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  • NWOne LLC
    NWOne Diversified Strategy Program
    Principal(s): Jae-Min Hyun
    Strategy: Directional / Calendar Spreads / Intraday / Diversified
  • For Additional Information Contact Sweet Futures
    Toll Free: 1-800-661-5618
    Direct: 1-312-216-5701
    Email: [email protected]
  • Start Date: Jul-2021
    Nov Return: 0.58%
    YTD Return: -9.45%
    Annual CROR: 5.81
  • Worst Drawdown: -11.47%
    Losing Streak: -10.95 %
    Sharpe Ratio: 0.74
    Calmar Ratio: 0.54
  • Min Investment: $2,000,000
    Currency: US Dollar
    Notional Funding: Yes
    NFA Number: 515432
  • Margin: 3-10%
    Mgt Fee: 2.00%
    Incentive Fee: 0.00%
    Round Turns: 4,500
  • Trading Strategy: 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:
    1. 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.
    2. 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.
    3. Intraday futures: Exploits structural inefficiency arising from producer hedging activity. Positions in outright futures with holding period under 1 hour.
    Risk Strategy: N/A

    Accounting Notes: Proprietary accounts from 2017 to February 2019 net of 2% management and 20% incentive fees. Client accounts from March 2019
  • Trading Methodology
    95% Systematic
    5% Discretionary
  • Trading Style
    100% Quantamental
  • Style Sub-Categories
    Fundamental
    Pattern Recognition
    Quantitative
    Seasonal
    Spread
    Long Short
    Algorithmic
  • Holding Period
    40% Medium Term
    40% Short Term
    20% Intraday
  • Sector: US
    Contracts: Futures
  • Market Allocation
    18% Metals
    50% Energies
    10% Agriculturals
    7% Meats
    15% Softs
ProForma Proprietary trading from Oct 2017 to Feb 2019 Adjusted for a 2% management and 20% incentive fee. Client accounts from Mar 2019

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 1.69% -6.97% -0.98% 1.11% -2.28% 0.15% 0.74% -2.33% -0.60% -0.69% 0.58%   -9.45% -11.47%
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% -2.2%
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%
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%
2019 0.71% 0.53% 2.35% 2.56% -2.45% 0.39% -1.40% -0.52% -0.79% -0.62% 0.02% -0.05% 0.62% -5.32%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

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Track Record Prepared By: Prepared Internally


Footnotes:

(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.

Current Drawdown - The Current Losing Streak of the CTA, if any.

Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.

Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.

Calmar Ratio - The Calmar Ratio - Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

Sharpe Ratio - The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

Round Turns - Represents the annual number of Round Turns per $1 million.