Managers with diverse approaches describe their strategy and what they see happening in the markets. Their comments have been edited.
David Mather of Integrated Managed Futures Corp.
David is executive vice-president of Integrated Asset Management Corp. since 2002 and vice-president of Integrated Managed Futures Corp. since 2003. Previously he was at SEI Investments and Fidelity Group Pensions.
2008 return: 47.6 %
Comments: “The central investment tenet of the IMFC Global Investment Program is that markets exhibit persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors, including the crowd behavior of market participants. We utilize proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. IMFC's trading is based on an analysis of market statistics that is rooted in both probability theory and post-modern portfolio theory.”
Mark Helweg and Rob Hounshell of Lexington Asset Management
Rob and Mark have been involved in systematic trading and managed futures markets for over 20 years. They combined two CTAs and formed Lexington in August of 2006.
2008 return: 55.3%
Comments: “We manage risk at both the system level and the portfolio level. At the system level, stop loss orders are entered in the markets for each open trade. A proprietary filter determines the strength of the trend and activates different trading systems. The stop levels are calculated by the system algorithm and are designed to exit losing trades as quickly as possible while providing flexibility to navigate market ‘noise'. Risk management at the portfolio level consists of diversification across markets, system styles, trading time frames and sizing of portfolio positions.”
Anderson Huber of Beardown Partners
Andy has over twenty years of trading and investment industry experience. He began his Wall Street career in 1980 in the commodity futures markets at Shearson Hayden Stone, where he was first exposed to trend following systems, and has worked for Lehman Brothers, Deutsche Morgan Grenfel, Nationsbank, and Citicorp. Currently, he manages the loan credit default swap inter-dealer operation at Phoenix Partners Group.
2008 return: 2.4%
Comments: “Trading systems must have built-in flexibility and while being a rule-based process, must have the fewest filters and qualifiers to be consistently effective. This is an important aspect of our Vertical Equity Trading Program. While systematic at its most basic level, the program is neither a black box nor purely a trend following system. It is a dynamic investment activity, involving real time risk weightings, adaptation to rapidly changing conditions and superior execution. Most futures traders have expectations of a high return for risk taking in these highly levered, often volatile markets. I believe in the opposite. The goal being to generate consistent profitability over time, I'm more than satisfied to break even on a trade and take many small gains and losses, with the comfort that capital has been preserved for future opportunities.”