Systematic Alpha Management : Systematic Alpha Futures Program
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Year-to-Date
2.57%
Apr 0.30%
|
Min. Investment
|
$ 5,000k
|
Inception
|
Jun 2004
|
Assets
|
$ 55.5M
|
|
Mgmt Fee
|
2.00%
|
Sharpe (RFR=1%)
|
0.94
|
Worst DD
|
-19.22
|
|
Perf Fee
|
20.00%
|
CAROR
|
7.80%
|
S&P Correlation
|
0.03
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2013 | 1.29 | -0.24 | 1.20 | 0.30 | | | | | | | | | 2.57 | -0.24 |
| 2012 | 0.32 | -1.49 | -4.55 | 2.45 | 4.24 | 4.66 | -1.49 | 4.27 | 2.44 | 0.08 | -0.81 | 0.20 | 10.35 | -5.97 |
| 2011 | 0.62 | 0.41 | -2.92 | -3.35 | -1.30 | -5.13 | -2.12 | -3.48 | 0.02 | 0.20 | 3.64 | 1.35 | -11.72 | -17.00 |
| 2010 | -0.23 | 0.73 | 0.18 | -1.30 | 0.81 | -1.92 | 1.95 | 1.58 | 0.63 | 0.58 | -2.54 | -0.46 | -0.09 | -2.99 |
| 2009 | -2.38 | 2.07 | 0.21 | 2.26 | 0.59 | 0.58 | 0.64 | 0.89 | 0.12 | 0.77 | -0.37 | 0.29 | 5.74 | -2.38 |
| 2008 | -4.47 | 6.14 | -2.24 | 5.47 | 0.60 | -0.30 | 3.85 | -0.81 | 3.50 | 1.75 | 2.61 | 0.11 | 16.85 | -4.47 |
| 2007 | 0.07 | 0.50 | 1.34 | -0.17 | 1.55 | 2.65 | 0.38 | 3.72 | -0.42 | 1.70 | -1.74 | -3.52 | 6.02 | -5.20 |
| 2006 | -0.23 | 1.08 | 1.20 | 0.45 | 3.37 | 0.80 | 1.22 | 0.43 | 2.61 | 2.13 | -1.01 | 1.84 | 14.72 | -1.01 |
| 2005 | 1.09 | 3.69 | 0.26 | 1.65 | 2.98 | 1.90 | 0.73 | -0.24 | 0.97 | 2.56 | 1.56 | 0.15 | 18.65 | -0.24 |
| 2004 | | | | | | 1.10 | 2.67 | 0.10 | 3.18 | 1.49 | 3.86 | -2.83 | 9.81 | -2.83 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Period Returns
|
|
Apr
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
6/2004
|
|
Systematic Alpha Futures Program
|
0.30
|
1.26
|
2.57
|
17.11
|
0.45
|
17.97
|
-
|
95.42
|
|
S&P 500
|
1.81
|
6.64
|
12.02
|
14.28
|
34.60
|
15.28
|
-
|
40.01
|
|
+/- S&P 500
|
-1.51
|
-5.38
|
-9.45
|
2.83
|
-34.15
|
2.69
|
-
|
55.41
|
Strategy Description
Summary
Systematic Alpha Futures program aims to achieve consistent returns having low to negative correlation to any major equity, bond or currency markets, as well as broad hedge fund indices. The program attempts to achieve its goal by employing a mix of quantitative...
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Strategy Description
Summary
Systematic Alpha Futures program aims to achieve consistent returns having low to negative correlation to any major equity, bond or currency markets, as well as broad hedge fund indices. The program attempts to achieve its goal by employing a mix of quantitative systematic trading strategies using highly liquid financial instruments, and applying a contrarian, liquidity providing, mean-reversion approach as the dominant part of the investment philosophy.
Investment Strategy
Systematic Alpha Futures program aims to achieve consistent returns having low to negative correlation to any major equity, bond or currency markets, as well as broad hedge fund indices. The program attempts to achieve its goal by employing a mix of quantitative systematic trading strategies using highly liquid financial instruments, and applying a contrarian, liquidity providing, mean-reversion approach as the dominant part of the investment philosophy.
Risk Management
SAM uses the following methods in managing and controlling risk in the portfolio:
1. Diversification and fixed exposures (by portfolio, geographical region, market, model (“alpha-generator”), time frame, individual trade).
2. Hedging: beta-and-currency neutrality on each trade.
3. Stop-loss limits optimized individually for each model.
4. Short-term trade duration.
5. Systematic deleveraging on a “per trade” level in a drawdown.
6. Further reduction of risk exposures on a discretionary basis in case of a significant drawdown, particularly in the worst performing sub-models.
7. Continuous live monitoring of the P/L, exposures, margin and equity drawdown.
8. Third party (FCM) control over trading levels and order size to protect against “fat finger” type of trade errors.