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Trading Strategy: S to M-Term / Systematic / Disc. Overlay
4.7 Exempt - QEPs Only
Program Description: The EvE LSCP-Accelerated is a short to medium-term systematic program that trades outright positions on 20 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. Trade signal generation is fully systematic, however, in rare instances the PM will exercise discretion regarding where in the term structure the trade signal will be executed and to overweight or underweight positions based on inter-commodity relationships. The program has a deleveraging component that will systematically reduce position sizes at the portfolio level after periods of rapid gains. The program is designed to generate returns that have a low to negative correlation to most CTA and commodity programs including our EVE Spread Trading Program. Compared to the standard LSCP, the Accelerated program will typically have higher leverage and larger relative position sizing based on the lower threshold required to take on a position. The deleveraging and leveraging component of the LSCP would not have as large of an impact in the Accelerated Program because of this factor. However, it will still add value by reducing the size of the positions in the portfolio after large run ups in performance.
Returns are net of our pro forma fees (2% management, 20% incentive).
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | -5.16% | 0.22% | 1.01% | 1.40% | -6.33% | -1.17% | -1.27% | -5.84% | -5.63% | -2.73% | 3.18% | -1.21% |
2020 | 0.11% | -4.81% | 19.84% | 9.84% | -2.62% | 2.80% | -15.22% | -1.79% | -10.39% | -14.33% | 6.40% | 10.69% |
2021 | -2.14% | 15.08% | -1.31% | 0.60% | -16.11% | 10.12% | 8.93% | 14.19% | -3.62% | 12.59% | 15.01% | -0.53% |
2022 | 12.34% | 3.69% | 37.58% | 0.53% | 0.51% | 12.80% | -18.84% | 3.53% | -6.26% | 14.00% | -4.99% | 11.93% |
2023 | -0.56% | -0.49% | -1.42% | 2.56% | -1.76% | -2.06% | 5.98% | -1.63% | -2.42% | -12.55% | -5.82% | -4.76% |
2024 | 2.37% | -3.73% | -2.66% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | -21.62% | -5.47% | 59.49% | 74.42% | -23.19% | -4.07% |
Max DD | -23.10% | -36.08% | -16.71% | -21.24% | -24.71% | -6.29% |
++ This Manager offers a range of fees: Mgt Fees 0-2%
+++ Accounting Notes: Performance from May 2014 through December 2019 represents a composite of customer accounts. Performance from January 2020 to February 2023 represents proprietary trading. Performance from March 2023 represents client performance.
EvE, LLC has contracted a third party (NAV Consulting) to calculate historical performance on this program since inception. The historical returns presented represent the performance as calculated by NAV Consulting. There are differences between these returns and those previously reported by EvE, LLC.
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is May 2014
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.