NuWave Investment Management, LLC / Combined Futures Portfolio ...
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
NuWave Investment Management, LLC / Combined Futures Portfolio
Systematic (Pattern Rec.) / Diversified
Performance Since June 2001 Year
Jan
Feb
Mar
Apr
May
2001
Jun
Jul
Aug
Sep
Oct
Nov
Dec
2.13%
0.89%
0.95%
-1.31%
-0.10%
-0.31%
3.08%
2002
-2.33%
-2.82%
-5.70%
-3.70%
1.39%
7.49%
8.74%
4.61%
9.76%
-2.87%
-8.77%
15.46%
2003
9.70%
10.98%
-6.51%
-3.09%
2.12%
-2.17%
0.42%
4.59%
-3.89%
8.63%
2.07%
1.27%
2004
4.68%
5.03%
-0.94%
-4.33%
-0.26%
1.91%
-2.93%
0.29%
2.42%
4.47%
10.54%
2.69%
2005
-2.67%
-0.48%
1.10%
-4.93%
4.15%
3.98%
3.81%
6.80%
2.59%
-7.18%
5.06%
2.51%
2006
2.89%
-3.50%
0.85%
3.23%
0.99%
-1.18%
-1.53%
2.68%
1.92%
1.44%
-0.95%
4.74%
2007
0.93%
-2.83%
-1.95%
2.39%
0.34%
5.52%
-2.48%
-11.72%
2.44%
2.80%
3.04%
2.57%
2008
3.06%
4.35%
1.15%
-5.75%
-4.50%
-3.04%
8.73%
10.12%
10.90%
17.21%
2.57%
0.25%
2009
-0.02%
-0.08%
0.21%
-1.32%
-8.73%
0.33%
-2.52%
3.09%
1.06%
-1.85%
2.63%
-0.71%
2010
-0.12%
0.37%
-0.34%
0.89%
4.48%
0.15%
-2.69%
2.99%
-0.31%
2.79%
-2.54%
-6.01%
2011
-3.75%
-5.30%
4.95%
0.86%
-0.28%
-1.46%
6.58%
1.73%
7.34%
-5.57%
3.04%
-0.48%
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%
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%
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%
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%
2016
8.18%
5.96%
-7.19%
-2.55%
-3.86%
13.43%
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
ROR
5.38%
20.00%
24.88%
25.23%
14.64%
11.87%
-0.12%
51.93%
-8.11%
-0.78%
Max DD
-1.71%
-13.81%
-9.49%
-6.49%
-7.18%
-3.50%
-13.91%
-12.73%
-11.91%
-8.40%
2011
2012
2013
2014
2015
2016 YTD
ROR
6.85%
-16.47%
-8.84%
0.50%
7.34%
13.06%
Max DD
-8.85%
-16.47%
-11.27%
-5.80%
-7.31%
-13.05%
The Notes Below Are An Integral Part of this Report | Track Record Compiled By: N/A Program Description: 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. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Trading Strategy
Investment Information Program Start Date Percent Discretionary Percent Systematic Minimum Investment Management Fee Incentive Fee Margin Round Turns per Million Currency NFA No:
Jun-2001 0% 100% 5,000,000 2.00% 20.00% 0.15 1,000 US Dollar #0374383
Market Segment
VA MI, A UM & Worst Drawdown (since Jun 2001) $ 4 ,0 0 0
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012 $ 3 ,8 7 4
2013
2014
2015
2016
$ 2 ,4 0 0
$ 2 ,6 6 2
$600
$ 1 ,6 0 0
$400
$ 1 ,0 0 0 $800
$200
$0
A ssets in Millions
$800
$ 3 ,2 0 0
VA MI
$1K
$0 A s s ets U nder M anagement
V A M I (Red L ine I ndic ates M ax D rawdown)
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
Program Statistics
Annualized Statistics
Peak-to-Valley Drawdown (1) (Sep 2011 - Jun 2015)
-31.24%
Annualized Compounded ROR (2)
Worst Monthly Return (Aug 2007)
-11.72%
Standard Deviation
Current Losing Streak
-10.07%
36 Month Calmar Ratio (3)
8.62% 15.37% 0.21
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
Time Window Analysis
Historical Drawdown and Recoveries***
Length
Best
Average
