Sat, Apr 29, 2017
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. Opalesque Exclusive: Ex-Man manager combines sustainable investing with AI/ML[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Dr. Richard Bateson, quant fund manager and physicist, has recently

  2. Investing - How Chipotle's comeback attracted big data robots and value investors alike[more]

    From Forbes.com: When William Ackman's ailing hedge fund Pershing Square Capital Management bet $1 billion on shares in Chipotle Mexican Grill beginning in July 2016, the stakes couldn't have been higher. Pershing Square was reeling from what would eventually be a near $4 billion loss in drugmaker V

  3. Gondor Capital sees challenges ahead for financial markets as two hedge funds post strong gains in Q1[more]

    Komfie Manalo, Opalesque Asia: Vincent Au, portfolio manager of New York-based hedge fund firm Gondor Capital Management believes that the remaining of the year would be challenging for the financial markets even as his two hedge funds maintain

  4. Service Providers - Colemore launches fee tracking service for limited partners[more]

    Following Colmore's successful launch in January 2017, the firm has announced the launch of FAIR.. FAIR is designed to help private equity investors independently validate fees and incentives charged by underlying managers, saving time and providing an extra level of comfort. There is a glob

  5. Regulatory - 'Fist bumps' at hedge funds over Trump's tax plan[more]

    From Reuters.com: U.S. hedge fund managers began warming to President Donald Trump soon after his surprise election ignited a powerful stock market rally. Now, his dramatic tax cut plans give them even more reasons to cheer. Trump, looking to make good on pledges for sweeping tax reform, on Wednesda