NWOne LLC

NWOne Quantitative Strategy


Monthly Performance (%)

Date Range: 09/17 - 08/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 0.56 0.80 0.16 -0.77 -0.32 0.03 0.49 0.70   1.65 
2019 0.71 0.53 2.35 2.56 -2.45 0.39 -1.40 -0.52 -0.79 -0.62 0.02 -0.05  0.62 
2018 0.35 0.25 0.62 -0.61 -4.62 -1.65 -0.32 0.03 3.42 1.54 3.32 1.41  3.54 
2017 1.22 3.88 6.85  12.35 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

NWOne LLC ("NWOne") manages quantitative strategies in commodity and commodity-linked futures based on sound market fundamentals that are rigorously tested and confirmed using statistical/machine learning methods. The strategies are designed to extract uncorrelated alphas from the market under a variety of market conditions, and establish long and short positions in outright futures, calendar spreads, and inter commodity spreads. Holding periods range from 10 minutes to 8 weeks depending on the strategy. 1. Proprietary accounts from 2017 to February 2019, net of 2% management and 20% incentive fees. Client accounts from March 2019 net of 2% management and 20% incentive fees.

Performance Statistics

Date Range: 09/17 - 08/20
  Program S&P 500 Coquest 40 
Total Return 18.98% 50.19% 4.34% 
Annualized Return 6.14% 14.52% 1.43% 
Annualized Std. Deviation 6.70% 17.26% 7.57% 
Correlation -0.01 0.15 
Sharpe Ratio (rf=2.5%) 0.54 0.70 -0.14 
Worst Month -4.62% -12.35% -6.10% 
Date of Worst Month 05/2018 03/2020 02/2018 
Worst Drawdown -7.06% -19.60% -9.14% 
Date of Worst Drawdown 3/18 - 8/18 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/17 - 08/20
Year or YTD Program S&P 500 Coquest 40 
2020 1.65 9.75 -1.80 
2019 0.62 31.50 7.53 
2018 3.54 -4.38 -4.29 
2017 12.35 6.64 5.46 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/17 - 08/20
Date: 8/31/2020
Perf: $1,065.87 Date: 7/31/2020
Perf: $1,078.05 Date: 6/30/2020
Perf: $1,057.84 Date: 5/31/2020
Perf: $1,071.56 Date: 4/30/2020
Perf: $1,084.25 Date: 3/31/2020
Perf: $1,080.68 Date: 2/29/2020
Perf: $1,080.03 Date: 1/31/2020
Perf: $1,096.37 Date: 12/31/2019
Perf: $1,085.40 Date: 11/30/2019
Perf: $1,092.18 Date: 10/31/2019
Perf: $1,081.58 Date: 9/30/2019
Perf: $1,106.02 Date: 8/31/2019
Perf: $1,137.53 Date: 7/31/2019
Perf: $1,097.79 Date: 6/30/2019
Perf: $1,061.59 Date: 5/31/2019
Perf: $1,040.77 Date: 4/30/2019
Perf: $1,061.58 Date: 3/31/2019
Perf: $1,033.17 Date: 2/28/2019
Perf: $997.36 Date: 1/31/2019
Perf: $991.02 Date: 12/31/2018
Perf: $1,009.39 Date: 11/30/2018
Perf: $1,005.17 Date: 10/31/2018
Perf: $1,017.38 Date: 9/30/2018
Perf: $1,043.14 Date: 8/31/2018
Perf: $1,047.86 Date: 7/31/2018
Perf: $1,021.80 Date: 6/30/2018
Perf: $1,029.52 Date: 5/31/2018
Perf: $1,020.95 Date: 4/30/2018
Perf: $1,034.29 Date: 3/31/2018
Perf: $1,023.24 Date: 2/28/2018
Perf: $1,024.16 Date: 1/31/2018
Perf: $1,090.69 Date: 12/31/2017
Perf: $1,054.63 Date: 11/30/2017
Perf: $1,043.25 Date: 10/31/2017
Perf: $1,041.90 Date: 9/30/2017
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,471.63 Date: 7/31/2020
Perf: $1,372.91 Date: 6/30/2020
Perf: $1,299.62 Date: 5/31/2020
Perf: $1,274.26 Date: 4/30/2020
Perf: $1,216.36 Date: 3/31/2020
Perf: $1,078.14 Date: 2/29/2020
Perf: $1,230.05 Date: 1/31/2020
Perf: $1,340.36 Date: 12/31/2019
Perf: $1,340.90 Date: 11/30/2019
Perf: $1,301.59 Date: 10/31/2019
Perf: $1,256.00 Date: 9/30/2019
Perf: $1,229.32 Date: 8/31/2019
