Emil van Essen : Spread Trading Program

Year-to-Date: 3.09%
Dec Performance: 3.23%

Min Investment: $ 5,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 22.13%
Sharpe (RFR=1%): 0.54
CAROR: 11.11%

Assets: $ 8.0M
Worst DD: -36.21
S&P Correlation: -0.06

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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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 12/2006
Spread Trading Program	3.23	-2.15	-3.09	-3.09	-9.21	10.41	26.92	296.61
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	125.44
+/- S&P 500	0.37	-10.69	-31.96	-31.96	-52.05	-44.92	-159.81	171.17

Strategy Description

Summary

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%

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

Compare to:

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Index: Chart Type:

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:

Monthly Annual

Reward
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Risk
Standard Deviation:
Worst Loss:
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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

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
3.23	1	12/1/2019	12/1/2019
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

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
-5.22	2	10/1/2019	11/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	157.00	155.00	152.00	146.00	140.00	134.00	122.00	110.00	98.00
Percent Profitable	57.32	63.87	61.18	60.96	61.43	69.40	73.77	80.91	89.80
Average Period Return	1.08	3.11	5.97	12.25	19.79	26.06	38.24	49.75	54.94
Average Gain	4.12	7.51	13.04	23.96	36.42	41.76	55.14	63.30	61.59
Average Loss	-3.01	-4.68	-5.17	-6.03	-6.68	-9.56	-9.31	-7.70	-3.53
Best Period	31.43	56.62	73.71	112.95	161.05	174.60	232.77	309.48	368.53
Worst Period	-25.28	-17.22	-26.11	-14.26	-21.92	-20.80	-22.98	-18.25	-6.34
Standard Deviation	6.39	10.32	14.68	23.29	35.36	44.27	61.92	82.37	89.13
Gain Standard Deviation	6.02	10.21	14.48	23.05	36.10	44.78	64.03	86.17	91.76
Loss Standard Deviation	4.25	3.99	4.72	3.47	5.06	5.58	5.58	4.93	1.80
Sharpe Ratio (1%)	0.16	0.28	0.37	0.48	0.52	0.54	0.57	0.55	0.56
Average Gain / Average Loss	1.37	1.61	2.52	3.97	5.45	4.37	5.92	8.22	17.47
Profit / Loss Ratio	1.84	2.84	3.98	6.20	8.68	9.91	16.65	34.84	153.70
Downside Deviation (10%)	3.54	4.28	5.60	7.26	9.54	11.71	14.10	15.23	17.07
Downside Deviation (5%)	3.41	3.80	4.58	4.89	5.96	7.09	6.93	5.58	2.99
Downside Deviation (0%)	3.38	3.68	4.35	4.34	5.19	6.10	5.54	3.97	1.25
Sortino Ratio (10%)	0.19	0.44	0.63	1.00	1.28	1.35	1.59	1.85	1.60
Sortino Ratio (5%)	0.29	0.75	1.19	2.30	3.07	3.39	5.08	8.19	16.66
Sortino Ratio (0%)	0.32	0.84	1.37	2.82	3.82	4.27	6.90	12.54	43.89

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.

^#3

Top Performer

DIVERSIFIED TRADER INDEX

APRIL
2015

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More Programs by Emil van Essen

Program Name	CAROR
Spread Trading Program	11.11%
Global Tactical Allocation Program (GTAP)	6.34%
Long-Short Commodity Program - Accelerated	2.75%
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Multi-Strategy Program	-0.48%
Long-Short Commodity Program	-1.45%

IASG Activity

Blends 137
Portfolios 37
Watchlists 94

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Emil van Essen : Spread Trading Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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