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Emil van Essen, LLC

Spread Trading program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20173.42%0.11%0.56%0.87%-0.21%0.17%-0.65%-0.70%    3.56%
20167.13%-1.36%2.50%0.12%-1.40%2.86%3.68%-0.11%-0.22%0.46%1.61%-1.25%14.57%
20151.91%-1.97%6.03%6.32%0.86%-0.23%-0.55%1.40%-5.32%-1.71%2.48%-2.61%6.15%
2014-4.92%-0.38%1.37%3.18%-1.77%-0.95%6.37%-1.59%-0.41%1.53%-0.35%-8.46%-6.93%
2013-2.65%0.53%-2.04%0.46%1.60%-4.21%-6.35%1.39%3.26%0.02%0.34%1.53%-6.36%
2012-0.65%-4.51%-2.70%5.24%-1.81%-2.55%-8.00%-0.67%1.49%1.41%0.81%0.27%-11.63%
201114.70%-1.02%2.25%0.52%6.50%2.69%-0.46%-1.94%3.47%1.14%-0.38%3.18%33.99%
2010-3.62%4.82%0.56%10.37%2.24%-2.42%0.57%4.40%0.69%-0.21%-4.04%-1.63%11.40%
20099.33%1.35%6.06%1.47%-1.93%2.66%1.80%0.06%-0.55%3.14%2.74%-0.05%28.81%
200831.43%-5.85%-3.83%10.25%12.30%11.70%1.80%1.38%3.75%1.41%-1.29%4.14%83.70%
20072.83%12.28%4.19%25.23%15.83%-20.86%-9.70%28.01%-25.28%-6.67%22.94%-3.07%32.65%
2006           -0.45%-0.45%

Performance statistics — Dec 2006 to Aug 2017

Cumulative total return 352.42%
Annualized compound return 15.07%
Annualized standard deviation 23.87%
Monthly correlation to S&P 500 TRI -0.10
Annualized sharpe ratio (0%) 0.68
Monthly maximum loss (Sep 2007) -25.28%
Maximum drawdown (Jun 2007 - Oct 2007) -36.21%

Annual performance (%) — Dec 2006 to Aug 2017

Year or YTD Emil van Essen, LLC S&P 500 TRIBTOP50 Index
20173.5611.93-2.39
201614.5711.96-4.44
20156.151.38-0.92
2014-6.9313.6912.33
2013-6.3632.390.74
2012-11.6316.00-1.83
201133.992.11-4.25
201011.4015.066.38
200928.8126.46-4.77
200883.70-37.0013.58
200732.655.497.57
2006-0.45--

Performance comparison: Growth of $10,000 invested since inception — Dec 2006 to Aug 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Oct 2007 to Aug 2017

Distribution of monthly returns — Dec 2006 to Aug 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

Underwater curve — Dec 2006 to Aug 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

In 2006, Mr. van Essen founded the Spreading Trading Program, which remains the company’s flagship program. Emil van Essen LLC became registered as a commodity trading advisor and NFA member in August of 2008, and as a commodity pool operator in March of 2011.

Investment goal

Seeks profit though the spread trading of exchange-listed futures.

Markets traded

Commodities (primary), Interest rates, equity futures.

Strategy

The Emil van Essen Spread Trading Program seeks profit through the spread trading of exchange-listed futures and options contracts. The program primarily trades commodities through calendar spreads, inter-commodity spreads, and relative value trades.  Interest rate, equity volatility, and other futures spread and relative value trades are also included.  Quantitative research and significant discretion are employed with the goal of generating strong, uncorrelated returns in various market environments. The program typically has a low to negative correlation to traditional benchmarks including CTA, commodity and stock indices with a track record dating back to December 2006.

Key personnel

Emil Van Essen, CEO and Portfolio Manager — Emil van Essen, CEO: Emil van Essen is the CEO and Portfolio Manager of Van Essen. He determines the strategic direction of the firm and focuses on strategy development, research, and trading. Mr. van Essen has 25 years of trading and quantitative modeling experience.  Drawing on his depth of experience in the markets, Mr. Emil van Essen has spoken at numerous conferences in the US. and internationally, participated in panel presentations, and has authored two books on futures trading.

Mr. van Essen studied honors mathematics at the University of Waterloo in Ontario from 1983 to 1986.  He then left the University of Waterloo to accept a highly regarded position at Prudential Bache Securities, where he created option trading strategies for institutions.  Mr. van Essen became one of the youngest brokers to qualify for Vice-Presidency and to be accepted into Prudential’s elite International Presidents Club. At Scotia McLeod and Bank of Montreal. Mr. van Essen tested and developed proprietary trading models.  He established the first systematic, model driven, proprietary trading group at Bank of Montreal and was the first Director of Managed Futures.  As the Director of Managed Futures, he tested and developed a CTA selection model.

In 1997, Mr. van Essen became a registered CTA and began hedging CTA Portfolios for a large family office in Chicago.  While working with the family office, Mr. van Essen was the Director at Abacus Fund Management, a multi-manager CTA fund, and President of Vankar Trading Corp, a brokerage firm.  He has divested his interest in Abacus and Vankar to devote all of his time and resources to Van Essen.  In 2006, Mr. van Essen founded the Spreading Trading Program, which remains the company’s flagship program.

 

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656