Emil van Essen : Spread/Index Trading Program

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-0.16%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.26%
Sharpe (RFR=1%)
1.26
CAROR
15.57%
Assets
$ 5.0M
Worst DD
-6.28
S&P Correlation
-0.13

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
2/2008
Spread/Index Trading Program -0.16 - - - - - 9.56 76.26
S&P 500 0.85 - - - - - 9.52 150.13
+/- S&P 500 -1.01 - - - - - 0.04 -73.87

Strategy Description

Summary

As the name implies, the Spread/Index Program was established by combining a modified version of our Flagship spread trading program with a portfolio of our most profitable short term Index trading systems. The Spread Program component is derived from our established CTA program with... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
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 Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 11200 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD -6.28%
Worst Peak-to-Trough 6.28%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Composition

Summary

As the name implies, the Spread/Index Program was established by combining a modified version of our Flagship spread trading program with a portfolio of our most profitable short term Index trading systems. The Spread Program component is derived from our established CTA program with profitable results in both 2007 and 2008 and over $37 million AUM. The index programs are a portfolio of short term proprietary index trading systems that have been traded extensively and comprise a diverse group of styles and different indexes. Each index system in the portfolio has been traded with real money for between one and seven years. The allocation to each system within the portfolio is dependent on that system’s results, the correlation to the other systems in the portfolio and the length of the track record trading actual money. The two components were combined because they showed low to negative correlation to each other and tended to offset the drawdowns of the other component. The Spread Index Program is designed to have lower risk and significantly lower drawdowns than the Spread Trading Program alone.

   

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
-6.28 10 5 5/1/2009 3/1/2010
-4.83 1 1 3/1/2009 4/1/2009
-4.36 2 2 1/1/0001 3/1/2008
-2.66 1 1 7/1/2008 8/1/2008
-2.65 2 1 10/1/2010 12/1/2010
-1.24 1 2 3/1/2011 4/1/2011
-1.18 1 1 1/1/2011 2/1/2011
-0.18 2 - 10/1/2011 12/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
42.08 7 9/1/2008 3/1/2009
19.03 4 4/1/2008 7/1/2008
6.77 6 5/1/2011 10/1/2011
6.51 1 1/1/2011 1/1/2011
6.35 1 5/1/2009 5/1/2009
6.30 4 7/1/2010 10/1/2010
5.98 1 4/1/2010 4/1/2010
1.42 1 3/1/2011 3/1/2011
1.10 1 2/1/2010 2/1/2010
0.99 1 9/1/2009 9/1/2009
0.19 1 11/1/2009 11/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.83 1 4/1/2009 4/1/2009
-4.36 2 2/1/2008 3/1/2008
-4.22 2 5/1/2010 6/1/2010
-2.98 3 6/1/2009 8/1/2009
-2.66 1 8/1/2008 8/1/2008
-2.65 2 11/1/2010 12/1/2010
-2.35 1 10/1/2009 10/1/2009
-2.19 2 12/1/2009 1/1/2010
-1.24 1 4/1/2011 4/1/2011
-1.18 1 2/1/2011 2/1/2011
-1.13 1 3/1/2010 3/1/2010
-0.18 2 11/1/2011 12/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable59.5771.1183.3388.8993.33100.00
Average Period Return1.264.168.6416.8021.2826.46
Average Gain3.206.5410.9619.2822.8326.46
Average Loss-1.58-1.70-2.96-3.03-0.33
Best Period8.8217.1630.6864.6163.2560.14
Worst Period-4.83-3.19-5.13-5.14-0.664.36
Standard Deviation3.255.7010.2618.6218.7618.22
Gain Standard Deviation2.755.069.6518.2718.4618.22
Loss Standard Deviation1.130.911.921.910.46
Sharpe Ratio (1%)0.360.690.790.851.051.34
Average Gain / Average Loss2.023.843.706.3669.34
Profit / Loss Ratio2.979.4518.5050.92970.76
Downside Deviation (10%)1.451.652.342.792.291.50
Downside Deviation (5%)1.271.151.591.450.48
Downside Deviation (0%)1.221.031.411.150.12
Sortino Ratio (10%)0.591.782.644.235.9710.81
Sortino Ratio (5%)0.933.405.1310.8841.14
Sortino Ratio (0%)1.034.046.1314.60177.39

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.