a quantitative investment management firm
|Systematic Strategies is a quantitative investment management firm founded in New York in 2009 that operates systematic trading strategies across multiple asset classes including equities, commodities, and foreign exchange.
Our strategies are fully automated and operate at low and high frequencies, using proprietary mathematical algorithms and econometric models. Systematic Strategies has both a Managed Account Platform and a Master Feeder hedge fund structure for investors. Our clients include High Net Worth Individuals, Family Offices, and Institutional Investors.
Uncorrelated alpha is generated by arbitrage strategies that uniquely combine research concepts developed in fields as diverse as econometrics and behavioral finance. Our strategies make use of a broad arsenal of mathematical, statistical, econometric and behavioral finance techniques to model key characteristics of assets processes in a high frequency context. Some properties of asset processes, such as trending and mean reversion, are well documented and understood in a low-frequency context; here the task is to develop new models which aptly describe those behaviors in the high-frequency context, where latency, market impact and market micro-structure effects play a significant role. Other important micro-economic, mathematical and bio-statistical methodologies deployed in our models include co-integration analysis, Granger causality, long memory modeling, higher-moment interdependence, risk pricing, pattern recognition and machine learning. It is our firm belief that the application of these advanced theoretical concepts, mathematical frameworks and modeling techniques hold the key to the development of strategies capable of delivering investment performance at levels unattainable by traditional investment strategies. The research effort is ongoing, with the objective of improving the risk-return characteristics of existing Strategies extending strategies into new asset classes and the development of new strategies.
The Systematic Strategies high frequency equity strategy uses various trading algorithms to construct portfolios comprising long and short positions in stocks that are members of the S&P 500 index based on models of news arrival and dissemination amongst securities in the investment universe. The models incorporate a variety of factors well known from low-frequency research, such as market capitalization and price-book ratio, and several factors that are derived from a proprietary theoretical framework of market microstructure, such as order book imbalances. Portfolios are constructed largely at the market open, when the majority of news releases take place, using a dynamic scaling algorithm, and are fully liquidated by the end of each trading session, mainly by means of cross-matching market-on-close algorithms. The execution algorithms attempt to construct a dollar-neutral portfolio, balancing buy and sell orders so that approximately the same dollar value is held in both long and short positions.