Perf: $1,206.76 Date: 7/31/2019
Perf: $1,226.13 Date: 6/30/2019
Perf: $1,208.72 Date: 5/31/2019
Perf: $1,129.12 Date: 4/30/2019
Perf: $1,205.68 Date: 3/31/2019
Perf: $1,158.75 Date: 2/28/2019
Perf: $1,136.70 Date: 1/31/2019
Perf: $1,101.35 Date: 12/31/2018
Perf: $1,019.67 Date: 11/30/2018
Perf: $1,120.89 Date: 10/31/2018
Perf: $1,098.48 Date: 9/30/2018
Perf: $1,179.13 Date: 8/31/2018
Perf: $1,172.45 Date: 7/31/2018
Perf: $1,135.43 Date: 6/30/2018
Perf: $1,094.71 Date: 5/31/2018
Perf: $1,087.97 Date: 4/30/2018
Perf: $1,062.36 Date: 3/31/2018
Perf: $1,058.34 Date: 2/28/2018
Perf: $1,085.92 Date: 1/31/2018
Perf: $1,127.53 Date: 12/31/2017
Perf: $1,066.42 Date: 11/30/2017
Perf: $1,054.72 Date: 10/31/2017
Perf: $1,023.30 Date: 9/30/2017
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,189.82 Date: 7/31/2020
Perf: $1,181.55 Date: 6/30/2020
Perf: $1,175.79 Date: 5/31/2020
Perf: $1,175.43 Date: 4/30/2020
Perf: $1,179.21 Date: 3/31/2020
Perf: $1,188.36 Date: 2/29/2020
Perf: $1,186.46 Date: 1/31/2020
Perf: $1,177.04 Date: 12/31/2019
Perf: $1,170.49 Date: 11/30/2019
Perf: $1,171.07 Date: 10/31/2019
Perf: $1,170.84 Date: 9/30/2019
Perf: $1,178.14 Date: 8/31/2019
Perf: $1,187.53 Date: 7/31/2019
Perf: $1,193.73 Date: 6/30/2019
Perf: $1,210.68 Date: 5/31/2019
Perf: $1,205.98 Date: 4/30/2019
Perf: $1,236.27 Date: 3/31/2019
Perf: $1,205.41 Date: 2/28/2019
Perf: $1,177.73 Date: 1/31/2019
Perf: $1,171.52 Date: 12/31/2018
Perf: $1,163.26 Date: 11/30/2018
Perf: $1,147.09 Date: 10/31/2018
Perf: $1,110.23 Date: 9/30/2018
Perf: $1,093.39 Date: 8/31/2018
Perf: $1,057.24 Date: 7/31/2018
Perf: $1,056.92 Date: 6/30/2018
Perf: $1,060.31 Date: 5/31/2018
Perf: $1,078.10 Date: 4/30/2018
Perf: $1,130.32 Date: 3/31/2018
Perf: $1,137.26 Date: 2/28/2018
Perf: $1,130.25 Date: 1/31/2018
Perf: $1,127.43 Date: 12/31/2017
Perf: $1,123.50 Date: 11/30/2017
Perf: $1,051.47 Date: 10/31/2017
Perf: $1,012.20 Date: 9/30/2017
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 09/17 - 08/20
Date: 8/31/2020
Return: 0.70 % Date: 7/31/2020
Return: 0.49 % Date: 6/30/2020
Return: 0.03 % Date: 5/31/2020
Return: -0.32 % Date: 4/30/2020
Return: -0.77 % Date: 3/31/2020
Return: 0.16 % Date: 2/29/2020
Return: 0.80 % Date: 1/31/2020
Return: 0.56 % Date: 12/31/2019
Return: -0.05 % Date: 11/30/2019
Return: 0.02 % Date: 10/31/2019
Return: -0.62 % Date: 9/30/2019
Return: -0.79 % Date: 8/31/2019
Return: -0.52 % Date: 7/31/2019
Return: -1.40 % Date: 6/30/2019
Return: 0.39 % Date: 5/31/2019
Return: -2.45 % Date: 4/30/2019
Return: 2.56 % Date: 3/31/2019
Return: 2.35 % Date: 2/28/2019
Return: 0.53 % Date: 1/31/2019
Return: 0.71 % Date: 12/31/2018
Return: 1.41 % Date: 11/30/2018
Return: 3.32 % Date: 10/31/2018
Return: 1.54 % Date: 9/30/2018
Return: 3.42 % Date: 8/31/2018
Return: 0.03 % Date: 7/31/2018
Return: -0.32 % Date: 6/30/2018
Return: -1.65 % Date: 5/31/2018
Return: -4.62 % Date: 4/30/2018
Return: -0.61 % Date: 3/31/2018
Return: 0.62 % Date: 2/28/2018
Return: 0.25 % Date: 1/31/2018
Return: 0.35 % Date: 12/31/2017
Return: 6.85 % Date: 11/30/2017
Return: 3.88 % Date: 10/31/2017
Return: 1.22 % Date: 9/30/2017
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/17 - 08/20
Return: 2.00 %
Count: 2 Return: 3.00 %
Count: 3 Return: -2.00 %
Count: 2 Return: -5.00 %
Count: 1 Return: -1.00 %
Count: 6 Return: 7.00 %
Count: 1 Return: 4.00 %
Count: 1 Return: 1.00 %
Count: 8 Return: 0.00 %
Count: 12

