Emil Van Essen, LLC. : Global Strategies STD

archived programs
Year-to-Date
N / A
Jan Performance
-1.49%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.69%
Sharpe (RFR=1%)
0.40
CAROR
4.49%
Assets
$ 10.1M
Worst DD
-18.21
S&P Correlation
-0.05

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
6/2002
Global Strategies STD -1.49 - - - - - 0.45 52.85
S&P 500 4.36 - - - - - 16.10 249.98
+/- S&P 500 -5.85 - - - - - -15.65 -197.13

Strategy Description

Summary

Fall River Capital was founded in 1999 and is headquartered outside of Milwaukee in Mequon, Wisconsin. FRC is managed by Robert Friedl and employs a staff of 6 investment professionals. 100% systematic in approach, we specialize in the development of diversified global macro products... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $5.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 850 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 18.22%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 17.00%
4-12 Months 17.00%
1-3 Months 66.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Trend-following
60.00%
Other
15.00%
Strategy Pie Chart

Composition

Stock Indices
24.00%
Currency Futures
20.00%
Interest Rates
20.00%
Grains
11.00%
Softs
10.00%
Energy
8.00%
Precious Metals
7.00%
Composition Pie Chart

Summary

Fall River Capital was founded in 1999 and is headquartered outside of Milwaukee in Mequon, Wisconsin. FRC is managed by Robert Friedl and employs a staff of 6 investment professionals. 100% systematic in approach, we specialize in the development of diversified global macro products trading a portfolio of international futures markets. The firm has profitably traded proprietary and client capital since inception.

Investment Strategy

Global Strategies is a multi-system trading program comprised of three uncorrelated strategies.
• Counter-Trend (CT)
- Negatively correlated with trend-following
- Typically profits from choppy markets
- 6 day average holding period

• Quantitative Diversification (QD)
- Blends hundreds of systems into one position per market
- Systems are chosen to minimize model correlation
- 5 day average holding period

• Trend-Following (TF)
- Holds positions in each of 74 global markets
- Profits driven by underlying market trends
- 250 day average holding period

Risk Management

We manage risk both by diversifying our sources of returns as much as possible, and by managing the exposure that our strategies maintain. Diversification is obtained by trading a large portfolio of global futures markets and applying multiple non-correlated entry and exit strategies to each market. Risk and exposure are managed on multiple levels, ranging from the individual trade to the entire portfolio. Our evaluation of individual trading models focuses on proving the robustness and statistical edge for each method, rather than seeking to prevent the model from incurring losses during various "disaster" scenarios. We acknowledge the fact that there exists a realistic scenario in which any model will take sharp losses, even if such a scenario is not present in the historical database. Given this, we aim to use the tools of diversification, structured correlation, and allocation to ensure that we manage exposure effectively regardless of the fact that we are unable to predict a particular calamitous future event.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Average Gain:
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Risk
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Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-18.21 14 11 3/1/2004 5/1/2005
-11.05 10 - 3/1/2009 1/1/2010
-8.27 6 4 2/1/2003 8/1/2003
-7.02 5 7 4/1/2006 9/1/2006
-6.92 2 2 9/1/2002 11/1/2002
-6.38 2 6 2/1/2008 4/1/2008
-2.79 4 1 10/1/2008 2/1/2009
-2.22 2 1 10/1/2007 12/1/2007
-1.74 2 1 6/1/2007 8/1/2007
-0.09 1 1 12/1/2003 1/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
18.27 7 10/1/2005 4/1/2006
13.75 3 12/1/2002 2/1/2003
12.31 4 6/1/2002 9/1/2002
11.49 2 1/1/2008 2/1/2008
11.29 2 9/1/2007 10/1/2007
10.54 4 7/1/2010 10/1/2010
7.84 2 9/1/2003 10/1/2003
6.83 2 2/1/2004 3/1/2004
6.41 3 4/1/2007 6/1/2007
6.03 5 10/1/2006 2/1/2007
5.47 3 6/1/2011 8/1/2011
5.09 2 2/1/2010 3/1/2010
4.78 1 3/1/2009 3/1/2009
4.61 1 10/1/2008 10/1/2008
4.58 1 8/1/2005 8/1/2005
3.97 2 5/1/2008 6/1/2008
3.64 1 9/1/2004 9/1/2004
3.58 1 11/1/2004 11/1/2004
2.58 2 4/1/2003 5/1/2003
2.50 1 12/1/2003 12/1/2003
2.03 2 3/1/2011 4/1/2011
2.01 1 6/1/2009 6/1/2009
1.70 1 10/1/2011 10/1/2011
1.65 1 6/1/2005 6/1/2005
1.49 1 8/1/2008 8/1/2008
0.97 1 7/1/2004 7/1/2004
0.79 1 12/1/2008 12/1/2008
0.14 1 8/1/2006 8/1/2006
0.14 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.76 6 12/1/2004 5/1/2005
-9.46 5 9/1/2009 1/1/2010
-8.02 3 4/1/2004 6/1/2004
-6.92 2 10/1/2002 11/1/2002
-6.47 4 11/1/2010 2/1/2011
-6.46 1 3/1/2003 3/1/2003
-6.38 2 3/1/2008 4/1/2008
-5.78 3 5/1/2006 7/1/2006
-4.78 3 4/1/2010 6/1/2010
-4.42 3 11/1/2011 1/1/2012
-4.40 3 6/1/2003 8/1/2003
-3.46 2 4/1/2009 5/1/2009
-3.35 1 8/1/2004 8/1/2004
-2.87 1 9/1/2011 9/1/2011
-2.49 2 1/1/2009 2/1/2009
-2.22 2 11/1/2007 12/1/2007
-1.74 2 7/1/2007 8/1/2007
-1.45 1 9/1/2006 9/1/2006
-1.17 1 3/1/2007 3/1/2007
-1.16 1 7/1/2005 7/1/2005
-1.09 1 11/1/2008 11/1/2008
-1.07 1 11/1/2003 11/1/2003
-0.88 1 5/1/2011 5/1/2011
-0.88 1 7/1/2008 7/1/2008
-0.60 1 9/1/2005 9/1/2005
-0.57 1 9/1/2008 9/1/2008
-0.42 1 10/1/2004 10/1/2004
-0.38 1 7/1/2009 7/1/2009
-0.09 1 1/1/2004 1/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods116.00114.00111.00105.0099.0093.0081.0069.0057.00
Percent Profitable50.8660.5363.9668.5771.7269.8986.42100.00100.00
Average Period Return0.401.222.404.527.149.2015.9425.0832.93
Average Gain2.594.366.309.1212.1214.6618.7625.0832.93
Average Loss-1.86-3.60-4.51-5.52-5.50-3.47-1.96
Best Period7.7713.7521.3225.3731.0033.8046.6154.6646.46
Worst Period-6.46-9.69-14.76-13.51-14.58-8.74-4.533.6119.86
Standard Deviation2.804.926.718.6210.4212.2614.5212.187.08
Gain Standard Deviation1.913.284.555.817.4910.6313.6012.187.08
Loss Standard Deviation1.432.513.643.864.232.371.72
Sharpe Ratio (1%)0.120.200.280.410.540.590.891.733.93
Average Gain / Average Loss1.391.211.401.652.204.229.57
Profit / Loss Ratio1.441.862.483.605.599.8060.89
Downside Deviation (10%)1.873.424.746.367.568.568.865.302.37
Downside Deviation (5%)1.692.883.704.234.333.291.960.05
Downside Deviation (0%)1.642.753.463.763.672.290.94
Sortino Ratio (10%)0.000.00-0.01-0.08-0.06-0.120.020.662.24
Sortino Ratio (5%)0.190.340.510.831.302.186.58390.07
Sortino Ratio (0%)0.250.440.691.201.954.0116.95

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.