ACE Investment Strategists : Stock Index Hybrid Approach Regular Program

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
5.61%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
24.22%
Sharpe (RFR=1%)
0.45
CAROR
9.07%
Assets
$ 2.8M
Worst DD
-51.48
S&P Correlation
0.38

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
11/2007
Stock Index Hybrid Approach Regular Program 5.61 - - - - - -7.30 75.85
S&P 500 0.62 - - - - - 70.11 133.88
+/- S&P 500 4.99 - - - - - -77.41 -58.03

Strategy Description

Summary

The objective of this managed futures strategy is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. The focus of this strategy will be on stock... 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 $30.00
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 4200 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

The objective of this managed futures strategy is to enhance the consistency of overall returns by taking advantage of various market conditions with a vast array of investment vehicles and techniques. The focus of this strategy will be on stock indices. Typically, all financial markets tend to move in three stages: a trending phase, counter-trend and consolidation. Like the seasons in nature, each stage has its own characteristics, its own "weather" so to speak. Each, therefore, is susceptible to greater exploitation and protection, when the most appropriate vehicles and techniques for the specific market condition are applied. It is central to this strategy (and the one that follows, as well) that the Advisor make use of flexibility to match the optimum trading style to the specific market situation. In the best sense, these strategies may by thought of as "all weather" strategies. It is felt that over the long term the stock market continues to offer the greatest opportunity for wealth creation. The basic vehicles will be stock index futures, which can offer stability as well as growth opportunities, and/or options on those futures which can add leverage and versatility. At times, the index of choice to be traded (or serve as the underlying entity for option trades) will be the broad based S&P 500 index or its "mini" version. At other times the blue-chip Dow Jones Industrial future; or its mini version will be the vehicle of choice; or the tech/growth laden Nasdaq 100 index in its various versions will be utilized; or other, more specialized indices may be used either singly or in combinations with each other or with one or more of the major indices or its related option contracts. The Advisor 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. New accounts in this strategy (and added funds coming into existing accounts) will typically begin trading at the beginning of a calendar month, subject to the discretion of the Advisor. In addition, the Advisor anticipates the possibility of market conditions which may hold up the start of trading and relegate it to the next appropriate opportunity, which could come at any time during the month. In fact, the Advisor requires total discretion to time market entries and exits or, to pass up a trade altogether. In the opinion of the Advisor, the appropriate investor for this strategy will be the general investor who is looking for a growth component for his investment portfolio and has sufficient risk capital to cover the required minimum starting requirements. At least 18 months should be allowed to evaluate performance of this strategy so as to experience a range of market conditions in terms of trending and consolidating markets, volatility and the market response to economic and exogenous conditions.

We have two programs in this strategy, Regular and Institutional. Both implement the identical strategy but the larger principle required, for the Institutional program affords that program greater trading flexibility.

   

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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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
-51.48 5 - 5/1/2011 10/1/2011
-32.67 2 10 8/1/2008 10/1/2008
-18.11 2 7 3/1/2010 5/1/2010
-1.48 1 2 2/1/2011 3/1/2011
-0.06 1 1 9/1/2009 10/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
71.14 10 11/1/2007 8/1/2008
44.28 10 7/1/2013 4/1/2014
28.37 6 4/1/2009 9/1/2009
21.13 4 11/1/2008 2/1/2009
20.09 5 6/1/2010 10/1/2010
18.17 5 11/1/2009 3/1/2010
14.57 3 11/1/2011 1/1/2012
13.65 7 7/1/2012 1/1/2013
10.36 3 12/1/2010 2/1/2011
3.28 2 4/1/2012 5/1/2012
2.99 2 4/1/2011 5/1/2011
1.39 1 3/1/2013 3/1/2013
1.27 1 5/1/2013 5/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-51.48 5 6/1/2011 10/1/2011
-32.67 2 9/1/2008 10/1/2008
-18.11 2 4/1/2010 5/1/2010
-6.11 1 4/1/2013 4/1/2013
-5.17 1 2/1/2013 2/1/2013
-4.98 1 6/1/2013 6/1/2013
-2.83 1 11/1/2010 11/1/2010
-2.40 1 6/1/2012 6/1/2012
-1.66 1 3/1/2009 3/1/2009
-1.48 1 3/1/2011 3/1/2011
-1.04 2 2/1/2012 3/1/2012
-0.06 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods78.0076.0073.0067.0061.0055.0043.0031.00
Percent Profitable75.6472.3764.3870.1567.2154.5523.2629.03
Average Period Return1.003.074.834.516.986.89-3.32-12.07
Average Gain3.749.8017.1417.5227.4442.1668.326.62
Average Loss-7.54-14.59-17.43-26.05-34.96-35.42-25.03-19.72
Best Period16.2427.0840.6752.9076.7677.59104.6312.84
Worst Period-31.81-49.67-50.59-47.21-46.96-45.07-37.81-30.31
Standard Deviation6.9914.6521.5326.2133.0642.6742.2714.20
Gain Standard Deviation2.966.5711.8415.1916.1822.6923.853.58
Loss Standard Deviation8.9015.3616.6420.6312.057.489.788.49
Sharpe Ratio (1%)0.130.190.200.130.170.11-0.15-1.14
Average Gain / Average Loss0.500.670.980.670.781.192.730.34
Profit / Loss Ratio1.541.761.781.581.611.430.830.14
Downside Deviation (10%)5.8011.4515.3620.2325.3231.1936.7236.41
Downside Deviation (5%)5.7011.0814.4718.4221.9325.7225.9921.22
Downside Deviation (0%)5.6710.9914.2517.9821.1224.3923.4918.02
Sortino Ratio (10%)0.100.160.15-0.02-0.02-0.11-0.52-0.92
Sortino Ratio (5%)0.160.250.300.190.250.19-0.24-0.76
Sortino Ratio (0%)0.180.280.340.250.330.28-0.14-0.67

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.