Worst
Start
Depth
Length
Recovery
1 mo
17.2%
0.8%
-11.7%
Oct-11
-31.24%
45 mo
12 mo
End n/a
Apr-09
-16.99%
23 mo
7 mo
Sep-11 Feb-08
3 mo
43.1%
2.3%
-14.3%
6 mo
60%
4.8%
-14.4%
Jul-07
-13.91%
2 mo
6 mo
12 mo
56.2%
9.6%
-17.3%
Jan-02
-13.81%
4 mo
3 mo
Jul-02
18 mo
69.4%
14.5%
-24.2%
Apr-08
-12.73%
3 mo
2 mo
Aug-08
24 mo
82.4%
19.2%
-25.7%
Oct-02
-11.39%
2 mo
1 mo
Dec-02
36 mo
108.3%
29.3%
-26.7%
Comparisons
Program
AG CTA Index
SP 500 TR
Annualized Compound ROR
8.62%
8.02%
5.55%
Cumulative Return
248.21%
220.20%
125.82%
Correlation
—
0.444
-0.379
Last 12 Months
30.79%
1.86%
4.00%
Last 36 Months
10.26%
11.77%
39.21%
Growth of $1,000 VA MI - Program vs. Benchmarks (since Jun 2001) $4,000
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
VA MI
$3,200
$2,400
$1,600 $1,000 $800
$0 Program
AG C TA Inde x
SP 500 TR
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
+ NOTES: ** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown. Statistical Notes 1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2001-06-30 to 2016-06-30 2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 3. Calmar Ratio Uses last 36 months of Data ROR = Rate of Return AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index. SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends. This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.
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. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
NuWave Investment Management, LLC / Combined Futures Portfolio
Systematic (Pattern Rec.) / Diversified
Performance Since June 2001 Year
Jan
Feb
Mar
Apr
May
2001
Jun
Jul
Aug
Sep
Oct
Nov
Dec
2.13%
0.89%
0.95%
-1.31%
-0.10%
-0.31%
3.08%
2002
-2.33%
-2.82%
-5.70%
-3.70%
1.39%
7.49%
8.74%
4.61%
9.76%
-2.87%
-8.77%
15.46%
2003
9.70%
10.98%
-6.51%
-3.09%
2.12%
-2.17%
0.42%
4.59%
-3.89%
8.63%
2.07%
1.27%
2004
4.68%
5.03%
-0.94%
-4.33%
-0.26%
1.91%
-2.93%
0.29%
2.42%
4.47%
10.54%
2.69%
2005
-2.67%
-0.48%
1.10%
-4.93%
4.15%
3.98%
3.81%
6.80%
2.59%
-7.18%
5.06%
2.51%
2006
2.89%
-3.50%
0.85%
3.23%
0.99%
-1.18%
-1.53%
2.68%
1.92%
1.44%
-0.95%
4.74%
2007
0.93%
-2.83%
-1.95%
2.39%
0.34%
5.52%
-2.48%
-11.72%
2.44%
2.80%
3.04%
2.57%
2008
3.06%
4.35%
1.15%
-5.75%
-4.50%
-3.04%
8.73%
10.12%
10.90%
17.21%
2.57%
0.25%
2009
-0.02%
-0.08%
0.21%
-1.32%
-8.73%
0.33%
-2.52%
3.09%
1.06%
-1.85%
2.63%
-0.71%
2010
-0.12%
0.37%
-0.34%
0.89%
4.48%
0.15%
-2.69%
2.99%
-0.31%
2.79%
-2.54%
-6.01%
2011
-3.75%
-5.30%
4.95%
0.86%
-0.28%
-1.46%
6.58%
1.73%
7.34%
-5.57%
3.04%
-0.48%
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%
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%
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%
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%
2016
8.18%
5.96%
-7.19%
-2.55%
-3.86%
13.43%
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
ROR
5.38%
20.00%
24.88%
25.23%
14.64%
11.87%
-0.12%
51.93%
-8.11%
-0.78%
Max DD
-1.71%
-13.81%
-9.49%
-6.49%
-7.18%
-3.50%
-13.91%
-12.73%
-11.91%
-8.40%
2011
2012
2013
2014
2015
2016 YTD
ROR
6.85%
-16.47%
-8.84%
0.50%
7.34%
13.06%
