ACE Investment Strategists : Aggressive Stock Index Premium Collection Institutional

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
4.60%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
29.13%
Sharpe (RFR=1%)
0.16
CAROR
0.60%
Assets
$ 700k
Worst DD
-63.48
S&P Correlation
0.46

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
10/2005
Aggressive Stock Index Premium Collection Institutional 4.60 - - - - - 12.07 5.23
S&P 500 0.62 - - - - - 70.11 154.20
+/- S&P 500 3.98 - - - - - -58.04 -148.98

Strategy Description

Summary

This is the Institutional Program of ACE's Aggressive Stock Index Premium Collection (ASIPC) Strategy. The Institutional program requirements for minimum starting value is higher than that for the Regular program and, therefore can be traded with greater flexibility. The objective... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $55.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2800 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

This is the Institutional Program of ACE's Aggressive Stock Index Premium Collection (ASIPC) Strategy. The Institutional program requirements for minimum starting value is higher than that for the Regular program and, therefore can be traded with greater flexibility. The objective of the Aggressive strategy 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.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Risk
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Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-63.48 37 - 8/1/2008 9/1/2011
-31.12 7 9 1/1/2007 8/1/2007
-4.11 2 3 3/1/2006 5/1/2006
-0.98 1 1 10/1/2006 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
45.24 7 2/1/2008 8/1/2008
39.48 4 9/1/2007 12/1/2007
29.74 4 10/1/2011 1/1/2012
27.55 10 7/1/2013 4/1/2014
24.29 3 4/1/2009 6/1/2009
22.42 7 7/1/2012 1/1/2013
18.67 5 11/1/2009 3/1/2010
18.35 4 11/1/2008 2/1/2009
12.14 3 8/1/2010 10/1/2010
12.02 3 8/1/2006 10/1/2006
11.91 2 5/1/2007 6/1/2007
11.63 2 12/1/2006 1/1/2007
11.09 6 10/1/2005 3/1/2006
10.55 3 12/1/2010 2/1/2011
7.28 2 8/1/2009 9/1/2009
5.14 1 6/1/2010 6/1/2010
4.78 3 3/1/2012 5/1/2012
2.57 2 4/1/2011 5/1/2011
1.68 1 5/1/2013 5/1/2013
1.60 1 6/1/2006 6/1/2006
0.67 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-60.57 2 9/1/2008 10/1/2008
-50.49 4 6/1/2011 9/1/2011
-27.80 3 2/1/2007 4/1/2007
-16.94 1 1/1/2008 1/1/2008
-14.75 2 7/1/2007 8/1/2007
-14.54 2 4/1/2010 5/1/2010
-5.33 1 4/1/2013 4/1/2013
-5.01 1 7/1/2009 7/1/2009
-4.11 2 4/1/2006 5/1/2006
-3.58 1 6/1/2012 6/1/2012
-3.53 1 11/1/2010 11/1/2010
-3.03 1 3/1/2009 3/1/2009
-2.65 1 6/1/2013 6/1/2013
-2.64 1 2/1/2013 2/1/2013
-1.34 1 3/1/2011 3/1/2011
-0.98 1 11/1/2006 11/1/2006
-0.96 1 7/1/2006 7/1/2006
-0.35 1 2/1/2012 2/1/2012
-0.13 1 7/1/2010 7/1/2010
-0.12 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods103.00101.0098.0092.0086.0080.0068.0056.0044.00
Percent Profitable71.8473.2769.3961.9648.8440.0011.7626.7934.09
Average Period Return0.471.712.552.14-0.57-1.91-14.67-10.25-12.92
Average Gain3.988.6514.2221.0024.9233.324.7715.1019.65
Average Loss-8.49-17.33-23.89-28.59-24.91-25.40-17.26-19.52-29.77
Best Period13.0626.3740.5368.2669.4473.357.2631.6344.51
Worst Period-39.98-59.25-54.76-46.12-46.24-49.48-54.92-50.15-51.97
Standard Deviation8.4115.9821.8928.3728.2632.2112.7221.9528.37
Gain Standard Deviation3.046.688.7014.7714.2718.922.2011.3017.81
Loss Standard Deviation10.8618.5119.6115.0211.989.9611.1816.9914.68
Sharpe Ratio (1%)0.050.090.090.04-0.07-0.12-1.39-0.65-0.64
Average Gain / Average Loss0.470.500.600.731.001.310.280.770.66
Profit / Loss Ratio1.201.371.351.200.950.870.040.280.34
Downside Deviation (10%)7.3713.4318.0722.6524.7528.6832.9438.4649.11
Downside Deviation (5%)7.2613.0717.2020.4120.7022.5621.7224.7730.65
Downside Deviation (0%)7.2412.9816.9919.8619.7321.1019.2722.0326.85
Sortino Ratio (10%)0.010.040.00-0.13-0.33-0.42-0.92-0.83-0.83
Sortino Ratio (5%)0.050.110.120.06-0.10-0.17-0.81-0.58-0.59
Sortino Ratio (0%)0.060.130.150.11-0.03-0.09-0.76-0.47-0.48

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.