SSARIS Advisors, LLC : Diversified Trading Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Aug Qtr 2020 1yr 3yr 5yr 10yr Since3/1983 Diversified Trading -7.33 - - - - - -28.25 14,765.19 S&P 500 -3.13 - - - - - 61.97 2,330.34 +/- S&P 500 -4.20 - - - - - -90.23 12,434.86 Strategy Description SummarySSARIS 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% Composition SummarySSARIS 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel