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ACE Portfolio Management

  • CTA Name : AlphaMetrics Capital Management, LLC
  • Program Name : ACE Portfolio Management
  • Start Date : 1997-01-01
  • Trading Strategy
  • Systematic : -
  • Discretionary : 0%
  • Fundamental : -
  • Technical : -
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : -
  • Short-Term : -
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : Yes
  • Interest Rates : -
  • Currencies : -
  • Metals : -
  • Energy : -
  • Grains : Yes
  • Meats : Yes
  • Softs : -

AlphaMetrics Capital Management, LLC

ACE Portfolio Management

There is no performance data for this program

Program Description: AlphaMetrics Capital Management, LLC uses a proprietary mathematical model to construct and trade a diversified portfolio of commodities. All trading decisions are based on statistical analysis of price data. Since its inception,AlphaMetrics has used proprietary matematical models to assist in making trading decisions. Such models always have two components: trading decision algorithms and capital allocation algorithms. Trading decision algorithms are computer based analogues of techncial trading systems. They formalize trading methods that might be employed by human technically oriented traders using statistical analysis. The advantages of such systems are many: they are unemotional; they act without hesitation; they are reliable; they are testable over history; and they can act with the computational speed of the computer. The trading algorithms were constructed by combining a number of uncorrelated and negatively correlated trading models developed by Dr. Freifeld and previous employees of the company during the past 14 years. The company pursues an ongoing program of trading algorithm development and has enhanced and strengthened its portfolio management techniques over the last several years. The capital allocation procedure is used to control risk. Risk is spread through diversification among uncorrelated markets. The capital allocated to a given investment decision is calculated to produce a high probability of maximizing the expected compound rate of growth of equity for the entire portfolio, while keeping the risk low. Advanced Algorithms uses proprietary measures of statistical efficiency to evaluate the power of its trading algorithms. In 1995, Dr. Freifeld discovered how to increase the efficiency of the portfolio management model so that it could be applied to accounts of smaller size without increasing the risk levels. The portfolio management model used is called the Active Commodity Exposure (ACE) Mangement System.

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