Emil van Essen : EvE Systematic Commodity Opportunities

archived programs
Year-to-Date
N / A
Dec Performance
-2.83%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.18%
Sharpe (RFR=1%)
-0.89
CAROR
-8.25%
Assets
$ 500k
Worst DD
-22.69
S&P Correlation
0.18

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
5/2016
EvE Systematic Commodity Opportunities -2.83 -11.60 - -14.87 - - - -20.50
S&P 500 -9.18 -13.97 - -6.24 - - - 18.34
+/- S&P 500 6.35 2.38 - -8.64 - - - -38.84

Strategy Description

Summary

EvE Commodity Opportunities Program is a systematic, price driven, multi-model futures program with the objective of capturing short-term momentum within a diverse group of commodity markets. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
2200 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
-5.01%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
3.00%
1-30 Days
97.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Grains
25.00%
Softs
24.00%
Energy
19.00%
Precious Metals
17.00%
Livestock
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

EvE Commodity Opportunities Program is a systematic, price driven, multi-model futures program with the objective of capturing short-term momentum within a diverse group of commodity markets.

Investment Strategy

The individual models seek to determine a favorable environment along with a directional bias entering the market at an early stage of price expansion. The portfolio as a whole is governed by both a Concentrated Exposure filter and Volatility Targeting filter. These filters assess the individual model and market states, dynamically adjusting trade and market exposure with the aim of moderating clusters of correlated portfolio risk and stabilizing volatility over time. The portfolio is comprised of 18 commodity futures products, has an average hold duration of less than 5 day and targets an annualized volatility of approximately 10%.

   

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:
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
-22.69 29 - 7/1/2016 12/1/2018
-3.74 1 1 1/1/0001 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
8.66 2 3/1/2017 4/1/2017
6.82 2 6/1/2016 7/1/2016
4.38 1 6/1/2017 6/1/2017
4.35 1 2/1/2018 2/1/2018
2.80 1 8/1/2017 8/1/2017
1.49 1 11/1/2016 11/1/2016
0.82 2 6/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.43 5 8/1/2018 12/1/2018
-9.22 3 8/1/2016 10/1/2016
-7.06 5 9/1/2017 1/1/2018
-6.37 3 12/1/2016 2/1/2017
-6.27 3 3/1/2018 5/1/2018
-3.74 1 5/1/2016 5/1/2016
-2.89 1 7/1/2017 7/1/2017
-0.23 1 5/1/2017 5/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable31.2536.6725.9328.5713.33
Average Period Return-0.67-1.72-2.78-3.34-5.29
Average Gain2.913.515.813.821.85
Average Loss-2.30-4.75-5.78-6.20-6.39
Best Period5.479.8412.969.563.21
Worst Period-5.32-11.60-13.39-14.87-20.79
Standard Deviation2.945.156.266.286.42
Gain Standard Deviation1.803.254.382.881.93
Loss Standard Deviation1.583.233.304.756.16
Sharpe Ratio (1%)-0.26-0.38-0.52-0.69-1.06
Average Gain / Average Loss1.260.741.000.620.29
Profit / Loss Ratio0.570.430.350.250.04
Downside Deviation (10%)2.585.387.6410.3014.30
Downside Deviation (5%)2.354.706.077.229.19
Downside Deviation (0%)2.294.535.706.528.11
Sortino Ratio (10%)-0.42-0.55-0.69-0.81-0.90
Sortino Ratio (5%)-0.32-0.42-0.54-0.60-0.74
Sortino Ratio (0%)-0.29-0.38-0.49-0.51-0.65

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 5 4.35 2/2018

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