Emil van Essen : Spread Trading Program Low Minimum Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since1/2007 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% Composition Energy 35.00% Livestock 20.00% Softs 20.00% Precious Metals 10.00% Grains 10.00% Industrial Metals 5.00% 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 StrategyThe 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 ManagementLow-Minimum Pre-Deleverage August 2007 to September 2007: -35.89% Post-Deleverage November 2007 to December 2007: -0.77 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 -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 Show More 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 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 -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 Show More 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. x {{title}} x {{title}} Add Cancel