SSARIS Advisors, LLC : Secured Participating Note

archived programs
Year-to-Date
N / A
May Performance
0.20%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.57%
Sharpe (RFR=1%)
1.24
CAROR
10.58%
Assets
$ 0k
Worst DD
-13.37
S&P Correlation
0.21

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/1986
Secured Participating Note 0.20 - - - - - 4.76 1,105.66
S&P 500 -1.35 - - - - - 7.12 1,397.63
+/- S&P 500 1.55 - - - - - -2.36 -291.96

Strategy Description

Summary

-INVESTMENT PHILOSOPHY The Secured Participating Note (â??the Noteâ??) is an investment vehicle that combines the safety of a fixed income instrument with the performance potential of a globally diversified portfolio. It is collateralized with a State Street Bank and Trust Certificate... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
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
Redemption Frequency
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

-INVESTMENT PHILOSOPHY The Secured Participating Note (â??the Noteâ??) is an investment vehicle that combines the safety of a fixed income instrument with the performance potential of a globally diversified portfolio. It is collateralized with a State Street Bank and Trust Certificate of Deposit, making it a creditworthy investment. The Note pays principal plus a yield to maturity. Additionally, contingent interest from the overlay is treated as capital gains (not interest income) and is included in the total return calculation. The overlay portfolio uses the SSARIS proprietary multi-strategy program which allocates to long/short equity, relative value fixed income, and long/short global assets. In total, the Note is designed to significantly outperform a fixed income benchmark while tightly controlling both market and credit risk.

   

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
-13.37 2 8 2/1/2008 4/1/2008
-9.71 13 5 12/1/2008 1/1/2010
-4.77 4 5 1/1/1996 5/1/1996
-4.22 5 16 2/1/2004 7/1/2004
-4.12 5 3 6/1/1994 11/1/1994
-4.10 2 2 6/1/1988 8/1/1988
-3.30 2 1 6/1/2007 8/1/2007
-3.27 1 4 7/1/1997 8/1/1997
-3.10 1 2 12/1/1990 1/1/1991
-2.92 3 3 4/1/2006 7/1/2006
-2.91 4 5 7/1/1989 11/1/1989
-2.78 2 1 2/1/1988 4/1/1988
-2.36 2 2 3/1/1991 5/1/1991
-2.21 1 2 7/1/1990 8/1/1990
-2.09 2 3 10/1/1988 12/1/1988
-2.07 1 4 3/1/2000 4/1/2000
-1.89 1 4 4/1/1999 5/1/1999
-1.73 1 1 11/1/1996 12/1/1996
-1.71 2 1 12/1/1993 2/1/1994
-1.66 1 5 6/1/2003 7/1/2003
-1.55 1 4 12/1/1991 1/1/1992
-1.52 4 1 11/1/2006 3/1/2007
-1.39 1 1 8/1/2000 9/1/2000
-1.39 1 3 1/1/2001 2/1/2001
-1.25 2 1 2/1/1997 4/1/1997
-1.19 1 2 12/1/2010 1/1/2011
-1.03 1 1 4/1/1987 5/1/1987
-0.96 1 2 9/1/1999 10/1/1999
-0.81 1 1 5/1/2001 6/1/2001
-0.79 1 1 1/1/1999 2/1/1999
-0.78 1 1 10/1/2010 11/1/2010
-0.78 2 1 3/1/1994 5/1/1994
-0.76 1 2 8/1/1993 9/1/1993
-0.76 1 1 2/1/2003 3/1/2003
-0.72 1 1 12/1/1987 1/1/1988
-0.71 2 1 11/1/2002 1/1/2003
-0.60 1 1 12/1/1999 1/1/2000
-0.58 1 3 11/1/2005 12/1/2005
-0.53 2 1 6/1/1995 8/1/1995
-0.46 1 1 2/1/1987 3/1/1987
-0.42 1 1 8/1/2001 9/1/2001
-0.40 1 2 3/1/2002 4/1/2002
-0.32 1 1 1/1/2002 2/1/2002
-0.24 1 1 8/1/2002 9/1/2002
-0.20 1 1 6/1/1998 7/1/1998
-0.12 1 1 9/1/1992 10/1/1992
-0.08 1 1 3/1/1998 4/1/1998
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Consecutive Gains

