Emil van Essen : Spread Trading Program

Year-to-Date
0.96%
Sep Performance
0.44%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
22.27%
Sharpe (RFR=1%)
0.55
CAROR
11.52%
Assets
$ 8.0M
Worst DD
-36.21
S&P Correlation
-0.06

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
12/2006
Spread Trading Program 0.44 -0.70 -0.96 -7.06 -6.47 4.50 37.39 305.34
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 178.69 107.71
+/- S&P 500 -1.28 -1.89 -19.69 -9.20 -42.36 -44.89 -141.30 197.63

Strategy Description

Summary

The performance results above are a composite of all accounts managed by EvE traded pursuant to the referenced program whose rates of return do not differ materially, except as such returns may differ as a result of differences in incentive fees resulting from any unrecouped loss or... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
No
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
35.90%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
50.00%
1-3 Months
50.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
35.00%
Systematic
65.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
45.00%
Grains
13.00%
Livestock
13.00%
Softs
13.00%
Interest Rates
5.00%
Industrial Metals
4.00%
Precious Metals
4.00%
VIX
3.00%
Composition Pie Chart

Summary

The performance results above are a composite of all accounts managed by EvE traded pursuant to the referenced program whose rates of return do not differ materially, except as such returns may differ as a result of differences in incentive fees resulting from any unrecouped loss or losses carried forward from prior periods. In May 2016, EVE LLC restated proforma returns to correct previous performance which included unrecouped loss carry forward balances from prior periods unrelated to this program. The historical returns presented represent the performance as calculated by NAV Consulting from July 2013 moving forward.. There are differences between these returns and those previously reported by EvE, LLC. From Dec 2006 - June 2013 this track record was based on a series of model accounts. In January 2008 leverage was reduced by approximately 1/3 and again by 1/2 in August 2008.

Investment Strategy

The Emil van Essen Spread Trading Program seeks non-correlated alpha through the spread and relative value trading of exchange-listed futures and options contracts. The program primarily trades commodities through calendar spreads. Outright commodities as well as inter-commodity, interest rate, and equity volatility spreads are also included. Quantitative research and significant discretion are used with the goal of generating strong returns in various market environments. The program typically has a low to negative correlation to benchmarks including CTA, commodity and stock indices with a track record dating back to December 2006.

Risk Management

High-Minimum
Pre-Deleverage August 2007 to September 2007: -35.89%
Post-Deleverage November 2007 to December 2007: -0.90

   

