Summary

The SSARIS Active Commodity Strategy ("ACS") is a systematic program which uses price series, volatility and momentum analysis to actively manage a portfolio of commodity futures contracts. It seeks to provide absolute return and alpha over a passive commodity investment. SSARIS annually employs a market selection metric which evaluates the risk/reward potential of over 50 global commodity futures contracts. This process identifies approximately 20 markets which appear to have the greatest likelihood to perform consistently with the SSARIS trading models, and allocates the portfolio's risk budget according to the metrics ranking. The strategy employs three independent trading models which are designed to dynamically adjust positions within the risk budget of each commodity. Positions are scaled by thirds as each independent trading model establishes a signal in a particular market. While a short signal in one model can offset a long signal from another model, net short positions are not taken in this portfolio. The principals of SSARIS have utilized these models since 1983 to manage long and short positions.