NEW YORK (Reuters) – Erik Cetrulo, a former portfolio manager at Steven Cohen’s Point72 Asset Management, is raising funds for a global macro discretionary hedge fund and is targeting a launch in the first quarter of 2019, two sources familiar with the situation said.
Entheos Capital Advisors formed its limited partnership in recent weeks, and is in early stage negotiations with potential seed and anchor investors, the sources said.
The macro fund – so-called because it bets on macroeconomic events across asset classes – will trade foreign exchange, global fixed income, global equity indices and liquid commodities. As a “discretionary” fund, it will construct portfolios based on a top-down, thematic view of global markets.
Cetrulo will be the chief executive officer and chief investment officer of Entheos, according to Cetrulo’s LinkedIn page. After a decade at Point72, he last worked as a global macro portfolio manager at Balyasny Asset Management.
The investment team will include people formerly employed by Cohen’s multistrategy firm Point72 as well as Ray Dalio’s quantitative macro fund Bridgewater Associates, the sources said.
The head of macroeconomic research at Entheos will be Stephen Modelfino, who previously spent six years at Bridgewater, according to the sources.
Brian Cassese, a former senior analyst from Cetrulo’s time at Point72, will also join the team. Joel Press of hedge fund consultancy Press Management and former head of Ernst and Young’s hedge fund practice, will serve as an adviser on the operational side of the business, the sources said.
The fund will employ quantitative macroeconomic strategies and market-based research, according to Cetrulo’s LinkedIn page.
Before February 2018, many discretionary macro hedge funds suffered in the low-volatility post-financial crisis environment. As volatility has returned to the market with the unwinding of the Federal Reserve’s quantitative easing policy and the rise in interest rates, discretionary macro funds have been outperforming the broader category of macro funds.
Hedge Fund Research’s macro Discretionary Thematic Index is up 0.77 percent in the year through June 2018, versus their broader Macro/CTA Index, which is down 1.81 percent over the same period. The research firm’s HFRX Global Hedge Fund Index is down 0.85 percent in the year through June 2018.
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