Eclipse Capital Management

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Eclipse Capital Management Global Monetary Program

Global Monetary Program

Eclipse’s Global Monetary Program makes use of an approach that is systematic and quantitative. Its objective is to profit in various economic and market scenarios. For more than 20 years, the Global Monetary Program of Eclipse has resulted to return streams that are positive and uncorrelated to fixed income and equity investments. It is also an alternative investment strategy.

Eclipse is a program that is systematic, quantitative and diversified trend-following. It started on August 1990. As of December 31, 2014, the firm’s AUM is at $143 million. It is located in St. Louis, MO. Eclipse principals are Thomas W. Moller, Fran Olszweski, Brent R. Mathus, Heather M. Socha, CPA, Nigel P. Ekern, Matthew A. Stapf

Company Background

In 1983, Eclipse Capital Management was founded by Thomas Moller. He holds sole proprietorship and employs 14 people in St. Louis, MO.

Goals in Investment

The goal of Eclipse Capital Management is to profit from intermediate and long term trends in prices and adjusting based on changes in the risk of the market.

Markets Traded

Global equities, currency futures contracts, fixed income and commodity are being traded.

Strategy

The Global Monetary Program or the GMP is a program that is completely systematic and based on models for investment. It makes short and long positions in various markets, such as fixed income, currency futures contracts, equity index and commodities. Only the most liquid futures contracts make up the portfolio, these undergo trading, clearing, and pricing based on future exchanges. This minimizes the issue to risks in valuation, counter-party and liquidity.

Models use quantitative analysis to study prices in the market, along with fundamental and macro economic factors. Through this research, Global Monetary Program is able to determined trends in prices that are beginning to emerge or continuing to persist. On top of these models, Global Monetary Program also uses a short term mean reversion model to watch out for prices that may not be over extend.

The portfolio is also diversified and used as a risk control method that is effective and free of costs. When sectors and markets in a portfolio that are not highly correlated are included, it increases the risk return of the portfolio and thereby reduces volatility and drawdown.

Diversification is done both in terms of assets and geographical location. Only high liquidity and exchange cleared future contracts are included in the portfolio. Four classes of assets are weighted in equal terms and given a 25% allocation of risk. This avoids the risk of concentration on only one asset.

The firm also diversifies its strategies. There are three major strategies that are being used, momentum, mean reversion and macro or fundamental. Each of these three strategies has models that are also diverse. Each has their own holding period, algorithm and input. Risk is mitigated and performance becomes consistent.

The momentum strategy is given 60% of risk. It uses different holding periods, from 2 weeks to 12 months and exposes to short, intermediate and long term price trends. This strategy is applied to the entire portfolio and is used since 1990.

The mean reversion strategy is given 20% of risk. It identifies non-directional market states. It evaluates volatility and directional movement in different time frames. The models are short term and opportunistic. They have a holding period from 2 to 5 days and are only 5% to 10% active. This is also applied to entire portfolio.

The macro or fundamental strategy is given the remaining 20% of the risk. It analyses inputs that are external to the price of the market, such as carry, inflation, liquidity and growth related factors. Holding period is more than a year and long term.

The three strategies are uncorrelated and diversified. Using these strategies, divergent, short and long term strategies, Eclipse Capital Management can provide clients long term value with minimized risks that a single strategy approach cannot provide.

Exits are applied to each level of the program. Risk management makes use of the following risk sources and definitions: market level risks are those from changes in volatility in the market. Positions are sized and then inversed with volatility. As volatility increases, the positions are decreased. Concentration risk control is also done so that no class can have more than 25% risk and no single market has more than 5%. Protective exits are also placed when prices are suddenly changed.

Risks on strategies are also limited by using several and uncorrelated strategies. It uses different algorithms and holding periods. Risks on portfolios are minimized based on exposure that is too excessive. Eclipse Capital Management makes use of a propriety VaR model for this risk. Declines in equity are reduced using a de-leveraging model to minimize risk of cascading declines.

