MANAGER PROFILES 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. 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 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 2008 return: 2.4% |
This article was published in Opalesque Futures Intelligence.
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