Systematic Alpha Management (SAM) has been trading the Systematic Alpha Intraday Program live on the dbSelect platform.
The programme carries no risk, positions or margin overnight.
“The intraday program is a unique investment offering which, in contrast to most CTAs, generates its trading signals based on the changes in volatility in a particular market, as opposed to price changes,” says Peter Kambolin, SAM’s CEO.
“One of the reasons our returns are often negatively correlated to other managers is because the intraday program avoids having any risk overnight, which on average represents up to 40 per cent of the daily risk, but is hard to predict and manage,” says Alexei Chekhlov, SAM’s head of research and portfolio manager.
“The diversification we achieve by trading both momentum and contrarian signals across various equity indexes, currencies, commodities and fixed income markets allows us to generate a Sharpe Ratio superior to most of our competitors,” adds Kambolin. “Coupled with zero-to-negative correlation to other managers and daily liquidity, the intraday programme is an ideal fit to an investment portfolio.”
SAM is a New York-based firm specialising in trading systematic, short-term quantitative strategies, using fully-automated, around-the-clock electronic execution in a wide range of futures markets and proprietary spreads.
