SSARIS Advisors LLC : Alpha Enhanced Equity

archived programs
Year-to-Date
N / A
Oct Performance
-15.88%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
15.15%
Sharpe (RFR=1%)
0.28
CAROR
4.55%
Assets
$ 108.7M
Worst DD
-34.58
S&P Correlation
0.98

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/1997
Alpha Enhanced Equity -15.88 - - - - - - 63.14
S&P 500 -16.94 - - - - - - 241.63
+/- S&P 500 1.06 - - - - - - -178.49

Strategy Description

Summary

-INVESTMENT PHILOSOPHY The Alpha Enhanced Equity program invests in the S&P 500 equity index and systematically manages a long/short global asset (alpha) overlay to provide excess return and reduce correlation, and cash management to enhance total return. The US Dollar program creates... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
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

Summary

-INVESTMENT PHILOSOPHY The Alpha Enhanced Equity program invests in the S&P 500 equity index and systematically manages a long/short global asset (alpha) overlay to provide excess return and reduce correlation, and cash management to enhance total return. The US Dollar program creates its exposure using an S&P 500 stock index futures or swap contract and overlays the position with a long/short global asset overlay to add alpha and diminish the programâ??s correlation, thereby lowering the portfolioâ??s beta to the S&P 500 Index. Its efficiency should exceed that of the stock market. In total, the strategy is designed to track an equity benchmark while producing competitive returns, slightly reduced beta and positive alpha.

   

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
-34.58 12 - 10/1/2007 10/1/2008
-34.43 25 27 8/1/2000 9/1/2002
-11.89 2 2 6/1/1998 8/1/1998
-6.36 2 1 12/1/1999 2/1/2000
-5.88 3 2 6/1/1999 9/1/1999
-5.82 4 3 12/1/2004 4/1/2005
-5.81 2 3 3/1/2000 5/1/2000
-4.52 3 2 4/1/2006 7/1/2006
-4.30 2 2 5/1/2007 7/1/2007
-3.66 1 1 4/1/1999 5/1/1999
-2.99 1 1 9/1/1997 10/1/1997
-2.68 1 2 1/1/2007 2/1/2007
-2.42 1 1 1/1/1999 2/1/1999
-1.58 3 1 7/1/2005 10/1/2005
-1.13 1 1 4/1/1998 5/1/1998
-0.84 1 1 11/1/2005 12/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
32.96 5 9/1/1998 1/1/1999
22.72 6 11/1/1997 4/1/1998
21.37 7 2/1/2003 8/1/2003
15.07 5 10/1/2003 2/1/2004
14.80 6 8/1/2006 1/1/2007
13.67 3 10/1/1999 12/1/1999
13.36 2 10/1/2002 11/1/2002
11.16 3 10/1/2001 12/1/2001
11.06 5 8/1/2004 12/1/2004
10.30 1 3/1/2000 3/1/2000
9.64 3 3/1/2007 5/1/2007
8.75 2 3/1/1999 4/1/1999
8.54 2 4/1/2001 5/1/2001
8.27 3 5/1/2005 7/1/2005
7.87 3 8/1/2007 10/1/2007
7.85 2 12/1/2000 1/1/2001
7.57 1 8/1/2000 8/1/2000
6.73 4 1/1/2006 4/1/2006
6.52 1 9/1/1997 9/1/1997
6.16 1 6/1/1999 6/1/1999
5.86 2 4/1/2008 5/1/2008
4.42 1 11/1/2005 11/1/2005
3.82 1 3/1/2002 3/1/2002
3.70 1 6/1/1998 6/1/1998
2.64 1 6/1/2000 6/1/2000
2.64 2 5/1/2004 6/1/2004
2.53 1 2/1/2005 2/1/2005
1.35 1 8/1/2008 8/1/2008
1.33 1 8/1/2002 8/1/2002
0.76 1 10/1/2000 10/1/2000
0.09 1 9/1/2005 9/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.90 2 9/1/2008 10/1/2008
-17.03 4 4/1/2002 7/1/2002
-13.65 4 6/1/2001 9/1/2001
-13.40 5 11/1/2007 3/1/2008
-12.76 2 2/1/2001 3/1/2001
-11.89 2 7/1/1998 8/1/1998
-9.69 1 9/1/2002 9/1/2002
-8.66 2 6/1/2008 7/1/2008
-6.76 1 11/1/2000 11/1/2000
-6.36 2 1/1/2000 2/1/2000
-6.10 1 9/1/2000 9/1/2000
-6.02 2 12/1/2002 1/1/2003
-5.88 3 7/1/1999 9/1/1999
-5.81 2 4/1/2000 5/1/2000
-5.17 2 3/1/2005 4/1/2005
-5.10 2 3/1/2004 4/1/2004
-4.52 3 5/1/2006 7/1/2006
-4.30 2 6/1/2007 7/1/2007
-3.81 2 1/1/2002 2/1/2002
-3.71 1 7/1/2004 7/1/2004
-3.66 1 5/1/1999 5/1/1999
-3.13 1 1/1/2005 1/1/2005
-2.99 1 10/1/1997 10/1/1997
-2.68 1 2/1/2007 2/1/2007
-2.42 1 2/1/1999 2/1/1999
-2.24 1 7/1/2000 7/1/2000
-1.33 1 9/1/2003 9/1/2003
-1.13 1 5/1/1998 5/1/1998
-0.88 1 8/1/2005 8/1/2005
-0.84 1 12/1/2005 12/1/2005
-0.80 1 10/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods132.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable57.5859.0963.5768.2970.9472.9775.7670.1194.67
Average Period Return0.432.564.588.2712.1613.1217.3120.5426.46
Average Gain3.399.0112.1617.9922.8323.7328.1332.1029.03
Average Loss-3.58-6.76-8.66-12.66-13.90-15.53-16.51-6.60-19.10
Best Period10.30120.94141.57138.74128.5962.1285.7474.47101.64
Worst Period-15.88-52.02-50.15-48.76-45.41-46.30-42.12-27.57-37.74
Standard Deviation4.3717.5120.7323.2724.3722.3825.1024.4426.37
Gain Standard Deviation2.3918.7721.3720.9819.9514.7517.6519.4624.30
Loss Standard Deviation3.059.8510.4810.8810.6511.6510.357.3420.99
Sharpe Ratio (1%)0.080.130.200.310.440.500.570.670.81
Average Gain / Average Loss0.951.331.401.421.641.531.704.861.52
Profit / Loss Ratio1.281.932.453.064.014.125.3211.4126.98
Downside Deviation (10%)3.268.069.1911.6612.9714.7917.1116.8316.92
Downside Deviation (5%)3.097.688.359.7810.0510.8910.847.057.03
Downside Deviation (0%)3.057.598.169.359.3910.039.545.346.09
Sortino Ratio (10%)0.010.170.230.280.350.190.09-0.06-0.07
Sortino Ratio (5%)0.110.300.490.741.061.021.322.343.04
Sortino Ratio (0%)0.140.340.560.891.301.311.813.854.35

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.