WaveFront Global Asset Management Corp – Global Concentrated Program
Global Concentrated Program
Methodology: Systematic
Strategy: Trend / Momentum
Sub-Strategy: Medium Term
Market Focus: Diversified
Strategy Description
The WaveFront Global Concentrated Program is a derivative of WaveFront’s flagship Global Investment Program, but requires a 75% signal strength before entering new positions, resulting in a much more concentrated portfolio. At its core, the program is a systematic long-term trend-following strategy, although the program has evolved since inception to include significant non-trend elements. These non-trend strategies are also systematic in nature, but include both technical and fundamental data. Current sub-strategies include a core trend-following alloction, combined with yield and value allocations for diversification. The program trades a broad and diverse group of markets, with roughly 50% of long-term risk allocated to financial markets and 50% allocated to commodity markets.
Risk Management
Risk is managed via a combination of value-at-risk (VaR) limits and stress tests. Portfolio VaR (1-day 99%) is limited to 350bps, sector VaR is limited to 150bps, and individual market VaR is limited to 70bps. Stress tests are also run against current portfolio positions using a variety of historic and hypothetical scenarios. If any stress test’s simulated loss exceed 10%, options are purchased to protect the position.
General Information
Management Fee: 2.00% Typical Trade Duration: 1-3 Months
Performance Fee: 20.00% Round Turns per Million: 1,900
Manager Assets: $537,600,000 Typical Margin‐to‐Equity: 10-12%
Strategy Assets: $485,217 Managed Account Minimum: $500,000
Performance Statistics
Date Range: 04/09 – 09/18 Maximum Drawdown: -40.01%
Annualized ROR: -1.77% Sharpe Ratio (0% RFR): 0.00
Standard Deviation: 11.26% Correlation to S&P 500: 0.04
Disclosures
This Report was prepared by Coquest Advisors and is furnished to the recipient for informational purposes only and should not be construed as a solicitation to invest with the commodity trading advisor (“CTA”) described herein. The information in this Report is qualified in its entirely and limited by reference to the CTA’s Disclosure Document. The information contained in this report is privileged and confidential and may not be reproduced or circulated to any person without the prior written consent of Coquest Advisors. Efforts are made to verify the accuracy of the information provided in this report, but the data cannot be guaranteed to be reliable at all times.
Coquest Strategy Summary · WaveFront Global Asset Management Corp
Coquest Advisors · 12222 Merit Dr. Suite 1130 · Dallas, TX 75251 · coquestadvisors.com · October 2019
This material is provided as is for informational purposes only and may contain opinions which are solely those of its author. This material is not a solicitation, nor an offer to sell or a recommendation to buy a security. Past performance is not necessarily indicative of future results.
