NuWave Investment Management, an alternative investment manager specialising in the application of systematic investment strategies, has launched the NuWave Short-Term Futures Portfolio.
The portfolio represents a new model set that is entirely focused on short-term directional trading opportunities, yet shares a common heritage with many of NuWave's existing trading methodologies.
It borrows key modelling concepts from the firm's core investment portfolios, the Combined Futures Portfolio and the Long/Short Portfolio (Equity Market Neutral).
The Short-Term Futures Portfolio employs a fully automated signalling and execution engine, while using a variety of intra-day modelling techniques to identify short-term price dislocations across a broad array of diversified futures markets, including stock indices, fixed income, currencies and commodities.
The portfolio, which targets a consistent volatility profile and low correlation to traditional managed futures strategies, seeks to deliver attractive risk-adjusted returns relative to both traditional investments and any peer group of CTA offerings.
"The Short-Term Futures Portfolio marks yet another step in the evolution of NuWave's suite of portfolio offerings," says Craig A Weynand, NuWave's chief operating officer. "Over the last three years, NuWave has introduced a number of new portfolios – including diversified trend-based managed futures, commodity-only spread trading, long-only US equity and a multi-strat portfolio that blends long-only US equity with trend-based managed futures – many of which now have multi-year track records trading both proprietary and client capital. These offerings complement NuWave's flagship portfolios, the Combined Futures Portfolio and the Long/Short Portfolio (Equity Market Neutral), providing investors with a comprehensive suite of alternative investment solutions from which to choose."
The Short-Term Futures Portfolio commenced trading in July 2016 with USD20 million in assets under management; given both the short-term nature of its trading and the unique tenets of NuWave's proprietary modelling process, it is anticipated that the portfolio will exhibit distinct correlation benefits and a more consistent risk/return profile over time when compared to traditional CTA offerings.