Risks on operations are also minimized using propriety order management systems that can make daily checks to ensure that all positions are in concurrence with models. Communication with brokers is automated in transmissions of allocations and receipts of fills. When order is received electronically, the orders go to the order management system to minimize buy and sell errors. All information is backed up at the end of the day to a site outside the firm’s headquarters.

Key Personnel

Thomas W. Moller

Thomas W. Moller is the Chief Executive and Chief Investment Officer of Eclipse Capital Management. In 1983, he founded Eclipse Capital Management and helmed the Investment Management Group as CEO. As the firm’s CIO, he spearheaded the firm’s activities on development of products and management of investment.

Before founding Eclipse Capital Management , he occupied several positions, such as consulting, public accounting and corporate financial management. He received his Bachelor’s degree in Economics and Business Administration from the Vanderbilt University. He received his Master’s degree in Accounting from the University of Kentucky.

Fran Olszweski

Fran Olszweski is the Managing Director and Chief Portfolio Manager of Eclipse Capital Management. As the CPM, he is the supervisor of research and development. The strategies for trading of Eclipse are also developed, implemented and maintained under his direction. He is also part of the Investment Management Group.

Before joining Eclipse Capital Management, he was part of the Derivatives Dealing Team of UFJ Group, based in New York, as Assistant Vice President. He was also part of the Capital Markets Group of Nippon Credit Bank also in New York, as proprietary trader. His first employment was in the Hollingsworth Trading Company; his last position was the Trading Manager. He received his Bachelor’s degree in Economics from the Washington University.

Brent R. Mathus

Brent R. Mathus is the Managing Director of Trading. He is in charge of Eclipse’s trading desk, its 24 hour day to day operations and the supervision of the team that implements the firm’s strategies. He is the key trading liaison for the Investment Management Group.

Before joining Eclipse, he was the Head Trader and Managing Director of the AlphaSimplex Group, LLC until 2007. His work involved the leadership of the team in charge of implementation of their portfolio strategies, such as short and long equity programs and global macro programs. He started as a Global Trader in Eclipse in 1998. He received his B.S. degree in Business Administration in Finance and Banking from the University of Missouri.

Heather M. Socha

Heather M. Socha is the CPA, Managing Director and Chief Financial Officer of Eclipse. In 1999, she joined the firm as the head of Corporate Finance and Treasury. She is in charge of the accounting, fund administration and back office activities. Aside from those tasks, she is also responsible for client services, including communications and marketing. She is also part of the Business Management Group.

Before joining Eclipse Capital Management, she was the Audit Manager of Deloitte & Touche, where she was in charge of insurance and financial companies. She received her degree in Accounting from the University of Northern Iowa.

Nigel P. Ekern

Nigel P. Ekern is the Managing Director of Business Development. Before joining Eclipse Capital Management, he was the President of Quest Partners LLC and led the business development activities of the firm from 2010 to 2013. Before Quest, he was the COO and co-founder of Noroton Capital Management LLC, a firm that is focused on hedge funds and debt investing. Before Noroton, he was an alternative investment advisor and law practitioner at Debevoiuse & Plimpton LLP. He was also a New York banker. He is a holder of a JD-MBA degree from NYU and an AB from Dartmouth College.

Matthew A. Stapf

Matthew A. Stapf is the Executive Director of Information Systems and Technology. He is in charge of developing and managing all IT systems. He leads a team that maintains and enhances Eclipse’s systems on data management, proprietary software, network and hardware.

Before joining Eclipse Capital Management, he was a Systems Engineer and Software Developer for the Training Systems and Flight Simulation Division of the Boeing Company. He received his degree in Computer Engineering from the University of Illinois.

1990 to 2014 Performance Statistics

Eclipse Capital Management  Global Monetary Program performance

Source: http://www.iasg.com/

Eclipse Capital Management has a cumulative total return of 744.57%. Annualized compound return is at 9.13%. Annualized standard deviation is at 17.04%. Monthly correlation to S&P 500 TRI is at -0.06. Annualized sharpe ratio (0%) is at 0.60. October 1990 monthly maximum loss is at -14.75% From February 2004 to May 2005, there is a maximum drawdown of -25.95%.

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