ACE Investment Strategists : Stock Index Premium Collection Institutional Program
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definitions page
Year-to-Date
N / A
Dec 6.70%
|
Min. Investment |
$ 180k |
Inception |
Jun 2004 |
Assets |
$ 2.1M |
|
Mgmt Fee |
2.00% |
Sharpe (RFR=1%)
|
-0.10 |
Worst DD |
-70.99 |
|
Perf Fee |
25.00% |
CAROR |
-7.59% |
S&P Correlation |
0.45 |
Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2011 | 2.06 | 1.72 | -4.31 | 0.29 | 2.13 | -0.61 | -7.29 | -26.80 | -18.44 | -3.77 | 0.55 | 6.70 | -42.21 | -48.11 |
| 2010 | 2.88 | 1.90 | 2.57 | -1.96 | -19.87 | 5.81 | -0.13 | 3.64 | 2.02 | 5.43 | -4.55 | 6.47 | 1.13 | -21.44 |
| 2009 | 0.71 | 3.04 | -3.45 | 8.05 | 5.72 | 5.00 | -2.14 | 3.62 | 1.94 | 0.10 | 3.92 | 6.28 | 37.33 | -3.45 |
| 2008 | -13.71 | 5.58 | 3.60 | 5.55 | 6.52 | 3.49 | 1.45 | 2.44 | -51.40 | -28.27 | 0.11 | 11.11 | -55.74 | -65.14 |
| 2007 | 5.21 | -11.56 | -10.75 | -1.78 | 8.14 | 1.57 | -6.45 | -7.16 | 8.75 | 5.58 | 1.55 | 11.50 | 1.16 | -26.04 |
| 2006 | 0.67 | 0.96 | 3.14 | 0.06 | -2.95 | 2.22 | -0.87 | 5.15 | 1.55 | 2.15 | -0.79 | 2.27 | 14.16 | -2.95 |
| 2005 | 3.37 | -2.50 | 0.13 | 0.46 | 2.55 | 2.19 | 0.65 | 1.44 | 2.39 | -0.07 | 1.01 | 1.85 | 14.18 | -2.50 |
| 2004 | | | | | | 2.88 | 2.55 | 2.94 | 5.04 | -2.86 | 2.25 | 3.59 | 17.38 | -2.86 |
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
This is the Institutional Program of ACE's core strategy, the Stock Index Premium Collection (SIPC) Strategy. The Institutional managed futures program requirements for minimum starting value is higher than that for the Regular program and, therefore can be traded with greater flexibility. The SIPC strategy writes call and put options on the S&P 500 index futures. The key to success 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 S&P 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.
