- Advertisement -
- Advertisement -

September Stronghold for IPM

- Advertisement -

Stockholm (HedgeNordic) – IPM Informed Portfolio Management, the Swedish systematic investment manager offering macro and equity portfolio solutions to institutional investors globally, reported a healthy September with a 3.60% rise for its Systematic Macro Fund  (+6.7% YTD) and its Systematic Currency Fund  up 1.68% (+17% YTD). The returns were by comparison to a 0.5% increase on the MSCI world and an estimated 0.33% on the NHX Composite.

The Systematic Macro Fund’s strong September performance was driven mainly by its relative bond portfolio, which was enhanced by its short position in UK Gilts, which fell after an ECB meeting which left interest rates unchanged and failed to address the extension of its QE program, resulting in a global selloff and higher yields. The strategy’s view on the Gilt remains negative resulting from its relatively rich valuation and its macroeconomic outlook. Following a Bank of Japan meeting which announced a tweak to its own QE program including “yield curve control” targeting a yield of 0% for the 10Y JGB which provoked mixed market reactions, IPM’s developing currency portfolio also profited from its long position in the JPY. Additional gains came from the short position in SEK, which is based primarily on macroeconomic factors and on the currency’s risk premium. Detractors to the month’s performance came from a short position in AUD and from the Fund’s relative equity portfolio, mostly resulting from the long position in FTSE/MIB and the short position in the FTSE 100. However, the Fund’s Emerging Markets currency portfolio posted minor positive returns for September, with ZAR, RUB and SGD positions outweighing losses from the TRY and MXN positions.

The Systematic Currency Fund’s good performance in September profited from a long position in the JPY, which also strengthened after the BOJ meeting, and gained from its long position in CHF and its short position in SEK, the latter due to macroeconomic factors and a relatively unattractive risk premium. Most of the month’s losses resulted from the short AUD position, which suffered as the currency strengthened. The Fund’s EM currency portfolio performed moderately well, with gains and losses coterminous with those outlined for the Systematic Macro Fund.

Performances in September were also affected by the failure to raise interest rates by the FOMC in the United States, which led to a rally in global bonds and a weaker USD. News about Deutsche Bank also has a negative effect on market risk appetite, with global equities ending up 0.5% in September while global bonds ended down by 0.1%.


 Picture: (c) isak55—shutterstock.com


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.


Most Popular This Week


Request for Proposal

- Advertisement -

Latest Articles

RFP: Absolute Return Multi-Strategy/Fund of Funds

(Global Fund Search) - A Danish Institutional Investor is searching for an absolute return strategy for an allocation of EUR 40 million. The mandate...

Brummer Multi-Strategy Navigates 2022’s “Perfect” Storm

Stockholm (HedgeNordic) – 2022 experienced a “perfect” inflation storm due to an unprecedented amount of monetary and fiscal policy stimulus during the pandemic, war,...

Dream Comes True for Grönblom

Stockholm (HedgeNordic) – Ernst Grönblom had been running his high-conviction strategy of cherry-picking the stock market’s undervalued future winners under the umbrella of United...

Boarding the Broader Alternatives Ship

Stockholm (HedgeNordic) – Tore Davidsen, portfolio manager of SEB Eureka Fixed Income Relative Value since its launch in 2018, will join BankInvest as Senior...

Year of Stabilization of Interest Rates

By Kari Vatanen, CIO of Veritas: The year 2022 was a year of negative surprises in the investment markets and in the global economy. Hopes...

Playing Offense in the Net-Zero Transition

Stockholm (HedgeNordic) – The world’s adoption of cleaner energy had been ongoing prior to Russia unleashing war in Ukraine. The war and its consequences...