Emil Van Essen, LLC. : Global Strategies HL Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jan Performance -1.58% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 19.56% Sharpe (RFR=1%) 0.54 CAROR 10.18% Assets $ 3.0M Worst DD -33.42 S&P Correlation -0.05 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since4/2002 Global Strategies HL -1.58 - - - - - -7.85 159.48 S&P 500 4.36 - - - - - 16.10 245.17 +/- S&P 500 -5.94 - - - - - -23.95 -85.69 Strategy Description SummaryFall 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 $ 1,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $5.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 1700 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD -10.00% Worst Peak-to-Trough 33.41% 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% 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% SummaryFall 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 StrategyGlobal Strategies HL (2X) 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 periodRisk ManagementWe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: 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: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 -33.42 15 11 2/1/2004 5/1/2005 -23.28 15 - 3/1/2009 6/1/2010 -14.06 5 7 4/1/2006 9/1/2006 -13.34 2 1 9/1/2002 11/1/2002 -12.04 2 6 2/1/2008 4/1/2008 -11.96 1 7 2/1/2003 3/1/2003 -6.35 4 1 10/1/2008 2/1/2009 -3.91 2 1 10/1/2007 12/1/2007 -3.48 1 2 6/1/2007 7/1/2007 -2.23 1 1 10/1/2003 11/1/2003 -0.18 1 1 12/1/2003 1/1/2004 Show More Consecutive Gains Run-up Length (Mos.) Start End 41.85 7 10/1/2005 4/1/2006 35.69 3 12/1/2002 2/1/2003 31.26 6 4/1/2002 9/1/2002 25.22 2 1/1/2008 2/1/2008 23.16 3 8/1/2007 10/1/2007 20.47 4 7/1/2010 10/1/2010 16.65 2 9/1/2003 10/1/2003 14.43 5 10/1/2006 2/1/2007 13.83 1 2/1/2004 2/1/2004 11.65 3 6/1/2011 8/1/2011 10.15 3 4/1/2007 6/1/2007 9.59 2 2/1/2010 3/1/2010 9.03 1 10/1/2008 10/1/2008 9.01 1 8/1/2005 8/1/2005 8.81 1 3/1/2009 3/1/2009 7.51 1 11/1/2004 11/1/2004 7.19 2 5/1/2008 6/1/2008 6.98 1 9/1/2004 9/1/2004 6.30 2 4/1/2003 5/1/2003 5.96 1 12/1/2003 12/1/2003 4.18 1 10/1/2011 10/1/2011 3.88 2 3/1/2011 4/1/2011 3.50 1 6/1/2009 6/1/2009 3.17 1 6/1/2005 6/1/2005 2.90 1 8/1/2008 8/1/2008 2.13 1 7/1/2004 7/1/2004 1.11 1 12/1/2008 12/1/2008 0.73 1 8/1/2006 8/1/2006 0.68 1 8/1/2009 8/1/2009 Show More Consecutive Losses Run-up Length (Mos.) Start End -28.20 6 12/1/2004 5/1/2005 -18.10 5 9/1/2009 1/1/2010 -14.38 4 3/1/2004 6/1/2004 -13.34 2 10/1/2002 11/1/2002 -12.80 4 11/1/2010 2/1/2011 -12.04 2 3/1/2008 4/1/2008 -11.96 1 3/1/2003 3/1/2003 -11.84 3 5/1/2006 7/1/2006 -9.46 3 4/1/2010 6/1/2010 -7.94 2 4/1/2009 5/1/2009 -7.12 1 9/1/2011 9/1/2011 -7.01 3 11/1/2011 1/1/2012 -6.79 1 8/1/2004 8/1/2004 -4.97 2 1/1/2009 2/1/2009 -4.74 3 6/1/2003 8/1/2003 -3.91 2 11/1/2007 12/1/2007 -3.48 1 7/1/2007 7/1/2007 -3.22 1 9/1/2006 9/1/2006 -2.53 1 11/1/2008 11/1/2008 -2.27 1 7/1/2005 7/1/2005 -2.23 1 11/1/2003 11/1/2003 -1.58 1 7/1/2009 7/1/2009 -1.36 1 9/1/2005 9/1/2005 -1.33 1 9/1/2008 9/1/2008 -1.30 1 5/1/2011 5/1/2011 -1.08 1 7/1/2008 7/1/2008 -1.07 1 10/1/2004 10/1/2004 -0.92 1 3/1/2007 3/1/2007 -0.18 1 1/1/2004 1/1/2004 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods118.00116.00113.00107.00101.0095.0083.0071.0059.00 Percent Profitable51.6962.0764.6070.0969.3166.3287.95100.00100.00 Average Period Return0.973.005.8610.9717.0122.0135.5157.3576.46 Average Gain5.239.1813.9420.8629.6637.2741.5057.3576.46 Average Loss-3.60-7.12-8.90-12.22-11.54-8.03-8.23 Best Period17.1135.6947.4156.1272.8988.31118.40131.04110.71 Worst Period-11.96-18.90-28.20-24.74-27.57-19.08-15.201.5834.03 Standard Deviation5.6510.1514.2119.3224.6529.7935.1930.2420.47 Gain Standard Deviation4.087.1910.1013.4518.0025.1433.2530.2420.47 Loss Standard Deviation2.774.666.767.258.034.744.43 Sharpe Ratio (1%)0.160.270.380.520.630.670.921.763.49 Average Gain / Average Loss1.451.291.571.712.574.645.04 Profit / Loss Ratio1.562.112.864.005.809.1436.81 Downside Deviation (10%)3.385.877.8510.2311.5411.289.472.96 Downside Deviation (5%)3.205.356.868.228.456.434.210.29 Downside Deviation (0%)3.155.226.627.747.755.393.21 Sortino Ratio (10%)0.170.300.430.580.821.042.0912.10 Sortino Ratio (5%)0.280.510.781.211.843.117.72180.72 Sortino Ratio (0%)0.310.570.881.422.204.0811.07 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. x {{title}} x {{title}} Add Cancel