Emil Van Essen, LLC

Global Tactical Allocation Program (GTAP) *QEP* *Pro Forma*


Monthly Performance (%)

Date Range: 03/17 - 10/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.49 0.95 -1.27 0.45 -0.53 1.15 2.49 0.52 -0.86 -0.99   3.38 
2019 0.96 0.14 3.05 0.87 -1.41 4.09 0.49 2.29 -1.15 -0.63 0.02 -0.06  8.85 
2018 2.48 -3.23 -0.32 0.01 0.13 0.37 0.52 0.22 1.84 -2.40 0.21 0.08  -0.22 
2017 0.11 0.45 -1.26 1.16 1.88 0.27 3.73 1.21 1.42  9.25 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The Global Tactical Allocation Program (GTAP) combines a systematic risk parity approach to asset allocation that seeks to balance risk across the major asset classes throughout the economic cycle together with a systematic tactical strategy that seeks to minimize downside risk by dynamically reducing or flattening individual asset exposure when quantitive indicators anticipate longer-term negative performance in that particular asset. GTAP is a managed futures program trading only the most liquid exchange traded global futures markets in Asia, Europe and the USA with exposure in stocks, bonds, interest rates, currencies, energies and metals. GTAP targets a long-term annualized volatility of approximately 7% with an average futures margin-to- equity ratio of approximately 6%. Core positions tend to be held long-term with a low portfolio turnover.

