SSARIS Advisors, LLC : Active Commodity Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since5/2006 Active Commodity Strategy 0.54 - - - - - -10.59 17.75 S&P 500 2.36 - - - - - 66.20 192.68 +/- S&P 500 -1.82 - - - - - -76.80 -174.93 Strategy Description SummaryThe 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% Composition SummaryThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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. x {{title}} x {{title}} Add Cancel