Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): David Mather
Strategy: Systematic Diversified Trend
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The WaveFront Global Investment Program holds as its central investment tenet the belief that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.
The WaveFront Global Investment Program utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. Risk management, which accounts for two thirds of trading activity, operates at much higher frequencies of as little as two days. WaveFront's trading is based on an analysis of market statistics that is firmly rooted in both probability theory and post-modern portfolio theory.
The WaveFront Global Investment Program is based on a risk budgeting strategy for allocating capital to markets and signal generators. WaveFront utilizes a fixed risk budget that targets long-term average annualized downside deviation of less than 13%. This risk budget is then equally allocated across over 60 markets, adjusted by their volatilities and correlations. The degree to which a market's allocated risk budget is utilized is then determined by the net trading position of 576 distinct signal generators per market. Although trend-based, these signal generators are not trend-following in the traditional sense and make significant use of both smoothing algorithms and sampling techniques to separate serial correlation in market data from higher frequency noise. Unutilized risk budgets that result from conflicting underlying signals are not re-allocated to other markets but go to cash. This risk budgeting strategy results in a 99% 1-month Portfolio Value-at-Risk ( VaR ) using Extreme Value Theory ( EVT ) of 10%.
In addition, the program incorporates two risk budget overlays that can reduce or eliminate the initial risk budget allocated to a market. One overlay is reactionary and based on identifying high percentile degradation in current market trends while the other is anticipatory and takes profits based on high percentile rankings of actual versus expected profitability in a given market. Lastly, WaveFront has developed two additional strategies that are, respectively, specific to short-term interest rate futures and equity indices. These strategies act as both diversifying and macro-hedging strategies to the core trend-based program in that they are generally uncorrelated to trend-based strategies but also tend to be negatively correlated when trend-based strategies underperform.
As markets continue to evolve over time and as WaveFront is continuously engaged in market research, a core feature of the WaveFront Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and / or modify or eliminate all or some of the current trading strategies already in use.
WaveFront Global Asset Management Corp. is a global asset management company based in Toronto, Canada. Wavefront manages approximatley $ 893 mllion for investors in Canada, China and Korea. At our core, we are driven by the quantifiable success of our clients. To us this means delivering superior investment performance across a variety of strategies and global asset classes. We look to develop strong, long-term partnerships with a select number of clients through candor, trust and full transparency.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.23% | -3.34% | -0.41% | -3.96% | -3.96% | ||||||||||
| 2024 | 1.79% | 6.49% | 4.35% | 1.62% | 1.62% | -3.17% | -1.05% | -1.47% | -4.13% | 1.76% | -4.89% | 0.35% | 3.54% | 6.31% | -12.4% |
| 2023 | -1.81% | 0.77% | -5.06% | 5.65% | 1.04% | 1.34% | -0.51% | -3.30% | 1.91% | -1.00% | -1.00% | -2.39% | 1.34% | -3.4% | -6.2% |
| 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% | -9.29% | |
| 2021 | 1.69% | 8.82% | -1.22% | 4.44% | 2.84% | -2.34% | -0.19% | -0.26% | 2.89% | 5.02% | -6.46% | -0.38% | 14.93% | -6.82% | |
| 2020 | 3.46% | 1.95% | 20.78% | -0.03% | -3.64% | -2.32% | 2.24% | 2.49% | -5.70% | -5.70% | 5.00% | 12.20% | 31.59% | -12.32% | |
| 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% | -6.3% | -10.02% | |
| 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% | -19.88% | |
| 2017 | -1.52% | -1.83% | -3.22% | -0.83% | -2.99% | -1.46% | 1.96% | 1.55% | -3.35% | -0.38% | -0.40% | 1.10% | -10.96% | -11.93% | |
| 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% | -24% | |
| 2015 | 13.11% | -1.18% | 0.76% | -4.70% | 0.85% | -2.37% | 5.30% | 1.06% | 0.34% | -3.97% | 3.23% | -1.46% | 10.23% | -6.57% | |
| 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% | -5.18% | |
| 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% | -6.52% | |
| 2012 | -2.74% | -2.75% | -1.51% | 3.16% | 6.99% | -6.02% | 1.21% | -1.45% | -4.51% | -4.78% | -1.50% | 0.63% | -13.14% | -16.05% | |
| 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% | -2.1% | -9.44% | |
| 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% | -7.76% | |
| 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% | -9.43% | |
| 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% | -10.13% | |
| 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% | -10.47% | ||
| Years | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 |
|---|---|---|---|---|---|---|
| ROR | 17.69% | 47.47% | -2.14% | 12.94% | -2.10% | -13.14% |
| Max DD | -10.47% | -10.13% | -9.43% | -7.76% | -9.44% | -16.05% |
| Years | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 |
|---|---|---|---|---|---|---|
| ROR | 10.03% | 19.76% | 10.23% | -19.91% | -10.96% | -10.92% |
| Max DD | -6.52% | -5.18% | -6.57% | -24.00% | -11.93% | -19.88% |
| Years | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
|---|---|---|---|---|---|---|
| ROR | -6.30% | 31.59% | 14.93% | 25.66% | -3.40% | 6.31% |
| Max DD | -10.02% | -12.32% | -6.82% | -9.29% | -6.20% | -12.40% |
| Years | 2025 YTD |
|---|---|
| ROR | -3.96% |
| Max DD | -3.96% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
