Emil Van Essen, LLC. : Global Strategies HL

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

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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	Since 4/2002
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

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	$ 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%

Summary

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.

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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.

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Index:

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	118.00	116.00	113.00	107.00	101.00	95.00	83.00	71.00	59.00
Percent Profitable	51.69	62.07	64.60	70.09	69.31	66.32	87.95	100.00	100.00
Average Period Return	0.97	3.00	5.86	10.97	17.01	22.01	35.51	57.35	76.46
Average Gain	5.23	9.18	13.94	20.86	29.66	37.27	41.50	57.35	76.46
Average Loss	-3.60	-7.12	-8.90	-12.22	-11.54	-8.03	-8.23
Best Period	17.11	35.69	47.41	56.12	72.89	88.31	118.40	131.04	110.71
Worst Period	-11.96	-18.90	-28.20	-24.74	-27.57	-19.08	-15.20	1.58	34.03
Standard Deviation	5.65	10.15	14.21	19.32	24.65	29.79	35.19	30.24	20.47
Gain Standard Deviation	4.08	7.19	10.10	13.45	18.00	25.14	33.25	30.24	20.47
Loss Standard Deviation	2.77	4.66	6.76	7.25	8.03	4.74	4.43
Sharpe Ratio (1%)	0.16	0.27	0.38	0.52	0.63	0.67	0.92	1.76	3.49
Average Gain / Average Loss	1.45	1.29	1.57	1.71	2.57	4.64	5.04
Profit / Loss Ratio	1.56	2.11	2.86	4.00	5.80	9.14	36.81
Downside Deviation (10%)	3.38	5.87	7.85	10.23	11.54	11.28	9.47	2.96
Downside Deviation (5%)	3.20	5.35	6.86	8.22	8.45	6.43	4.21	0.29
Downside Deviation (0%)	3.15	5.22	6.62	7.74	7.75	5.39	3.21
Sortino Ratio (10%)	0.17	0.30	0.43	0.58	0.82	1.04	2.09	12.10
Sortino Ratio (5%)	0.28	0.51	0.78	1.21	1.84	3.11	7.72	180.72
Sortino Ratio (0%)	0.31	0.57	0.88	1.42	2.20	4.08	11.07

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.

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Emil Van Essen, LLC. : Global Strategies HL

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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Emil Van Essen, LLC. : Global Strategies HL

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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