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Orion Capital Advisors 

Orion Beta Opportunity Strategy (Client)

Manager: Christopher Sassi

Address: 2462 emmie lane, tetonia, ID, 83452, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 1, 2017
AUM:$806,591
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-2.90%9.50%
Annual ROR:-3.16%10.40%
YTD:-5.70%-1.22%
1 Year:-2.90%10.77%
Alpha:-0.50
Beta:0.33
Statistics Program S&P 500
Average Monthly Gain:1.17%2.04%
Average Monthly Loss:-2.64%-2.30%
Winning Months:78
Losing Months:43
Current DD:5.706.48
Max DD:9.796.48
Sharpe Ratio (RF 1%):-0.37
Annualized Std Dev:11.37

Methodology

Discretionary:10%
Systematic:90%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Option Purchase:5%
Option Spreads:90%
Option Writing:5%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2018-0.75-9.114.54-5.70
20170.71-0.100.281.530.16-0.590.920.032.96

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Summary

The Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program is negatively correlated to the S&P 500 and seeks to deliver returns independent of market direction. The strategy is offered through separately managed accounts that produce daily transparency and liquidity, all accounts titled in the name of the customer.

The Beta Opportunity Strategy is systematic and is founded on Orion Capital's execution model connected to the movement in volatility and S&P pricing. Positions are determined using a combination of fundamental and technical analysis. Orion Capital's execution model takes into account several macro and technical factors to determine when a trade is to be placed with the highest potential profit/risk scenario . The program will transact currently in equity index futures options and the e-mini futures contracts. The program thrives in high-volatility environments. The Beta Opportunity Strategy has a negative correlation to the index and seeks to deliver returns independent of market direction. The trades selected by the execution model use time decay to their advantage and are taken in calendar spread form with no naked components. Trades are held between 15 and 80 days.

The program aggressively manages risk by fully hedging its positions with spreads, executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with an average of 12% M/E. Each new position is stress tested individually and also as part of the overall portfolio before execution. The program is fully systematic but not automated. All positions are placed and monitored by Orion's trading principals. Returns are based on proforma adjustments to a proprietary account to reflect fees and commissions. Client accounts are traded in like fashion.

Company Info

Emerging CTA specializing in hedged option strategys in S&P500 e-mini cutures contract

Manager Info

Christopher Sassi

Mr. Sassi is the President and a Trading Principal of Orion Capital Advisors, Inc. Mr. Sassi is listed as a principal of Orion, effective August 18, 2015, and became registered as an associated person on October 15, 2015. Mr. Sassi began his professional career in the automotive industry at his family owned and operated dealership, Royal Cadillac in 2002. His experiences span across management, operations and sales. In 2009, Mr. Sassi left Royal Cadillac to become a full time trader and portfolio manager for his family office. He is a self-taught trader starting at age 20, with experience using multiple strategies in both the equities and futures markets. Mr. Sassi holds his Series 3 license with the National Futures Association.

Ryan Cormier

Mr. Cormier is the Managing Director and a Trading Principal of Orion Capital Advisors, Inc. Mr. Cormier is listed as a principal if Orion, effective October 10, 2015. Mr. Cormier began his professional career in the US Air Force, Security Forces in 2003. During his time in service, he received the Air Force Achievement medal in 2004 and 2006 and was also deployed overseas. From 2009 to 2014, Mr. Cormier served as a Sports Ticker and Editor for Yankees Entertainment and Sports. In 2012, he began managing his own portfolio of stock options, equity and Futures. He also worked for Mr. Sassi's family office since 2011 as a Trader before founding Orion Capital with Christopher Sassi. Mr. Cormier attended Central Connecticut State University.

James Rist

Mr. Rist began his career in the financial industry as a specialist clerk on the New York Stock Exchange with Walter N. Frank and Company in New York, from June 1986 to October 1992. From October 1992 through May 2000 he served as Director of Stock Index Futures Trading for RSQ Trading Company in New York. While at RSQ Trading Company, he specialized in stock index futures arbitrage between the S&P 500 contract vs. the NYSE Composite Index contract and the S&P 500 contract vs. the NASDAQ 100 contract. From June 2000 to January 2001, Mr. Rist served as an associate at AXA Advisors LLC in New York. Then, from January 2001 to May 2009, he served in a variety of managerial and marketing roles at UBS Investment Bank in Stamford, Connecticut.

Having developed this base of experience in derivatives and equities, he began to focus on structuring and marketing derivative products to hedge funds, pension funds, insurance companies and asset managers. After working in sales and trading positions with LaBranche Financial Services in New York (May 2009 to November 2009) and Santander Investment Securities Inc. in New York (November 2009 to May 2010), he spent more than two years with HSBC Securities USA Inc. in New York (September 2010 to May 2013) as Senior Vice President of OTC Derivatives on Emerging and Frontier Equity Markets. In June 2014, Mr. Rist joined Scotia Capital in New York as Director and Head of Institutional Emerging Market Portfolio Finance Origination and Execution. At Scotia Capital, he built the bank’s portfolio finance business that focused on portfolio optimization for regulatory balance sheet purposes as well as funding requirements of pension funds, hedge funds and endowments. He left Scotia Capital in December 2016.

Mr. Rist earned a Bachelor of Science degree in Economics and Finance from Southern Connecticut State University in New Haven, Connecticut in June, 1987 and holds Series 3, 7, 30, 55, 63 and 66 certifications.