WAVE
WAVEA systematic global macro futures strategy combining technical and fundamental signals across several asset classes.
GLOBAL MACROQUANT/DISCRETIONARYMULTI-ASSET FUTURES
Core statistics
Avg. Monthly2.4 %
Max Drawdown-4 %
AUM$120 M
History2+ years
Core Stats
Total Return111.18 %
Ann. Return32 %
Avg. Monthly2.4 %
Max Drawdown-4 %
Ann. Volatility9.35 %
Sharpe3.08
Win Months93.75 %
HistorySince Jan 20242 years
CUMULATIVE RETURN
Starts at 0% at the opening of the selected range, so figures read from the chart are range-dependent. The eight statistics above cover the full history.
CUMULATIVE (MAX)+111.2%Aug 2026
View this series as a table
| Month | Return | Cumulative | Drawdown | Index |
|---|---|---|---|---|
| Dec 2023 | Rebase | 0.0% | 0.0% | 100.00 |
| Jan 2024 | +1.90% | +1.9% | 0.0% | 101.90 |
| Feb 2024 | +0.90% | +2.8% | 0.0% | 102.82 |
| Mar 2024 | +3.50% | +6.4% | 0.0% | 106.42 |
| Apr 2024 | +3.00% | +9.6% | 0.0% | 109.61 |
| May 2024 | +3.30% | +13.2% | 0.0% | 113.23 |
| Jun 2024 | +1.00% | +14.4% | 0.0% | 114.36 |
| Jul 2024 | +0.40% | +14.8% | 0.0% | 114.81 |
| Aug 2024 | +4.00% | +19.4% | 0.0% | 119.41 |
| Sep 2024 | +3.00% | +23.0% | 0.0% | 122.99 |
| Oct 2024 | +0.50% | +23.6% | 0.0% | 123.60 |
| Nov 2024 | +0.90% | +24.7% | 0.0% | 124.72 |
| Dec 2024 | −0.50% | +24.1% | −0.5% | 124.09 |
| Jan 2025 | +3.50% | +28.4% | 0.0% | 128.44 |
| Feb 2025 | +2.70% | +31.9% | 0.0% | 131.90 |
| Mar 2025 | +2.70% | +35.5% | 0.0% | 135.47 |
| Apr 2025 | +1.90% | +38.0% | 0.0% | 138.04 |
| May 2025 | +2.40% | +41.4% | 0.0% | 141.35 |
| Jun 2025 | +1.30% | +43.2% | 0.0% | 143.19 |
| Jul 2025 | +8.50% | +55.4% | 0.0% | 155.36 |
| Aug 2025 | +0.20% | +55.7% | 0.0% | 155.67 |
| Sep 2025 | +2.10% | +58.9% | 0.0% | 158.94 |
| Oct 2025 | +3.40% | +64.3% | 0.0% | 164.35 |
| Nov 2025 | +1.70% | +67.1% | 0.0% | 167.14 |
| Dec 2025 | +7.50% | +79.7% | 0.0% | 179.67 |
| Jan 2026 | +12.40% | +102.0% | 0.0% | 201.95 |
| Feb 2026 | +0.10% | +102.2% | 0.0% | 202.16 |
| Mar 2026 | −0.60% | +100.9% | −0.6% | 200.94 |
| Apr 2026 | +1.70% | +104.4% | 0.0% | 204.36 |
| May 2026 | +1.20% | +106.8% | 0.0% | 206.81 |
| Jun 2026 | +0.90% | +108.7% | 0.0% | 208.67 |
| Jul 2026 | +0.20% | +109.1% | 0.0% | 209.09 |
| Aug 2026 | +1.00% | +111.2% | 0.0% | 211.18 |
Monthly observations, Jan 2024 – Aug 2026.
Monthly returns
| YEAR | JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | ANNUAL |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 12.4 | 0.1 | −0.6 | 1.7 | 1.2 | 0.9 | 0.2 | 1.0 | — | — | — | — | +17.5%* |
| 2025 | 3.5 | 2.7 | 2.7 | 1.9 | 2.4 | 1.3 | 8.5 | 0.2 | 2.1 | 3.4 | 1.7 | 7.5 | +44.8% |
| 2024 | 1.9 | 0.9 | 3.5 | 3.0 | 3.3 | 1.0 | 0.4 | 4.0 | 3.0 | 0.5 | 0.9 | −0.5 | +24.1% |
Monthly values in percent. The year total is compounded from the monthly returns, not summed. * Partial year.
Performance & Data Notes
- PERFORMANCE & DATA NOTES
- Statistics and charts use the supplied monthly return table from January 2024 through August 2026. These figures have been verified. Headline statistics follow the current strategy record; charts and simulations calculate from the supplied monthly returns.
Take a closer look at WAVE.
Approved access opens deeper strategy research and the WAVE data room. The fact sheet is available now.
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