Manager List    »   NuWave Investment Management, LLC   »   

Recent Statistics
  • Apr Return: 4.22%
  • YTD Return: 4.58%
  • Annual CROR:1 8.19 %
  • Worst DD:2 -31.24%
  • Losing Streak:3 -9.53 %
  • Sharpe Ratio:4 0.53
  • Min Investment: $5,000,000
  • AUM:5 $35,900,000
  • Calmar Ratio:6 0.57
The Combined Futures Portfolio pursues a unique multi-strategy approach to investing in many of the world’s most liquid financial and commodities futures markets, offering investors the potential to achieve compelling risk-adjusted returns in a variety of market environments while also providing the potential for significant diversification and non-correlation benefits relative to both traditional investments and other hedge fund strategies. Prior to September 1, 2015, the Combined Futures Portfolio was comprised of three distinct sub-programs: the Long-Term Pattern Recognition Program, the Intermediate-Term Pattern Recognition Program and the Short-Term Pattern Recognition Program. Commencing September 1, 2015, the Combined Futures Portfolio is comprised of the following distinct sub-portfolios: • The Matrix Portfolio. The Matrix Portfolio pursues a multi-model trend-based approach to investing across a diverse selection of liquid financial and commodities futures markets. The portfolio seeks to provide investors with managed futures “beta” as well as the potential for enhanced “alpha” through the systematic application of approximately 50 individual pattern-based trading models, which collectively provide exposure to short-, intermediate- and long-term trading opportunities. The underlying trading models are selected based upon their individual risk/return characteristics, as well as their ability to smooth/diversify overall portfolio returns. While each of the trading models trades the same set of broadly diversified markets (with approximately 65% of market exposure being derived from financial futures (such as stock indices, fixed income and currencies) and approximately 35% of market exposure being derived from commodity futures (such as energies, metals, grains, softs and meats)), each is also differentiated by a unique trading style and time frame. The aggregate portfolio is therefore broadly diversified across markets, time horizons and trading styles. • The Commodity Value Portfolio pursues a relative value approach to investing across a selection of liquid commodities futures markets. The portfolio systematically identifies intra-market spread opportunities within the energy, metal, grain and soft commodities markets that exhibit the greatest probability of near- to intermediate-term mispricing in strip values (based upon the Investment Manager’s proprietary forecasting methodology); thereafter, the portfolio seeks to capture any such intermittent price distortions via trading in calendar spreads. The Commodity Value Portfolio is actually comprised of two trading models: one of which focuses on the identification of repetitive patterns in relative price behaviors, while the other seeks to identify key elements of non-price data generally associated with cash market trading activities. Although systematically applied, every trade is reviewed by the Investment Manager’s portfolio management team for consistency with respect to the relative value framework employed. Holding periods generally range from several days to several weeks in duration. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Successful investment strategies must identify complex risk relationships across an increasingly interdependent world. At NuWave, careful attention is paid to a variety of risks, including the following: Market Risk: The firm incorporates proprietary pattern recognition forecasts for each market which help define signal generation, risk control, value at risk and stress test measurements. Position sizing, risk targets and individual market exposure are managed in a manner that attempts to equalize risk across all positions. Portfolio Risk: Portfolio construction emphasizes an optimal blend of opportunistic sub-strategies that are focused on directional market cycles of varying duration. Multiple constraints are incorporated to minimize aggregate risk across the entire portfolio. Value at risk measurements, sector concentrations, individual market exposure, stress-test findings and overall leverage are each constrained so as to remain within acceptable levels. A proprietary risk overlay governs the entire portfolio, and individual trades derived from the firm�s core trading logic are systematically accepted or rejected based upon their ability to add incremental return without exacerbating portfolio risk. Execution Risk: NuWave Investment Management has developed a proprietary trading infrastructure that seamlessly integrates trade execution and risk management real-time. Trades are primarily executed via electronic trading algorithms intended to mask the firm�s �footprint� in the marketplace, and executed trades are immediately entered into the firm�s database, with the resulting impact on portfolio risk being measured accordingly.

Troy W. Buckner is the Founder and Managing Principal of NuWave Investment Management, LLC (“NuWave”).  Mr. Buckner founded NuWave in 2000 and has for more than a decade directly overseen the firm’s investment activities.  Mr. Buckner’s primary responsibilities include the strategic management of the firm, as well as serving as Co-Head of Research and Chairman of NuWave’s Management and Risk Committees.  As the primary architect of NuWave’s investment style, Mr. Buckner remains intimately involved in the firm’s ongoing research efforts, as well as playing an active role in the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure.  Mr. Buckner’s extensive market experience is complemented years of experience developing innovative investment methods.  Prior to founding NuWave, Mr. Buckner had significant experience in the investment industry, having begun his career as an equities derivatives and portfolio sales specialist at Salomon Brothers, Inc. (1986 – 1989) before developing futures and equity based trading strategies at such firms as George E. Warren Corporation (1989-1991), Classic Capital (1994 – 1995) and Hyman Beck & Company (1995 - 2000).  Mr. Buckner graduated Magna Cum Laude from the University of Delaware with a double major (finance/accounting) and a minor (economics) before earning his M.B.A from the University of Chicago.

