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

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%
Strategy Pie Chart

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%
Composition Pie Chart

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.

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.

   

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
-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.