Systematic Alpha To Launch Multi-Strategy Fund

Dec 16 2011 | 10:39am ET

New York-based CTA Systematic Alpha plans to launch a managed futures fund combining four hedge fund strategies.

The Systematic Alpha Multi-Strategy Futures Fund, due to begin operations in January 2012, will be launched with proprietary funding and some seed capital from investors in the firm’s core fund, Systematic Alpha Futures, according to CEO Peter Kambolin. The Systematic Alpha Futures Fund is down 12.89% (class A shares) this year, although it was up 3.64% in November.

The new multi-strategy fund will employ two directional and two market neutral strategies, reports Hedge Funds Review.

The directional component includes “a short-term trend-following strategy, combining quantitative trading models which exploit short-term directional price excursions in 40 liquid futures markets and short-term momentum, which places directional positions based on more local conditions.”

The market neutral component will bring together “two short-term mean reversion strategies, which are implemented using proprietary spreads from liquid global equity index, currency and commodity futures markets. One of these is an imperfect mean reversion strategy.”

Alexei Chekhlov, head of research and portfolio manager at SAM, told HFR:

"The idea for us is to combine strategies which are directional in nature, which will hopefully make money in directional ‘good environments'. When that doesn't work, and it has been known that they don't always work, with this year as a good example of that, the other strategies will perform where directional strategies are lagging, creating volatility or maybe even negative returns.”

Minimum investment in the fund, which is structured as a master feeder domiciled in the British Virgin Islands, will be $100,000. The fund will launch with just the US dollar share class. And will target returns of 10%-12%, with standard deviation of 8%.

Fees will vary according to leverage— the single-leverage version of the fund will have the standard 2 and 20 fees, while the double-leveraged version will carry fees of 3% and 20%.


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