19 Dec 2011
Systematic Alpha Management (SAM) 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.
The short-term directional component of the fund is implemented using a diversified set of financial and commodity futures markets.
Trading in SAMSFF is fully automated and is diversified across various markets, sub-strategies, and holding times. The fund will be available on the Alphametrix platform and will be initially seeded by SAM’s management team and SAM’s existing client base.
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.
The short-term directional component of the fund is implemented using a diversified set of financial and commodity futures markets.
“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,” said Peter Kambolin, Chief Executive Officer and Chief Operating Officer, SAM. “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 fund will be available on the Alphametrix platform and will be initially seeded by SAM’s management team and SAM’s existing client base.
