Program Details
Wavefront Global Investment Program
Manager: roland austrup
Address: 100 Yonge Street, Suite 1802, Toronto, ON, M5C 2W1, Canada
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Overview
| Program Type: | CTA |
| Inception Date: | Apr 3, 2007 |
| AUM: | $20,764,508 |
| QEP: | Yes |
| Incentive Fee: | 20% |
| Annual Mgt Fee: | 2% |
| Min Investment: | $500,000 |
| Disclosure Doc: | View |
| Performance |
Program |
S&P 500 |
| Total ROR: | 51.76% | 615.09% |
| Annual ROR: | 2.71% | 13.46% |
| YTD: | 0.69% | 19.62% |
| 1 Year: | -0.40% | 36.04% |
| Alpha: | 0.25 | |
| Beta: | 0.00 | |
| Statistics |
Program |
S&P 500 |
| Average Monthly Gain: | 3.25% | 507.67% |
| Average Monthly Loss: | -2.38% | -3.54% |
| Winning Months: | 89 | 128 |
| Losing Months: | 98 | 59 |
| Current DD: | 12.40 | 0.99 |
| Max DD: | 45.41 | 24.77 |
| Sharpe Ratio (RF 1%): | 0.12 | |
| Annualized Std Dev: | 13.68 | |
Methodology
| Discretionary: | 0% |
| Systematic: | 100% |
Strategy
| Strategy | Multi-Strategy |
| Directional | Long / Short |
| Holding Period | Long Term |
| --------------------- | ------ |
| Trend Following: | 100% |
Monthly Returns as Percentage by Year
| Jan | Feb | Mar | Apr | May | Jun | Jul |
Aug | Sep | Oct | Nov | Dec | YTD |
|---|
| 2024 | 1.79 | 6.49 | 4.35 | 1.62 | -3.17 | -1.05 | -1.47 | -4.13 | 1.76 | -4.89 | | | 0.69 |
| 2023 | -1.81 | 0.77 | -5.06 | 5.65 | 1.04 | 1.34 | -0.51 | -3.30 | 1.91 | -1.00 | -2.39 | 1.34 | -2.43 |
| 2022 | 2.32 | 6.78 | 11.21 | 10.34 | -2.47 | 0.77 | -4.12 | 0.19 | 9.44 | -2.32 | -4.38 | -2.88 | 25.66 |
| 2021 | 1.69 | 8.82 | -1.22 | 4.44 | 2.84 | -2.34 | -0.19 | -0.26 | 2.89 | 5.02 | -6.46 | -0.38 | 14.93 |
| 2020 | 3.46 | 1.95 | 20.78 | -0.03 | -3.64 | -2.32 | 2.24 | 2.49 | -5.70 | 0.13 | 5.00 | 12.20 | 39.73 |
| 2019 | -4.92 | 4.07 | 0.48 | 2.09 | -0.48 | -1.57 | -1.71 | 4.79 | -7.03 | -3.21 | 0.30 | 1.38 | -6.29 |
| 2018 | 8.45 | -8.71 | -0.50 | 2.29 | -0.57 | -0.62 | -0.68 | -1.63 | 2.05 | -6.92 | 0.16 | 3.79 | -3.94 |
| 2017 | -0.22 | -0.76 | -4.01 | -0.94 | -3.71 | -2.19 | 1.44 | 0.10 | -2.50 | -3.19 | 0.64 | 0.45 | -14.08 |
| 2016 | 1.44 | 1.68 | -2.83 | -3.52 | -2.95 | 6.36 | -2.15 | -3.57 | -3.73 | -3.70 | -4.83 | -0.85 | -17.61 |
| 2015 | 10.18 | -1.58 | -1.45 | -2.40 | 0.55 | -1.94 | 1.61 | -1.46 | -0.96 | -2.78 | -0.25 | -2.95 | -4.02 |
| 2014 | -2.80 | 0.56 | -2.73 | -0.05 | -0.50 | 0.38 | 3.35 | 3.07 | 2.01 | -0.77 | 6.30 | 3.11 | 12.17 |
| 2013 | 5.39 | -0.38 | 0.34 | 2.37 | -1.41 | -0.19 | -2.71 | -5.36 | 1.79 | 1.33 | 2.30 | 0.54 | 3.66 |
| 2012 | -0.72 | -2.38 | -2.46 | 1.49 | 7.58 | -4.27 | 0.92 | -0.26 | -4.45 | -4.36 | -1.77 | 0.51 | -10.27 |
| 2011 | -1.52 | 0.51 | -2.23 | 0.99 | -1.58 | -1.38 | 1.03 | 3.34 | -0.05 | -2.30 | -0.41 | -0.11 | -3.79 |
| 2010 | -2.38 | 0.35 | 1.78 | -3.44 | -0.48 | 0.81 | -1.45 | 7.59 | 0.47 | 5.41 | -0.60 | 1.66 | 9.60 |
| 2009 | | | | 0.57 | 0.18 | 1.07 | 1.40 | 11.62 | 2.22 | -4.61 | 7.44 | -5.78 | 13.76 |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.
Program Info
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Company Info
The Manager is a corporation formed under the Business Corporations Act (Ontario) on February 27,
2003. The principal place of business of the Partnership and of the General Partner is Suite 750, 36 Toronto
Street, Toronto, Ontario M5C 2C5
Today, we manage over $1.3 billion for individual and institutional investors in North America, China and South Korea across a diverse range of investment strategies and solutions.
WaveFront’s highly experienced team of investment professionals, bolstered by research relationships with faculty at the University of Waterloo and Princeton University, seeks to deliver consistent and stable returns through various market and economic conditions.
Manager Info
Managing Principal & CC)
Registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated Person and Principal since June 1997 and with the Ontario Securities Commission (OSC) as an Advisor since February 1999. Mr. Austrup is an associate member of the National Futures Association and a member of the Managed Funds Association. Mr. Austrup is also a member of the advisory board of the Centre for Advanced Studies in Finance (CASF) at the University of Waterloo. CASF provides the focus for research and education in the finance discipline at the University, co-ordinates and supports the Collaborative Master's Program in Finance, and stimulates and promotes research in finance. Previously, Mr. Austrup was President, CEO and a co-founder of Aero Capital Corporation (a formerly registered commodity trading advisor and Member of NFA) and, prior to that, Mr. Austrup was an investment advisor with BMO Nesbitt Burns from 1991 to 1996 and a commodities broker with ScotiaMcLeod from 1988 to 1990. B.A. (Honours), University of Western Ontario.
