ACE Investment Strategists : Stock Index Premium Collection

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
5.27%
Min Investment
$ 75k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
29.73%
Sharpe (RFR=1%)
0.48
CAROR
10.37%
Assets
$ 4.2M
Worst DD
-77.34
S&P Correlation
0.42

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
10/2001
Stock Index Premium Collection 5.27 - - - - - -20.53 245.92
S&P 500 0.62 - - - - - 70.11 226.87
+/- S&P 500 4.65 - - - - - -90.64 19.05

Strategy Description

Summary

Stock Index Premium Collection: The managed futures program collects premiums by writing call and put options on the S&P 500 index futures. The key to success is to balance option positions, where price changes and volatility are constantly... 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 $0
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 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

Stock Index Premium Collection: The managed futures program collects premiums by writing call and put options on the S&P 500 index futures. The key to success 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 S&P is up or down as long as its price stays within a predetermined range. It works best when the market is somewhat, but not excessively, volatile. Yu-Dee Chang is the President and Advisor for ACE Investment Strategists, LLC. He began his financial career as a currency-hedging consultant for an import/export firm in 1987. Five years later he entered the commodity brokerage business, and quickly rose to the position of head trader. He soon became a principle of the firm and of a succession of other investment firms he opened on his own. In 1997, he launched Chesapeake Investment Services, Inc., a multi-faceted commodity futures company offering a wide range of services, where he continues to serve as sole principal and President. Mr. Chang publishes a weekly, stock market newsletter, Market Call, and has been for years a popular host of two investment oriented radio shows.

   

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
-77.34 58 - 8/1/2008 6/1/2013
-28.30 7 9 1/1/2007 8/1/2007
-7.78 1 1 6/1/2003 7/1/2003
-5.75 2 1 5/1/2002 7/1/2002
-2.53 3 1 4/1/2006 7/1/2006
-1.99 1 3 1/1/2005 2/1/2005
-1.62 1 2 11/1/2003 12/1/2003
-1.57 1 2 9/1/2004 10/1/2004
-0.95 1 1 10/1/2006 11/1/2006
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
145.60 8 10/1/2001 5/1/2002
100.79 11 8/1/2002 6/1/2003
39.94 10 7/1/2013 4/1/2014
36.65 4 8/1/2003 11/1/2003
32.47 7 2/1/2008 8/1/2008
32.37 4 9/1/2007 12/1/2007
29.58 9 1/1/2004 9/1/2004
23.87 3 4/1/2009 6/1/2009
17.98 14 3/1/2005 4/1/2006
17.38 5 11/1/2009 3/1/2010
16.52 5 6/1/2010 10/1/2010
11.96 1 12/1/2008 12/1/2008
11.74 4 11/1/2011 2/1/2012
10.01 2 5/1/2007 6/1/2007
9.55 3 11/1/2012 1/1/2013
9.36 3 12/1/2010 2/1/2011
8.48 3 8/1/2006 10/1/2006
6.86 2 12/1/2006 1/1/2007
6.38 3 11/1/2004 1/1/2005
4.33 2 8/1/2009 9/1/2009
2.53 3 7/1/2012 9/1/2012
1.86 1 5/1/2011 5/1/2011
1.80 1 2/1/2009 2/1/2009
1.47 1 5/1/2013 5/1/2013
1.13 1 6/1/2006 6/1/2006
1.10 1 5/1/2012 5/1/2012
0.76 1 3/1/2013 3/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-69.54 3 9/1/2008 11/1/2008
-50.18 5 6/1/2011 10/1/2011
-23.70 3 2/1/2007 4/1/2007
-22.80 2 4/1/2010 5/1/2010
-14.57 2 7/1/2007 8/1/2007
-14.25 1 1/1/2008 1/1/2008
-7.78 1 7/1/2003 7/1/2003
-6.38 1 4/1/2013 4/1/2013
-6.30 1 2/1/2013 2/1/2013
-5.75 2 6/1/2002 7/1/2002
-5.53 1 6/1/2013 6/1/2013
-5.34 1 3/1/2009 3/1/2009
-4.56 1 6/1/2012 6/1/2012
-2.57 2 3/1/2012 4/1/2012
-2.53 1 7/1/2009 7/1/2009
-2.21 1 11/1/2010 11/1/2010
-2.00 1 5/1/2006 5/1/2006
-1.99 1 2/1/2005 2/1/2005
-1.93 2 3/1/2011 4/1/2011
-1.65 1 7/1/2006 7/1/2006
-1.62 1 12/1/2003 12/1/2003
-1.57 1 10/1/2004 10/1/2004
-1.48 1 1/1/2009 1/1/2009
-0.95 1 11/1/2006 11/1/2006
-0.58 1 10/1/2009 10/1/2009
-0.51 1 10/1/2012 10/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods151.00149.00146.00140.00134.00128.00116.00104.0092.00
Percent Profitable74.1772.4873.2957.1458.2154.6941.3834.6226.09
Average Period Return1.263.806.3811.1315.8120.6625.2630.7929.83
Average Gain4.3210.5517.4037.2150.7570.97123.79179.57253.40
Average Loss-7.51-13.97-23.86-23.64-32.85-40.05-44.29-47.97-49.08
Best Period31.98102.08135.28168.07306.59423.60646.71744.26838.02
Worst Period-54.27-69.54-67.90-61.27-60.28-64.91-70.67-75.59-76.74
Standard Deviation8.5818.0626.2641.8361.9583.01117.86143.13161.13
Gain Standard Deviation5.0012.6317.8532.7958.0682.22130.12158.42176.50
Loss Standard Deviation10.5518.2621.5023.0720.4517.619.8913.9118.53
Sharpe Ratio (1%)0.140.200.220.240.230.220.190.190.15
Average Gain / Average Loss0.570.760.731.571.541.772.793.745.16
Profit / Loss Ratio1.651.992.002.102.152.141.971.981.82
Downside Deviation (10%)6.6512.3717.4824.0029.2735.8946.6357.3267.82
Downside Deviation (5%)6.5512.0416.7022.0125.7930.6537.0043.5349.19
Downside Deviation (0%)6.5311.9616.5021.5324.9629.4134.7440.3745.06
Sortino Ratio (10%)0.130.210.220.260.280.290.200.160.03
Sortino Ratio (5%)0.180.300.350.460.550.610.600.610.50
Sortino Ratio (0%)0.190.320.390.520.630.700.730.760.66

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.