Orion Capital Advisors Inc

Beta opportunity Strategy *PROP*


Monthly Performance (%)

Date Range: 10/15 - 07/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 -0.71 -8.76 5.16 5.35 1.03 1.38 3.22   6.11 
2017 4.28 1.39 4.70 0.16 2.76 -0.21 0.66 1.64 -0.11 -0.73 0.91 -0.03  16.36 
2016 -0.01 2.46 -8.19 3.63 0.65 3.15 -4.10 -0.06 3.77 0.89 3.67 -2.45  2.69 
2015 1.44 4.00  5.50 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The strategy is managed in individual separately managed accounts that are transparent and titled in the name of the investor. The Beta Opportunity Strategy is systematic and is based Orion Capital's timing 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 timing model takes into account several macro and technical factors to determine when a trade is to be placed with the highest potential profit .The program will transact primarily in equity index futures options and the e-mini futures contract. The program thrives in high volatility environments. The Beta Opportunity Strategy has a negative correlation to the index and delivers returns independent of market direction. The trades selected by the timing model use time decay to its advantage and also uses a portion of the premium to buy insurance for risk management. Trades are held between 8-65 calendar days. The program aggressively manages risk by buying options, executing conditional exits according to the changing probabilities of each trade, and the Orion's Timing model. Risk is further reduced by the use of option spreads and e-mini futures. Pre-defined risk models are managed for new positions and the overall portfolio in order to control risk to be within downside volatility parameters. The program is fully systematic but has no automated components. All positions are placed and monitored by Orion’s trading principals.

Performance Statistics

Date Range: 10/15 - 07/18
  Program S&P 500 Altegris 40 
Total Return 33.76% 55.51% -5.77% 
Annualized Return 11.16% 16.86% -2.07% 
Annualized Std. Deviation 11.08% 9.24% 8.15% 
Correlation -0.19 0.24 
Sharpe Ratio (rf=2.5%) 0.78 1.55 -0.56 
Worst Month -8.76% -4.96% -6.10% 
Date of Worst Month 02/2018 01/2016 02/2018 
Worst Drawdown -9.43% -6.58% -12.38% 
Date of Worst Drawdown 11/17 - 2/18 11/15 - 2/16 2/16 - 9/17 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 10/15 - 07/18

