Emil van Essen : EvE Systematic Global Opportunities

Year-to-Date: 3.82%
Mar Performance: -0.28%

Min Investment: $ 1,000k
Mgmt. Fee: 1.50%
Perf. Fee: 20.00%

Annualized Vol: 9.66%
Sharpe (RFR=1%): 0.25
CAROR: 3.02%

Assets: $ 6.0M
Worst DD: -19.97
S&P Correlation: -0.13

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 9/2007
EvE Systematic Global Opportunities	-0.28	-3.82	-3.82	-8.61	-15.00	-10.15	23.46	41.09
S&P 500	1.79	13.07	13.07	7.33	36.22	49.85	251.60	83.74
+/- S&P 500	-2.07	-16.89	-16.89	-15.94	-51.22	-60.01	-228.14	-42.65

Strategy Description

Summary

EvE Global Opportunities is a systematic multi-model futures program with the objective of capturing short-term directional price drift that tends to accompany volatility expansion regardless of long-term market trend.... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor
Management Fee: 1.50%
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: 8%
Targeted Worst DD
Worst Peak-to-Trough: 18.09%
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%

Composition

Currency Futures: 16.00%
Interest Rates: 15.00%
Stock Indices: 15.00%
Energy: 13.00%
Grains: 12.00%
Softs: 12.00%
Precious Metals: 9.00%
Livestock: 5.00%
Industrial Metals: 3.00%

Summary

Investment Strategy

The multiple models share a low correlation to each other yet target the same objective of capturing market expansion. This diversification of models (along with diversification of markets) and objective approach allows us to identify different aspects of price structure preceding market expansion and maximizes our opportunities to capture such moves. The multiple models also allow us to benefit from different price structure in exiting the positions capturing both short-term and longer-term directional price drift regardless of the overall market trend. The portfolio is comprised of 38 global futures products covering Asia, Europe and the US and has an average hold of approximately 4.5 days.

Risk Management

Each individual model has its own constraints built-in with regard to risk (for example stops, profit levels, hold periods) which is then further governed by filters that are applied to the portfolio as a whole. At a model level, each is given the same amount of fixed fractional portfolio risk based on its historic and ongoing return stream. At a portfolio level, our Concentrated Exposure filter identifies clusters of correlated market and model exposure in both existing and possible positions and reduces this exposure where needed. Further, our Volatility Targeting filter will target the portfolio volatility with the objective of staying in range of our targeted annualized volatility level of 10% regardless of general market environments.

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Index: Chart Type:

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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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Risk
Standard Deviation:
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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
-19.97	32	-	7/1/2016	3/1/2019
-13.45	12	14	6/1/2008	6/1/2009
-9.20	3	4	2/1/2014	5/1/2014
-7.30	12	2	4/1/2011	4/1/2012
-5.76	11	1	1/1/2015	12/1/2015
-5.49	4	2	6/1/2012	10/1/2012
-4.46	1	3	2/1/2016	3/1/2016
-3.60	1	3	12/1/2010	1/1/2011
-3.44	1	2	6/1/2013	7/1/2013
-2.55	1	2	9/1/2014	10/1/2014
-2.24	1	2	1/1/2013	2/1/2013
-1.85	2	1	2/1/2008	4/1/2008
-1.10	1	1	10/1/2007	11/1/2007
-0.79	1	1	9/1/2010	10/1/2010
-0.36	1	1	11/1/2013	12/1/2013
-0.04	1	1	4/1/2013	5/1/2013

