Strategy Description

Strategy Description

The NuWave Commodity Value Portfolio identifies value oriented return opportunities from commodity markets. The return stream is typically uncorrelated with other commodity strategies and uncorrelated with managed futures industry returns in general. Profit opportunities stem from dislocations created by cash and futures market participants trading in various liquid commodity markets. The trading style emphasizes consistency of return, protection of capital, and superior diversification benefits.

Investment Strategy

The NuWave Commodity Value Portfolio identifies value oriented return opportunities from commodity markets. The return stream is typically uncorrelated with other commodity strategies and uncorrelated with managed futures industry returns in general. Profit opportunities stem from dislocations created by cash and futures market participants trading in various liquid commodity markets. The trading style emphasizes consistency of return, protection of capital, and superior diversification benefits.

Risk Management

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.