SSARIS Advisors, LLC : Active Commodity Strategy

archived programs
Year-to-Date
N / A
Dec Performance
0.54%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.22%
Sharpe (RFR=1%)
0.15
CAROR
2.15%
Assets
$ 240.0M
Worst DD
-32.24
S&P Correlation
0.32

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
5/2006
Active Commodity Strategy 0.54 - - - - - 11.91 17.75
S&P 500 2.36 - - - - - 66.20 172.75
+/- S&P 500 -1.82 - - - - - -54.30 -155.00

Strategy Description

Summary

The SSARIS Active Commodity Strategy ("ACS") is a systematic program which uses price series, volatility and momentum analysis to actively manage a portfolio of commodity futures contracts. It seeks to provide absolute return and alpha over a passive commodity investment. SSARIS annually... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

The SSARIS Active Commodity Strategy ("ACS") is a systematic program which uses price series, volatility and momentum analysis to actively manage a portfolio of commodity futures contracts. It seeks to provide absolute return and alpha over a passive commodity investment. SSARIS annually employs a market selection metric which evaluates the risk/reward potential of over 50 global commodity futures contracts. This process identifies approximately 20 markets which appear to have the greatest likelihood to perform consistently with the SSARIS trading models, and allocates the portfolio's risk budget according to the metrics ranking. The strategy employs three independent trading models which are designed to dynamically adjust positions within the risk budget of each commodity. Positions are scaled by thirds as each independent trading model establishes a signal in a particular market. While a short signal in one model can offset a long signal from another model, net short positions are not taken in this portfolio. The principals of SSARIS have utilized these models since 1983 to manage long and short positions.

   

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
-32.24 19 - 6/1/2008 1/1/2010
-13.19 1 3 2/1/2008 3/1/2008
-7.87 1 2 7/1/2007 8/1/2007
-6.74 2 2 11/1/2006 1/1/2007
-6.12 3 2 6/1/2006 9/1/2006
-0.59 1 1 4/1/2007 5/1/2007
-0.17 1 1 1/1/0001 5/1/2006
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
44.48 6 9/1/2007 2/1/2008
32.52 8 9/1/2010 4/1/2011
15.47 3 4/1/2008 6/1/2008
13.31 3 2/1/2010 4/1/2010
12.06 4 6/1/2012 9/1/2012
11.38 2 4/1/2009 5/1/2009
11.09 2 10/1/2006 11/1/2006
9.26 3 2/1/2007 4/1/2007
8.71 4 1/1/2012 4/1/2012
5.74 2 6/1/2007 7/1/2007
3.60 2 6/1/2010 7/1/2010
3.33 1 11/1/2009 11/1/2009
2.82 1 1/1/2013 1/1/2013
2.82 1 6/1/2006 6/1/2006
2.58 1 8/1/2006 8/1/2006
1.44 1 7/1/2013 7/1/2013
0.87 1 7/1/2011 7/1/2011
0.54 1 12/1/2013 12/1/2013
0.30 1 3/1/2013 3/1/2013
0.21 1 5/1/2013 5/1/2013
0.17 1 8/1/2009 8/1/2009
0.11 1 11/1/2012 11/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-27.23 9 7/1/2008 3/1/2009
-13.19 1 3/1/2008 3/1/2008
-10.03 2 12/1/2009 1/1/2010
-9.66 1 5/1/2010 5/1/2010
-9.36 5 8/1/2011 12/1/2011
-8.68 2 5/1/2011 6/1/2011
-7.87 1 8/1/2007 8/1/2007
-6.74 2 12/1/2006 1/1/2007
-6.01 2 9/1/2009 10/1/2009
-5.52 1 10/1/2012 10/1/2012
-5.35 4 8/1/2013 11/1/2013
-4.84 1 7/1/2006 7/1/2006
-4.48 2 6/1/2009 7/1/2009
-4.28 1 8/1/2010 8/1/2010
-4.03 1 2/1/2013 2/1/2013
-3.83 1 9/1/2006 9/1/2006
-3.23 1 5/1/2012 5/1/2012
-3.11 1 6/1/2013 6/1/2013
-1.29 1 12/1/2012 12/1/2012
-0.94 1 4/1/2013 4/1/2013
-0.59 1 5/1/2007 5/1/2007
-0.17 1 5/1/2006 5/1/2006
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods92.0090.0087.0081.0075.0069.0057.0045.0033.00
Percent Profitable54.3546.6755.1753.0960.0063.7764.9177.7866.67
Average Period Return0.290.791.903.895.705.705.887.108.69
Average Gain3.427.119.7515.3915.2614.9011.6211.8117.28
Average Loss-3.45-4.75-7.76-9.13-8.65-10.48-4.74-9.41-8.50
Best Period17.6025.7944.4843.2552.3249.0427.1033.6139.44
Worst Period-13.19-14.96-22.86-26.44-25.75-31.12-16.76-19.24-20.27
Standard Deviation4.687.4211.4414.9716.2016.669.8412.3215.07
Gain Standard Deviation3.365.588.7510.4413.0512.276.639.109.76
Loss Standard Deviation2.983.165.265.767.529.424.366.376.24
Sharpe Ratio (1%)0.040.070.120.190.260.220.290.250.24
Average Gain / Average Loss0.991.501.261.691.771.422.451.262.03
Profit / Loss Ratio1.181.311.551.912.652.504.544.394.06
Downside Deviation (10%)3.284.937.6910.4611.4614.0313.6918.6923.96
Downside Deviation (5%)3.114.306.537.967.949.355.257.018.63
Downside Deviation (0%)3.064.156.257.377.198.403.775.275.99
Sortino Ratio (10%)-0.04-0.09-0.07-0.11-0.17-0.32-0.72-0.77-0.79
Sortino Ratio (5%)0.070.120.210.360.530.400.540.430.42
Sortino Ratio (0%)0.090.190.300.530.790.681.561.351.45

Top Performer Badges

Index Award Type Rank Performance Period

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