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IPM Exploits Macro Dispersion

Relative value FX and bonds key

IPM Informed Portfolio Management AB (“IPM”), one of The Hedge Fund Journal’s Europe 50 managers, runs a systematic, fundamental, predominantly relative value macro strategy that continues to deliver uncorrelated returns against a challenging postcrisis climate for many global macro managers and strategies. IPM’s strong start to 2016, up 6% in January, comes after a single-digit 2015, up 4.4%, and a double-digit 2014, up 14.6%, and the strategy has only had one losing year (2011) since inception in fund format in 2006. The firm began in 1998 and the fund will celebrate its 10th anniversary in June 2016. Reflects Head of Client Portfolio Management, Serge Houles, “IPM has attained its aims in terms of delivering returns averaging around 10% per year, with volatility well inside the 15% risk budget, no correlation to conventional asset classes or other hedge fund strategies – and we have stuck to our philosophy of investing based on fundamentals”.

Asset growth, taking macro strategy assets to around $1.6 billion, is coming not only from performance but also from significant net inflows; $80 million in January alone. The firm has geared up for further growth by hiring a new CEO, augmenting certain teams, and widening its menu of investment vehicles: the strategy can now be accessed via onshore ‘liquid alternatives’ UCITS and ’40 Act fund vehicles as well as Cayman or Ireland funds, and all of these are garnering allocations, vindicating IPM’s decision to diversify routes into the strategy in response to the evolving regulatory climate. IPM has always offered dedicated managed accounts, and is also investible through several managed account platforms (MAPs). IPM wants to remain palatable to the largest institutional investors, and hence continues to strive for industry-leading levels of reporting, transparency, and client service.

Performance drivers included short commodity and carry currencies

Investors receive full performance attribution across many axes – factors, asset classes, positions and so forth. Here we home in on a handful of key performance drivers over the past few years. In terms of the four proprietary families of factors, also called investment themes, IPM’s risk premia and valuation metrics have delivered below expectations recently, whereas the macroeconomic and market dynamics investment themes have done far better.

CIO Bjorn Osterberg illustrates: “We made 6% net in January in what was a volatile month, so the model scaled back risk more than once. Gains came from relative currencies including long yen, Swissie and euro versus short carry and commodities currencies. Relative bonds profited from longs in US Treasuries versus a basket of developed market bonds. Directional asset class trading was also positive. Though we suffered some setbacks on the relief rally associated with Draghi and Bank of Japan statements, the volatility overlay deleveraged midmonth to stay inside the volatility cap allocated to developed currencies, and hence locked in a lot of profits.”

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