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,” says Peter Kambolin (pictured), 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.