Run-up Length (Mos.) Start End
24.02 6 9/1/2007 2/1/2008
22.65 9 2/1/2010 10/1/2010
19.36 10 11/1/1992 8/1/1993
18.39 5 3/1/1989 7/1/1989
17.68 7 6/1/1991 12/1/1991
16.22 7 12/1/1994 6/1/1995
14.98 3 10/1/2008 12/1/2008
14.51 5 5/1/1992 9/1/1992
13.12 3 5/1/1997 7/1/1997
11.87 2 5/1/1988 6/1/1988
11.42 7 6/1/1987 12/1/1987
11.09 6 9/1/1986 2/1/1987
10.34 6 6/1/1996 11/1/1996
10.06 6 8/1/1998 1/1/1999
9.18 5 9/1/1995 1/1/1996
8.82 5 11/1/1997 3/1/1998
8.48 5 3/1/1990 7/1/1990
8.36 4 10/1/2000 1/1/2001
7.75 4 9/1/1990 12/1/1990
7.27 1 4/1/1987 4/1/1987
7.24 3 4/1/2007 6/1/2007
6.51 3 4/1/2003 6/1/2003
6.50 4 8/1/2006 11/1/2006
6.28 2 9/1/1988 10/1/1988
6.05 2 2/1/1991 3/1/1991
5.11 3 12/1/2003 2/1/2004
4.71 2 1/1/1997 2/1/1997
4.33 4 10/1/2001 1/1/2002
3.91 5 8/1/2004 12/1/2004
3.60 1 5/1/2009 5/1/2009
3.54 4 5/1/2002 8/1/2002
3.51 4 5/1/2005 8/1/2005
3.51 1 11/1/2009 11/1/2009
3.37 2 2/1/2000 3/1/2000
3.37 2 3/1/2006 4/1/2006
3.18 1 8/1/2008 8/1/2008
2.98 2 3/1/1999 4/1/1999
2.81 4 2/1/2011 5/1/2011
2.75 1 12/1/2010 12/1/2010
2.74 3 3/1/2001 5/1/2001
2.71 2 5/1/2008 6/1/2008
2.71 1 8/1/2000 8/1/2000
2.56 1 9/1/1997 9/1/1997
2.53 2 7/1/2001 8/1/2001
2.45 3 10/1/1993 12/1/1993
2.18 1 12/1/1989 12/1/1989
2.16 2 10/1/2002 11/1/2002
2.01 1 3/1/1994 3/1/1994
1.94 2 11/1/1999 12/1/1999
1.80 2 10/1/2005 11/1/2005
1.55 1 2/1/1988 2/1/1988
1.45 1 8/1/2009 8/1/2009
1.40 1 6/1/1999 6/1/1999
1.35 1 4/1/1996 4/1/1996
1.24 2 8/1/1999 9/1/1999
1.15 2 5/1/2000 6/1/2000
1.13 1 2/1/2003 2/1/2003
1.09 2 8/1/2003 9/1/2003
1.01 1 1/1/1989 1/1/1989
0.98 1 6/1/1994 6/1/1994
0.97 2 5/1/1998 6/1/1998
0.59 2 5/1/2004 6/1/2004
0.58 1 1/1/2006 1/1/2006
0.50 1 3/1/2002 3/1/2002
0.49 2 2/1/1992 3/1/1992
0.41 1 2/1/2005 2/1/2005
0.13 1 9/1/1994 9/1/1994
0.10 1 9/1/1989 9/1/1989
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.37 2 3/1/2008 4/1/2008
-6.31 2 12/1/2009 1/1/2010
-5.91 4 1/1/2009 4/1/2009
-4.69 2 2/1/1996 3/1/1996
-4.10 2 7/1/1988 8/1/1988
-3.77 2 9/1/2009 10/1/2009
-3.51 2 3/1/2004 4/1/2004
-3.30 2 7/1/2007 8/1/2007
-3.27 1 8/1/1997 8/1/1997
-3.20 2 7/1/1994 8/1/1994
-3.10 1 1/1/1991 1/1/1991
-2.92 3 5/1/2006 7/1/2006
-2.78 2 3/1/1988 4/1/1988
-2.53 2 10/1/1989 11/1/1989
-2.47 1 9/1/2008 9/1/2008
-2.45 1 7/1/2008 7/1/2008
-2.36 2 4/1/1991 5/1/1991
-2.21 1 8/1/1990 8/1/1990
-2.16 2 6/1/2009 7/1/2009
-2.09 2 11/1/1988 12/1/1988
-2.07 1 4/1/2000 4/1/2000