Max DD
-8.85%
-16.47%
-11.27%
-5.80%
-7.31%
-13.05%
The Notes Below Are An Integral Part of this Report | Track Record Compiled By: N/A Program Description: 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. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Trading Strategy
Investment Information Program Start Date Percent Discretionary Percent Systematic Minimum Investment Management Fee Incentive Fee Margin Round Turns per Million Currency NFA No:
Jun-2001 0% 100% 5,000,000 2.00% 20.00% 0.15 1,000 US Dollar #0374383
Market Segment
VA MI, A UM & Worst Drawdown (since Jun 2001) $ 4 ,0 0 0
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012 $ 3 ,8 7 4
2013
2014
2015
2016
$ 2 ,4 0 0
$ 2 ,6 6 2
$600
$ 1 ,6 0 0
$400
$ 1 ,0 0 0 $800
$200
$0
A ssets in Millions
$800
$ 3 ,2 0 0
VA MI
$1K
$0 A s s ets U nder M anagement
V A M I (Red L ine I ndic ates M ax D rawdown)
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
Program Statistics
Annualized Statistics
Peak-to-Valley Drawdown (1) (Sep 2011 - Jun 2015)
-31.24%
Annualized Compounded ROR (2)
Worst Monthly Return (Aug 2007)
-11.72%
Standard Deviation
Current Losing Streak
-10.07%
36 Month Calmar Ratio (3)
8.62% 15.37% 0.21
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
Time Window Analysis
Historical Drawdown and Recoveries***
Length
Best
Average
Worst
Start
Depth
Length
Recovery
1 mo
17.2%
0.8%
-11.7%
Oct-11
-31.24%
45 mo
12 mo
End n/a
Apr-09
-16.99%
23 mo
7 mo
Sep-11 Feb-08
3 mo
43.1%
2.3%
-14.3%
6 mo
60%
4.8%
-14.4%
Jul-07
-13.91%
2 mo
6 mo
12 mo
56.2%
9.6%
-17.3%
Jan-02
-13.81%
4 mo
3 mo
Jul-02
18 mo
69.4%
14.5%
-24.2%
Apr-08
-12.73%
3 mo
2 mo
Aug-08
24 mo
82.4%
19.2%
-25.7%
Oct-02
-11.39%
2 mo
1 mo
Dec-02
36 mo
108.3%
29.3%
-26.7%
Comparisons
Program
AG CTA Index
SP 500 TR
Annualized Compound ROR
8.62%
8.02%
5.55%
Cumulative Return
248.21%
220.20%
125.82%
Correlation
—
0.444
-0.379
Last 12 Months
30.79%
1.86%
4.00%
Last 36 Months
10.26%
11.77%
39.21%
Growth of $1,000 VA MI - Program vs. Benchmarks (since Jun 2001) $4,000
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
VA MI
$3,200
$2,400
$1,600 $1,000 $800
$0 Program
AG C TA Inde x
SP 500 TR
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. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
Foremost Capital CTA Report Report Start Date: Jun-2001 - Report End Date: Jun-2016
+ NOTES: ** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown. Statistical Notes 1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2001-06-30 to 2016-06-30 2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 3. Calmar Ratio Uses last 36 months of Data ROR = Rate of Return AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index. SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends. This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.
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. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. Foremost Capital | 28 N. Bennett Street, Geneva, IL 60134 888-818-0880 Email: [email protected] | Web Address: http://www.ForemostCM.com
