Emil van Essen : Spread Trading Program Limited

Year-to-Date
1.77%
Sep Performance
0.29%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.07%
Sharpe (RFR=1%)
0.10
CAROR
1.48%
Assets
$ 41.6M
Worst DD
-14.94
S&P Correlation
0.02

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
7/2013
Spread Trading Program Limited 0.29 -0.95 -1.77 -9.54 -9.30 8.52 - 9.65
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 74.79
+/- S&P 500 -1.43 -2.14 -20.50 -11.68 -45.19 -40.87 - -65.14

Strategy Description

Summary

The Emil van Essen Spread Trading Program Limited (STP Ltd.) seeks non-correlated alpha through the spread and relative value trading of exchange-listed figures and some options contracts. The program primarily trades commodities through calendar spreads. Outright commodities as well... 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
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Grains
13.00%
Softs
13.00%
Livestock
12.00%
Precious Metals
7.00%
Interest Rates
3.00%
VIX
2.00%
Composition Pie Chart

Summary

The Emil van Essen Spread Trading Program Limited (STP Ltd.) seeks non-correlated alpha through the spread and relative value trading of exchange-listed figures and some 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 July 2013. The STP Ltd. is differentiated from the standard Emil van Essen Spread Trading Program in that the Limited Program does not trade calendar spread options. The STP Ltd. therefore does not trade pari passu with the Spread Trading Program and it is possible that the performance of these two programs may vary significantly.

   

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
-14.94 28 - 4/1/2017 8/1/2019
-9.59 2 4 10/1/2014 12/1/2014
-7.25 1 12 1/1/0001 7/1/2013
-5.31 4 1 8/1/2015 12/1/2015
-1.12 1 1 11/1/2016 12/1/2016
-0.98 1 1 1/1/2016 2/1/2016
-0.94 1 1 4/1/2016 5/1/2016
-0.94 1 1 8/1/2014 9/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
18.20 8 1/1/2015 8/1/2015
9.39 6 6/1/2016 11/1/2016
8.19 1 1/1/2016 1/1/2016
7.71 5 8/1/2013 12/1/2013
5.96 2 3/1/2014 4/1/2014
5.83 2 7/1/2014 8/1/2014
4.48 4 1/1/2017 4/1/2017
3.67 2 3/1/2019 4/1/2019
3.23 3 2/1/2018 4/1/2018
3.13 2 3/1/2016 4/1/2016
1.76 1 1/1/2019 1/1/2019
1.64 1 10/1/2014 10/1/2014
1.34 1 9/1/2018 9/1/2018
1.22 1 11/1/2015 11/1/2015
0.90 2 6/1/2018 7/1/2018
0.63 1 10/1/2017 10/1/2017
0.29 1 9/1/2019 9/1/2019
0.14 1 12/1/2017 12/1/2017
0.10 2 6/1/2019 7/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.59 2 11/1/2014 12/1/2014
-7.91 3 10/1/2018 12/1/2018
-7.25 1 7/1/2013 7/1/2013
-6.62 5 5/1/2017 9/1/2017
-6.06 2 1/1/2014 2/1/2014
-4.29 2 9/1/2015 10/1/2015
-3.77 1 5/1/2019 5/1/2019
-3.08 2 5/1/2014 6/1/2014
-2.39 1 2/1/2019 2/1/2019
-2.25 1 12/1/2015 12/1/2015
-1.97 1 1/1/2018 1/1/2018
-1.60 1 11/1/2017 11/1/2017
-1.27 1 8/1/2018 8/1/2018
-1.25 1 8/1/2019 8/1/2019
-1.12 1 12/1/2016 12/1/2016
-0.98 1 2/1/2016 2/1/2016
-0.94 1 5/1/2016 5/1/2016
-0.94 1 9/1/2014 9/1/2014
-0.32 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods75.0073.0070.0064.0058.0052.0040.0028.00
Percent Profitable61.3360.2755.7159.3862.0775.0082.5096.43
Average Period Return0.160.621.273.125.558.6115.7517.85
Average Gain1.653.175.258.9612.6414.7220.1818.53
Average Loss-2.21-3.25-3.73-5.42-6.06-9.72-5.14-0.38
Best Period8.1910.1414.3618.3825.8132.6735.4737.18
Worst Period-8.98-8.11-8.30-9.54-12.84-13.73-9.53-0.38
Standard Deviation2.623.945.478.1710.9013.1112.888.94
Gain Standard Deviation1.642.463.554.837.148.519.168.36
Loss Standard Deviation2.072.242.532.443.264.013.90
Sharpe Ratio (1%)0.030.090.140.260.370.500.991.54
Average Gain / Average Loss0.750.981.411.652.091.513.9348.70
Profit / Loss Ratio1.181.481.772.423.414.5418.521314.86
Downside Deviation (10%)2.063.154.486.888.7710.599.738.71
Downside Deviation (5%)1.912.603.274.375.056.183.780.89
Downside Deviation (0%)1.872.472.993.784.215.232.630.07
Sortino Ratio (10%)-0.12-0.19-0.27-0.27-0.23-0.150.00-0.42
Sortino Ratio (5%)0.040.140.240.480.801.073.3715.50
Sortino Ratio (0%)0.080.250.430.831.321.656.00248.30

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 8 3.13 1/2017

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