- Advertisement -
- Advertisement -

IPM Funds Weather Brexit Storm in June

Report: Systematic Strategies

- Advertisement -

Stockholm (HedgeNordic) – Sweden’s Informed Portfolio Management (IPM) reported its Systematic Currency Fund was up 6.8% (+16.7% YTD) in June, while its Systematic Macro Fund was down -0.5% (+10.4% YTD). These results were by comparison to a depreciation of -1.1% on the MSCI World index, an appreciation of 2.4% on the Citi WGBI index, and a slight dip of 0.15% on the NHX Nordic Hedge Index Composite. (Pictured: IPM CEO Stefan Nydahl)

June was marked by a depreciation of the U.S. dollar due to disappointing payroll data, lower interest rates on the longer end of the U.S. yield curve, and of course market turmoil prior to and following Brexit, when market volatility spiked as investors offloaded risky assets. Global equities ended the month down 1.1%, while global bonds gained 2.4%.

IPM’s Systematic Currency Fund enjoyed large positive contributions from its developing currency portfolio, which benefited as investors sold the GBP in favour of safe haven currencies like the JPY and CHF, with additional gains from its short position in SEK. Only the short AUD and long EUR positions yielded losses. The fund’s Emerging Markets currency portfolio also delivered positive returns thanks to its long positions in BRL and ZAR, alongside its short positions in CZK, HUF and INR.

IPM’s Systematic Macro Fund’s positions in developing currencies also benefited from the GBP firesale, as did its Emerging Markets currency portfolio, again thanks to long positions in BRL and ZAR and short positions in CZK and HUF. However, the JGB became the basket underperformer despite Japanese interest rates decreasing in absolute terms, which became problematic for the fund’s relative bond portfolio, which had been positioned for the opposite scenario. Its relative equity and asset class portfolios also contributed negatively.

IPM’s Risk Management Committee decided to reset its risk level to normal at the end of June, after having reduced the overall risk level of the strategy shortly before the Brexit referendum.

 

 

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Glenn Leaper, PhD
Glenn Leaper, PhD
Glenn W. Leaper, Associate Editor and Political Risk Analyst with Nordic Business Media AB, completed his Ph.D. in Politics and Critical Theory from Royal Holloway, University of London in 2015. He is involved with a number of initiatives, including political research, communications consulting (speechwriting), journalism and writing his post-doctoral book. Glenn has an international background spanning the UK, France, Austria, Spain, Belgium and his native Denmark. He holds an MA in English and a BA in International Relations.

Latest Articles

The Value of Short Selling for Symmetry

Stockholm (HedgeNordic) – Stock-picking hedge fund Symmetry Invest has achieved a net-of-fees annualized return of 18 percent since its inception just over 11 years...

Month in Review – June 2024

Stockholm (HedgeNordic) – Despite June marking the end of a long streak of consecutive positive months, the Nordic hedge fund industry still achieved its...

New Equity Managers Join Borea to Bolster Fund Offerings

Stockholm (HedgeNordic) – Following the acquisition of a majority stake by Frendegruppen – a consortium of Norwegian independent banks, Borea Asset Management is strengthening...

Obligo Raises Final €75 Million for PE Fund

Stockholm (HedgeNordic) – Obigo Investment Management has announced the final close of its infrastructure-oriented private equity fund, Obligo Nordic Climate Impact Fund (ONCIF), raising...

RFP: Irish Investor in Search of Tail Risk Mitigation

Stockholm (HedgeNordic) – An Irish institutional investor seeks an overlay manager or managed options strategies to mitigate tail risk in its €2.5 billion fund-of-funds...

Cevian on Buying Spree, Discloses 5% Stake in Smith & Nephew

Stockholm (HedgeNordic) – Swedish activist investor Cevian Capital has disclosed a five percent stake in UK medical device manufacturer Smith & Nephew, signaling intentions...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -