New York-based global CTA firm Systematic Alpha Management will this month launch a new strategy called the Systematic Alpha Multi-Strategy Futures Fund (SAMSFF).
The strategy will aim for consistent positive returns with low volatility and low correlation to all asset classes, including other CTA strategies.
The fund will focus on two main themes: mean reversion and directional trading. Its short-term mean reversion component is market neutral and will use proprietary spreads composed of the most liquid global equity index, currency and commodity futures markets. The short-term directional component will be implemented using a diversified set of financial and