Emil van Essen : Long-Short Commodity Program

Year-to-Date
25.86%
Nov Performance
1.01%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.28%
Sharpe (RFR=1%)
-0.17
CAROR
-1.48%
Assets
$ 1.0M
Worst DD
-26.99
S&P Correlation
-0.17

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
6/2013
Long-Short Commodity Program 1.01 -8.92 -25.86 -25.42 -18.65 -6.86 - -9.26
S&P 500 3.40 7.33 25.29 13.79 41.40 50.37 - 93.55
+/- S&P 500 -2.39 -16.25 -51.15 -39.21 -60.05 -57.24 - -102.81

Strategy Description

Summary

EvE, LLC has contracted a third party (NAV Consulting) to calculate historical performance on this program since inception. The historical returns presented represent the performance as calculated by NAV Consulting. There are differences between these returns and those previously reported... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
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
800 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
Worst Peak-to-Trough
-2.15%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
6.00%
1-3 Months
0%
1-30 Days
94.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
54.00%
Softs
23.00%
Industrial Metals
12.00%
Grains
11.00%
Composition Pie Chart

Summary

EvE, LLC has contracted a third party (NAV Consulting) to calculate historical performance on this program since inception. The historical returns presented represent the performance as calculated by NAV Consulting. There are differences between these returns and those previously reported by EvE, LLC.

Investment Strategy

The EvE LSCP is a short to medium-term systematic program that trades outright positions on 20 exchange-listed commodity futures contracts. The program uses multiple trend models on both outright and calendar spread data and analyzes historical spread levels to generate daily trade signals. Trade signal generation is fully systematic, however, in rare instances the PM will exercise discretion regarding where in the term structure the trade signal will be executed and to overweight or underweight positions based on inter-commodity relationships. The program has a deleveraging component that will systematically reduce position sizes at the portfolio level after periods of rapid gains. The program is designed to generate returns that have a low to negative correlation to most CTA and commodity programs.

   

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
-26.99 26 - 8/1/2017 10/1/2019
-13.48 8 2 2/1/2014 10/1/2014
-12.45 9 3 1/1/2015 10/1/2015
-7.14 5 13 1/1/2016 6/1/2016
-3.63 2 4 8/1/2013 10/1/2013
-2.24 1 1 1/1/0001 6/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
20.42 3 11/1/2014 1/1/2015
17.45 3 11/1/2015 1/1/2016
11.23 2 7/1/2013 8/1/2013
7.64 2 7/1/2017 8/1/2017
5.97 2 11/1/2018 12/1/2018
5.20 1 4/1/2017 4/1/2017
4.39 4 11/1/2013 2/1/2014
3.76 2 7/1/2016 8/1/2016
3.73 1 6/1/2018 6/1/2018
3.33 2 8/1/2015 9/1/2015
3.04 1 12/1/2017 12/1/2017
1.01 1 11/1/2019 11/1/2019
0.79 1 8/1/2014 8/1/2014
0.77 1 6/1/2014 6/1/2014
0.40 2 2/1/2018 3/1/2018
0.37 2 1/1/2017 2/1/2017
0.34 1 10/1/2016 10/1/2016
0.14 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.60 10 1/1/2019 10/1/2019
-11.48 6 2/1/2015 7/1/2015
-9.70 3 3/1/2014 5/1/2014
-7.14 5 2/1/2016 6/1/2016
-5.59 2 9/1/2014 10/1/2014
-4.30 2 7/1/2018 8/1/2018
-4.28 1 10/1/2015 10/1/2015
-3.63 2 9/1/2013 10/1/2013
-3.27 3 9/1/2017 11/1/2017
-3.14 1 1/1/2018 1/1/2018
-2.39 2 4/1/2018 5/1/2018
-2.24 1 6/1/2013 6/1/2013
-1.99 2 11/1/2016 12/1/2016
-1.51 2 5/1/2017 6/1/2017
-0.58 1 3/1/2017 3/1/2017
-0.44 1 9/1/2016 9/1/2016
-0.20 1 10/1/2018 10/1/2018
-0.09 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable41.0340.7946.5861.1968.8572.7374.4280.65
Average Period Return-0.07-0.22-0.230.332.273.546.238.98
Average Gain2.745.556.625.527.308.4411.1512.87
Average Loss-2.03-4.19-6.20-7.86-8.85-9.54-8.09-7.24
Best Period12.2920.4216.6813.0521.4421.4428.0324.88
Worst Period-8.57-13.85-20.46-25.42-24.25-25.86-20.36-15.82
Standard Deviation3.266.378.338.089.7610.4611.0910.29
Gain Standard Deviation2.775.225.343.095.405.526.976.48
Loss Standard Deviation1.823.335.296.587.839.227.926.49
Sharpe Ratio (1%)-0.05-0.07-0.09-0.080.080.150.290.48
Average Gain / Average Loss1.351.321.070.700.820.891.381.78
Profit / Loss Ratio0.940.910.931.111.822.364.017.41
Downside Deviation (10%)2.334.887.429.0510.4712.0114.2116.13
Downside Deviation (5%)2.134.256.216.837.187.626.805.65
Downside Deviation (0%)2.084.105.936.336.526.815.604.11
Sortino Ratio (10%)-0.21-0.30-0.36-0.52-0.51-0.56-0.67-0.78
Sortino Ratio (5%)-0.07-0.11-0.12-0.100.110.200.470.87
Sortino Ratio (0%)-0.03-0.05-0.040.050.350.521.112.18

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 4 5.34 11/2018
Diversified Trader Index Month 6 5.34 11/2018
Systematic Trader Index Month 7 5.34 11/2018
IASG CTA Index Month 8 5.34 11/2018
Diversified Trader Index Month 7 3.73 6/2018
Trend Following Strategy Index Month 5 3.73 6/2018
Trend Following Strategy Index Month 9 0.02 2/2018
Trend Following Strategy Index Month 10 3.04 12/2017
Diversified Trader Index Month 7 4.66 8/2017
Trend Following Strategy Index Month 6 4.66 8/2017
Systematic Trader Index Month 5 5.20 4/2017
Diversified Trader Index Month 5 5.20 4/2017
IASG CTA Index Month 6 5.20 4/2017
Trend Following Strategy Index Month 2 5.20 4/2017
Trend Following Strategy Index Month 8 0.19 8/2016
Trend Following Strategy Index Month 8 3.56 7/2016
IASG CTA Index Month 3 4.73 12/2015
Diversified Trader Index Month 3 4.73 12/2015
Systematic Trader Index Month 5 4.73 12/2015
Trend Following Strategy Index Month 2 4.73 12/2015
Trend Following Strategy Index Month 4 12.29 12/2014
Systematic Trader Index Month 6 12.29 12/2014
Diversified Trader Index Month 6 12.29 12/2014

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