Altegris Clearing Solutions Systematic Alpha Management LLC Systematic Alpha Intraday Program *QEP*
Monthly Performance (%)
Date Range: 11/16 - 08/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 0.64 -0.33 1.81 0.61 0.26 1.10 0.04 -1.40 2.73
2016 0.44 0.44
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

The Systematic Alpha Intraday Program carries no overnight risk and it aims to uncover pricing inefficiencies which exist during the cash session hours only of the most liquid futures markets. The models are trading both contrarian and momentum signals which are generated based on the recent realized volatility of a particular futures market. The program trades most liquid futures across all major asset classes, including equities, commodities, currencies and fixed income markets. The program has virtually no correlation to traditional and alternative asset classes, offers daily liquidity, and has no overnight margin requirement.

Performance Statistics
Date Range: 11/16 - 08/17
  Program SP500 TR Altegris 40
Total Return 3.18% 18.39% -2.28%
Annualized Return 3.18% 18.39% -2.28%
Annualized Std. Deviation 2.94% 4.32% 5.10%
Correlation -0.31 -0.75
Sharpe Ratio (rf=2.5%) 0.60 4.62 -1.02
Worst Month -1.40% 0.12% -2.92%
Date of Worst Month 08/2017 03/2017 06/2017
Worst Drawdown -1.40% 0.00% -4.73%
Date of Worst Drawdown 6/17 - 8/17 8/17 - 8/17 2/17 - 6/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 11/16 - 08/17
Year or YTD Program SP500 TR Altegris 40
2017 2.73 11.95 -1.93
2016 0.44 1.98 0.76
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 11/16 - 08/17
Date: 8/31/2017
Perf: $988.12 Date: 7/31/2017
Perf: $971.98 Date: 6/30/2017
Perf: $968.21 Date: 5/31/2017
Perf: $997.33 Date: 4/30/2017
Perf: $995.44 Date: 3/31/2017
Perf: $1,001.45 Date: 2/28/2017
Perf: $1,016.28 Date: 1/31/2017
Perf: $994.60 Date: 12/31/2016
Perf: $1,007.60 Date: 11/30/2016
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,141.65 Date: 7/31/2017
Perf: $1,138.12 Date: 6/30/2017
Perf: $1,115.15 Date: 5/31/2017
Perf: $1,108.28 Date: 4/30/2017
Perf: $1,092.87 Date: 3/31/2017
Perf: $1,081.73 Date: 2/28/2017
Perf: $1,080.43 Date: 1/31/2017
Perf: $1,039.18 Date: 12/31/2016
Perf: $1,019.80 Date: 11/30/2016
Perf: $1,000.00 Date: 8/31/2017
Perf: $1,031.82 Date: 7/31/2017
Perf: $1,046.47 Date: 6/30/2017
Perf: $1,046.05 Date: 5/31/2017
Perf: $1,034.67 Date: 4/30/2017
Perf: $1,031.99 Date: 3/31/2017
Perf: $1,025.73 Date: 2/28/2017
Perf: $1,007.49 Date: 1/31/2017
Perf: $1,010.83 Date: 12/31/2016
Perf: $1,004.40 Date: 11/30/2016
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 11/16 - 08/17
Date: 8/31/2017
Return: -1.40 % Date: 7/31/2017
Return: 0.04 % Date: 6/30/2017
Return: 1.10 % Date: 5/31/2017
Return: 0.26 % Date: 4/30/2017
Return: 0.61 % Date: 3/31/2017
Return: 1.81 % Date: 2/28/2017
Return: -0.33 % Date: 1/31/2017
Return: 0.64 % Date: 12/31/2016
Return: 0.44 % Date: 11/30/2016
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 11/16 - 08/17
Return: -1.00 %
Count: 1 Return: 2.00 %
Count: 1 Return: 1.00 %
Count: 3 Return: 0.00 %
Count: 5
Note: All performance data is since program inception.

Underwater Curve
Date Range: 11/16 - 08/17
Date: 8/31/2017
Drawdown: -1.40 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: -0.33 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  Systematic Alpha Management LLC
Address: 152 West 57th Street, Floor 10
City: New York
State: NY
Zip: 10019
Country: USA
Key People
Name:  Alexei Chekhlov, PhD
Position:  Principal
Biography: 

Dr. Alexei Chekhlov is a Portfolio Manager and Head of Research of Systematic Alpha Management, LLC, and currently also serves as an Adjunct Professor at Columbia University, MA in Mathematics of Finance Program. Dr. Chekhlov graduated from Moscow Institute of Physics & Technology in 1990 with Highest Honors in Theoretical Physics & Applied Mathematics. He earned his Ph.D. in Applied & Computational Mathematics from Princeton University in 1995. Prior to co-founding SAM, Alexei worked for Wexford Management (Quantitative Analyst, options pricing and trading), BNP Paribas (Proprietary Trader, quantitative global fixed-income futures trading) and TrendLogic Associates (Assistant Director of Research, global futures and equities strategies). Dr. Chekhlov's scientific background relates to such fields as hydrodynamic instabilities and fluid turbulence. Throughout his career in science and finance, certain results of Alexei's work were published in leading physics and finance periodicals. Dr. Chekhlov holds a Series 3 futures license.


Name:  Peter Kambolin
Position:  Principal
Biography: 

Peter Kambolin is the Chief Executive Officer and Chief Operating Officer of Systematic Alpha Management, LLC. He is in charge of general management of SAM and oversees company’s trading operations, marketing activities, compliance and research. Mr. Kambolin received his B.A. in Finance from Baruch College, magna cum laude, in 1995. He worked at Commonwealth Associates, Inc. (RR), Unibank (Operations), Fifth Avenue Research and Advisory Group, Inc. (Equity Research), Utopia Capital Management, Inc. (Portfolio Manager), Phillip Louis Trading (Proprietary Trader), Thor Futures, LLC (Principal) and Thor Capital, LLC (Founder and Principal), before founding SAM. Peter holds a number FINRA securities licenses, including Series 3, 4, 7, 24, 27, 55 and 63.


Name:  Sandy Chotai
Position:  Director
Biography: 

SANDY CHOTAI joined Systematic Alpha Management (SAM) in 2012 and serves as the firm’s Director of Marketing. Prior to joining SAM, Sandy was at AXA Rosenberg Investment Management, Morgan Stanley Prime Brokerage and Mercer Investment Consulting as well as Towers Watson. Sandy earned a Bsc from the London School of Economics. He is holds the CFA and CAIA designations and is a Fellow of the Institute of Actuaries..


Additional Information

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.