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:
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
-36.21 5 7 5/1/2007 10/1/2007
-23.06 38 - 12/1/2011 2/1/2015
-5.80 3 1 9/1/2010 12/1/2010
-3.67 2 1 11/1/2009 1/1/2010
-2.42 1 2 5/1/2010 6/1/2010
-2.39 2 1 6/1/2011 8/1/2011
-1.93 1 1 4/1/2009 5/1/2009
-1.29 1 1 10/1/2008 11/1/2008
-1.02 1 1 1/1/2011 2/1/2011
-0.55 1 1 8/1/2009 9/1/2009
-0.45 1 1 1/1/0001 12/1/2006
-0.38 1 1 10/1/2011 11/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
74.49 5 1/1/2007 5/1/2007
50.17 7 4/1/2008 10/1/2008
31.43 1 1/1/2008 1/1/2008
28.01 1 8/1/2007 8/1/2007
24.19 5 12/1/2008 4/1/2009
22.94 1 11/1/2007 11/1/2007
18.94 4 2/1/2010 5/1/2010
14.70 1 1/1/2011 1/1/2011
13.70 3 3/1/2015 5/1/2015
12.41 4 3/1/2011 6/1/2011
7.13 1 1/1/2016 1/1/2016
6.68 5 8/1/2013 12/1/2013
6.65 2 6/1/2016 7/1/2016
6.37 1 7/1/2014 7/1/2014
5.97 2 10/1/2009 11/1/2009
5.72 3 7/1/2010 9/1/2010
5.56 1 11/1/2018 11/1/2018
5.24 1 4/1/2012 4/1/2012
5.02 4 1/1/2017 4/1/2017
4.65 2 9/1/2011 10/1/2011
4.59 2 3/1/2014 4/1/2014
4.57 3 6/1/2009 8/1/2009
4.03 4 9/1/2012 12/1/2012
3.98 2 3/1/2019 4/1/2019
3.18 1 12/1/2011 12/1/2011
2.87 3 2/1/2018 4/1/2018
2.62 2 3/1/2016 4/1/2016
2.48 1 11/1/2015 11/1/2015
2.08 2 10/1/2016 11/1/2016
2.07 2 4/1/2013 5/1/2013
1.95 1 1/1/2019 1/1/2019
1.91 1 1/1/2015 1/1/2015
1.53 1 10/1/2014 10/1/2014
1.40 1 8/1/2015 8/1/2015
1.38 1 9/1/2018 9/1/2018
0.67 2 6/1/2018 7/1/2018
0.59 1 6/1/2019 6/1/2019
0.53 1 2/1/2013 2/1/2013
0.44 1 9/1/2019 9/1/2019
0.29 1 12/1/2017 12/1/2017
0.17 1 6/1/2017 6/1/2017
0.03 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.26 2 9/1/2007 10/1/2007
-28.54 2 6/1/2007 7/1/2007
-12.56 4 5/1/2012 8/1/2012
-10.29 2 6/1/2013 7/1/2013
-9.46 2 2/1/2008 3/1/2008
-8.78 2 11/1/2014 12/1/2014
-8.67 1 12/1/2018 12/1/2018
-7.69 3 1/1/2012 3/1/2012
-6.94 2 9/1/2015 10/1/2015
-5.80 3 10/1/2010 12/1/2010
-5.78 3 7/1/2017 9/1/2017
-5.28 2 1/1/2014 2/1/2014
-4.38 1 5/1/2019 5/1/2019
-3.67 2 12/1/2009 1/1/2010
-3.07 1 12/1/2007 12/1/2007
-2.70 2 5/1/2014 6/1/2014
-2.66 1 10/1/2018 10/1/2018
-2.65 1 1/1/2013 1/1/2013
-2.61 1 12/1/2015 12/1/2015
-2.42 1 6/1/2010 6/1/2010
-2.39 2 7/1/2011 8/1/2011
-2.18 1 2/1/2019 2/1/2019
-2.04 1 3/1/2013 3/1/2013
-1.99 2 8/1/2014 9/1/2014
-1.97 1 2/1/2015 2/1/2015
-1.93 1 5/1/2009 5/1/2009
-1.49 1 11/1/2017 11/1/2017
-1.40 1 5/1/2016 5/1/2016
-1.36 1 2/1/2016 2/1/2016
-1.29 1 11/1/2008 11/1/2008
-1.25 1 12/1/2016 12/1/2016
-1.20 1 8/1/2018 8/1/2018
-1.19 1 1/1/2018 1/1/2018
-1.14 2 7/1/2019 8/1/2019
-1.02 1 2/1/2011 2/1/2011
-0.78 2 6/1/2015 7/1/2015
-0.55 1 9/1/2009 9/1/2009
-0.45 1 12/1/2006 12/1/2006
-0.38 1 11/1/2011 11/1/2011
-0.36 1 5/1/2018 5/1/2018
-0.33 2 8/1/2016 9/1/2016
-0.21 1 5/1/2017 5/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods154.00152.00149.00143.00137.00131.00119.00107.0095.00
Percent Profitable57.7965.1362.4262.2462.7770.9975.6381.3191.58
Average Period Return1.113.256.2112.6920.4526.8639.4851.1156.61
Average Gain4.137.5113.0423.9636.4241.7655.1464.7062.18
Average Loss-3.02-4.72-5.14-5.88-6.48-9.59-9.12-7.99-3.93
Best Period31.4356.6273.71112.95161.05174.60232.77309.48368.53
Worst Period-25.28-17.22-26.11-13.41-21.92-20.80-22.98-18.25-6.34
Standard Deviation6.4310.3714.7323.3335.4644.4562.1983.1190.03
Gain Standard Deviation6.0510.2114.4823.0536.1044.7864.0386.6692.13
Loss Standard Deviation4.304.094.823.345.135.795.824.871.79
Sharpe Ratio (1%)0.160.290.390.500.530.560.590.570.57
Average Gain / Average Loss1.371.592.534.075.624.356.048.1015.81
Profit / Loss Ratio1.872.974.216.719.4810.6518.7635.22171.93
Downside Deviation (10%)3.564.265.537.039.2711.4713.6215.0616.70
Downside Deviation (5%)3.433.794.534.695.776.976.645.622.86
Downside Deviation (0%)3.403.674.304.155.026.015.314.021.24
Sortino Ratio (10%)0.200.470.681.091.391.451.741.961.74
Sortino Ratio (5%)0.300.791.262.493.283.565.498.3717.98
Sortino Ratio (0%)0.330.881.443.064.074.477.4312.7245.62

