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/ Emil van Essen / Multi-Strategy Program

Emil van Essen : Multi-Strategy Program

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Year-to-Date
15.00%
Dec Performance
1.79%
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
$ 11.3M
Worst DD
-20.57
S&P Correlation
-0.02
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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 Dec Qtr 2019 1yr 3yr 5yr 10yr Since
5/2014
Multi-Strategy Program 1.79 -1.44 -15.00 -15.00 -13.13 -2.76 - -2.68
S&P 500 2.86 8.53 28.87 28.87 42.84 55.32 - 66.25
+/- S&P 500 -1.07 -9.97 -43.87 -43.87 -55.97 -58.09 - -68.93

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
-20.57 26 - 8/1/2017 10/1/2019
-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
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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
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.83 6 5/1/2019 10/1/2019
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods68.0066.0063.0057.0051.0045.0033.0021.00
Percent Profitable50.0048.4855.5666.6770.5973.3375.7676.19
Average Period Return-0.02-0.010.231.332.914.547.728.52
Average Gain1.602.703.755.427.739.8813.1412.61
Average Loss-1.68-2.56-4.17-6.85-8.65-10.15-9.21-4.58
Best Period5.4411.8210.5114.1018.8918.5121.5821.86
Worst Period-5.28-9.22-14.83-20.07-17.82-18.45-15.45-8.24
Standard Deviation2.123.545.177.178.8710.3911.479.67
Gain Standard Deviation1.432.332.633.064.234.876.336.85
Loss Standard Deviation1.312.394.055.885.746.465.603.21
Sharpe Ratio (1%)-0.05-0.07-0.050.050.160.240.410.46
Average Gain / Average Loss0.951.050.900.790.890.971.432.75
Profit / Loss Ratio0.980.991.131.582.142.684.468.81
Downside Deviation (10%)1.713.215.197.739.6211.4813.7016.09
Downside Deviation (5%)1.522.634.095.616.287.056.574.51
Downside Deviation (0%)1.472.503.845.155.576.145.222.64
Sortino Ratio (10%)-0.25-0.39-0.43-0.47-0.49-0.50-0.59-0.81
Sortino Ratio (5%)-0.07-0.10-0.070.060.220.360.710.99
Sortino Ratio (0%)-0.010.000.060.260.520.741.483.23

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 6 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.

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