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Opalesque Futures Intelligence

Manager Profiles: Up-and-coming managers comment on their strategy and the markets.

Tuesday, February 24, 2009


Up-and-coming managers with diverse approaches describe their strategy and what they see happening in the markets. Their comments have been edited.

David Mousseau of Lone Wolf Investments LLC

Mr. Mousseau was the head trader for a subsidiary of Northern Indiana Public Service Corporation, where he was responsible for the risk-management of existing physical electricity positions and proprietary trading. He has worked for various other energy businesses.

2008 return for Carbon Emissions Instrument Program: 15%
Comments: “Our proprietary model was designed to systematically trade the European Union Carbon allowance emissions' futures market in Europe. The carbon emission markets are quite new but offer the opportunity for tremendous growth. This model is designed to capture the movements that energy products generally display. The program trades both the current year's emission vintage and the next year's emission vintage. The contracts call for physical delivery/receipt of emission credits but all positions will be liquidated prior to the month of delivery.”

Gabriel Pellegrini of Global Edge Capital Management

Based in Sao Paolo, Brazil, Gabriel has worked at Bolsa de Mercadorias & Futuros after an earlier career as a teacher's assistant.

2008 return: 23%
Comments: “Our investment approach is diversified among 13 strategies simultaneously to generate both short-term and long-term gains. The strategy further diversifies across different trading time frames ranging from four to 90 days. We trade more than 100 futures contracts on agricultural products, metals, energies, currencies, interest rates and stock indices on US, European, Asian, African and Australia exchanges.

January was a good month for our short term strategies, which showed profits in both stock indexes and currencies. The volatility in equities markets around the world contributed to the month's performance, however we experienced some losses in the fixed-income sector where the rise in interest rates negatively impacted sector returns.”

Tim Pickering of Auspice Capital Advisors

Before founding Auspice, Tim was Vice President of Options Trading at Shell Trading Gas and Power in both Houston and Calgary. Prior to that, he traded for TD Securities in Toronto in a wide range of instruments including foreign exchange, bonds, money markets and exotic derivatives. In addition to Auspice he currently manages an exchange-traded fund for Claymore.

2008 return in Diversified Commodity Fund: 44%
Comments: “The portfolio is diversified across global commodity and financial futures and invests only in liquid exchange traded futures contracts. Auspice derives its edge in the markets from a deep understanding of the correlations and volatility of the individual assets and sectors. The flat return in January illustrates the fund's ability to be a store of value in periods of continued equity weakness.”

Douglas Bry of Northfield Trading LP

In his early career, Doug was a trial attorney. In 1987 he and Philip Spertus formed Technical Trading Strategies Inc. to apply computer technology to the creation of quantitative models for trading global futures markets and in 1989 they formed Northfield.

2008 return for Diversified Program: 14.3%
Comments: “Northfield is a 100% systematic Commodity Trading Advisor that evolved from a software firm. The Diversified Program is an absolute return strategy that seeks to profit from both up and down price movements in the global financial and commodity markets. Designed specifically not to be trend dependent, the Program trades a diversified portfolio of up to 50 of the most liquid and transparent global markets, with a primary focus on stock indexes, interest rates, currencies and energy markets.

2008 was a tumultuous year for most asset classes and investments. However, through this difficult period, Commodity Trading Advisors handled the risk and volatility well.
After posting a 24% return in 2007, the Northfield Trading Diversified Program continued to perform well in 2008 and is up 46% over the past 36 months ended December 2008.”

Charlie & Jes Santalauria of Parrot Trading Partners LLC

Jes is an experienced real estate developer who along with his son Charlie manages several portfolios employing their unique “Calendar Condor” hybrid options and futures strategy. Charlie recently spoke at a hedge fund incubation conference held at the Harvard Club of New York. Both Jes and Charlie were featured emerging money managers at the MFA Chicago conference the year before last.

2008 return: 11%
Comments: “We are in a trading environment that has never been seen before. Markets have become numb to grim economic reports. The US economy has lost approximately 1.5 million jobs over the past three months and another 2 million since the recession began in Dec. 2007 (3.5 million total). We expect the economic data to surprise both on the upside (sparking rallies) and downside in coming months.

Our strategy for the upcoming months will be to add positions throughout each move and to take profits accordingly. We will be more conservative than we have been in the past, but expect that we can generate returns similar to those in past years relative to the S&P 500.

This article was published in Opalesque Futures Intelligence.
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