Wed, Oct 18, 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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad