ongoing research efforts, as well as playing an active role in the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure. Mr. Buckner’s extensive market experience is complemented years of experience developing innovative investment methods. Prior to founding NuWave, Mr. Buckner had significant experience in the investment industry, having begun his career as an equities derivatives and portfolio sales specialist at Salomon Brothers, Inc. (1986 – 1989) before developing futures and equity based trading strategies at such firms as George E. Warren Corporation (1989-1991), Classic Capital (1994 – 1995) and Hyman Beck & Company (1995 - 2000). Mr. Buckner graduated Magna Cum Laude from the University of Delaware with degrees in both finance and accounting, plus a minor (economics) before earning his M.B.A from the University of Chicago.


Name:  Yury V. Orlov
Position:  Principal
Biography: 

Yury V. Orlov is the Co-Head of Research and a principal of NuWave Investment Management, LLC (“NuWave”). Dr. Orlov joined NuWave in October of 2003 and, along with Mr. Buckner, is directly responsible for the firm’s research and development efforts, including the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure, as well as the managerial oversight of the firm’s team of research professionals. Dr. Orlov first became acquainted with Mr. Buckner in 1997, while serving as a Research Scientist at the Nuclear Physics Institute, Moscow State University (1986-2003), and ultimately assumed a role as a consultant to NuWave in 2000, before moving to the United States and joining the firm as a principal in 2003. Dr. Orlov is an expert in the fields of data analysis, pattern recognition, time series analysis and computer programming, having performed advanced modeling techniques relating to both public sector and private sector initiatives, while also authoring and/or co-authoring more than 50 research papers, many of which have been published in scientific journals and discussed during international conferences. Dr. Orlov received a Master’s Degree in Physics and PhD in Pattern Recognition for Data Analysis and Time Series Segmentation from Moscow State University.


Name:  Craig A. Weynand
Position:  Principal
Biography: 

Craig A. Weynand is the Chief Operating Officer and a principal of NuWave Investment Management, LLC (“NuWave”). Mr. Weynand joined NuWave in March of 2009 and is directly responsible for the management and oversight of all aspects of the firm’s general business operations. In this capacity, Mr. Weynand serves as Chairman of NuWave’s Trading, Technology and Compliance Committees, as well as being a senior member of the firm’s Management and Risk Committees. Mr. Weynand began his career at Morgan Stanley and predecessors (1990-2003), where he held positions of increasing responsibility at various Morgan Stanley entities, culminating in the managerial oversight of CTA selection, manager due diligence, product development and performance reporting for the Managed Futures Department. Thereafter, Mr. Weynand served as General Counsel and a member of the Executive Management team at Campbell & Company, Inc. (2003-2005), where he was responsible for all aspects of legal affairs and regulatory compliance, as well as general oversight of the firm’s trade support and internal audit functions, before joining Graham Capital Management as Director of Investor Services (2006-2009), broadly overseeing the firm’s investor relations, marketing and product development efforts. Mr. Weynand received a J.D. from the Fordham University School of Law after earning a B.S. (double major in Marketing and International Business) and an M.B.A. from New York University’s Leonard N. Stern School of Business.


Additional Information

 Futures Sectors Traded
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Systematic Yes 
 Pattern Recognition Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $2,000,000 
 Margin / Equity Ratio:  
 Managed Account Availability: Open