SSARIS Advisors LLC : Global Multi-Strategy

archived programs
Year-to-Date
N / A
May Performance
-1.63%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
9.18%
Sharpe (RFR=1%)
0.93
CAROR
9.50%
Assets
$ 6.3M
Worst DD
-9.53
S&P Correlation
0.31

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
11/1994
Global Multi-Strategy -1.63 - - - - - 1.72 350.20
S&P 500 -1.35 - - - - - 7.12 633.63
+/- S&P 500 -0.28 - - - - - -5.40 -283.43

Strategy Description

Summary

-Performance listed is before all fees. Global Multi-Strategy allocates to hedged global equities, hedged global fixed income, and long/short global asset strategies. It uses a quantitative, multi-determinant model to rebalance each of the independent strategies. Stock and bond exposure... 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 Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
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

-Performance listed is before all fees. Global Multi-Strategy allocates to hedged global equities, hedged global fixed income, and long/short global asset strategies. It uses a quantitative, multi-determinant model to rebalance each of the independent strategies. Stock and bond exposure is managed using models that interpret macroeconomic, inflation, interest rate and price-related data. Long/short asset exposure is regulated by combining individual market-expected return analysis with a system that weights each market according to its relative volatility and correlation.

   

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
-9.53 9 3 10/1/2007 7/1/2008
-8.40 4 5 1/1/1996 5/1/1996
-6.65 13 5 12/1/2008 1/1/2010
-6.53 5 12 2/1/2004 7/1/2004
-6.32 6 3 3/1/2000 9/1/2000
-5.87 3 4 4/1/2006 7/1/2006
-5.46 1 4 7/1/1997 8/1/1997
-5.04 4 5 8/1/2002 12/1/2002
-4.49 1 7 4/1/1999 5/1/1999
-3.36 1 1 11/1/1996 12/1/1996
-3.16 1 2 6/1/2007 7/1/2007
-3.07 4 1 11/1/2006 3/1/2007
-3.03 2 2 2/1/1997 4/1/1997
-2.88 1 1 1/1/2001 2/1/2001
-2.80 4 4 12/1/2001 4/1/2002
-2.64 1 4 5/1/2001 6/1/2001
-2.04 5 1 6/1/2003 11/1/2003
-1.75 4 1 3/1/1998 7/1/1998
-1.63 1 - 4/1/2011 5/1/2011
-1.56 2 1 6/1/1995 8/1/1995
-1.30 3 1 12/1/2010 3/1/2011
-0.90 1 1 10/1/2010 11/1/2010
-0.61 1 1 11/1/1994 12/1/1994
-0.46 1 1 12/1/1999 1/1/2000
-0.41 1 1 12/1/2003 1/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
25.26 12 5/1/2005 4/1/2006
24.57 9 8/1/1998 4/1/1999
23.66 6 1/1/1995 6/1/1995
21.35 3 5/1/1997 7/1/1997
21.33 9 2/1/2010 10/1/2010
16.92 3 10/1/2008 12/1/2008
13.04 3 9/1/1996 11/1/1996
11.82 5 9/1/1995 1/1/1996
11.20 4 12/1/1997 3/1/1998
8.50 3 4/1/2003 6/1/2003
7.86 2 1/1/1997 2/1/1997
7.37 2 12/1/2000 1/1/2001
7.00 3 4/1/2007 6/1/2007
6.73 3 8/1/2007 10/1/2007
6.62 4 8/1/2006 11/1/2006
5.15 3 10/1/2001 12/1/2001
5.09 2 2/1/2000 3/1/2000
4.95 2 11/1/1999 12/1/1999
4.87 5 8/1/2004 12/1/2004
4.46 1 8/1/2008 8/1/2008
4.39 3 3/1/2001 5/1/2001
4.04 2 1/1/2003 2/1/2003
4.02 1 12/1/2003 12/1/2003
3.80 1 9/1/1997 9/1/1997
3.64 1 5/1/2009 5/1/2009
3.48 1 8/1/2000 8/1/2000
3.35 1 11/1/2009 11/1/2009
2.96 1 12/1/2010 12/1/2010
