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Digital Subscriptions > The Hedge Fund Journal > Issue 138 – Jan 2019 > Systematic Macro with Swedish Openness

Systematic Macro with Swedish Openness

IPM - Informed Portfolio Management marks 20 years

PM – Informed Portfolio Management AB (IPM) runs just two strategies. The firm – one of The Hedge Fund Journal’s ‘Europe 50’ managers – has flagship systematic macro strategy assets of $5.7bn1. This means they have now overtaken Brummer’s Lynx as the largest single liquid hedge fund strategy assets in Sweden and the Nordics; Brummer still runs more assets overall, across all strategies. Sweden in turn is ranked as having the third largest hedge fund assets in Europe, according to 2017 Preqin data. Beyond this IPM runs one other strategy: a value-oriented systematic equity strategy integrating ESG factors that is currently offered on a long only basis (but could in theory be structured as a market neutral strategy).

This feature focuses on the flagship strategy: a systematic, fundamental, predominantly relative value macro approach, which has considerably outperformed most peers in other tactical trading strategies in discretionary macro and managed futures/CTAs. IPM will often get grouped into a broad macro or CTA index, instead of, or in addition to, a systematic macro one. In common with most tactical trading strategies, IPM’s best year of the past decade was 2008, but IPM has shown low or no correlation to these strategy averages or their constituent managers.

1Total strategy AUM as per December 31, 2018 across all accounts adjusted to 15% volatility target.

”IPM has stayed true to the original vision of providing investors with a source of diversifying returns, based on a wholly systematic and fundamental framework”, says Serge Houles, Head of Client Portfolio Management at IPM. The concept of quant macro is now well understood, but IPM is also very different from other systematic macro managers – in its return profile, philosophy and process.

IPM is ploughing its own furrow in one of the most diverse hedge fund sub-strategy spaces. Alongside IPM, a manager search for systematic macro might include firms such as: ADG, AQR, Aspect Capital, Bridgewater, First Quadrant, GCI Systematic Macro, Grantham, Mayo, Van Otterloo (GMO), GAM Systematic|Cantab, Quantedge, Quest Partners, Theam and Wadhwani Asset Management. These managers’ systematic macro strategies can sound superficially similar to the extent that they use similar or identical names for some factors, styles, models and signals, but they tend to define, implement, weight, and time their signals differently. In our opinion, nearly all of them are very different. Pairwise correlations between them are generally pretty low, and there is substantial performance dispersion, including in 2018.

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Informing the Hedge Fund Community. With access to some of the industry’s biggest names and an astute and talented group of writers and contributors, The Hedge Fund Journal has established itself as a trusted source of information on the hedge fund industry.