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 3 6.69 4/2015
Systematic Trader Index Month 4 6.69 4/2015
IASG CTA Index Month 6 6.69 4/2015
IASG CTA Index 5 Year Rolling 7 212.13 2007 - 2012
IASG CTA Index 5 Year Rolling 4 368.53 2006 - 2011
Systematic Trader Index Month 6 6.50 5/2011
Diversified Trader Index Month 5 6.50 5/2011
Systematic Trader Index Month 2 14.70 1/2011
Diversified Trader Index Month 2 14.70 1/2011
IASG CTA Index Month 2 14.70 1/2011
IASG CTA Index 3 Year Rolling 9 163.60 2007 - 2010
IASG CTA Index Month 8 10.37 4/2010
Systematic Trader Index Month 6 10.37 4/2010
Diversified Trader Index Month 6 10.37 4/2010
IASG CTA Index 3 Year Rolling 3 213.89 2006 - 2009
Systematic Trader Index Month 2 6.06 3/2009
IASG CTA Index Month 7 6.06 3/2009
Diversified Trader Index Month 5 6.06 3/2009
IASG CTA Index Month 8 9.33 1/2009
Systematic Trader Index Month 6 9.33 1/2009
Diversified Trader Index Month 5 9.33 1/2009
Systematic Trader Index Month 9 11.70 6/2008
Diversified Trader Index Month 5 12.30 5/2008
Systematic Trader Index Month 5 12.30 5/2008
IASG CTA Index Month 5 12.30 5/2008
IASG CTA Index Month 3 10.25 4/2008
Systematic Trader Index Month 2 10.25 4/2008
Diversified Trader Index Month 1 10.25 4/2008
Diversified Trader Index Month 2 31.43 1/2008
IASG CTA Index Month 2 31.43 1/2008
Systematic Trader Index Month 2 31.43 1/2008
Systematic Trader Index Month 2 22.94 11/2007
Diversified Trader Index Month 2 22.94 11/2007
IASG CTA Index Month 2 22.94 11/2007
Diversified Trader Index Month 1 28.01 8/2007
Systematic Trader Index Month 1 28.01 8/2007
IASG CTA Index Month 2 28.01 8/2007
Diversified Trader Index Month 1 15.83 5/2007
IASG CTA Index Month 1 15.83 5/2007
Systematic Trader Index Month 1 15.83 5/2007
Systematic Trader Index Month 1 25.23 4/2007
Diversified Trader Index Month 1 25.23 4/2007
IASG CTA Index Month 2 25.23 4/2007
Systematic Trader Index Month 5 4.19 3/2007
Diversified Trader Index Month 4 4.19 3/2007
IASG CTA Index Month 6 4.19 3/2007
IASG CTA Index Month 2 12.28 2/2007
Diversified Trader Index Month 1 12.28 2/2007
Systematic Trader Index Month 1 12.28 2/2007

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