Emil van Essen : EvE Systematic Global Opportunities Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since9/2007 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 SummaryEvE 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% SummaryEvE 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.Investment StrategyThe 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 ManagementEach 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods139.00137.00134.00128.00122.00116.00104.0092.0080.00 Percent Profitable53.2461.3157.4662.5063.9370.6975.9685.8787.50 Average Period Return0.290.841.642.994.927.1412.7818.5425.06 Average Gain2.303.725.958.3011.0713.2319.5522.9029.46 Average Loss-2.01-3.71-4.17-5.87-5.98-7.56-8.61-7.92-5.74 Best Period7.6812.8815.6119.8926.0728.7134.2945.5755.40 Worst Period-6.69-10.70-14.41-16.72-14.16-16.15-18.56-16.77-11.47 Standard Deviation2.794.546.168.479.9111.4014.0015.9916.48 Gain Standard Deviation1.872.603.735.236.396.867.5912.5312.33 Loss Standard Deviation1.672.953.384.423.614.695.185.863.64 Sharpe Ratio (1%)0.070.130.190.230.340.450.700.911.21 Average Gain / Average Loss1.151.001.421.421.851.752.272.895.13 Profit / Loss Ratio1.311.591.922.363.284.227.1817.5735.93 Downside Deviation (10%)2.003.584.877.288.5910.2512.6313.7813.92 Downside Deviation (5%)1.823.063.754.994.985.766.235.064.08 Downside Deviation (0%)1.782.943.494.484.194.804.903.652.37 Sortino Ratio (10%)-0.06-0.11-0.17-0.28-0.31-0.30-0.24-0.22-0.18 Sortino Ratio (5%)0.110.190.300.400.690.891.572.864.90 Sortino Ratio (0%)0.160.290.470.671.181.492.615.0810.58 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. x {{title}} x {{title}} Add Cancel