In a year when most managed futures funds are in the red, the contrarian market-neutral trading program created by Systematic Alpha Management is proving its worth.
Systematic Alpha Futures Fund gained 0.64% in July for a year-to-date return of 3.97%. A double-leveraged version has risen 8.42% for the year. For the same period, the Absolute Return Managed Futures Index lost 1.12%. Systematic Alpha Management, formed in 2005 by partners Alexei Chekhlov and Peter Kambolin, trades the 26 most liquid financial futures on global equity indices, currencies and crude oil using a quantitative, short-term fully systematic program that seeks to profit from price anomalies.
The trading program, developed in 2000, is maintained by a nine-member team of mathematicians and theoretical physicists. Chekhlov says the key differences between his firm and other CTAs are that the strategy does not follow trends and is market neutral. In addition, he says, “our average holding period (5 to 6 trading hours) seems to be shorter than of many CTAs we know.”
THE ALPHA IN SYSTEMATIC ALPHA
