Combined Futures Portfolio:

NuWave Investment Corp.’s “Combined Futures Portfolio” is a broadly diversified, multi-strategy, alternative investment program. Comprised of three systematic sub-programs called Alpha, Pattern Recognition and Beta, the Combined Futures Portfolio has been designed to capture directional price impulses, either higher or lower, in 35 international futures markets. Broad diversification is achieved through a combination of unique trading styles that profit in different timeframes. Each sub-program is active in all 35 markets, where approximately 60% of market exposure is derived from financial futures (stock index, interest rate, and currency) and the remaining 40% from various commodity futures (energies, metals, grains, softs, and meats). The Combined Futures Portfolio is unique in the global diversified arena, providing far less volatile returns in the expectation of greater reward vs. risk. It is available to clients in the form of a managed account, a domestic fund, and an offshore fund. 

   The Alpha Program - The program employs a series of pattern based algorithms that separate trending and random price information in order to trade directional price movement more efficiently. The result is a program with the ability to participate effectively in bull and bear market scenarios associated with any liquid market. Alpha trades with 100 day average holding periods and is offered only as a component of the Combined Futures Portfolio.

   The Pattern Recognition Program - The Pattern Recognition program analyzes current price patterns in the context of history, emphasizing those occasions where there is statistical evidence supporting the probability that prices will move in a particular direction. Pattern Recognition trades with 55 day average holding periods and is offered only as a component of the Combined Futures Portfolio.

   The Beta Program - Designed to take advantage of short-term directional opportunities and the more random nature of short-term price movements. Beta trades with 16 day average holding periods. It has been designed to complement the Alpha and Pattern Recognition programs in the Combined Portfolio and will not be offered separately. Correlation between the Beta Program and the other two Combined components is approximately 0.1.

NuWave Long/Short Portfolio:

• Designed to produce impact profitability when other non-correlated strategies cannot (e.g. August 2007).
• Excellent bear market performance.
• High frequency short term trading in the most liquid US equities, with fully automated execution and risk management.
• Utilizes successful and highly evolved Pattern Recognition models to capture divergent price moves during periods of significant directional volatility.
• 7 years of live trading

The NuWave Long/Short Portfolio Ltd incorporates both market neutral long/short and directional long/short styles of trading in individual U.S. equities.  Devoid of any inherent long bias, all NuWave long/short equity trading models are short-term, systematic, and fully automated with respect to trade identification, execution, and risk management.  In an industry with many highly correlated strategies, NuWave Long/Short Portfolio stands out with zero correlation versus not only the S&P 500 index, but versus other long/short strategies as well.  Of special significance is the portfolio’s ability to profit strongly in protracted, bear market equity market environments.   

The engine for profitability flows from analysis of buying and selling patterns of large market participants, many of whom are too large relative to the securities they trade.   It is inevitable that, during periods of emotional distress and euphoria, very large investors are forced to trade the highly liquid stocks.  Any ability they may typically have to disguise their intentions is lost, which allows NuWave’s pattern recognition models to highlight opportunities to capture divergent price moves away from the mean.  NuWave Long/Short is unique in that it seeks to profit during periods that exhibit significant volatility, coupled with directional bias either higher or lower.  Most “stat-arb”, or market neutral portfolios capture mean reverting (i.e.convergent) opportunities.  NuWave’s Long Short portfolio is designed to capture divergent opportunities. Low volatility or non-directional windows, on the other hand, provide us less opportunity.

Of the four independent sub-portfolios incorporated into NuWave Long/Short, two are designed to allow directional imbalances between long and short VAR. The other two sub-portfolios are classified as “market neutral.”  The market neutral sub-strategies result in trades with average holding periods from hours to several days, depending on price persistence. Net VAR for the market neutral portfolios is constrained to a 1% imbalance, while sector and individual security constraints are active as well.  To execute its methodologies, NuWave has developed a sophisticated, proprietary trading infrastructure that seamlessly integrates trade execution and risk management in real-time.  Leverage is 3 to 1, which implies an average of $1.5 million long versus $1.5 million short for every $1 million managed.  The end result is a thoroughly non-correlated investment with limited downside risk and the potential for very significant total return when the equity markets become volatile and directional. The program has four years of live trading and was recently updated with all of the practical experience gained over the first years.