Find the right managed futures programs for you with our comprehensive free CTA database.

/ Emil van Essen / Multi-Strategy Program

Emil van Essen : Multi-Strategy Program

Need help with terms?
archived programs
Year-to-Date
N / A
Feb Performance
-5.10%
Min Investment
$ 6,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.36%
Sharpe (RFR=1%)
-0.16
CAROR
-0.48%
Assets
$ 9.0M
Worst DD
-26.62
S&P Correlation
0.08
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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
5/2014
Multi-Strategy Program -5.10 - - - -23.59 -21.17 - -11.77
S&P 500 -8.41 - - - 23.71 38.95 - 133.51
+/- S&P 500 3.31 - - - -47.31 -60.12 - -145.28

Strategy Description

Summary

The Multi-Strategy Program (MSP) is an approximate 50/50 combination of the Spread Trading Program (STP) and the Long-Short Commodity Program (LSCP). STP seeks non-correlated alpha through the spread and relative value trading of exchange-listed futures and options that are primarily... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 6,000k
Trading Level Incremental Increase $ 0k
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 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 6000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 95.00%
Intraday 0%

Decision-Making

Discretionary 95.00%
Systematic 5.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Energy
65.00%
Grains
25.00%
Precious Metals
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The Multi-Strategy Program (MSP) is an approximate 50/50 combination of the Spread Trading Program (STP) and the Long-Short Commodity Program (LSCP). STP seeks non-correlated alpha through the spread and relative value trading of exchange-listed futures and options that are primarily commodity contracts. Quantitative research and significant discretion are used in trade selection and execution. The LSCP is a short to medium-term systematic program with a discretionary overlay that trades outright positions on 13 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. The MSP 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.

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
-26.62 30 - 8/1/2017 2/1/2020
-6.03 6 2 4/1/2015 10/1/2015
-3.58 1 7 1/1/0001 5/1/2014
-2.82 2 2 3/1/2016 5/1/2016
-1.05 1 1 1/1/2015 2/1/2015
-0.93 1 1 11/1/2016 12/1/2016
-0.85 1 2 4/1/2017 5/1/2017
-0.51 1 1 1/1/2016 2/1/2016
-0.17 1 1 8/1/2016 9/1/2016
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
11.82 3 11/1/2015 1/1/2016
6.28 4 10/1/2014 1/1/2015
5.19 1 11/1/2018 11/1/2018
4.88 4 1/1/2017 4/1/2017
4.08 3 6/1/2016 8/1/2016
3.31 2 3/1/2015 4/1/2015
3.22 2 7/1/2017 8/1/2017
3.12 2 6/1/2014 7/1/2014
2.36 1 8/1/2015 8/1/2015
2.00 1 6/1/2018 6/1/2018
1.89 2 11/1/2019 12/1/2019
1.84 1 12/1/2017 12/1/2017
1.36 2 2/1/2018 3/1/2018
1.05 2 10/1/2016 11/1/2016
0.93 2 3/1/2019 4/1/2019
0.81 1 3/1/2016 3/1/2016
0.80 1 9/1/2018 9/1/2018
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-14.83 6 5/1/2019 10/1/2019
-9.33 2 1/1/2020 2/1/2020
-7.11 3 12/1/2018 2/1/2019
-4.73 2 9/1/2015 10/1/2015
-4.25 3 9/1/2017 11/1/2017
-3.64 3 5/1/2015 7/1/2015
-3.58 1 5/1/2014 5/1/2014
-2.82 2 4/1/2016 5/1/2016
-2.65 2 8/1/2014 9/1/2014
-2.42 2 7/1/2018 8/1/2018
-2.16 1 1/1/2018 1/1/2018
-1.42 1 10/1/2018 10/1/2018
-1.13 2 4/1/2018 5/1/2018
-1.05 1 2/1/2015 2/1/2015
-0.93 1 12/1/2016 12/1/2016
-0.85 2 5/1/2017 6/1/2017
-0.51 1 2/1/2016 2/1/2016
-0.17 1 9/1/2016 9/1/2016
Show More

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 5.19 11/2018
Trend Following Strategy Index Month 5 5.19 11/2018
Diversified Trader Index Month 8 5.19 11/2018
IASG CTA Index Month 10 5.19 11/2018
Trend Following Strategy Index Month 8 0.80 9/2018
Trend Following Strategy Index Month 10 2.00 6/2018
Trend Following Strategy Index Month 9 1.07 3/2018
Trend Following Strategy Index Month 7 0.29 2/2018
Discretionary Trader Index Month 8 1.84 12/2017
Discretionary Trader Index Month 8 2.59 4/2017
Trend Following Strategy Index Month 6 2.59 4/2017
Trend Following Strategy Index Month 4 1.79 1/2017
Trend Following Strategy Index Month 9 0.76 10/2016
Trend Following Strategy Index Month 9 0.14 8/2016
Trend Following Strategy Index Month 10 3.22 7/2016
Discretionary Trader Index Month 9 3.22 7/2016
Discretionary Trader Index Month 1 4.78 1/2016
Discretionary Trader Index Month 10 1.21 12/2015
Trend Following Strategy Index Month 7 1.21 12/2015
Discretionary Trader Index Month 4 5.44 11/2015

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

x

{{title}}

x

{{title}}