Emil van Essen : Multi-Strategy Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 9.33% 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 2020 1yr 3yr 5yr 10yr Since5/2014 Multi-Strategy Program -5.10 - -9.33 -9.33 -24.75 -16.33 - -11.77 S&P 500 -8.41 - -8.56 6.09 23.71 38.95 - 93.28 +/- S&P 500 3.31 - -0.77 -15.42 -48.46 -55.28 - -105.04 Strategy Description SummaryThe 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% Composition Energy 65.00% Grains 25.00% Precious Metals 5.00% Softs 5.00% SummaryThe 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. 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 -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 Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00 Percent Profitable48.5747.0653.8564.4167.9270.2171.4369.57 Average Period Return-0.15-0.16-0.170.632.003.456.106.23 Average Gain1.602.703.755.427.739.8813.1412.61 Average Loss-1.86-2.71-4.75-8.03-10.13-11.72-11.49-8.36 Best Period5.4411.8210.5114.1018.8918.5121.5821.86 Worst Period-5.28-9.22-14.83-20.59-22.90-23.31-22.74-19.74 Standard Deviation2.243.625.577.999.8611.4412.9811.95 Gain Standard Deviation1.432.332.633.064.234.876.336.85 Loss Standard Deviation1.462.474.496.726.827.216.967.05 Sharpe Ratio (1%)-0.11-0.11-0.12-0.050.050.130.240.18 Average Gain / Average Loss0.861.000.790.680.760.841.141.51 Profit / Loss Ratio0.830.890.921.221.621.992.863.45 Downside Deviation (10%)1.903.385.778.8210.9712.9715.9019.27 Downside Deviation (5%)1.712.794.666.667.588.408.547.78 Downside Deviation (0%)1.662.654.406.196.857.437.085.85 Sortino Ratio (10%)-0.30-0.41-0.46-0.50-0.51-0.52-0.61-0.80 Sortino Ratio (5%)-0.14-0.15-0.14-0.050.070.170.360.28 Sortino Ratio (0%)-0.09-0.06-0.040.100.290.460.861.06 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}} Add Cancel