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Wavefront Global Asset Management 

Wavefront All-Weather Fund

Manager: robert koloshuk

Address: 36 Toronto Street, Suite 750, Toronto, ON, M5C 2C5, Canada

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Nov 30, 2020
AUM:$13,074,636
QEP:Yes
Incentive Fee:10%
Annual Mgt Fee:1%
Min Investment:$5,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:7.43%28.57%
Annual ROR:13.08%53.84%
YTD:2.11%11.93%
1 Year:7.43%38.10%
Alpha:1.12
Beta:-0.02
Statistics Program S&P 500
Average Monthly Gain:2.63%4.52%
Average Monthly Loss:-1.04%-1.11%
Winning Months:46
Losing Months:31
Current DD:0.000.00
Max DD:3.111.11
Sharpe Ratio (RF 1%):1.44
Annualized Std Dev:8.40

Methodology

Discretionary:20%
Systematic:80%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Fundamentals:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2021-0.04-0.28-2.802.482.842.11
20200.654.535.21

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Investment Objective
The primary objective of the Partnership is to provide consistent and superior absolute and risk-adjusted
returns in most environments, including equity bear markets, by being invested in a global, tactically balanced
portfolio across multiple asset classes.
Investment Strategy
To achieve the Partnership’s investment objective, the Manager will engage in numerous investment
strategies across multiple asset classes. The Manager may use a variety of instruments to achieve exposure to
investment strategies and asset classes including, but not limited to, exchange-traded securities, exchange-traded or cleared financial and commodity futures and options on futures contracts, exchange-traded funds or ETFs,
public funds, cash and both short-term and long-term debt instruments.
The well documented diversification benefits of multiple strategies and asset classes are expected to
smooth returns over time, reduce volatility and reduce single asset class or investment strategy risks. The
additional tactical element of the Manager’s investment strategy is contrarian in nature and seeks to enhance
absolute and risk-adjusted returns by reducing or eliminating exposure to overvalued asset classes or strategies
that the Manager expects to either fall out of favor or underperform their longer-term historical rates of return.
Core asset classes include, but are not limited to, global equities, fixed income, real estate, currencies,
commodities and gold as a strategically important safe haven and store of value. While there are an
indeterminate number of investment strategies available, primary strategies engaged in include Value, Global
Macro, Momentum and Options Trading.
As a general principle, the investment strategy seeks a balanced baseline exposure to the underlying
asset classes using a risk-parity approach. The combination of Value and Momentum strategies determines
security selection within asset classes, while Global Macro strategies determine tactical asset class shifts from
the baseline exposure. Options Trading is an extension of Global Macro whereby very low risk, high reward
options trades are implemented when macroeconomic analysis suggest a significant disequilibrium in given
markets.
Value and Momentum strategies are executed using a fully systematic and quantitative approach. In
contrast, Global Macro tends to follow a fundamental and discretionary decision-making approach supported
by solid data analysis and, based on years of market experience, the judgement of the portfolio management team.

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

Robert Koloshuk | Managing Principal

Robert Koloshuk is a Managing Principal at WaveFront, responsible for oversight of the firm’s research and trading. Robert joined WaveFront in 2003, and was Senior Strategist and Director of Trading before becoming a Managing Principal in 2019. Prior to joining WaveFront, Robert was assistant to the head of the Social Sciences department at Appleby College in Oakville, Ontario, where he taught classes in philosophy and history.

Robert received a B.A. (Honours in Philosophy) from the University of Guelph, with a focus on epistemology and logic. Robert is additionally an autodidact programmer and software architect from a very young age. Drawing from his diverse background, and his initial role as Senior Strategist and Director of Trading at WaveFront, Robert designed and oversaw the development of WaveFront’s trading and research software, including internal OMS-EMS systems and data management systems. Robert oversees WaveFront’s select internship program, which generally focusses on students in post-graduate level quantitative finance programs. All of Robert’s former interns have gone on to distinguished roles at WaveFront, top Canadian asset or pension managers, and investment banks.