Emil van Essen : Spread Trading Program Low Minimum

archived programsClosed to new investments
Year-to-Date
N / A
Mar Performance
-0.34%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
31.79%
Sharpe (RFR=1%)
0.87
CAROR
26.77%
Assets
$ 37.0M
Worst DD
-36.21
S&P Correlation
-0.09

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 Since
1/2007
Spread Trading Program Low Minimum -0.34 - - - - - 11.22 247.47
S&P 500 3.13 - - - - - 22.73 140.86
+/- S&P 500 -3.47 - - - - - -11.51 106.61

Strategy Description

Summary

-Important Update: On August 2008, the EVE spread trading program was split into a high and low minimum program while maintaining similar trading strategies for each program. On August 1, 2008 the high minimum program was deleveraged by 50% and on Sept 2, 2008 the low minimum program... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
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 Yes
Subscription Frequency
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 4000 RT/YR/$M
Avg. Margin-to-Equity 10%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Agricultural 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 20.00%
Systematic 80.00%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Energy
35.00%
Livestock
20.00%
Softs
20.00%
Precious Metals
10.00%
Grains
10.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

-Important Update: On August 2008, the EVE spread trading program was split into a high and low minimum program while maintaining similar trading strategies for each program. On August 1, 2008 the high minimum program was deleveraged by 50% and on Sept 2, 2008 the low minimum program was also deleveraged by 50%. In both cases most investors chose to double their allocation using notional funding in order to maintain the same positions levels.

Investment Strategy

The EMIL VAN ESSEN SPREAD TRADING PROGRAM enters spreads between different contract months in the same market. The spread trade uses a model that predicts the market affects of the rollover of positions by long only commodity funds. The strategy is unique, adaptable and attempts to avoid the very dangerous moves that spreads often make just before expiration. The markets traded may include Crude Oil, Heating Oil, Natural Gas, Corn, Wheat, Soybeans, Silver, Live Cattle, Lean Hogs, Sugar, Copper, and Coffee.

Risk Management

Low-Minimum
Pre-Deleverage August 2007 to September 2007: -35.89%
Post-Deleverage November 2007 to December 2007: -0.77

   

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:
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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:
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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
-36.21 5 7 5/1/2007 10/1/2007
-7.26 3 1 9/1/2010 12/1/2010
-3.77 2 1 5/1/2010 7/1/2010
-3.65 3 - 12/1/2011 3/1/2012
-3.18 2 3 11/1/2009 1/1/2010
-2.87 1 1 7/1/2008 8/1/2008
-2.71 1 2 4/1/2009 5/1/2009
-2.68 1 2 1/1/2011 2/1/2011
-2.10 2 2 7/1/2009 9/1/2009
-0.88 1 1 10/1/2008 11/1/2008
-0.59 1 2 6/1/2011 7/1/2011
-0.18 1 1 9/1/2011 10/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
74.49 5 1/1/2007 5/1/2007
40.79 4 4/1/2008 7/1/2008
31.43 1 1/1/2008 1/1/2008
28.01 1 8/1/2007 8/1/2007
23.42 5 12/1/2008 4/1/2009
22.94 1 11/1/2007 11/1/2007
14.55 4 2/1/2010 5/1/2010
12.78 1 1/1/2011 1/1/2011
9.02 4 3/1/2011 6/1/2011
5.82 2 8/1/2010 9/1/2010
4.45 2 9/1/2008 10/1/2008
3.71 2 6/1/2009 7/1/2009
2.69 2 10/1/2009 11/1/2009
2.00 2 11/1/2011 12/1/2011
1.60 2 8/1/2011 9/1/2011
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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
-9.46 2 2/1/2008 3/1/2008
-7.26 3 10/1/2010 12/1/2010
-3.77 2 6/1/2010 7/1/2010
-3.65 3 1/1/2012 3/1/2012
-3.18 2 12/1/2009 1/1/2010
-3.07 1 12/1/2007 12/1/2007
-2.87 1 8/1/2008 8/1/2008
-2.71 1 5/1/2009 5/1/2009
-2.68 1 2/1/2011 2/1/2011
-2.10 2 8/1/2009 9/1/2009
-0.88 1 11/1/2008 11/1/2008
-0.59 1 7/1/2011 7/1/2011
-0.18 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable60.3275.4182.76100.00100.00100.00100.00100.00
Average Period Return2.396.8912.5828.2545.5161.1896.60157.70
Average Gain6.7411.0416.5328.2545.5161.1896.60157.70
Average Loss-4.21-5.83-6.37
Best Period31.4356.6264.58102.55147.79148.40181.15221.43
Worst Period-25.28-17.22-26.111.966.8719.9126.9598.83
Standard Deviation9.1814.0616.7524.4737.1041.3044.1140.41
Gain Standard Deviation8.2313.4815.2024.4737.1041.3044.1140.41
Loss Standard Deviation6.145.759.36
Sharpe Ratio (1%)0.250.470.721.111.191.432.123.80
Average Gain / Average Loss1.601.892.60
Profit / Loss Ratio2.435.8112.46
Downside Deviation (10%)4.784.465.220.420.11
Downside Deviation (5%)4.664.084.66
Downside Deviation (0%)4.633.994.54
Sortino Ratio (10%)0.421.271.9455.07355.27
Sortino Ratio (5%)0.501.632.59
Sortino Ratio (0%)0.521.732.77

Top Performer Badges

Index Award Type Rank Performance Period

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