Emil van Essen : Multi-Strategy Program

Year-to-Date: 16.58%
Oct Performance: -3.27%

Min Investment: $ 6,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 7.43%
Sharpe (RFR=1%): -0.21
CAROR: -0.83%

Assets: $ 11.0M
Worst DD: -20.57
S&P Correlation: -0.03

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Growth of 1,000 - VAMI

Monthly Performance

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	Oct	Qtr	YTD	1yr	3yr	5yr	10yr	Since 5/2014
Multi-Strategy Program	-3.27	-9.22	-16.58	-16.01	-15.29	-1.50	-	-4.49
S&P 500	2.04	1.92	21.16	12.01	41.41	48.99	-	56.31
+/- S&P 500	-5.31	-11.14	-37.74	-28.02	-56.70	-50.49	-	-60.80

Strategy Description

Summary

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%

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.

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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.

Compare to:

Index:

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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
-20.57	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

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
1.84	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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	66.00	64.00	61.00	55.00	49.00	43.00	31.00	19.00
Percent Profitable	48.48	50.00	57.38	69.09	73.47	76.74	80.65	84.21
Average Period Return	-0.05	0.12	0.54	2.02	3.72	5.54	9.14	10.25
Average Gain	1.64	2.70	3.75	5.42	7.73	9.88	13.14	12.61
Average Loss	-1.68	-2.46	-3.79	-5.60	-7.38	-8.78	-7.51	-2.31
Best Period	5.44	11.82	10.51	14.10	18.89	18.51	21.58	21.86
Worst Period	-5.28	-9.22	-14.83	-16.01	-17.82	-18.45	-15.29	-3.35
Standard Deviation	2.14	3.48	4.95	6.27	8.05	9.49	10.28	8.40
Gain Standard Deviation	1.45	2.33	2.63	3.06	4.23	4.87	6.33	6.85
Loss Standard Deviation	1.31	2.33	3.94	4.71	5.02	6.21	5.44	1.13
Sharpe Ratio (1%)	-0.06	-0.04	0.01	0.16	0.28	0.37	0.59	0.74
Average Gain / Average Loss	0.97	1.10	0.99	0.97	1.05	1.13	1.75	5.45
Profit / Loss Ratio	0.94	1.10	1.33	2.17	2.90	3.71	7.29	29.06
Downside Deviation (10%)	1.74	3.09	4.83	6.58	8.47	10.16	11.89	13.94
Downside Deviation (5%)	1.54	2.51	3.77	4.46	5.21	5.93	5.15	2.69
Downside Deviation (0%)	1.50	2.38	3.53	4.02	4.54	5.10	3.96	0.99
Sortino Ratio (10%)	-0.26	-0.36	-0.40	-0.45	-0.46	-0.46	-0.56	-0.81
Sortino Ratio (5%)	-0.08	-0.05	0.01	0.23	0.43	0.60	1.19	2.30
Sortino Ratio (0%)	-0.03	0.05	0.15	0.50	0.82	1.09	2.31	10.36

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.

^#3

Top Performer

DISCRETIONARY TRADER INDEX

NOVEMBER
2018

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More Programs by Emil van Essen

Program Name	CAROR
Spread Trading Program	11.05%
Global Tactical Allocation Program (GTAP)	6.78%
Long-Short Commodity Program - Accelerated	2.47%
Spread Trading Program Limited	0.73%
Multi-Strategy Program	-0.83%
Long-Short Commodity Program	-1.66%

IASG Activity

Blends 22
Portfolios 6
Watchlists 13

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Emil van Essen : Multi-Strategy Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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