-1.89 1 5/1/1999 5/1/1999
-1.85 2 3/1/2005 4/1/2005
-1.73 1 12/1/1996 12/1/1996
-1.71 2 1/1/1994 2/1/1994
-1.66 1 7/1/2003 7/1/2003
-1.62 1 1/1/2005 1/1/2005
-1.55 1 1/1/1992 1/1/1992
-1.52 4 12/1/2006 3/1/2007
-1.42 1 5/1/1996 5/1/1996
-1.39 1 2/1/2001 2/1/2001
-1.39 1 9/1/2000 9/1/2000
-1.32 1 7/1/2004 7/1/2004
-1.25 2 3/1/1997 4/1/1997
-1.19 1 1/1/2011 1/1/2011
-1.08 2 10/1/1994 11/1/1994
-1.03 1 5/1/1987 5/1/1987
-0.96 1 10/1/1999 10/1/1999
-0.87 1 9/1/2005 9/1/2005
-0.87 2 1/1/1990 2/1/1990
-0.81 1 6/1/2001 6/1/2001
-0.79 1 2/1/1999 2/1/1999
-0.79 1 10/1/1997 10/1/1997
-0.78 1 11/1/2010 11/1/2010
-0.78 2 4/1/1994 5/1/1994
-0.76 1 3/1/2003 3/1/2003
-0.76 1 9/1/1993 9/1/1993
-0.72 1 1/1/1988 1/1/1988
-0.71 2 12/1/2002 1/1/2003
-0.65 1 2/1/1989 2/1/1989
-0.63 1 7/1/1999 7/1/1999
-0.60 1 1/1/2000 1/1/2000
-0.58 1 12/1/2005 12/1/2005
-0.53 2 7/1/1995 8/1/1995
-0.53 2 10/1/2003 11/1/2003
-0.49 1 8/1/1989 8/1/1989
-0.46 1 3/1/1987 3/1/1987
-0.45 1 4/1/1992 4/1/1992
-0.42 1 9/1/2001 9/1/2001
-0.40 1 4/1/2002 4/1/2002
-0.32 1 2/1/2002 2/1/2002
-0.27 1 2/1/2006 2/1/2006
-0.25 1 7/1/2000 7/1/2000
-0.24 1 9/1/2002 9/1/2002
-0.20 1 7/1/1998 7/1/1998
-0.12 1 10/1/1992 10/1/1992
-0.08 1 4/1/1998 4/1/1998
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods297.00295.00292.00286.00280.00274.00262.00250.00238.00
Percent Profitable67.3479.3287.6794.0698.9399.64100.00100.00100.00
Average Period Return0.872.615.2610.6115.8921.6634.1047.8262.88
Average Gain1.883.736.3311.4416.0821.7734.1047.8262.88
Average Loss-1.23-1.70-2.37-2.43-1.00-9.24
Best Period10.9414.9824.0228.4836.4351.5771.0892.55120.65
Worst Period-10.34-11.66-10.44-8.17-2.83-9.245.8914.0322.66
Standard Deviation2.193.615.067.158.8811.1815.6220.5627.29
Gain Standard Deviation1.743.084.386.538.7511.0415.6220.5627.29
Loss Standard Deviation1.361.852.072.271.58
Sharpe Ratio (1%)0.360.650.941.341.621.761.992.132.12
Average Gain / Average Loss1.532.192.674.7116.072.36
Profit / Loss Ratio3.158.4018.9774.601484.12643.09
Downside Deviation (10%)1.221.601.922.111.812.191.871.360.91
Downside Deviation (5%)1.081.221.240.990.300.69
Downside Deviation (0%)1.051.141.100.800.170.56
Sortino Ratio (10%)0.380.861.452.654.575.229.8219.2538.63
Sortino Ratio (5%)0.731.943.849.6847.2428.44
Sortino Ratio (0%)0.832.294.7813.2993.9038.79

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.