ACE Investment Strategists : Multi-Market Hybrid Approach (MMHA)

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
4.62%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.67%
Sharpe (RFR=1%)
1.09
CAROR
15.05%
Assets
$ 5.1M
Worst DD
-15.02
S&P Correlation
0.44

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
1/2011
Multi-Market Hybrid Approach (MMHA) 4.62 20.60 - 13.51 42.02 - - 59.56
S&P 500 0.62 5.69 - 17.93 38.13 - - 46.47
+/- S&P 500 4.00 14.91 - -4.41 3.89 - - 13.10

Strategy Description

Summary

"The objective of the ACE's Hybrid Approach Strategies is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. It is central to this trading strategy that ACE makes use of flexibility... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
6600 RT/YR/$M
Avg. Margin-to-Equity
65%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Counter-trend
25.00%
Option-writing
25.00%
Technical
25.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Livestock
10.00%
Softs
10.00%
Currency Futures
10.00%
Stock Indices
10.00%
Precious Metals
10.00%
Industrial Metals
10.00%
Currency FX
10.00%
Interest Rates
10.00%
Grains
10.00%
Energy
10.00%
Composition Pie Chart

Summary

"The objective of the ACE's Hybrid Approach Strategies is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. It is central to this trading strategy that ACE makes use of flexibility to match the optimum trading style to the specific market situation. It's an ""all market weather"" strategy approach in the sense that is tries trade the three stages of the market for optimum results. ""It's a simple formula: match the optimum trading approach to the current market environment and adjust as that changes. Of course, it's be bit more complex than that. It takes stern dedication to be that flexible and convicted to your trading program, disregarding all distractions. It takes experienced and seasoned trading."" The Multi-Market Hybrid Approach (MMHA) strategy combines the use of Stock Indices used in the SIHA strategy and selected commodity futures and options to offer the potential of greater returns than the stock index strategy alone due to the low correlation of performance between and among stocks and many commodity markets. ACE may choose to use spreads, be long or short the future or the option, or swing-trade the future, or apply dollar-cost-averaging approaches, or other trading styles, very much directed by, and in sync with, the market situation at the time. ACE selects commodities opportunistically and consistent with their liquidity and timeliness. Examples of commodity categories likely to be included are foreign currencies, the credit markets, precious metals, energy products, grains, “softs” and the meat complex, among others. Each commodity market has unique characteristics and therefore is subject to unique trading parameters and style. ACE determines position-size accordingly. Strict risk management techniques are an integral part of the strategy using predetermined stop loss points which are designed to limit losses and protect gains. The use of stop loss or contingent orders may not protect profits or limit losses to the amounts intended. Certain market conditions make it difficult or impossible to execute such orders. The appropriate investor for the MMHA will be someone who has had experience trading commodities, who is comfortable with frequent trading and exposure to higher than average risk in order to achieve potentially higher than average returns. It is suggested that at least 20 months should be allowed to evaluate performance of the MMHA strategy. Trading futures and options involves substantial risk of loss and is not suitable for all investors. The risk of loss in options writing programs is unlimited. Past performance is not necessarily indicative of future results."

   

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
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Sharpe Ratio: (RF=1%)
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Compound RoR:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-15.02 7 6 1/1/2013 8/1/2013
-6.91 2 2 7/1/2011 9/1/2011
-2.54 1 1 4/1/2012 5/1/2012
-1.68 1 2 8/1/2012 9/1/2012
-0.57 1 1 6/1/2012 7/1/2012
-0.24 1 1 11/1/2012 12/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
26.11 7 10/1/2011 4/1/2012
20.60 3 2/1/2014 4/1/2014
18.95 7 1/1/2011 7/1/2011
10.19 3 9/1/2013 11/1/2013
3.00 1 6/1/2012 6/1/2012
2.59 2 10/1/2012 11/1/2012
2.15 1 8/1/2012 8/1/2012
1.83 1 7/1/2013 7/1/2013
1.64 1 1/1/2013 1/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.43 5 2/1/2013 6/1/2013
-6.91 2 8/1/2011 9/1/2011
-5.78 1 8/1/2013 8/1/2013
-2.96 2 12/1/2013 1/1/2014
-2.54 1 5/1/2012 5/1/2012
-1.68 1 9/1/2012 9/1/2012
-0.57 1 7/1/2012 7/1/2012
-0.24 1 12/1/2012 12/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable65.0073.6877.1468.9769.5794.12
Average Period Return1.243.475.509.1113.3017.30
Average Gain3.166.359.3916.4521.0818.42
Average Loss-2.33-4.59-7.63-7.22-4.48-0.60
Best Period13.5020.6022.6831.1540.1743.46
Worst Period-6.05-10.30-14.65-13.09-8.82-0.60
Standard Deviation3.667.129.9213.6015.3913.26
Gain Standard Deviation2.765.697.339.2611.5312.84
Loss Standard Deviation2.093.664.842.962.61
Sharpe Ratio (1%)0.320.450.500.600.771.15
Average Gain / Average Loss1.361.381.232.284.7130.44
Profit / Loss Ratio2.523.884.165.0710.77487.12
Downside Deviation (10%)2.013.495.307.036.983.38
Downside Deviation (5%)1.863.054.454.833.570.63
Downside Deviation (0%)1.822.954.244.312.810.15
Sortino Ratio (10%)0.410.640.570.580.822.08
Sortino Ratio (5%)0.621.061.131.683.3124.10
Sortino Ratio (0%)0.681.181.302.114.74117.90

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.