Salona Capital LLC : SSI

archived programs
Year-to-Date
N / A
Dec Performance
0.60%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
2.65%
Sharpe (RFR=1%)
2.55
CAROR
8.00%
Assets
$ 2.6M
Worst DD
-2.12
S&P Correlation
-0.01

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
11/2014
SSI 0.60 1.74 - 9.34 23.41 - - 27.61
S&P 500 3.43 5.21 - 18.21 28.55 - - 28.01
+/- S&P 500 -2.83 -3.47 - -8.87 -5.14 - - -0.39

Strategy Description

Summary

The Standard Stock Index (“SSI”) program seeks to provide investors with superior investment returns regardless of the underlying performance of the stock market itself. The flexibility of the strategy allows it to potentially profit not only in rising but falling and consolidating... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 20k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
60%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
0%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
30.00%
1-30 Days
65.00%
Intraday
0%

Decision-Making

Discretionary
25.00%
Systematic
75.00%

Strategy

Option-purchasing
10.00%
Option-spreads
10.00%
Option-writing
80.00%
Strategy Pie Chart

Composition

Stock Indices
95.00%
VIX
5.00%
Composition Pie Chart

Summary

The Standard Stock Index (“SSI”) program seeks to provide investors with superior investment returns regardless of the underlying performance of the stock market itself. The flexibility of the strategy allows it to potentially profit not only in rising but falling and consolidating markets as well.

Investment Strategy

The SSI program is predominantly technical with a discretionary override and primarily engages in writing uncovered stock index futures options, but under certain circumstances may buy options or trade stock index future contracts outright. It will at times engage in spread trading, day trading and intermediate term trend following in addition to writing options that normally expire within 120 days.

Risk Management

The Advisor employs a top down multi-tiered risk management strategy that aims to minimize drawdowns by gauging market risk, overall portfolio risk, and each individual trade's risk reward and its impact on the overall risk profile of the portfolio. Proper money management and constant risk assessment are vital due to the constant flux and rapid state of change in the world’s economies and markets.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-2.12 1 2 3/1/2015 4/1/2015
-0.62 2 2 1/1/2016 3/1/2016
-0.35 1 1 8/1/2016 9/1/2016
-0.27 1 1 7/1/2015 8/1/2015
-0.08 1 1 6/1/2017 7/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
8.06 5 11/1/2014 3/1/2015
7.75 9 10/1/2016 6/1/2017
3.61 5 4/1/2016 8/1/2016
3.48 3 5/1/2015 7/1/2015
2.97 5 8/1/2017 12/1/2017
2.78 5 9/1/2015 1/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.12 1 4/1/2015 4/1/2015
-0.62 2 2/1/2016 3/1/2016
-0.35 1 9/1/2016 9/1/2016
-0.27 1 8/1/2015 8/1/2015
-0.08 1 7/1/2017 7/1/2017
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable84.2194.44100.00100.00100.00100.00
Average Period Return0.651.853.466.8910.1113.76
Average Gain0.881.973.466.8910.1113.76
Average Loss-0.57-0.28
Best Period2.665.316.2710.4312.8715.52
Worst Period-2.12-0.301.063.176.5211.46
Standard Deviation0.771.291.292.001.741.22
Gain Standard Deviation0.511.221.292.001.741.22
Loss Standard Deviation0.760.04
Sharpe Ratio (1%)0.741.242.292.954.959.64
Average Gain / Average Loss1.537.13
Profit / Loss Ratio8.14121.25
Downside Deviation (10%)0.480.480.360.400.23
Downside Deviation (5%)0.380.13
Downside Deviation (0%)0.360.07
Sortino Ratio (10%)0.501.282.734.7810.78
Sortino Ratio (5%)1.4812.38
Sortino Ratio (0%)1.8028.23

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 7 1.06 5/2017
Stock Index Trader Index Month 6 1.04 2/2017
Option Strategy Index Month 6 1.04 2/2017
Option Strategy Index Month 9 1.43 1/2017
Option Strategy Index Month 8 0.76 11/2016

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.