Emil van Essen : Long-Short Commodity Program - Accelerated

Year-to-Date
20.93%
Sep Performance
-5.63%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.11%
Sharpe (RFR=1%)
0.22
CAROR
3.04%
Assets
$ 200k
Worst DD
-20.93
S&P Correlation
-0.24

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Long-Short Commodity Program - Accelerated -5.63 -12.27 -20.93 -14.89 0.00 29.18 - 17.60
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 53.18
+/- S&P 500 -7.35 -13.46 -39.67 -17.03 -35.89 -20.21 - -35.57

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
$ 200k
Trading Level Incremental Increase
$ 200k
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
1000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
-2.05%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Counter-trend
15.00%
Momentum
15.00%
Pattern Recognition
15.00%
Spreading/hedging
40.00%
Trend-following
15.00%
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-Accelerated 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 including our EVE Spread Trading Program. Compared to the standard LSCP, the Accelerated program will typically have higher leverage and larger relative position sizing based on the lower threshold required to take on a position. The deleveraging and leveraging component of the LSCP would not have as large of an impact in the Accelerated Program because of this factor. However, it will still add value by reducing the size of the positions in the portfolio after large run ups in performance.

   

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:
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-20.93 9 - 12/1/2018 9/1/2019
-11.75 9 2 1/1/2015 10/1/2015
-11.02 5 10 1/1/2016 6/1/2016
-8.99 6 2 1/1/0001 10/1/2014
-4.33 1 2 6/1/2018 7/1/2018
-3.00 2 2 4/1/2017 6/1/2017
-2.32 2 2 11/1/2017 1/1/2018
-2.02 1 2 8/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
25.63 3 11/1/2014 1/1/2015
22.14 3 11/1/2015 1/1/2016
13.33 5 8/1/2018 12/1/2018
8.62 2 3/1/2017 4/1/2017
8.31 5 2/1/2018 6/1/2018
7.91 2 7/1/2016 8/1/2016
6.85 2 7/1/2017 8/1/2017
2.65 3 2/1/2019 4/1/2019
2.37 1 6/1/2014 6/1/2014
2.26 2 10/1/2017 11/1/2017
2.23 1 6/1/2015 6/1/2015
2.23 1 10/1/2016 10/1/2016
0.72 1 8/1/2015 8/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.78 5 5/1/2019 9/1/2019
-11.02 5 2/1/2016 6/1/2016
-9.25 4 2/1/2015 5/1/2015
-6.82 4 7/1/2014 10/1/2014
-5.16 1 1/1/2019 1/1/2019
-4.59 1 5/1/2014 5/1/2014
-4.39 4 11/1/2016 2/1/2017
-4.33 1 7/1/2018 7/1/2018
-3.48 2 9/1/2015 10/1/2015
-3.00 2 5/1/2017 6/1/2017
-2.32 2 12/1/2017 1/1/2018
-2.14 1 7/1/2015 7/1/2015
-2.02 1 9/1/2017 9/1/2017
-0.62 1 9/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable47.6955.5666.6788.8993.7595.24100.00100.00
Average Period Return0.321.423.557.4812.0215.6324.4234.80
Average Gain3.266.038.039.2813.0916.6924.4234.80
Average Loss-2.37-4.35-5.41-6.90-4.04-5.47
Best Period14.6025.6320.4519.1431.9232.1040.4854.33
Worst Period-6.33-12.27-17.65-14.89-9.35-7.250.0013.06
Standard Deviation3.787.258.156.308.498.8810.0411.44
Gain Standard Deviation3.156.205.463.587.577.6610.0411.44
Loss Standard Deviation1.793.214.314.584.742.51
Sharpe Ratio (1%)0.060.160.371.031.241.532.132.69
Average Gain / Average Loss1.381.391.481.353.243.05
Profit / Loss Ratio1.261.732.9710.7648.5860.98
Downside Deviation (10%)2.384.285.164.283.574.193.612.08
Downside Deviation (5%)2.183.724.192.981.691.680.55
Downside Deviation (0%)2.133.583.952.691.401.26
Sortino Ratio (10%)-0.040.040.210.581.241.292.396.38
Sortino Ratio (5%)0.110.310.732.186.218.1238.71
Sortino Ratio (0%)0.150.400.902.788.5912.45

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 3.44 6/2018
Systematic Trader Index Month 9 5.24 8/2017
Diversified Trader Index Month 5 5.24 8/2017
IASG CTA Index Month 2 7.48 4/2017
Diversified Trader Index Month 2 7.48 4/2017
Systematic Trader Index Month 3 7.48 4/2017
Diversified Trader Index Month 9 2.23 10/2016
Systematic Trader Index Month 10 2.23 10/2016
Diversified Trader Index Month 4 6.78 7/2016
Systematic Trader Index Month 5 6.78 7/2016
Systematic Trader Index Month 6 4.29 12/2015
Diversified Trader Index Month 4 4.29 12/2015

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