Emil van Essen : Spread Trading Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -1.17% 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 -0.03 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since12/2006 Spread Trading Program -1.17 - - - -23.02 -22.92 -24.20 235.16 S&P 500 -12.51 - - - 8.28 23.72 118.73 216.65 +/- S&P 500 11.34 - - - -31.30 -46.63 -142.93 18.52 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 ManagementHigh-Minimum Pre-Deleverage August 2007 to September 2007: -35.89% Post-Deleverage November 2007 to December 2007: -0.90 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 -36.21 5 7 5/1/2007 10/1/2007 -28.14 99 - 12/1/2011 3/1/2020 -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 Show More 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 Show More 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 -15.49 3 1/1/2020 3/1/2020 -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 Show More 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 7 212.13 2007 - 2012 IASG CTA Index 5 Year 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 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 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. x {{title}} x {{title}} Add Cancel