Consecutive Gains

Run-up	Length (Mos.)	Start	End
12.88	3	12/1/2007	2/1/2008
8.84	3	11/1/2012	1/1/2013
8.51	2	8/1/2010	9/1/2010
8.47	3	11/1/2014	1/1/2015
8.11	2	5/1/2012	6/1/2012
7.89	2	3/1/2013	4/1/2013
7.79	2	1/1/2016	2/1/2016
7.72	2	3/1/2010	4/1/2010
7.14	6	7/1/2009	12/1/2009
6.95	1	9/1/2014	9/1/2014
6.77	3	4/1/2017	6/1/2017
6.21	4	4/1/2016	7/1/2016
6.19	4	8/1/2013	11/1/2013
5.78	2	6/1/2014	7/1/2014
5.47	2	5/1/2008	6/1/2008
5.35	2	11/1/2010	12/1/2010
4.83	1	4/1/2011	4/1/2011
4.80	3	12/1/2017	2/1/2018
4.77	2	9/1/2017	10/1/2017
4.68	3	11/1/2008	1/1/2009
3.99	2	1/1/2014	2/1/2014
3.56	2	9/1/2007	10/1/2007
2.96	1	7/1/2011	7/1/2011
2.92	1	2/1/2011	2/1/2011
2.81	1	8/1/2015	8/1/2015
2.62	1	5/1/2015	5/1/2015
2.39	2	11/1/2016	12/1/2016
2.20	1	12/1/2018	12/1/2018
1.93	1	6/1/2013	6/1/2013
1.86	1	9/1/2012	9/1/2012
1.65	2	10/1/2015	11/1/2015
1.33	2	5/1/2018	6/1/2018
1.04	1	12/1/2011	12/1/2011
0.74	1	9/1/2011	9/1/2011
0.64	1	6/1/2010	6/1/2010
0.49	1	3/1/2012	3/1/2012
0.17	1	10/1/2018	10/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.77	5	2/1/2009	6/1/2009
-10.70	3	1/1/2017	3/1/2017
-10.41	3	8/1/2016	10/1/2016
-9.27	2	3/1/2018	4/1/2018
-9.20	3	3/1/2014	5/1/2014
-7.34	4	7/1/2008	10/1/2008
-4.99	3	2/1/2015	4/1/2015
-4.88	1	10/1/2012	10/1/2012
-4.76	1	12/1/2015	12/1/2015
-4.46	1	3/1/2016	3/1/2016
-3.82	3	1/1/2019	3/1/2019
-3.77	2	5/1/2011	6/1/2011
-3.61	1	8/1/2011	8/1/2011
-3.60	1	1/1/2011	1/1/2011
-3.44	1	7/1/2013	7/1/2013
-3.24	3	7/1/2018	9/1/2018
-2.55	1	10/1/2014	10/1/2014
-2.55	2	7/1/2017	8/1/2017
-2.47	2	1/1/2012	2/1/2012
-2.46	2	7/1/2012	8/1/2012
-2.24	1	2/1/2013	2/1/2013
-2.14	1	7/1/2010	7/1/2010
-1.85	2	3/1/2008	4/1/2008
-1.83	2	10/1/2011	11/1/2011
-1.72	1	11/1/2017	11/1/2017
-1.68	2	6/1/2015	7/1/2015
-1.44	1	8/1/2014	8/1/2014
-1.23	1	9/1/2015	9/1/2015
-1.15	1	5/1/2010	5/1/2010
-1.10	1	11/1/2007	11/1/2007
-1.07	2	1/1/2010	2/1/2010
-0.88	1	4/1/2012	4/1/2012
-0.79	1	10/1/2010	10/1/2010
-0.66	1	11/1/2018	11/1/2018
-0.36	1	12/1/2013	12/1/2013
-0.04	1	5/1/2013	5/1/2013
-0.02	1	3/1/2011	3/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	139.00	137.00	134.00	128.00	122.00	116.00	104.00	92.00	80.00
Percent Profitable	53.24	61.31	57.46	62.50	63.93	70.69	75.96	85.87	87.50
Average Period Return	0.29	0.84	1.64	2.99	4.92	7.14	12.78	18.54	25.06
Average Gain	2.30	3.72	5.95	8.30	11.07	13.23	19.55	22.90	29.46
Average Loss	-2.01	-3.71	-4.17	-5.87	-5.98	-7.56	-8.61	-7.92	-5.74
Best Period	7.68	12.88	15.61	19.89	26.07	28.71	34.29	45.57	55.40
Worst Period	-6.69	-10.70	-14.41	-16.72	-14.16	-16.15	-18.56	-16.77	-11.47
Standard Deviation	2.79	4.54	6.16	8.47	9.91	11.40	14.00	15.99	16.48
Gain Standard Deviation	1.87	2.60	3.73	5.23	6.39	6.86	7.59	12.53	12.33
Loss Standard Deviation	1.67	2.95	3.38	4.42	3.61	4.69	5.18	5.86	3.64
Sharpe Ratio (1%)	0.07	0.13	0.19	0.23	0.34	0.45	0.70	0.91	1.21
Average Gain / Average Loss	1.15	1.00	1.42	1.42	1.85	1.75	2.27	2.89	5.13
Profit / Loss Ratio	1.31	1.59	1.92	2.36	3.28	4.22	7.18	17.57	35.93
Downside Deviation (10%)	2.00	3.58	4.87	7.28	8.59	10.25	12.63	13.78	13.92
Downside Deviation (5%)	1.82	3.06	3.75	4.99	4.98	5.76	6.23	5.06	4.08
Downside Deviation (0%)	1.78	2.94	3.49	4.48	4.19	4.80	4.90	3.65	2.37
Sortino Ratio (10%)	-0.06	-0.11	-0.17	-0.28	-0.31	-0.30	-0.24	-0.22	-0.18
Sortino Ratio (5%)	0.11	0.19	0.30	0.40	0.69	0.89	1.57	2.86	4.90
Sortino Ratio (0%)	0.16	0.29	0.47	0.67	1.18	1.49	2.61	5.08	10.58

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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IASG Activity

Blends 35
Portfolios 15
Watchlists 36

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Emil van Essen : EvE Systematic Global Opportunities

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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