WAVEX — Longboard Managed Futures Strategy Fund
Data updated: 2024-04-26
WAVEX — Longboard Managed Futures Strategy Fund. Commodity · $21.60M AUM · 3.24% expense ratio. Holdings, fees, performance and SEC filings.
WAVEX Fund Overview
WAVEX — Longboard Managed Futures Strategy Fund is a US mutual fund managed by Northern Lights Fund Trust II, categorised as Commodity. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.
- Type: US mutual fund
- Manager: Northern Lights Fund Trust II
- Category: Commodity
- Assets under management: $21.60M
- 1-year return: 4.7%
- Ticker: WAVEX
- SEC CIK: 0001518042
- SEC series ID: S000037428
- Share class ID: C000115546
WAVEX Investment Objective and Strategy
Longboard Managed Futures Strategy Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Northern Lights Fund Trust II.
Investment objective
The primary investment objective of the Longboard Managed Futures Strategy Fund (the Fund) is to seek positive absolute returns.
Principal investment strategy
The Fund seeks to achieve its investment objectives using two principal strategies, a Futures Strategy and a Fixed Income Strategy: Futures Strategy. The Fund pursues its investment objective by employing a trend following strategy (identifying opportunities as prices trend up and down) similar in general concept to the managed futures industry at large. The strategy is systematic and rules based. The Adviser will consider a variety of exchange traded futures contracts and forward contracts. The Funds holdings, either direct or held through a wholly-owned and controlled subsidiary, Longboard Fund Limited (the Subsidiary), will generally be diversified across the equities, energies, interest rates, grains, meats, soft commodities (such as sugar, coffee, and cocoa), currencies, and metals sectors; and will also be diversified across North America, Asia, Europe, Australia, and potentially Africa and South America.
Through its investment in futures contracts and forward contracts, the Adviser seeks to capture long term trends in the global financial markets. Futures and forward contracts are contractual agreements to buy or sell a particular currency, commodity or financial instrument at a pre-determined price in the future. To pursue the Funds Futures Strategy, the Fund intends to invest up to 25% of its total assets in the Subsidiary. Assets in the Funds Subsidiary will be invested in commodity-related derivatives pursuant to the Futures Strategy. The Fund may also invest directly in certain financial-related derivatives with a portion of its assets pursuant to the Futures Strategy. Additionally, the Fund will, at times, purchase options on futures contracts, to cover the potential obligation regarding delivery of assets specified in the contracts.
The Fund anticipates that it will generally invest between 5-30% of its assets (whether directly or through the Subsidiary) pursuant to the Futures Strategy. The Subsidiary is a wholly-owned and controlled subsidiary of the Fund, organized under the laws of the Cayman Islands as an exempted company. Generally, the Subsidiary will invest primarily in commodity futures and swaps on commodity futures but it may also invest in financial futures, option and swap contracts, fixed income securities, pooled investment vehicles, including those that are not registered pursuant to the 1940 Act, and other investments intended to serve as margin or collateral for the Subsidiarys derivative positions. Fixed Income Strategy . The Fixed Income strategy is designed to generate absolute returns from interest income with less volatility than equity markets by investing primarily in U.S.
Dollar-denominated fixed income securities including: (1) obligations issued or guaranteed by the United States Government, its agencies or instrumentalities, (2) bonds, notes, or similar debt obligations issued by U.S. or foreign corporations, (3) U.S. asset-backed securities (ABS) and (4) U.S. structured notes. The Fund restricts fixed income securities to those having a short-term rating of prime (highest short-term debt category) and/or a long-term rating of investment grade (BBB- or higher). The fixed income portion of the Funds portfolio will be invested without restriction as to individual security maturity, but the average duration (a measure of interest rate risk similar to maturity) of the fixed income portfolio will not exceed 5 years. The Fund generally invests between 70-95% of its assets pursuant to the Fixed Income Strategy and/or in cash and cash equivalents, although it reserves the right to invest up to 100% of its assets pursuant to the Fixed Income Strategy and/or in cash and cash equivalents.
The Adviser acts as the adviser to both the Fund and the Subsidiary.
WAVEX Holdings
Top 10 holdings of Longboard Managed Futures Strategy Fund by percentage of net assets, from the fund's latest SEC N-PORT filing.
| Holding | % of net assets |
|---|---|
| United States Treasury Bills | 45.83% |
| Ice Futures Europe | 0.24% |
| Osaka Exchange | 0.22% |
| Italian Derivatives Market | 0.20% |
| Osaka Exchange | 0.20% |
| Ice Futures Europe - Agricultural Products Division | 0.19% |
| Eurex Deutschland | 0.19% |
| Asx - Trade24 | 0.18% |
| Eurex Deutschland | 0.17% |
| Chicago Board Of Trade | 0.16% |
WAVEX Portfolio Allocation
Asset-class allocation of Longboard Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Asset class | Allocation |
|---|---|
| Fixed Income | 45.8% |
| Derivatives | 3.3% |
WAVEX Performance
Total returns for WAVEX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 4.7% |
| 3 years (annualised) | 4.6% |
WAVEX Risk Information
Risk metrics for WAVEX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 6.8%
WAVEX Costs and Fees
WAVEX costs about $324 per $10,000 invested per year in fund expenses.
- Net expense ratio: 3.24%
- Gross expense ratio: 3.24%
- Portfolio turnover: 0%
- Brokerage commissions: 6.28 bps of average net assets (SEC N-CEN)
WAVEX Cashflows
Over the 12 months to 2024-02, Longboard Managed Futures Strategy Fund had net inflows of $13.79M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2024-02 | $1.95M |
| 2024-01 | $1.52M |
| 2023-12 | $4.15M |
| 2023-11 | $1.35M |
| 2023-10 | $598.84K |
| 2023-09 | $320.69K |
WAVEX Debt Constituents
Largest debt holdings of Longboard Managed Futures Strategy Fund by percentage of net assets, from the latest SEC N-PORT filing.
| Debt holding | % of net assets |
|---|---|
| United States Treasury Bills | 45.83% |
WAVEX Prospectus and SEC Filings
Official Longboard Managed Futures Strategy Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2023-09-28
- Prospectus (485BPOS) — filed 2022-09-27
- Prospectus supplement (497) — filed 2021-10-05
- Portfolio holdings (N-PORT) — filed 2024-04-26
- Portfolio holdings (N-PORT) — filed 2024-01-26
- Portfolio holdings (N-PORT) — filed 2023-10-27
- Annual census (N-CEN) — filed 2023-08-14
- Annual census (N-CEN) — filed 2022-08-12
Related Funds
Other Commodity funds tracked on ABC INVEST:
Data Sources
ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.