Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: Jun-2025
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NWOne LLC - NWOne Diversified Strategy Program
Trading Strategy: Directional / Calendar Spreads / Intraday / Diversified
| Performance Since January 2020 | Track Record Compiled By: Prepared Internally | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.17% | -0.53% | -0.72% | -0.56% | 0.95% | 2.03% | – | – | – | – | – | – | 1.32% | -1.80% |
| 2024 | 1.69% | -6.97% | -0.98% | 1.11% | -2.28% | 0.15% | 0.74% | -2.33% | -0.60% | -0.69% | 0.58% | -0.64% | -10.03% | -11.52% |
| 2023 | 1.71% | -1.86% | -0.35% | 0.62% | 1.89% | 4.14% | 0.53% | 1.36% | 1.18% | 0.38% | 0.49% | -1.44% | 8.85% | -2.20% |
| 2022 | 5.55% | 2.82% | -2.36% | 1.17% | 2.42% | -1.42% | -0.02% | 1.21% | 1.06% | 2.31% | 1.82% | 1.79% | 17.36% | -2.36% |
| 2021 | 1.07% | 0.73% | 0.76% | 0.02% | 1.38% | 0.02% | 0.39% | 0.83% | 0.26% | 0.46% | 0.33% | 3.41% | 10.05% | 0.00% |
| 2020 | 0.56% | 0.80% | 0.16% | -0.77% | -0.32% | 0.03% | 0.49% | 0.70% | -0.32% | -0.61% | -0.19% | 0.10% | 0.62% | -1.12% |
Program Description: The NWOne Diversified Strategy Program exploits supply and demand imbalances, hedging activity from physical commodity traders, and financial flows from investors that cause commodity prices to experience short-term deviations from intrinsic value. Our models are calibrated using rigorous statistical methodology and out-of-sample tested using state-of-the-art machine learning methods. The program consists of 3 independent strategies:
* Directional futures: Fundamental supply and demand driven modelling of each commodity combined with macro demand forecasts. Alpha capture around scheduled and un-scheduled events. Targets highest return during periods of high/transitory inflation. Long and short positions in outright futures with holding period of 4-7 days.
* Calendar spread futures: Individual commodity inventory modelling combined with risk premium capture around producer/consumer hedging. Targets stable risk adjusted returns at low/negative correlation with the benchmarks. Positions in calendar spread futures with holding period of 1-8 weeks.
* Intraday futures: Exploits structural inefficiency arising from producer hedging activity. Positions in outright futures with holding period under 1 hour.
* Directional futures: Fundamental supply and demand driven modelling of each commodity combined with macro demand forecasts. Alpha capture around scheduled and un-scheduled events. Targets highest return during periods of high/transitory inflation. Long and short positions in outright futures with holding period of 4-7 days.
* Calendar spread futures: Individual commodity inventory modelling combined with risk premium capture around producer/consumer hedging. Targets stable risk adjusted returns at low/negative correlation with the benchmarks. Positions in calendar spread futures with holding period of 1-8 weeks.
* Intraday futures: Exploits structural inefficiency arising from producer hedging activity. Positions in outright futures with holding period under 1 hour.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -12.97% |
| From Jan 2024 to Apr 2025 | |
| Worst Month (Feb 2024) | -6.97% |
| Current Losing Streak | -10.36% |
| Average Monthly Return | 0.46% |
| Annualized Performance |
|
| Compound ROR (1) | 5.46% |
| Standard Deviation | 6.38% |
| Sharpe Ratio | 0.8 |
| Sterling Ratio | 0.16 |
| Calmar Ratio (3) | 0.19 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
