Swedish Hedge Fund IPM hit by Pandemic

Stockholm-based Informed Portfolio Management (IPM), which was set up in 1998, was for years, one of the most respected European quantitative companies to use macroeconomic data to trade currencies, bonds and stocks.

But it has fall victim to the coronavirus-driven market turmoil, with its assets tumbled from $8bn a decade ago to about $1bn this year due to investor outflows and performance losses. Indeed, many funds have found their systems, which were based on analyzing the market and economic conditions over previous decades, could not read what would happen next during the unpredictable pandemic.

US hedge fund giants such as  Bridgewater Associates and Renaissance Technologies, as well as London-based Winton Group, were among quant funds to struggle last year.

Systematic macro funds such as IPM, which base their trades on their analysis of macroeconomic data, rely on being able to understand how the different assets they trade will move in relation to each other.  For them, changing linkages between assets have proved a major problem.

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IPM loss 3.4% in its main Systematic Macro Fund last year.  This year it is down 12.5% to the end of March.  The fund lost money in March as the gap between higher and lower-yielding markets widened.

IPM, which is owned by finance group Catella, raised billions of dollars from investors in the US, Europe, and Asia, helped by gains of about 15% in 2014 and further gains in the following 2 years.

In 2019, it decided to shut its Systematic Equity Funds, which struggled because of its bets on lowly valued stocks, which had underperformed.  At the time the Macro fund was about $6bn in size, but it has fallen below $1bn this year.

Reference:  

Financial Times, 2021-04-20, “Swedish hedge fund IPM hit as pandemic upends quant models”