Systematic Strategies started out in 2009 as a proprietary trading firm engaged in high frequency trading. In 2012 the firm expanded into low frequency systematic trading strategies with the launch of our VIX ETF strategy, which was superseded in 2015 by the Systematic Volatility Strategy. The firm began managing external capital in its managed account platform in 2015.
In 2012 we created a research program into quantitative equity strategies using machine learning techniques, earlier versions of which were successfully employed in Proteom Capital, a hedge fund that pioneered the approach in the early 2000’s. Proteom managed capital for Paul Tudor Jones’s Tudor Capital and several other major institutional investors until 2007.
Systematic Strategies began trading its Quantitative Equity Strategy, the result of its research program, in 2013. Having built a four year live track record, the firm is opening the strategy to external investors in 2017. The investment program will be offered in managed account format and, for the first time, as a hedge fund product. For more details about the hedge fund offering, please see this post about the Systematic Strategies Fund.
Designed to achieve returns comparable to the benchmark S&P 500 Index, but with much lower risk, the Quantitative Equity Strategy has produced annual returns at a compound rate of 14.74% (net of fees) since 2013, with an annual volatility of 4.46% and realized Sharpe Ratio of 3.31. By contrast, the benchmark S&P 500 Index yielded a compound annual rate of return of 11.93%, with annual volatility of 10.40% and Sharpe Ratio of 1.15. In other words, the strategy has outperformed the benchmark S&P 500 Index by a significant margin, but with much reduced volatility and downside risk.
For more details about the hedge fund offering, please see this post about the Systematic Strategies Fund. If you are an Accredited Investor and wish to receive a copy of the fund offering documents, please write to us at email@example.com.