SSARIS Advisors, LLC : Diversified Trading

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

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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	Since 3/1983
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

Summary

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

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.

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	366.00	364.00	361.00	355.00	349.00	343.00	331.00	319.00	307.00
Percent Profitable	55.46	61.81	67.04	76.06	81.09	82.80	86.10	91.85	97.72
Average Period Return	1.66	5.03	10.35	22.58	37.04	52.08	82.10	118.25	159.66
Average Gain	6.12	11.49	18.69	31.99	47.50	64.62	96.93	130.04	163.48
Average Loss	-3.91	-5.43	-6.61	-7.31	-7.82	-8.27	-9.82	-14.58	-3.88
Best Period	43.44	85.35	149.29	279.94	337.08	434.23	607.89	785.16	875.73
Worst Period	-22.12	-26.89	-27.17	-23.66	-23.84	-28.53	-26.64	-27.69	-8.13
Standard Deviation	7.88	13.48	21.58	39.03	57.65	75.19	104.86	139.63	175.96
Gain Standard Deviation	7.43	13.08	21.66	40.31	59.26	76.84	105.75	139.70	176.20
Loss Standard Deviation	3.92	4.70	5.44	5.46	6.15	7.21	5.67	7.44	2.22
Sharpe Ratio (1%)	0.20	0.35	0.46	0.55	0.62	0.67	0.75	0.82	0.88
Average Gain / Average Loss	1.56	2.12	2.83	4.38	6.07	7.81	9.87	8.92	42.13
Profit / Loss Ratio	1.96	3.43	5.75	13.91	26.04	37.60	61.17	100.51	1805.60
Downside Deviation (10%)	3.87	5.03	6.08	6.65	7.37	8.42	9.94	10.95	7.70
Downside Deviation (5%)	3.72	4.55	5.13	4.86	4.85	5.20	5.23	5.72	1.50
Downside Deviation (0%)	3.68	4.43	4.90	4.45	4.31	4.54	4.21	4.65	0.66
Sortino Ratio (10%)	0.32	0.76	1.30	2.64	4.00	4.97	6.68	8.83	17.15
Sortino Ratio (5%)	0.42	1.05	1.92	4.44	7.33	9.64	15.12	19.95	103.09
Sortino Ratio (0%)	0.45	1.14	2.11	5.07	8.59	11.48	19.48	25.41	240.70

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.

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SSARIS Advisors, LLC : Diversified Trading

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

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SSARIS Advisors, LLC : Diversified Trading

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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