Emil van Essen

Multi-Strategy Program

Year-to-Date
N/A
Minimum Investment
$ 6,000,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 7.36%
Sharpe (RFR=1%) -0.16
CAROR -0.48%
Assets $9,000,000
Worst Drawdown -26.62
S&P Correlation 0.08

Summary

The Multi-Strategy Program (MSP) is an approximate 50/50 combination of the Spread Trading Program (STP) and the Long-Short Commodity Program (LSCP). STP seeks non-correlated alpha through the spread and relative value trading of exchange-listed futures and options that are primarily commodity contracts. Quantitative research and significant discretion are used in trade selection and execution. The LSCP is a short to medium-term systematic program with a discretionary overlay that trades outright positions on 13 exchange-listed commodity futures contracts.  The program uses multiple trend models on both outright and calendar spread data and analyzes historical spread levels to generate daily trade signals. The MSP is designed to generate returns that have a low to negative correlation to most CTA and commodity programs.