ACE Investment Strategists : Stock Index Premium Collection Institutional Program

archived programsClosed to new investments
Year-to-Date
N / A
Apr Performance
5.17%
Min Investment
$ 180k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
26.95%
Sharpe (RFR=1%)
0.00
CAROR
-3.52%
Assets
$ 400k
Worst DD
-70.99
S&P Correlation
0.45

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
6/2004
Stock Index Premium Collection Institutional Program 5.17 - - - - - -19.45 -29.90
S&P 500 0.62 - - - - - 70.11 203.65
+/- S&P 500 4.55 - - - - - -89.56 -233.54

Strategy Description

Summary

This is the Institutional Program of ACE's core strategy, the Stock Index Premium Collection (SIPC) Strategy. The Institutional managed futures program requirements for minimum starting value is higher than that for the Regular program and,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 180k
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 No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2800 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

This is the Institutional Program of ACE's core strategy, the Stock Index Premium Collection (SIPC) Strategy. The Institutional managed futures program requirements for minimum starting value is higher than that for the Regular program and, therefore can be traded with greater flexibility. The SIPC strategy writes 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, 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.

   

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
-70.99 38 - 8/1/2008 10/1/2011
-26.04 7 9 1/1/2007 8/1/2007
-2.95 1 3 4/1/2006 5/1/2006
-2.86 1 2 9/1/2004 10/1/2004
-2.50 1 3 1/1/2005 2/1/2005
-0.79 1 1 10/1/2006 11/1/2006
-0.07 1 1 9/1/2005 10/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
36.71 10 7/1/2013 4/1/2014
32.27 7 2/1/2008 8/1/2008
30.01 4 9/1/2007 12/1/2007
25.57 8 8/1/2009 3/1/2010
19.94 3 4/1/2009 6/1/2009
15.43 4 11/1/2008 2/1/2009
14.08 4 6/1/2004 9/1/2004
11.60 4 10/1/2012 1/1/2013
11.47 3 8/1/2010 10/1/2010
11.47 3 11/1/2011 1/1/2012
10.53 3 12/1/2010 2/1/2011
10.20 7 3/1/2005 9/1/2005
9.84 2 5/1/2007 6/1/2007
9.49 3 11/1/2004 1/1/2005
9.08 3 8/1/2006 10/1/2006
7.91 6 11/1/2005 4/1/2006
7.60 2 12/1/2006 1/1/2007
5.81 1 6/1/2010 6/1/2010
2.68 2 7/1/2012 8/1/2012
2.43 2 4/1/2011 5/1/2011
2.22 1 6/1/2006 6/1/2006
0.85 1 5/1/2013 5/1/2013
0.63 1 3/1/2013 3/1/2013
0.60 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-65.14 2 9/1/2008 10/1/2008
-47.06 5 6/1/2011 10/1/2011
-22.47 3 2/1/2007 4/1/2007
-21.44 2 4/1/2010 5/1/2010
-13.71 1 1/1/2008 1/1/2008
-13.15 2 7/1/2007 8/1/2007
-6.56 1 2/1/2013 2/1/2013
-6.07 1 4/1/2013 4/1/2013
-5.15 1 6/1/2012 6/1/2012
-4.62 1 6/1/2013 6/1/2013
-4.55 1 11/1/2010 11/1/2010
-4.31 1 3/1/2011 3/1/2011
-3.45 1 3/1/2009 3/1/2009
-2.95 1 5/1/2006 5/1/2006
-2.86 1 10/1/2004 10/1/2004
-2.50 1 2/1/2005 2/1/2005
-2.31 3 2/1/2012 4/1/2012
-2.14 1 7/1/2009 7/1/2009
-1.08 1 9/1/2012 9/1/2012
-0.87 1 7/1/2006 7/1/2006
-0.79 1 11/1/2006 11/1/2006
-0.13 1 7/1/2010 7/1/2010
-0.07 1 10/1/2005 10/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable71.4367.5264.9154.6348.0443.7519.055.560.00
Average Period Return0.080.42-0.11-2.95-7.26-11.68-24.75-32.87-39.61
Average Gain3.187.3611.4016.1017.8221.1126.2463.89
Average Loss-7.65-13.99-21.40-25.88-30.45-37.17-36.74-38.56-39.61
Best Period12.0723.5032.3848.3861.0452.0138.7465.22-2.87
Worst Period-51.40-65.10-62.47-55.74-54.32-59.16-63.04-69.05-70.28
Standard Deviation7.7814.7520.4126.8628.4132.2126.6327.4020.12
Gain Standard Deviation2.615.217.1412.7011.0614.019.741.10
Loss Standard Deviation10.6217.5819.8920.7517.7113.939.5214.2720.12
Sharpe Ratio (1%)0.000.01-0.03-0.15-0.31-0.42-1.04-1.35-2.22
Average Gain / Average Loss0.420.530.530.620.590.570.711.66
Profit / Loss Ratio1.041.090.990.750.540.440.170.10
Downside Deviation (10%)7.0613.1518.3125.0130.2337.1148.0160.0270.13
Downside Deviation (5%)6.9512.7917.4222.7926.2831.1636.7843.6548.96
Downside Deviation (0%)6.9312.7017.2122.2525.3329.7434.1339.9244.35
Sortino Ratio (10%)-0.05-0.06-0.14-0.32-0.49-0.59-0.84-0.91-0.96
Sortino Ratio (5%)0.000.01-0.03-0.17-0.33-0.44-0.76-0.85-0.91
Sortino Ratio (0%)0.010.03-0.01-0.13-0.29-0.39-0.72-0.82-0.89

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.