ACE Investment Strategists : Diversified Premium Collection (45K+)

archived programsClosed to new investments
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

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
8/2004
Diversified Premium Collection (45K+) 2.65 - - - - - -63.08 -83.49
S&P 500 0.62 - - - - - 70.11 224.59
+/- S&P 500 2.03 - - - - - -133.19 -308.08

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... 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%
Strategy Pie Chart

Composition

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.

The performance in this report is for DPC accounts over $45,000.

   

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:
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
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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
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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
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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.