Yury V. Orlov is the Co-Head of Research and a principal of NuWave Investment Management, LLC (“NuWave”).  Dr. Orlov joined NuWave in October of 2003 and, along with Mr. Buckner, is directly responsible for the firm’s research and development efforts, including the design and implementation of NuWave’s proprietary modeling platform and trade execution infrastructure, as well as the managerial oversight of the firm’s team of research professionals.  Dr. Orlov first became acquainted with Mr. Buckner in 1997, while serving as a Research Scientist at the Nuclear Physics Institute, Moscow State University (1986-2003), and ultimately assumed a role as a consultant to NuWave in 2000, before moving to the United States and joining the firm as a principal in 2003.  Dr. Orlov is an expert in the fields of data analysis, pattern recognition, time series analysis and computer programming, having performed advanced modeling techniques relating to both public sector and private sector initiatives, while also authoring and/or co-authoring more than 50 research papers, many of which have been published in scientific journals and discussed during international conferences.  Dr. Orlov received a Master’s Degree in Physics and PhD in Pattern Recognition for Data Analysis and Time Series Segmentation from Moscow State University.

Craig A. Weynand is the Chief Operating Officer and a principal of NuWave Investment Management, LLC. Mr. Weynand joined NuWave in March of 2009 and is directly responsible for the management and oversight of all aspects of the firm's general business operations. In this capacity, Mr. Weynand serves as Chairman of NuWave's Trading, Technology and Compliance Committees, as well as being a senior member of the firm's Management and Risk Committees. Mr. Weynand began his career at Morgan Stanley and predecessors (1990 - 2003), where he held positions of increasing responsibility at various Morgan Stanley entities, culminating in the managerial oversight of CTA selection, manager due diligence, product development and performance reporting for the Managed Futures Department. Thereafter, Mr. Weynand served as General Counsel and a member of the Executive Management team at Campbell & Company, Inc. (2003 - 2005), where he was responsible for all aspects of legal affairs and regulatory compliance, as well as general oversight of the firm's trade support and internal audit functions, before joining Graham Capital Management as Director of Investor Services (2006 - 2009), broadly overseeing the firm's investor relations, marketing and product development efforts. Mr. Weynand received a J.D. from the Fordham University School of Law after earning a B.S. (double major in Marketing and International Business) and an M.B.A. from New York University's Leonard N. Stern School of Business.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Pattern Recognition
    Quantitative
  • Trading Style
    100%
  • Market Allocation
    Diversified
  • Holding Period
  • Sector
    US
    Contracts
    Futures

Performance Since June 2001

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -0.45% 1.04% -0.24% 4.22%   4.58% -0.45%
2016 8.18% 5.96% -7.19% -2.55% -3.86% 13.35% 1.58% -3.30% 2.89% -4.33% -2.70% 2.32% 8.75% -13.05%
2015 0.11% -2.14% 1.81% -4.78% 0.93% -3.20% 4.89% -2.11% 8.37% -4.00% 7.59% 0.66% 7.34% -7.31%
2014 0.00% -0.40% -2.87% 2.36% -2.95% -0.13% -1.85% 1.01% 4.43% 0.62% 0.01% 0.50% 0.5% -5.8%
2013 -2.01% -0.04% -0.02% 2.73% -2.98% 3.31% -3.41% -2.30% -3.49% -1.88% -0.71% 1.89% -8.84% -11.27%
2012 -2.68% -3.04% -0.05% 1.70% 2.73% -5.72% -1.12% -5.03% -1.77% 0.11% -1.14% -1.51% -16.47% -16.47%

Years200120022003200420052006
ROR5.38%20.00%24.88%25.23%14.64%11.87%
Max DD-1.71%-13.81%-9.49%-6.49%-7.18%-3.50%

Years200720082009201020112012
ROR-0.12%51.93%-8.11%-0.78%6.85%-16.47%
Max DD-13.91%-12.73%-11.91%-8.40%-8.85%-16.47%

Years20132014201520162017 YTD
ROR-8.84%0.50%7.34%8.75%4.58%
Max DD-11.27%-5.80%-7.31%-13.05%-0.45%


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

Program Information
  • Start Date: Jun-2001
  • New Money: Yes
  • Min Investment: $5,000,000
  • Fund Minimum: $0
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0374383
  • Currency: US Dollar
  • AUM:5 $35,900,000
  • Annual CROR:1 : 8.19%
  • Worst Drawdown:2 -31.24 %
  • Losing Streak:3 -9.53 %
  • Sharpe Ratio:4 0.53
  • Calmar Ratio:6 0.57
  • Margin:7: 0.15
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8
  • Max Comm:9:
  • Round Turns:10 1,000
Additional Information
  • Other Memberships: SEC# #801-70310
  • Correlations: AG CTA Index: 0.438 | AG Systematic CTA Index: 0.490 |
  • Track Record Prepared By: N/A

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

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

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. 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.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    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.