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ARA PORTFOLIO MANAGEMENT
Commodities |
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- CTA Name : ARA Portfolio Management
- Program Name : Commodities
- Start Date : 1992-06-01
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- Trading Strategy
- Systematic : 100%
- Discretionary : 0%
- Fundamental : -
- Technical : Yes
- Diversified Market Strategy : Yes
- Sector Specific Strategy : -
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- Trade Duration
- Long-Term : Yes
- Mid-Term : Yes
- Short-Term : -
- Multi-Term : Yes
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- Markets Traded
- Stock Index : -
- Interest Rates : Yes
- Currencies : Yes
- Metals : Yes
- Energy : Yes
- Grains : Yes
- Meats : Yes
- Softs : Yes
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ARA Portfolio Management
Commodities
PERFORMANCE DATA AVAILABLE FOR THIS PROGRAM - CLICK HERE TO VIEW
ARA was formed in 1992 by Mr. Arulpragasam to carry on the research and advisory activities begun in 1972 by Dr. Paul Cootner, then a professor of finance at Stanford University, and William L. Brown. The ARA Portfolio System is described as follows: 1) utilizes the a trend identification algorithm to identify price trends and their relative strengths for each commodity. The algorithm is purely technical in nature, requiring only historical price data. 2) uses a portfolio of 18 commodities which, because of the co-variance of their price movements, represents the optimum portfolio for this system. 3) mathematically determines the size of component portfolio positions based on market volatility and overall strength of price trends. 4) begins with a client-defined level of risk and constructs a portfolio to approximate that level. The portfolio of the ARA Alpha fund was designed to have an average volatility approximately equal to that of an unleveraged S&P 500 cash index.
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