Performance Statistics

Date Range: 03/17 - 10/20
  Program S&P 500 Coquest 40 
Total Return 22.67% 48.61% -0.36% 
Annualized Return 5.87% 11.41% -0.10% 
Annualized Std. Deviation 5.07% 15.97% 7.18% 
Correlation 0.44 0.75 
Sharpe Ratio (rf=2.5%) 0.66 0.56 -0.36 
Worst Month -3.23% -12.35% -6.10% 
Date of Worst Month 02/2018 03/2020 02/2018 
Worst Drawdown -3.54% -19.60% -9.14% 
Date of Worst Drawdown 1/18 - 4/18 12/19 - 3/20 1/18 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 03/17 - 10/20
Year or YTD Program S&P 500 Coquest 40 
2020 3.38 2.77 -3.54 
2019 8.85 31.50 7.53 
2018 -0.22 -4.38 -4.29 
2017 9.25 14.87 1.86 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 03/17 - 10/20
Date: 10/31/2020
Perf: $1,011.21 Date: 9/30/2020
Perf: $1,014.46 Date: 8/31/2020
Perf: $1,029.49 Date: 7/31/2020
Perf: $1,041.26 Date: 6/30/2020
Perf: $1,021.74 Date: 5/31/2020
Perf: $1,034.99 Date: 4/30/2020
Perf: $1,047.24 Date: 3/31/2020
Perf: $1,043.80 Date: 2/29/2020
Perf: $1,043.17 Date: 1/31/2020
Perf: $1,058.95 Date: 12/31/2019
Perf: $1,048.36 Date: 11/30/2019
Perf: $1,054.90 Date: 10/31/2019
Perf: $1,044.66 Date: 9/30/2019
Perf: $1,068.27 Date: 8/31/2019
Perf: $1,098.71 Date: 7/31/2019
Perf: $1,060.32 Date: 6/30/2019
Perf: $1,025.36 Date: 5/31/2019
Perf: $1,005.25 Date: 4/30/2019
Perf: $1,025.35 Date: 3/31/2019
Perf: $997.91 Date: 2/28/2019
Perf: $963.32 Date: 1/31/2019
Perf: $957.20 Date: 12/31/2018
Perf: $974.94 Date: 11/30/2018
Perf: $970.86 Date: 10/31/2018
Perf: $982.66 Date: 9/30/2018
Perf: $1,007.54 Date: 8/31/2018
Perf: $1,012.10 Date: 7/31/2018
Perf: $986.93 Date: 6/30/2018
Perf: $994.39 Date: 5/31/2018
Perf: $986.11 Date: 4/30/2018
Perf: $998.99 Date: 3/31/2018
Perf: $988.32 Date: 2/28/2018
Perf: $989.21 Date: 1/31/2018
Perf: $1,053.47 Date: 12/31/2017
Perf: $1,018.63 Date: 11/30/2017
Perf: $1,007.65 Date: 10/31/2017
Perf: $1,006.34 Date: 9/30/2017
Perf: $965.87 Date: 8/31/2017
Perf: $986.69 Date: 7/31/2017
Perf: $970.58 Date: 6/30/2017
Perf: $966.81 Date: 5/31/2017
Perf: $995.89 Date: 4/30/2017
Perf: $994.00 Date: 3/31/2017
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,484.34 Date: 9/30/2020
Perf: $1,524.91 Date: 8/31/2020
Perf: $1,585.14 Date: 7/31/2020
Perf: $1,478.82 Date: 6/30/2020
Perf: $1,399.86 Date: 5/31/2020
Perf: $1,372.55 Date: 4/30/2020
Perf: $1,310.18 Date: 3/31/2020
Perf: $1,161.31 Date: 2/29/2020
Perf: $1,324.93 Date: 1/31/2020
Perf: $1,443.76 Date: 12/31/2019
Perf: $1,444.33 Date: 11/30/2019
Perf: $1,401.99 Date: 10/31/2019
Perf: $1,352.88 Date: 9/30/2019
Perf: $1,324.15 Date: 8/31/2019
Perf: $1,299.84 Date: 7/31/2019
Perf: $1,320.71 Date: 6/30/2019
Perf: $1,301.96 Date: 5/31/2019
Perf: $1,216.22 Date: 4/30/2019
Perf: $1,298.68 Date: 3/31/2019
Perf: $1,248.14 Date: 2/28/2019
Perf: $1,224.38 Date: 1/31/2019
Perf: $1,186.30 Date: 12/31/2018
Perf: $1,098.33 Date: 11/30/2018
Perf: $1,207.35 Date: 10/31/2018
Perf: $1,183.21 Date: 9/30/2018
Perf: $1,270.09 Date: 8/31/2018
Perf: $1,262.89 Date: 7/31/2018
Perf: $1,223.02 Date: 6/30/2018
Perf: $1,179.15 Date: 5/31/2018
Perf: $1,171.89 Date: 4/30/2018
Perf: $1,144.31 Date: 3/31/2018
Perf: $1,139.98 Date: 2/28/2018
Perf: $1,169.69 Date: 1/31/2018
Perf: $1,214.50 Date: 12/31/2017
Perf: $1,148.68 Date: 11/30/2017
Perf: $1,136.07 Date: 10/31/2017
Perf: $1,102.23 Date: 9/30/2017
Perf: $1,077.14 Date: 8/31/2017
Perf: $1,055.40 Date: 7/31/2017
Perf: $1,052.13 Date: 6/30/2017
Perf: $1,030.90 Date: 5/31/2017
Perf: $1,024.55 Date: 4/30/2017
Perf: $1,010.30 Date: 3/31/2017
Perf: $1,000.00 Date: 10/31/2020
Perf: $1,226.72 Date: 9/30/2020
Perf: $1,238.99 Date: 8/31/2020
Perf: $1,249.73 Date: 7/31/2020
Perf: $1,243.27 Date: 6/30/2020
Perf: $1,213.06 Date: 5/31/2020
Perf: $1,199.27 Date: 4/30/2020
Perf: $1,205.66 Date: 3/31/2020
Perf: $1,200.26 Date: 2/29/2020
Perf: $1,215.70 Date: 1/31/2020
Perf: $1,204.26 Date: 12/31/2019
Perf: $1,186.58 Date: 11/30/2019
Perf: $1,187.29 Date: 10/31/2019
Perf: $1,187.05 Date: 9/30/2019
Perf: $1,194.58 Date: 8/31/2019
Perf: $1,208.48 Date: 7/31/2019
Perf: $1,181.42 Date: 6/30/2019
Perf: $1,175.66 Date: 5/31/2019
Perf: $1,129.47 Date: 4/30/2019
Perf: $1,145.62 Date: 3/31/2019
Perf: $1,135.74 Date: 2/28/2019
Perf: $1,102.12 Date: 1/31/2019
Perf: $1,100.58 Date: 12/31/2018
Perf: $1,090.12 Date: 11/30/2018
Perf: $1,089.25 Date: 10/31/2018
Perf: $1,086.96 Date: 9/30/2018
Perf: $1,113.69 Date: 8/31/2018
Perf: $1,093.57 Date: 7/31/2018
Perf: $1,091.17 Date: 6/30/2018
Perf: $1,085.53 Date: 5/31/2018
Perf: $1,081.52 Date: 4/30/2018
Perf: $1,080.12 Date: 3/31/2018
Perf: $1,080.01 Date: 2/28/2018
Perf: $1,083.48 Date: 1/31/2018
Perf: $1,119.64 Date: 12/31/2017
Perf: $1,092.55 Date: 11/30/2017
Perf: $1,077.25 Date: 10/31/2017
Perf: $1,064.37 Date: 9/30/2017
Perf: $1,026.10 Date: 8/31/2017
Perf: $1,023.34 Date: 7/31/2017
Perf: $1,004.45 Date: 6/30/2017
Perf: $992.93 Date: 5/31/2017
Perf: $1,005.61 Date: 4/30/2017
Perf: $1,001.10 Date: 3/31/2017
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 03/17 - 10/20
Date: 10/31/2020
Return: -0.99 % Date: 9/30/2020
Return: -0.86 % Date: 8/31/2020
Return: 0.52 % Date: 7/31/2020
Return: 2.49 % Date: 6/30/2020
Return: 1.15 % Date: 5/31/2020
Return: -0.53 % Date: 4/30/2020
Return: 0.45 % Date: 3/31/2020
Return: -1.27 % Date: 2/29/2020
Return: 0.95 % Date: 1/31/2020
Return: 1.49 % Date: 12/31/2019
Return: -0.06 % Date: 11/30/2019
Return: 0.02 % Date: 10/31/2019
Return: -0.63 % Date: 9/30/2019
Return: -1.15 % Date: 8/31/2019
Return: 2.29 % Date: 7/31/2019
Return: 0.49 % Date: 6/30/2019
Return: 4.09 % Date: 5/31/2019
Return: -1.41 % Date: 4/30/2019
Return: 0.87 % Date: 3/31/2019
Return: 3.05 % Date: 2/28/2019
Return: 0.14 % Date: 1/31/2019
Return: 0.96 % Date: 12/31/2018
Return: 0.08 % Date: 11/30/2018
Return: 0.21 % Date: 10/31/2018
Return: -2.40 % Date: 9/30/2018
Return: 1.84 % Date: 8/31/2018
Return: 0.22 % Date: 7/31/2018
Return: 0.52 % Date: 6/30/2018
Return: 0.37 % Date: 5/31/2018
Return: 0.13 % Date: 4/30/2018
Return: 0.01 % Date: 3/31/2018
Return: -0.32 % Date: 2/28/2018
Return: -3.23 % Date: 1/31/2018
Return: 2.48 % Date: 12/31/2017
Return: 1.42 % Date: 11/30/2017
Return: 1.21 % Date: 10/31/2017
Return: 3.73 % Date: 9/30/2017
Return: 0.27 % Date: 8/31/2017
Return: 1.88 % Date: 7/31/2017
Return: 1.16 % Date: 6/30/2017
Return: -1.26 % Date: 5/31/2017
Return: 0.45 % Date: 4/30/2017
Return: 0.11 % Date: 3/31/2017
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 03/17 - 10/20
Return: 3.00 %
Count: 1 Return: -2.00 %
Count: 1 Return: -3.00 %
Count: 1 Return: 4.00 %
Count: 2 Return: 2.00 %
Count: 5 Return: 1.00 %
Count: 10 Return: -1.00 %
Count: 8 Return: 0.00 %
Count: 16

