Emil Van Essen, LLC. : Global Strategies HL

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 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 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.