Year or YTD Program S&P 500 Altegris 40 
2018 6.11 6.47 -3.11 
2017 16.36 21.84 1.24 
2016 2.69 11.98 -3.23 
2015 5.50 -1.28 1.03 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 10/15 - 07/18
Date: 7/31/2018
Perf: $959.04 Date: 6/30/2018
Perf: $966.28 Date: 5/31/2018
Perf: $958.24 Date: 4/30/2018
Perf: $970.76 Date: 3/31/2018
Perf: $960.39 Date: 2/28/2018
Perf: $961.25 Date: 1/31/2018
Perf: $1,023.70 Date: 12/31/2017
Perf: $989.84 Date: 11/30/2017
Perf: $979.17 Date: 10/31/2017
Perf: $977.90 Date: 9/30/2017
Perf: $938.57 Date: 8/31/2017
Perf: $958.80 Date: 7/31/2017
Perf: $943.15 Date: 6/30/2017
Perf: $939.48 Date: 5/31/2017
Perf: $967.74 Date: 4/30/2017
Perf: $965.91 Date: 3/31/2017
Perf: $971.74 Date: 2/28/2017
Perf: $986.13 Date: 1/31/2017
Perf: $965.10 Date: 12/31/2016
Perf: $977.71 Date: 11/30/2016
Perf: $970.33 Date: 10/31/2016
Perf: $982.12 Date: 9/30/2016
Perf: $1,008.13 Date: 8/31/2016
Perf: $1,021.30 Date: 7/31/2016
Perf: $1,049.54 Date: 6/30/2016
Perf: $1,038.94 Date: 5/31/2016
Perf: $996.58 Date: 4/30/2016
Perf: $1,014.33 Date: 3/31/2016
Perf: $1,040.45 Date: 2/29/2016
Perf: $1,071.19 Date: 1/31/2016
Perf: $1,045.47 Date: 12/31/2015
Perf: $1,010.32 Date: 11/30/2015
Perf: $1,034.10 Date: 10/31/2015
Perf: $1,000.00 Date: 7/31/2018
Perf: $1,434.05 Date: 6/30/2018
Perf: $1,382.62 Date: 5/31/2018
Perf: $1,374.10 Date: 4/30/2018
Perf: $1,341.76 Date: 3/31/2018
Perf: $1,336.68 Date: 2/28/2018
Perf: $1,371.52 Date: 1/31/2018
Perf: $1,424.07 Date: 12/31/2017
Perf: $1,346.89 Date: 11/30/2017
Perf: $1,332.11 Date: 10/31/2017
Perf: $1,292.43 Date: 9/30/2017
Perf: $1,263.00 Date: 8/31/2017
Perf: $1,237.51 Date: 7/31/2017
Perf: $1,233.68 Date: 6/30/2017
Perf: $1,208.78 Date: 5/31/2017
Perf: $1,201.33 Date: 4/30/2017
Perf: $1,184.63 Date: 3/31/2017
Perf: $1,172.55 Date: 2/28/2017
Perf: $1,171.15 Date: 1/31/2017
Perf: $1,126.43 Date: 12/31/2016
Perf: $1,105.43 Date: 11/30/2016
Perf: $1,083.96 Date: 10/31/2016
Perf: $1,045.29 Date: 9/30/2016
Perf: $1,064.66 Date: 8/31/2016
Perf: $1,064.45 Date: 7/31/2016
Perf: $1,062.96 Date: 6/30/2016
Perf: $1,025.14 Date: 5/31/2016
Perf: $1,022.48 Date: 4/30/2016
Perf: $1,004.40 Date: 3/31/2016
Perf: $1,000.50 Date: 2/29/2016
Perf: $936.97 Date: 1/31/2016
Perf: $938.19 Date: 12/31/2015
Perf: $987.15 Date: 11/30/2015
Perf: $1,003.00 Date: 10/31/2015
Perf: $1,000.00 Date: 7/31/2018
Perf: $1,337.60 Date: 6/30/2018
Perf: $1,295.87 Date: 5/31/2018
Perf: $1,278.23 Date: 4/30/2018
Perf: $1,265.20 Date: 3/31/2018
Perf: $1,200.95 Date: 2/28/2018
Perf: $1,142.02 Date: 1/31/2018
Perf: $1,251.67 Date: 12/31/2017
Perf: $1,260.62 Date: 11/30/2017
Perf: $1,261.00 Date: 10/31/2017
Perf: $1,249.63 Date: 9/30/2017
Perf: $1,258.82 Date: 8/31/2017
Perf: $1,260.20 Date: 7/31/2017
Perf: $1,239.87 Date: 6/30/2017
Perf: $1,231.74 Date: 5/31/2017
Perf: $1,234.33 Date: 4/30/2017
Perf: $1,201.18 Date: 3/31/2017
Perf: $1,199.26 Date: 2/28/2017
Perf: $1,145.42 Date: 1/31/2017
Perf: $1,129.72 Date: 12/31/2016
Perf: $1,083.35 Date: 11/30/2016
Perf: $1,110.56 Date: 10/31/2016
Perf: $1,071.25 Date: 9/30/2016
Perf: $1,061.80 Date: 8/31/2016
Perf: $1,023.22 Date: 7/31/2016
Perf: $1,023.84 Date: 6/30/2016
Perf: $1,067.61 Date: 5/31/2016
Perf: $1,035.01 Date: 4/30/2016
Perf: $1,028.32 Date: 3/31/2016
Perf: $992.30 Date: 2/29/2016
Perf: $1,080.82 Date: 1/31/2016
Perf: $1,054.87 Date: 12/31/2015
Perf: $1,054.98 Date: 11/30/2015
Perf: $1,014.40 Date: 10/31/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 10/15 - 07/18
Date: 7/31/2018
Return: 3.22 % Date: 6/30/2018
Return: 1.38 % Date: 5/31/2018
Return: 1.03 % Date: 4/30/2018
Return: 5.35 % Date: 3/31/2018
Return: 5.16 % Date: 2/28/2018
Return: -8.76 % Date: 1/31/2018
Return: -0.71 % Date: 12/31/2017
Return: -0.03 % Date: 11/30/2017
Return: 0.91 % Date: 10/31/2017
Return: -0.73 % Date: 9/30/2017
Return: -0.11 % Date: 8/31/2017
Return: 1.64 % Date: 7/31/2017
Return: 0.66 % Date: 6/30/2017
Return: -0.21 % Date: 5/31/2017
Return: 2.76 % Date: 4/30/2017
Return: 0.16 % Date: 3/31/2017
Return: 4.70 % Date: 2/28/2017
Return: 1.39 % Date: 1/31/2017
Return: 4.28 % Date: 12/31/2016
Return: -2.45 % Date: 11/30/2016
Return: 3.67 % Date: 10/31/2016
Return: 0.89 % Date: 9/30/2016
Return: 3.77 % Date: 8/31/2016
Return: -0.06 % Date: 7/31/2016
Return: -4.10 % Date: 6/30/2016
Return: 3.15 % Date: 5/31/2016
Return: 0.65 % Date: 4/30/2016
Return: 3.63 % Date: 3/31/2016
Return: -8.19 % Date: 2/29/2016
Return: 2.46 % Date: 1/31/2016
Return: -0.01 % Date: 12/31/2015
Return: 4.00 % Date: 11/30/2015
Return: 1.44 % Date: 10/31/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 10/15 - 07/18
Return: -9.00 %
Count: 1 Return: -1.00 %
Count: 2 Return: 5.00 %
Count: 3 Return: -2.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: 3.00 %
Count: 3 Return: -8.00 %
Count: 1 Return: 2.00 %
Count: 2 Return: 4.00 %
Count: 5 Return: 1.00 %
Count: 8 Return: 0.00 %
Count: 7
Note: All performance data is since program inception.

