Global Investment Program
Systematic Diversified Trend
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.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -44.45% |
| From Feb 2016 to Oct 2019 | |
| Worst Month (Feb 2018) | -10.73% |
| Current Losing Streak | -13.61% |
| Average Monthly Return | 0.52% |
| Monthly Std. Deviation | 4.51% |
| Gain Deviation (114 months) | 3.91% |
| Loss Deviation (113 months) | 2.02% |
| Gain to Loss Ratio | 1.37 |
| Omega Ratio (5% Threshold) | 1.07 |
| Annualized Performance |
|
| Compound ROR (1) | 5.21% |
| Standard Deviation | 15.64% |
| Downside Deviation | 8.35% |
| Sharpe Ratio (3) 2% RF ROR | 0.37 |
| Sortino Ratio (4) 5% MAR | 0.6 |
| Calmar Ratio (5) | |
| Sterling Ratio (6) | -0.04 |
| Gain Deviation | 13.55% |
| Loss Deviation | 7% |
| Profit Loss Ratio | 1.38 |
| Investment Information |
|
| Program Start Date | Feb-2007 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollar | |
| Minimum Investment | $2,000,000 |
| Minimum Fund Investment | $1,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| Margin | 15% |
| Round Turns per Million | 1,900 |
| NFA No: | #0330993 |
| 4.7 Exempt - Qualified Eligible Persons Only | |
| Performance Since February 2007 | Track Record Compiled By: Compliance Supervisors |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.23% | -3.34% | -0.41% | -5.14% | -2.11% | -0.30% | 0.51% | 1.72% | 4.71% | -0.28% | – | – | -5.08% | -11.08% |
| 2024 | 1.79% | 6.49% | 4.35% | 1.62% | -3.17% | -1.05% | -1.47% | -4.13% | 1.76% | -4.89% | 0.35% | 3.54% | 4.61% | -12.40% |
| 2023 | -1.81% | 0.77% | -5.06% | 5.65% | 1.04% | 1.34% | -0.51% | -3.30% | 1.91% | -1.00% | -2.39% | 1.34% | -2.43% | -6.20% |
| 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% | -6.30% | -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% | -24.00% |
| 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% | 19.77% | -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% | -2.10% | -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% |
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.
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