ACE Investment Strategists : Diversified Premium Collection
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definitions page
Year-to-Date
N / A
Dec 17.83%
|
Min. Investment |
$ 75k |
Inception |
Aug 2004 |
Assets |
$ 4.2M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
-0.15 |
Worst DD |
-84.98 |
|
Perf Fee |
25.00% |
CAROR |
-15.39% |
S&P Correlation |
0.34 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | -11.33 | 1.01 | -3.92 | 2.62 | -6.09 | -0.93 | -5.64 | -22.11 | -13.97 | -0.18 | 12.41 | 17.83 | -31.32 | -48.14 |
| 2010 | 4.38 | -2.75 | 3.28 | -2.52 | -22.72 | 15.10 | -0.17 | -6.41 | -0.42 | -6.13 | -21.90 | 6.63 | -33.88 | -40.86 |
| 2009 | 8.15 | 12.32 | -4.31 | 16.36 | -2.12 | 12.66 | 5.81 | 4.19 | 7.53 | 9.86 | 8.51 | 0.33 | 111.47 | -4.31 |
| 2008 | -5.95 | 2.31 | 4.72 | 9.18 | 7.44 | 7.16 | 3.15 | 6.01 | -69.66 | -36.71 | 10.66 | -2.53 | -71.31 | -80.80 |
| 2007 | 1.04 | -9.09 | -16.35 | -1.35 | 0.46 | 4.13 | -5.69 | -7.74 | 7.05 | -6.16 | 9.07 | 13.90 | -13.90 | -31.72 |
| 2006 | -5.56 | 7.24 | -1.66 | -8.77 | -4.46 | -0.21 | 4.53 | 4.68 | -1.63 | 0.06 | 0.41 | 4.64 | -1.97 | -14.47 |
| 2005 | 6.75 | -3.70 | 0.98 | 0.24 | 3.53 | 0.74 | 0.96 | -0.39 | 3.78 | 1.30 | 2.61 | 3.22 | 21.53 | -3.70 |
| 2004 | | | | | | | | 1.95 | 0.01 | -1.98 | 4.99 | -2.32 | 2.49 | -2.32 |
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 Diversified Premium Collection (DPC) managed futures strategy combines the profit-generating potential of ACE's core strategy, the Stock Index Premium Collection (SIPC) strategy, which writes calls and put options on the S&P 500 index futures, with opportunistic trading in other index, financial or commodity futures. As experienced commodity traders, we know that over the course of a year individual commodities might not offer attractive investment (or trading) situations at all times. So, among the 36 commodities we currently track daily, we are always on the alert for compelling opportunities when they do occur in one or more in the group. 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 is 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.