2.79 1 6/1/1999 6/1/1999
2.70 1 10/1/2000 10/1/2000
2.60 1 11/1/2002 11/1/2002
2.56 2 6/1/1996 7/1/1996
2.52 1 2/1/2004 2/1/2004
2.25 1 8/1/2009 8/1/2009
2.12 2 5/1/2002 6/1/2002
1.92 1 4/1/1996 4/1/1996
1.57 1 4/1/2011 4/1/2011
1.53 2 7/1/2001 8/1/2001
1.49 1 8/1/2002 8/1/2002
1.20 1 5/1/2008 5/1/2008
1.14 1 2/1/2011 2/1/2011
1.12 2 1/1/2008 2/1/2008
0.89 1 2/1/2005 2/1/2005
0.76 1 3/1/2002 3/1/2002
0.52 1 8/1/2003 8/1/2003
0.47 2 5/1/1998 6/1/1998
0.47 1 6/1/2004 6/1/2004
0.31 1 8/1/1999 8/1/1999
0.20 1 6/1/2000 6/1/2000
0.09 1 11/1/1994 11/1/1994
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.76 2 2/1/1996 3/1/1996
-6.48 2 12/1/2009 1/1/2010
-5.97 2 3/1/2008 4/1/2008
-5.87 3 5/1/2006 7/1/2006
-5.46 1 8/1/1997 8/1/1997
-5.04 4 1/1/2009 4/1/2009
-4.99 3 3/1/2004 5/1/2004
-4.86 2 4/1/2000 5/1/2000
-4.49 1 5/1/1999 5/1/1999
-4.02 2 9/1/2002 10/1/2002
-3.57 1 12/1/2002 12/1/2002
-3.56 2 6/1/2008 7/1/2008
-3.43 1 9/1/2000 9/1/2000
-3.36 1 12/1/1996 12/1/1996
-3.16 1 7/1/2007 7/1/2007
-3.11 2 3/1/2005 4/1/2005
-3.10 2 9/1/2009 10/1/2009
-3.07 4 12/1/2006 3/1/2007
-3.03 2 3/1/1997 4/1/1997
-2.88 1 2/1/2001 2/1/2001
-2.64 1 6/1/2001 6/1/2001
-2.57 1 5/1/1996 5/1/1996
-2.51 2 11/1/2007 12/1/2007
-2.44 1 9/1/2008 9/1/2008
-2.12 1 3/1/2003 3/1/2003
-2.08 1 7/1/2004 7/1/2004
-1.97 3 9/1/2003 11/1/2003
-1.94 2 1/1/2002 2/1/2002
-1.82 1 1/1/2005 1/1/2005
-1.67 1 7/1/2000 7/1/2000
-1.63 1 5/1/2011 5/1/2011
-1.62 1 4/1/2002 4/1/2002
-1.56 2 7/1/1995 8/1/1995
-1.35 1 4/1/1998 4/1/1998
-1.31 2 9/1/1999 10/1/1999
-1.29 1 3/1/2011 3/1/2011
-1.22 1 7/1/1999 7/1/1999
-1.19 2 10/1/1997 11/1/1997
-1.14 1 1/1/2011 1/1/2011
-0.95 2 6/1/2009 7/1/2009
-0.90 1 11/1/2010 11/1/2010
-0.87 1 7/1/1998 7/1/1998
-0.73 1 9/1/2001 9/1/2001
-0.61 1 12/1/1994 12/1/1994
-0.59 1 7/1/2003 7/1/2003
-0.46 1 1/1/2000 1/1/2000
-0.41 1 1/1/2004 1/1/2004
-0.38 1 7/1/2002 7/1/2002
-0.26 1 8/1/1996 8/1/1996
-0.20 1 11/1/2000 11/1/2000
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods199.00197.00194.00188.00182.00176.00164.00152.00140.00
Percent Profitable61.3168.0278.8788.3098.3599.43100.00100.00100.00
Average Period Return0.792.434.889.5513.9519.1829.3639.4448.58
Average Gain2.354.586.9911.1614.2119.2929.3639.4448.58
Average Loss-1.67-2.15-3.01-2.61-1.56-0.27
Best Period13.9221.3523.6638.3045.4660.1482.36119.28135.15
Worst Period-7.33-6.85-7.70-6.10-2.47-0.274.657.1413.53
Standard Deviation2.654.536.379.0210.8614.2520.9026.4528.70
Gain Standard Deviation1.983.785.378.3410.7614.2220.9026.4528.70
Loss Standard Deviation1.431.742.261.580.80
Sharpe Ratio (1%)0.270.480.690.951.151.201.261.341.52
Average Gain / Average Loss1.412.132.324.279.1071.04
Profit / Loss Ratio2.234.538.6632.22542.7112432.00
Downside Deviation (10%)1.572.162.762.962.622.803.052.982.76
Downside Deviation (5%)1.401.671.911.350.440.24
Downside Deviation (0%)1.361.561.721.040.220.02
Sortino Ratio (10%)0.250.560.871.532.423.184.466.007.60
Sortino Ratio (5%)0.511.302.296.3328.3170.26
Sortino Ratio (0%)0.581.562.839.2064.16937.02

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.