SSARIS Advisors, LLC : Short Term Momentum Strategy

archived programs
Year-to-Date
N / A
Dec Performance
-0.03%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.94%
Sharpe (RFR=1%)
-0.13
CAROR
-2.19%
Assets
$ 125.0M
Worst DD
-41.85
S&P Correlation
-0.39

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 YTD 1yr 3yr 5yr 10yr Since
5/2006
Short Term Momentum Strategy -0.03 - - - - - -32.72 -15.64
S&P 500 2.36 - - - - - 66.20 154.80
+/- S&P 500 -2.39 - - - - - -98.92 -170.44

Strategy Description

Summary

The Short Term Momentum Strategy is a systematic and quantitatively based strategy which uses price series, momentum analysis, and short-term “path dependent” algorithms to actively manage a portfolio of global futures, options and forward markets including foreign currency, interest... 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 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

The Short Term Momentum Strategy is a systematic and quantitatively based strategy which uses price series, momentum analysis, and short-term “path dependent” algorithms to actively manage a portfolio of global futures, options and forward markets including foreign currency, interest rate, stock index and commodity sectors.

   

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
-41.85 28 - 8/1/2011 12/1/2013
-25.54 14 15 5/1/2006 7/1/2007
-9.64 2 9 2/1/2009 4/1/2009
-5.47 3 2 11/1/2010 2/1/2011
-3.42 1 1 5/1/2011 6/1/2011
-2.53 1 3 6/1/2010 7/1/2010
-1.14 1 1 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
28.79 5 10/1/2008 2/1/2009
22.18 4 8/1/2007 11/1/2007
17.73 2 7/1/2011 8/1/2011
14.40 1 1/1/2008 1/1/2008
10.77 2 6/1/2008 7/1/2008
9.52 3 9/1/2009 11/1/2009
9.23 2 3/1/2007 4/1/2007
7.39 3 3/1/2011 5/1/2011
6.14 1 5/1/2012 5/1/2012
4.74 3 4/1/2010 6/1/2010
3.30 1 12/1/2011 12/1/2011
3.11 2 10/1/2010 11/1/2010
2.51 2 1/1/2010 2/1/2010
1.94 1 12/1/2006 12/1/2006
1.92 3 5/1/2009 7/1/2009
1.90 1 2/1/2012 2/1/2012
1.86 2 2/1/2013 3/1/2013
0.99 1 8/1/2010 8/1/2010
0.86 1 5/1/2006 5/1/2006
0.74 1 7/1/2006 7/1/2006
0.72 1 12/1/2012 12/1/2012
0.01 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.07 6 6/1/2012 11/1/2012
-15.99 3 9/1/2011 11/1/2011
-14.01 2 1/1/2007 2/1/2007
-12.14 6 4/1/2013 9/1/2013
-11.40 4 8/1/2006 11/1/2006
-10.62 3 5/1/2007 7/1/2007
-10.50 4 2/1/2008 5/1/2008
-9.64 2 3/1/2009 4/1/2009
-9.23 1 1/1/2013 1/1/2013
-7.11 1 12/1/2007 12/1/2007
-5.47 3 12/1/2010 2/1/2011
-5.39 2 3/1/2012 4/1/2012
-4.81 2 8/1/2008 9/1/2008
-3.42 1 6/1/2011 6/1/2011
-2.53 1 7/1/2010 7/1/2010
-2.52 1 6/1/2006 6/1/2006
-1.77 2 11/1/2013 12/1/2013
-1.33 1 8/1/2009 8/1/2009
-1.14 1 3/1/2010 3/1/2010
-0.93 1 12/1/2009 12/1/2009
-0.56 1 1/1/2012 1/1/2012
-0.15 1 9/1/2010 9/1/2010
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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 Profitable46.7445.5645.9859.2665.3363.7773.6866.6778.79
Average Period Return-0.08-0.25-0.281.144.417.9014.7020.7322.64
Average Gain3.406.339.5012.1716.1422.5927.9739.3432.57
Average Loss-3.14-5.77-8.60-14.90-17.69-17.94-22.45-16.48-14.22
Best Period19.0326.1929.8436.2355.9754.0660.9681.8065.84
Worst Period-9.23-15.99-21.88-27.28-34.13-40.42-32.86-28.45-27.35
Standard Deviation4.607.6611.3715.8220.6023.4827.4729.9726.20
Gain Standard Deviation4.055.818.638.2013.2913.4317.9416.2119.28
Loss Standard Deviation2.333.554.988.9211.8112.148.327.3210.06
Sharpe Ratio (1%)-0.04-0.07-0.070.010.140.250.420.560.67
Average Gain / Average Loss1.081.101.110.820.911.261.252.392.29
Profit / Loss Ratio0.950.920.941.191.722.223.494.778.51
Downside Deviation (10%)3.095.788.9113.9216.5118.5920.4522.3422.17
Downside Deviation (5%)2.895.147.6011.5913.2013.9913.7112.549.94
Downside Deviation (0%)2.844.987.2811.0412.4512.9612.2310.357.83
Sortino Ratio (10%)-0.16-0.26-0.31-0.28-0.19-0.13-0.05-0.04-0.22
Sortino Ratio (5%)-0.06-0.10-0.100.010.220.420.851.331.76
Sortino Ratio (0%)-0.03-0.05-0.040.100.350.611.202.002.89

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.