ACE Investment Strategists : Diversified Premium Collection (45K+) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance 2.65% Min Investment $ 75k Mgmt. Fee 2.00% Perf. Fee 25.00% Annualized Vol 35.40% Sharpe (RFR=1%) -0.29 CAROR -16.87% Assets $ 300k Worst DD -90.83 S&P Correlation 0.32 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since8/2004 Diversified Premium Collection (45K+) 2.65 - - - - - -60.53 -83.49 S&P 500 0.62 - - - - - 70.11 252.66 +/- S&P 500 2.03 - - - - - -130.64 -336.15 Strategy Description SummaryThe 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... Read More Account & Fees Type Managed Account Minimum Investment $ 75k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 25.00% Average Commission $55.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 6000 RT/YR/$M Avg. Margin-to-Equity 50% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 0% Strategy Option-writing 100.00% Composition SummaryThe 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. The performance in this report is for DPC accounts over $45,000. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: 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: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 -90.83 60 - 8/1/2008 8/1/2013 -33.89 18 10 2/1/2006 8/1/2007 -5.96 3 5 1/1/2005 4/1/2005 -5.65 2 1 1/1/0001 9/1/2004 -5.44 1 1 12/1/2005 1/1/2006 Show More Consecutive Gains Run-up Length (Mos.) Start End 64.85 8 6/1/2009 1/1/2010 47.27 7 2/1/2008 8/1/2008 26.56 3 11/1/2011 1/1/2012 25.00 2 1/1/2009 2/1/2009 24.23 2 11/1/2007 12/1/2007 22.94 3 9/1/2013 11/1/2013 16.77 4 10/1/2004 1/1/2005 16.10 3 2/1/2014 4/1/2014 15.67 1 4/1/2009 4/1/2009 15.30 2 6/1/2010 7/1/2010 10.85 4 9/1/2005 12/1/2005 10.52 2 7/1/2006 8/1/2006 10.23 1 8/1/2012 8/1/2012 7.65 1 2/1/2006 2/1/2006 7.62 3 11/1/2006 1/1/2007 7.47 1 11/1/2008 11/1/2008 7.10 1 12/1/2010 12/1/2010 7.05 1 9/1/2007 9/1/2007 5.76 3 5/1/2005 7/1/2005 4.61 2 5/1/2007 6/1/2007 4.14 1 4/1/2012 4/1/2012 3.71 1 3/1/2010 3/1/2010 1.98 1 4/1/2011 4/1/2011 0.34 1 7/1/2013 7/1/2013 Show More Consecutive Losses Run-up Length (Mos.) Start End -78.43 2 9/1/2008 10/1/2008 -46.24 10 9/1/2012 6/1/2013 -40.73 6 5/1/2011 10/1/2011 -28.31 4 8/1/2010 11/1/2010 -26.30 2 4/1/2010 5/1/2010 -24.98 3 2/1/2007 4/1/2007 -17.70 3 5/1/2012 7/1/2012 -16.89 3 1/1/2011 3/1/2011 -15.83 4 3/1/2006 6/1/2006 -12.99 2 7/1/2007 8/1/2007 -10.31 2 12/1/2013 1/1/2014 -9.67 1 8/1/2013 8/1/2013 -8.00 2 2/1/2012 3/1/2012 -6.16 1 10/1/2007 10/1/2007 -5.96 3 2/1/2005 4/1/2005 -5.95 1 1/1/2008 1/1/2008 -5.65 2 8/1/2004 9/1/2004 -5.44 1 1/1/2006 1/1/2006 -4.16 1 3/1/2009 3/1/2009 -3.29 2 9/1/2006 10/1/2006 -2.34 1 2/1/2010 2/1/2010 -1.55 1 5/1/2009 5/1/2009 -1.11 1 12/1/2008 12/1/2008 -0.51 1 8/1/2005 8/1/2005 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods117.00115.00112.00106.00100.0094.0082.0070.0058.00 Percent Profitable49.5749.5742.8629.2525.0021.286.102.860.00 Average Period Return-0.78-2.00-4.48-11.65-21.36-29.89-44.31-56.67-62.08 Average Gain5.7811.6320.6237.2729.8220.5217.7738.32 Average Loss-7.24-15.38-23.30-31.87-38.42-43.52-48.34-59.46-62.08 Best Period15.6727.7156.72116.26134.8382.9028.9544.03-29.32 Worst Period-69.66-77.13-74.93-68.25-67.02-72.66-80.45-81.89-90.83 Standard Deviation10.2218.8427.9140.4037.2031.8327.0822.0216.53 Gain Standard Deviation4.098.5316.0536.2234.3319.218.228.08 Loss Standard Deviation10.3416.4518.4519.1617.0017.6022.5414.8716.53 Sharpe Ratio (1%)-0.08-0.12-0.18-0.31-0.61-1.00-1.75-2.76-4.06 Average Gain / Average Loss0.800.760.891.170.780.470.370.64 Profit / Loss Ratio0.790.740.660.480.260.130.020.02 Downside Deviation (10%)9.0816.5323.8934.9042.4650.1965.8081.1691.20 Downside Deviation (5%)8.9416.0422.7031.9437.5443.2754.3064.2769.16 Downside Deviation (0%)8.9115.9222.4031.2236.3541.6151.6260.3864.21 Sortino Ratio (10%)-0.13-0.19-0.29-0.48-0.68-0.80-0.91-0.96-0.98 Sortino Ratio (5%)-0.10-0.14-0.22-0.40-0.61-0.74-0.87-0.94-0.97 Sortino Ratio (0%)-0.09-0.13-0.20-0.37-0.59-0.72-0.86-0.94-0.97 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. x {{title}} x {{title}} Add Cancel