NEW YORK--(BUSINESS WIRE)--Systematic Alpha Futures Fund, Ltd. (SAFF) received two nominations from CTA Intelligence US Performance Awards 2016: as the Best Short-Term Trader under $250m and as the Best Specialized CTA. The Awards Ceremony will take place on February 25 in New York.
SAFF was the winner of CTA Intelligence US Performance Awards 2013 as the Best Short-Term Trader. In 2014, SAFF won the Pinnacle Award as the Best Diversified CTA under $500m AUM. Previously, SAFF won the HFM Week US Performance Award twice, as the best CTA Newcomer in 2009 and as the best CTA under $250m AUM in 2012.
“While the average correlation of SAFF to CTAs is zero within sample error, conditional correlation on negative months is statistically significant and is at the level of -15% to -20%. As a result, SAFF often produces its best returns when CTAs are struggling,” noted Dr. Alexei Chekhlov, SAM's Head of Research and Portfolio Manager.
“Looking at the last 4 years, SAFF generated strong returns in 2012, 2013 and in 2015, the years when CTAs were flat or negative, while in 2014 SAFF had a drawdown when CTAs performed well. Clearly, adding SAFF to a CTA portfolio should add a lot of diversification and noticeably improve its expected risk-adjusted returns over a long term,” noted Peter Kambolin, CEO of Systematic Alpha Management.
ABOUT SYSTEMATIC ALPHA MANAGEMENT, LLC
Systematic Alpha Management LLC (SAM) is a fully systematic, quantitative CTA. SAFF trades a market neutral, 100% mean reversion program that focuses on diverse set of contrarian/mean-reversion strategies, exploiting short-term forecasting and holding times ranging from minutes to several days. SAM also trades short-term directional models as part of its Systematic Alpha Multi Strategy Program. SAM aims to generate consistent positive returns having low to negative correlation to any major equity, bond, currency, broad hedge fund or CTA index. SAM employs a mix of high-frequency quantitative strategies, using fully-automated, around-the-clock electronic trading in a wide range of futures markets and proprietary spreads.
SAM is registered as a Commodity Pool Operator (CPO) and a Commodity Trading Advisor (CTA) with the Commodity Futures Trading Commission, and is a member of the National Futures Association (NFA).
