ACE Investment Strategists : Aggressive Stock Index Premium Collection
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definitions page
Year-to-Date
N / A
Dec 5.87%
|
Min. Investment |
$ 100k |
Inception |
Jul 2005 |
Assets |
$ 800k |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
-0.21 |
Worst DD |
-72.51 |
|
Perf Fee |
25.00% |
CAROR |
-12.51% |
S&P Correlation |
0.42
|
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | 2.40 | 1.52 | -3.12 | -0.32 | 2.04 | -0.67 | -8.18 | -32.23 | -23.00 | -6.48 | -1.28 | 5.87 | -52.35 | -56.70 |
| 2010 | 3.17 | 2.29 | 2.51 | -1.90 | -14.71 | 4.74 | -0.72 | 3.62 | 1.56 | 5.78 | -4.22 | 5.69 | 6.07 | -16.33 |
| 2009 | 0.06 | 5.13 | -3.31 | 10.96 | 7.80 | 6.43 | -5.97 | 4.53 | 1.95 | -0.39 | 3.66 | 7.01 | 43.37 | -5.97 |
| 2008 | -15.93 | 9.03 | 6.69 | 7.32 | 7.01 | 3.63 | 2.09 | 2.88 | -48.26 | -28.95 | -1.99 | 11.47 | -50.91 | -63.97 |
| 2007 | 6.66 | -14.76 | -13.82 | -3.64 | 9.90 | 3.09 | -8.71 | -9.30 | 10.61 | 4.82 | 4.59 | 13.33 | -2.67 | -33.60 |
| 2006 | 0.87 | 1.78 | 4.72 | -0.01 | -3.73 | 1.75 | -0.77 | 6.76 | 1.46 | 2.79 | -0.84 | 2.70 | 18.48 | -3.74 |
| 2005 | | | | | | | -3.36 | 1.54 | 3.37 | -1.37 | 0.77 | 1.46 | 2.29 | -3.36 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Strategy Description
Summary
The objective of this managed futures program is to achieve returns superior to those of the core Stock Index Premium Collection (SIPC) strategy, primarily by exploiting rising volatility levels, when they occur, in a more aggressive way. This strategy uses all the basics of the core SIPC system, selling put and call options on the S&P 500 future to collect premiums. ASIPC will differ from the "core" mainly in that it will, at opportune times, and with suitable moderation, select option strike prices closer to the market in order to collect higher premiums and improve performance. The key to success to the Premium Collection strategy is to balance option positions, where price changes and volatility are constantly changing, and, while exploiting the time decay aspect of option premiums. There are twelve cycles per year, ending on options expiration each month. Profitable outcomes can occur whether the market traded are up, down, or sideways as long as its price stays within a predetermined range. It works best when the market is somewhat, but not excessively volatile. Many investors are focused on a single strategy that is successful only when the market is trending higher. In reality, we know that quite often the market is not trending at all, neither up nor down. Most of the time it is in more of a zig-zag mode called a consolidation. Therefore, when the market is in this condition, ACE uses a strategy to take advantage of the choppiness and non-direction. A basic tenet of this strategy is that, at times, it is best to determine where the market will not go versus where the market will go.