Underwater Curve

Date Range: 10/15 - 07/18
Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: 0.00 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: -4.76 % Date: 2/28/2018
Drawdown: -9.43 % Date: 1/31/2018
Drawdown: -0.74 % Date: 12/31/2017
Drawdown: -0.03 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: -0.84 % Date: 9/30/2017
Drawdown: -0.11 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: -0.21 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: -2.45 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -0.89 % Date: 9/30/2016
Drawdown: -1.76 % Date: 8/31/2016
Drawdown: -5.33 % Date: 7/31/2016
Drawdown: -5.27 % Date: 6/30/2016
Drawdown: -1.22 % Date: 5/31/2016
Drawdown: -4.24 % Date: 4/30/2016
Drawdown: -4.86 % Date: 3/31/2016
Drawdown: -8.19 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -0.01 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Orion Capital Advisors Inc
Address: 2462 Emmie Lane
City: Tetonia
State: ID
Zip: 83452
Country: United States

Key People

Name:  Ryan Cormier
Position:  Managing Director
Biography: 

Mr. Cormier is the Managing Director and a Trading Principal of Orion Capital Advisors, Inc. Mr. Cormier is listed as a principal of 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 also possessed a SECRET security clearance. 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.


Name:  Christopher Sassi
Position:  Principal
Biography: 

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.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Other Futures Yes 
 Investment Methodology
 Systematic Yes 
 Discretionary No 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Medium Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $150,000 
 Margin / Equity Ratio: 25% 
 Managed Account Availability: Open