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 09/17 - 08/20
Date: 8/31/2020
Drawdown: -3.76 % Date: 7/31/2020
Drawdown: -4.43 % Date: 6/30/2020
Drawdown: -4.89 % Date: 5/31/2020
Drawdown: -4.92 % Date: 4/30/2020
Drawdown: -4.62 % Date: 3/31/2020
Drawdown: -3.88 % Date: 2/29/2020
Drawdown: -4.03 % Date: 1/31/2020
Drawdown: -4.79 % Date: 12/31/2019
Drawdown: -5.32 % Date: 11/30/2019
Drawdown: -5.27 % Date: 10/31/2019
Drawdown: -5.29 % Date: 9/30/2019
Drawdown: -4.70 % Date: 8/31/2019
Drawdown: -3.94 % Date: 7/31/2019
Drawdown: -3.44 % Date: 6/30/2019
Drawdown: -2.07 % Date: 5/31/2019
Drawdown: -2.45 % Date: 4/30/2019
Drawdown: 0.00 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: 0.00 % Date: 1/31/2019
Drawdown: 0.00 % Date: 12/31/2018
Drawdown: 0.00 % Date: 11/30/2018
Drawdown: 0.00 % Date: 10/31/2018
Drawdown: -2.38 % Date: 9/30/2018
Drawdown: -3.86 % Date: 8/31/2018
Drawdown: -7.04 % Date: 7/31/2018
Drawdown: -7.06 % Date: 6/30/2018
Drawdown: -6.77 % Date: 5/31/2018
Drawdown: -5.20 % Date: 4/30/2018
Drawdown: -0.61 % Date: 3/31/2018
Drawdown: 0.00 % Date: 2/28/2018
Drawdown: 0.00 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  NWOne LLC
Address: 601 West 26th St, Suite 325-38
City: New York
State: NY
Zip: 10001
Country: US

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Grains Yes 
 Meats Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Quantitative Analysis Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Developed Only Yes 
 Holding Period
 Medium Term Yes 
 Short Term Yes 
 Intra-Week Yes 
 Intra-Day Yes 
 Investment Terms & Information
 Managed Account Minimum: $350,000 
 Margin / Equity Ratio: 15% 
 Managed Account Availability: Open 
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