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 03/17 - 10/20
Date: 10/31/2020
Drawdown: -1.84 % Date: 9/30/2020
Drawdown: -0.86 % Date: 8/31/2020
Drawdown: 0.00 % Date: 7/31/2020
Drawdown: 0.00 % Date: 6/30/2020
Drawdown: -0.22 % Date: 5/31/2020
Drawdown: -1.35 % Date: 4/30/2020
Drawdown: -0.83 % Date: 3/31/2020
Drawdown: -1.27 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -0.35 % Date: 12/31/2019
Drawdown: -1.81 % Date: 11/30/2019
Drawdown: -1.75 % Date: 10/31/2019
Drawdown: -1.77 % Date: 9/30/2019
Drawdown: -1.15 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: 0.00 % Date: 6/30/2019
Drawdown: 0.00 % Date: 5/31/2019
Drawdown: -1.41 % Date: 4/30/2019
Drawdown: 0.00 % Date: 3/31/2019
Drawdown: 0.00 % Date: 2/28/2019
Drawdown: -1.56 % Date: 1/31/2019
Drawdown: -1.70 % Date: 12/31/2018
Drawdown: -2.64 % Date: 11/30/2018
Drawdown: -2.71 % Date: 10/31/2018
Drawdown: -2.92 % Date: 9/30/2018
Drawdown: -0.53 % Date: 8/31/2018
Drawdown: -2.33 % Date: 7/31/2018
Drawdown: -2.54 % Date: 6/30/2018
Drawdown: -3.05 % Date: 5/31/2018
Drawdown: -3.40 % Date: 4/30/2018
Drawdown: -3.53 % Date: 3/31/2018
Drawdown: -3.54 % Date: 2/28/2018
Drawdown: -3.23 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: -0.11 % Date: 6/30/2017
Drawdown: -1.26 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Emil Van Essen, LLC
Address: 425 S Financial Place, Suite 910E
City: Chicago
State: IL
Zip: 60605
Country: USA

Key People

Name:  Emil Van Essen
Position:  Principal
Biography: 

Emil van Essen is the CIO & CEO of EMIL VAN ESSEN LLC a registered CTA. Emil has more than 20 years of experience in the futures industry in both Canada and the U.S. Additionally, he has been a registered Commodity Trading Advisor since 1997. His positions in the futures industry have included being an Institutional Futures Specialist for Prudential Securities, Director of Quantitative Futures Analysis at REFCO Global Ltd. LLC, Chicago, and Director of Managed Futures for the Bank of Montreal in Toronto, Canada. At Bank of Montreal, Mr. van Essen established its managed futures operations and began testing and developing a Commodity Trading Advisor (CTA) selection model. Emil studied honors mathematics at the University of Waterloo in Waterloo, Ontario from 1983 to 1986. Emil left the University of Waterloo to accept a highly regarded position at Prudential Bache Securities where he became one of the youngest brokers to qualify for Vice-Presidency and to be accepted into Prudential's elite International Presidents Club. He holds a Series 3 license. Emil has been a member of Mensa, has won awards for achievement in mathematics, and has authored two books on systematic futures trading.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Quantitative Analysis Yes 
 Long Bias Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Long Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $2,000,000 
 Margin / Equity Ratio: 5% 
 Managed Account Availability: Open 
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