SSARIS Advisors, LLC : Diversified Trading

archived programs
Year-to-Date
N / A
Aug Performance
-7.33%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
27.31%
Sharpe (RFR=1%)
0.69
CAROR
17.82%
Assets
$ 22.0M
Worst DD
-34.28
S&P Correlation
-0.10

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
3/1983
Diversified Trading -7.33 - - - - - -26.64 14,765.19
S&P 500 -3.13 - - - - - 61.97 2,164.85
+/- S&P 500 -4.20 - - - - - -88.61 12,600.34

Strategy Description

Summary

SSARIS Diversified Trading Program: Strategy Description The Diversified Trading Program is a systematic computer-based strategy using time series analysis. A mathematical algorithm determines the profitability of more than 80 exchange-traded markets and selects those markets with... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
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 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

SSARIS Diversified Trading Program: Strategy Description The Diversified Trading Program is a systematic computer-based strategy using time series analysis. A mathematical algorithm determines the profitability of more than 80 exchange-traded markets and selects those markets with greatest propensity to perform consistently. A market by market asset allocation system re-weights exposure based on relative volatility, and systematic rebalancing to a targeted mean variance portfolio rate of return is conducted periodically.

   

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
-34.28 2 12 5/1/1983 7/1/1983
-31.12 15 - 5/1/2012 8/1/2013
-27.43 46 15 5/1/2003 3/1/2007
-25.52 3 7 6/1/1986 9/1/1986
-22.20 5 2 11/1/1987 4/1/1988
-19.61 4 7 6/1/1994 10/1/1994
-18.34 7 4 6/1/1988 1/1/1989
-18.31 5 4 12/1/1990 5/1/1991
-17.42 1 1 7/1/1984 8/1/1984
-15.66 4 5 7/1/1989 11/1/1989
-15.64 1 1 5/1/1985 6/1/1985
-12.88 35 6 12/1/2008 11/1/2011
-12.46 4 14 9/1/1998 1/1/1999
-11.62 4 2 12/1/1991 4/1/1992
-9.01 1 8 1/1/1996 2/1/1996
-8.87 1 1 4/1/1990 5/1/1990
-7.99 6 3 10/1/2001 4/1/2002
-7.39 2 2 9/1/2002 11/1/2002
-6.87 4 4 3/1/2000 7/1/2000
-5.83 6 1 7/1/1985 1/1/1986
-5.61 2 1 12/1/1993 2/1/1994
-5.27 3 2 3/1/2001 6/1/2001
-5.20 5 2 1/1/1998 6/1/1998
-4.53 1 1 1/1/0001 3/1/1983
-4.47 1 4 7/1/1997 8/1/1997
-4.09 2 2 2/1/1997 4/1/1997
-3.79 4 2 6/1/1995 10/1/1995
-3.61 1 2 11/1/1996 12/1/1996
-3.29 1 2 4/1/1987 5/1/1987
-3.25 3 1 7/1/1987 10/1/1987
-2.88 3 2 7/1/1993 10/1/1993
-2.76 1 2 2/1/2003 3/1/2003
-2.60 1 2 6/1/2008 7/1/2008
-2.32 1 1 1/1/2001 2/1/2001
-2.00 2 2 8/1/1992 10/1/1992
-1.93 1 1 7/1/1990 8/1/1990
-1.55 2 1 3/1/1994 5/1/1994
-0.51 1 1 3/1/1986 4/1/1986
-0.05 1 1 9/1/1991 10/1/1991
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Consecutive Gains

