Fri, Oct 31, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Systemic Alpha to launch a multi-strat CTA in January

Friday, December 16, 2011
Systematic Alpha Management (SAM), a New York based CTA, will launch the Systematic Alpha Multi-Strategy Futures Fund (SAMSFF) in January 2012, a new fund that aims to achieve consistent positive returns with low volatility and low correlation to all other asset classes, including CTAs or managed futures strategies.

SAMSFF will exploit two main themes: mean-reversion and directional trading.

The short-term mean-reversion market neutral component of the fund is implemented using proprietary spreads composed from the most liquid global equity index, currency and commodity futures markets. This component will be traded via two approaches - the original approach, which has been traded live by SAM and its Principals since June 2004, and which uses a sophisticated trading engine to derive buy and sell orders focusing on producing profitable trading while controlling the drawdown. The second, modified approach began trading in 2011 and uses fewer parameters for back-testing and hence is more robust. It is better positioned to capture profitable opportunities during the environment that exhibited itself in 2010/2011.

The short-term directional component of the fund is implemented using a diversified set of financial and commodity futures markets. It consists of a short-term trend-following component, combining a number of quantitative trading models that exploit primarily short-term directional price excursions in a diversified portfolio of over 40 highly liquid futures markets. The second short-term momentum component also places directional positions but does not require the market to exhibit an already existing and confirmed direction, but rather is based on some other much more local condition which probabilistically drives the price in one direction.

“The differentiation of the Systematic Alpha Multi-Strategy Futures Fund comes from a blend of two distinct trains of thought, mean reversion and directional trading, both using shorter-term forecasting and trade duration than the majority of trend-following CTA managers,” notes Peter Kambolin, SAM’s Chief Executive Officer and Chief Operating Officer. “We fully expect SAMSFF to prove resilient in various market conditions.” Trading in SAMSFF is fully automated and is diversified across various markets, sub-strategies, and holding times. The quantitative trading models and their individual parameters may be revised as a result of continuing research and development, aiming to devise new strategies and constantly enhance the existing ones.

SAMSFF will be available on the Alphametrix platform and will be initially seeded by SAM’s management team and SAM’s existing client base. Early allocators to the fund will receive substantial discounts to the normal fee structure.

Systemic Alpha Management

Press Release

BM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Macks aim to raise $750m for real estate debt fund[more]

    From Therealdeal.com: Father-son duo William and Richard Mack and former Blackstone Group managing director Peter Sotoloff are starting a new real estate debt fund. Together, the trio hopes to raise more than $750 million for the private equity fund, according to the Wall Street Journal. The fund wi

  2. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  3. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  4. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  5. Manager Profile - Seth Klarman: Lessons for retail and institutional investors[more]

    From Valuewalk.com: Seth Klarman is virtually unknown outside value circles, despite his impressive record and value of assets under management. On average Baupost has returned 19% p.a. despite holding a large portion of its assets in cash. During the financial crisis, Seth Klarman’s funds lost some