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Systematic Alpha launches trend following CTA fund

Systematic Alpha launches trend following CTA fund

Systematic Alpha Management, a New York-based CTA, is launching a product that aims to take advantage of short‐term directional price changes in a portfolio of over 40 global future markets, including fixed income, equity indices, currencies and commodities.

The Systematic Alpha Diversified Program strategy will attempt to deliver absolute returns in any market environment, whether up or down, with no correlation to any traditional and alternative investments, and low correlation to the Barclay CTA and STTI indices.

Unlike SAM’s flagship Systematic Alpha Futures Fund, the Systematic Alpha Diversified Program will be 100 per cent trend following.

However, in contrast to most other long-term trend-following CTAs, trades in the new programme will be short-lived – ten trading days or less – enabling its returns to be de-correlated from the general CTA universe.

“We expect the Alpha Diversified Program to increase SAM’s overall trading capacity, as this Program alone has an estimated USD1bn capacity,” says Peter Kambolin, SAM’s chief executive officer and chief operating officer. “As it also has a negative 20 per cent correlation to our core market neutral Systematic Alpha Futures Fund, it should provide additional diversification for our investors.”

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