Run-up Length (Mos.) Start End
234.06 9 9/1/1984 5/1/1985
59.26 2 4/1/1983 5/1/1983
51.38 2 5/1/1988 6/1/1988
44.14 4 5/1/1992 8/1/1992
42.18 1 4/1/1987 4/1/1987
39.86 3 5/1/1989 7/1/1989
34.12 5 8/1/2008 12/1/2008
32.19 4 9/1/1990 12/1/1990
31.09 2 2/1/1986 3/1/1986
30.93 4 6/1/1991 9/1/1991
30.53 4 10/1/1986 1/1/1987
30.02 9 11/1/1992 7/1/1993
29.51 1 7/1/1984 7/1/1984
28.28 3 8/1/1983 10/1/1983
26.57 5 5/1/2002 9/1/2002
25.86 4 10/1/2000 1/1/2001
25.50 1 7/1/1985 7/1/1985
25.39 5 2/1/1995 6/1/1995
23.71 3 7/1/1998 9/1/1998
22.24 1 5/1/1984 5/1/1984
21.72 2 11/1/1991 12/1/1991
20.47 4 7/1/2001 10/1/2001
19.37 1 3/1/1991 3/1/1991
18.73 3 5/1/1997 7/1/1997
18.69 3 12/1/2002 2/1/2003
17.90 1 2/1/1984 2/1/1984
17.40 2 3/1/1990 4/1/1990
16.55 1 12/1/1983 12/1/1983
16.31 4 8/1/2007 11/1/2007
14.71 2 1/1/2008 2/1/2008
14.63 2 6/1/1990 7/1/1990
14.13 2 12/1/1989 1/1/1990
13.92 2 4/1/2012 5/1/2012
13.70 2 2/1/1989 3/1/1989
13.51 3 9/1/1988 11/1/1988
11.80 3 3/1/2006 5/1/2006
11.17 1 3/1/2001 3/1/2001
11.13 3 9/1/1996 11/1/1996
10.87 2 5/1/2008 6/1/2008
10.72 3 7/1/2011 9/1/2011
10.59 5 11/1/1999 3/1/2000
9.69 2 6/1/1987 7/1/1987
9.68 2 12/1/1997 1/1/1998
9.15 1 3/1/1994 3/1/1994
8.53 3 4/1/2007 6/1/2007
8.49 1 2/1/1999 2/1/1999
8.46 2 1/1/1997 2/1/1997
8.15 2 10/1/2005 11/1/2005
7.42 6 3/1/2010 8/1/2010
7.41 3 11/1/1995 1/1/1996
7.00 2 4/1/2003 5/1/2003
6.43 2 11/1/1993 12/1/1993
6.30 2 3/1/1996 4/1/1996
6.17 1 5/1/2009 5/1/2009
5.75 1 6/1/1994 6/1/1994
5.65 1 12/1/1985 12/1/1985
5.50 2 5/1/2005 6/1/2005
5.01 2 8/1/2006 9/1/2006
4.58 1 4/1/1999 4/1/1999
4.58 1 9/1/1994 9/1/1994
4.56 1 10/1/2010 10/1/2010
4.51 2 9/1/1997 10/1/1997
4.40 1 11/1/1987 11/1/1987
4.38 3 12/1/2011 2/1/2012
4.38 1 8/1/2000 8/1/2000
4.09 1 2/1/2004 2/1/2004
4.07 2 6/1/1999 7/1/1999
3.94 1 5/1/2001 5/1/2001
3.73 1 7/1/1996 7/1/1996
3.09 1 11/1/1994 11/1/1994
3.06 1 12/1/2001 12/1/2001
2.53 1 7/1/2012 7/1/2012
2.30 1 3/1/2013 3/1/2013
2.16 1 3/1/1992 3/1/1992
2.10 1 11/1/2009 11/1/2009
2.07 1 12/1/2003 12/1/2003
1.97 1 8/1/2009 8/1/2009
1.95 1 9/1/1999 9/1/1999
1.60 1 8/1/2004 8/1/2004
1.59 1 5/1/1998 5/1/1998
1.51 1 3/1/2002 3/1/2002
1.41 1 12/1/2010 12/1/2010
1.33 2 5/1/1986 6/1/1986
1.15 2 10/1/2004 11/1/2004
1.14 1 4/1/2011 4/1/2011
1.12 1 12/1/1998 12/1/1998
1.12 1 11/1/2006 11/1/2006
0.76 1 8/1/2005 8/1/2005
0.68 1 3/1/1998 3/1/1998
0.53 1 2/1/1988 2/1/1988
0.49 1 2/1/2009 2/1/2009
0.49 1 9/1/1989 9/1/1989
0.37 1 10/1/1985 10/1/1985
0.35 1 2/1/2011 2/1/2011
0.09 2 5/1/2000 6/1/2000
0.05 1 2/1/2005 2/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-34.28 2 6/1/1983 7/1/1983
-25.52 3 7/1/1986 9/1/1986
-18.35 2 7/1/1994 8/1/1994
-17.67 2 1/1/1991 2/1/1991
-17.42 1 8/1/1984 8/1/1984
-16.88 2 4/1/1991 5/1/1991
-16.63 7 8/1/2012 2/1/2013
-15.83 2 3/1/1984 4/1/1984
-15.64 1 6/1/1985 6/1/1985
-15.57 2 7/1/1988 8/1/1988
-14.80 2 12/1/1988 1/1/1989
-13.89 5 4/1/2013 8/1/2013
-13.62 1 11/1/1983 11/1/1983
-13.51 2 12/1/1987 1/1/1988
-12.83 5 3/1/2004 7/1/2004
-12.72 2 10/1/1989 11/1/1989
-11.73 4 12/1/2006 3/1/2007
-11.05 2 10/1/2011 11/1/2011
-10.52 2 3/1/1988 4/1/1988
-10.51 6 6/1/2003 11/1/2003
-10.39 2 6/1/2006 7/1/2006
-9.29 2 10/1/1998 11/1/1998
-9.20 2 1/1/1992 2/1/1992
-9.01 1 2/1/1996 2/1/1996
-8.87 1 5/1/1990 5/1/1990
-8.79 2 3/1/2008 4/1/2008
-8.53 1 6/1/2012 6/1/2012
-8.03 1 1/1/1984 1/1/1984
-7.97 1 11/1/2001 11/1/2001
-7.39 2 10/1/2002 11/1/2002
-7.35 1 10/1/1999 10/1/1999
-7.24 2 3/1/2009 4/1/2009
-5.92 1 6/1/1984 6/1/1984
-5.85 1 10/1/1994 10/1/1994
-5.81 3 12/1/2009 2/1/2010
-5.68 2 5/1/2011 6/1/2011
-5.62 1 1/1/1986 1/1/1986
-5.61 2 1/1/1994 2/1/1994
-5.57 3 12/1/2005 2/1/2006
-5.40 2 2/1/1987 3/1/1987
-4.79 1 4/1/2001 4/1/2001
-4.73 1 4/1/1992 4/1/1992
-4.59 2 9/1/2009 10/1/2009
-4.57 1 1/1/1999 1/1/1999
-4.55 2 12/1/2004 1/1/2005
-4.53 1 3/1/1983 3/1/1983
-4.47 1 8/1/1997 8/1/1997
-4.46 1 4/1/1998 4/1/1998
-4.28 1 6/1/2001 6/1/2001
-4.09 2 3/1/1997 4/1/1997
-4.00 1 9/1/2000 9/1/2000
-3.95 2 3/1/2005 4/1/2005
-3.83 1 8/1/1989 8/1/1989
-3.79 4 7/1/1995 10/1/1995
-3.72 1 7/1/2000 7/1/2000
-3.62 2 8/1/1985 9/1/1985
-3.61 1 12/1/1996 12/1/1996
-3.60 1 5/1/1999 5/1/1999
-3.49 1 12/1/2007 12/1/2007
-3.48 1 11/1/2010 11/1/2010
-3.36 1 4/1/2000 4/1/2000
-3.29 1 5/1/1987 5/1/1987
-3.26 1 9/1/2005 9/1/2005
-3.25 3 8/1/1987 10/1/1987
-3.19 2 5/1/1996 6/1/1996
-2.93 2 1/1/2002 2/1/2002
-2.93 1 3/1/2012 3/1/2012
-2.88 3 8/1/1993 10/1/1993
-2.76 1 3/1/2003 3/1/2003
-2.67 2 6/1/2009 7/1/2009
-2.66 1 3/1/2011 3/1/2011
-2.60 1 7/1/2008 7/1/2008
-2.57 1 10/1/2006 10/1/2006
-2.48 1 1/1/2009 1/1/2009
-2.46 1 1/1/2004 1/1/2004
-2.38 1 11/1/1985 11/1/1985
-2.32 1 2/1/2001 2/1/2001
-2.21 1 6/1/1998 6/1/1998
-2.08 1 7/1/2007 7/1/2007
-2.06 1 11/1/1997 11/1/1997
-2.00 2 9/1/1992 10/1/1992
-1.93 1 8/1/1990 8/1/1990
-1.70 1 3/1/1999 3/1/1999
-1.66 1 1/1/2011 1/1/2011
-1.55 1 4/1/2002 4/1/2002
-1.55 2 4/1/1994 5/1/1994
-1.33 2 12/1/1994 1/1/1995
-1.06 1 2/1/1990 2/1/1990
-0.86 1 9/1/2004 9/1/2004
-0.79 1 2/1/1998 2/1/1998
-0.51 1 4/1/1986 4/1/1986
-0.43 1 8/1/1999 8/1/1999
-0.14 1 8/1/1996 8/1/1996
-0.09 1 9/1/2010 9/1/2010
-0.05 1 10/1/1991 10/1/1991
-0.03 1 7/1/2005 7/1/2005
-0.02 1 4/1/1989 4/1/1989
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods366.00364.00361.00355.00349.00343.00331.00319.00307.00
Percent Profitable55.4661.8167.0476.0681.0982.8086.1091.8597.72
Average Period Return1.665.0310.3522.5837.0452.0882.10118.25159.66
Average Gain6.1211.4918.6931.9947.5064.6296.93130.04163.48
Average Loss-3.91-5.43-6.61-7.31-7.82-8.27-9.82-14.58-3.88
Best Period43.4485.35149.29279.94337.08434.23607.89785.16875.73
Worst Period-22.12-26.89-27.17-23.66-23.84-28.53-26.64-27.69-8.13
Standard Deviation7.8813.4821.5839.0357.6575.19104.86139.63175.96
Gain Standard Deviation7.4313.0821.6640.3159.2676.84105.75139.70176.20
Loss Standard Deviation3.924.705.445.466.157.215.677.442.22
Sharpe Ratio (1%)0.200.350.460.550.620.670.750.820.88
Average Gain / Average Loss1.562.122.834.386.077.819.878.9242.13
Profit / Loss Ratio1.963.435.7513.9126.0437.6061.17100.511805.60
Downside Deviation (10%)3.875.036.086.657.378.429.9410.957.70
Downside Deviation (5%)3.724.555.134.864.855.205.235.721.50
Downside Deviation (0%)3.684.434.904.454.314.544.214.650.66
Sortino Ratio (10%)0.320.761.302.644.004.976.688.8317.15
Sortino Ratio (5%)0.421.051.924.447.339.6415.1219.95103.09
Sortino Ratio (0%)0.451.142.115.078.5911.4819.4825.41240.70

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.