Emil van Essen Spread Trading Program
The Spread Trading Program of Emil van Essen identifies non-correlated alpha by using spread and relative value strategies in its trading. Commodities are traded based on spreads in the calendar. Also included are outright and inter-commodity spreads, equity volatility and interest rates.
To generate positive returns, research and discretion are used for different market scenarios. The STP has a negative to low correlation to CTA and other benchmarks, including commodity and stock indices since 2006.
The STP is a program that is managed discretionary and makes use of spread trading. It started on December 2006. As of December 31, 2014, the firm’s AUM is at $140 million. It is located in Chicago, IL. Principal is Emil van Essen.
In 2006, the Spread Trading Program was founded by Emil van Essen. It is the firm’s major program. The firm was registered as a CTA and became a member of the NFA in 2008. It became a CPA in 2011.
Goals in Investment
The goal of Emil van Essen is to use spread trading of futures that are exchange listed to gain profit.
Equity futures, interest rates and primary commodities are being traded.
Emil van Essen Strategy
The Emil van Essen uses spread trading of futures and options contract to gain profit. Trades of commodities via calendar spreads, relative value trades and inter-commodity trades are done. Aside from these, interest rates, futures spread and equity volatility are also included. It makes use of discretion and quantitative research. The goal is to create uncorrelated returns in different market environments.
Emil van Essen
Emil van Essen is the Chief Executive Officer and Portfolio Manager of the firm. He helms the firm’s strategic decision-making processes. His focus is on trading, researching and developing strategies. With 25 years of experience in quantitative modeling and trading, he uses his expertise on the markets. He is a speaker and panel presenter in US and international conferences and an author of two futures trading books.
He graduated in 1986 with honors at the University of Waterloo in Ontario with a degree in Mathematics. He created strategies for options trading for institutions at the Prudential Bache Securities.
Emil van Essen was one of the youngest brokers to become Vice President and become part of the International President’s Club. He also developed proprietary models for the Scotia McLeod and Bank of Montreal. As the first Director of Managed Futures, he installed the first systematic and model driven program. He also developed a CTA selection model.
In Chicago, he was CTA registered and hedged portfolios. He was the Director at Abacus Fund Management, President of Vankar Trading Corp and a multi-manager CTA fund. Later, he divested all his interests in these last two firms and founded the Emil van Essen.
2006 to 2014 Performance Statistics
Emil van Essen has a cumulative total return of 288.54%. Annualized compound return is at 18.49%. Annualized standard deviation is at 26.93%. Monthly correlation to S&P 500 TRI is at -0.10. Annualized sharpe ratio (0%) is at 0.76. September 207 monthly maximum loss is at -25.28% From May to October 2007, there is a maximum drawdown of -36.21%.