Melanion Capital, a Paris-based independent alternative investment management company, has appointed Dan Costinescu as a portfolio manager for a new systematic macro fund.
Costinescu, who has been actively involved in alternative asset management since 2005, will be managing a quantitative-based fund focusing on exploiting micro-structural imbalances in the commodity futures markets. Melanion is providing the initial seed capital and plans to launch the fund in the beginning of next year.
The new Melanion Systematic Macro Fund will be the third Melanion Capital fund following the flagship Melanion Dividend Fund launched in 2013 and the Melanion Volatility Fund launched in 2017.
Costinescu, who joins Melanion Paris via the firm’s ongoing seeding program launched in April, was selected from hundreds of applicants. “The standard was very high and attests to the profusion of interesting and exceptional talent out there,” says Antoine Iskandar, CIO of Melanion Capital.
“We have very high hopes in Dan, and equally high hopes that our commitment to our seeding program will continue to identify equally exciting managers into the future,” Iskandar adds.
Costinescu holds a Masters in Financial Mathematics from Stanford University and began his career as a quantitative analyst before joining Hite Capital Management (New York) in 2009. He subsequently developed a series of non-correlated, systematic commodity futures strategies which were used to diversify investment portfolios at Hite, ISAM and Welton Investment Corp prior to joining Andurand Capital, London to manage a systematic USD50 million commodities fund.
“The strategy I will be working with focuses on identifying mis-pricing and dislocation across the term structure of the commodity futures markets. It targets opportunistic risk rewards, independent of the markets’ direction by utilizing fundamental and behavioural factors. The strategy aggregates via statistical and machine learning techniques to explain investors behavior over the short and medium term.” says Costinescu. “While this approach has a capacity constraint, other shorter-term futures strategies will be added to the portfolio with a target to increase capacity to $500m and at maintaining returns uncorrelated with CTAs norm.”
“The Melanion Seeding Program was established to allow talented managers to fulfil their true potential which may often be constrained by the high costs of going independent,” says Iskandar. “The Program is characterised by the fact that we’re happy to engage with niche strategies which are not overlooked by institutional investors. We are very pleased to have attracted a portfolio manager of the calibre of Dan Costinescu and look forward to offering his first fund to HNW investors.”
Our work to discover and attract managers continues,” Iskander adds. “We’re open to all approaches but would ideally like to focus either on event driven, merger arb or high frequency strategies for the next seeding round.”
