Nordic Alternatives Day

Transcription

1 Nordic Alternatives Day London, 11 th November 2015 IPM Systematic Macro A different approach to Global Macro investing

2 What is macro investing Macro investing is Consensus Contrarian: Somebody who does not understand consensus Attempt of a definition: Macro investing looks for catalysts in situations where financial asset prices significantly deviate from their fundamentals 2

3 The truth could be elsewhere Positioning of the strategy on the CHF vs. Basket of G10 currencies Source: IPM 3

4 Key strategy characteristics Avoid Forward-looking Momentumbased solely on fundamental input Sources Diversified of Alpha portfolio built on a large number of uncorrelated investment ideas Focus Ensure on Consistency risk and robustness and Repeatability throughout the investment process 4

5 Broad fundamental evaluation 50 fundamental factors, each representing a standalone profitable investment idea Value Risk Premia Macroeconomic Market Dynamics Position against discrepancies between observed prices and longer term intrinsic value Measure opportunities as a compensation for accepting risk in a broader sense Position to profit from the expected market adjustment of macroeconomic shifts Exploit idiosyncratic opportunities: investment flows, volatility of interest rate curves, The allocation to each factor is based on conviction 5

6 Current Account / GDP Standard Deviations from Mean Measuring conviction IPM s systematic approach to macro investing implies the continuous evaluation of a large number of investment ideas 4% 3% 2% 1% 0% -1% -2% -3% -4% -5% Relativized Canadian Current Account Canadian Current Account % of GDP Example: Evaluating the opportunity in CAD given by dislocations in Canada s current account vs. G10 Source: IPM 6

7 Capturing dispersion not direction Relative Value (85% of strategic risk) Directional (15%) Developed Currencies (10 currency forwards) EM Currencies (11 currency forwards & NDFs) Relative Bonds (7 futures on 10 Yr Gvt Bonds) Asset Class (global equities and bonds) Relative Equities (13 futures on equity indices) 7

8 Multi-faceted fundamental view Aggregating each independent factor to form the end view/position for each market Developed Currency Portfolio JPY EUR CHF NOK NZD AUD USD SEK CAD GBP Total Valuation Risk Premia Macroeconomic Market Dynamics Source: IPM. End of September

9 Diversified at all times 41 markets always on! Relative Bonds Developed Currencies Relative Equities EM Currencies Asset Class Source: IPM. End of September

10 Downside risk in focus Minimising tail risk at the core of the allocation, not volatility Level of conviction is controlled to maintain diversification The devil is in the... markets, i.e. the sensitivity of factors to generic risk factors driving markets is controlled Risk Committee empowered to reduce exposure in case of systemic risk Ratio Max. Drawdown to Volatility Sources: IPM, Bloomberg. 10

11 Jun/06 Dec/06 Jun/07 Dec/07 Jun/08 Dec/08 Jun/09 Dec/09 Jun/10 Dec/10 Jun/11 Dec/11 Jun/12 Dec/12 Jun/13 Dec/13 Jun/14 Dec/14 Jun/15 Relative Risk Allocation Expected Volatility Dynamic risk allocation The relative risk of each portfolio is based on the strength of perceived opportunities and markets volatility 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 25% 20% 15% 10% 5% 0% Source: IPM Asset Class Relative Equities Relative Bonds EM Currencies Dev. Currencies Expected Volatility 11

12 Price versus fundamentals Positionning of the strategy on the Bund vs. Basket of Govt Bonds 300% Valuation Risk Premia Macro Market Dyn. Total 100% -100% -300% 200% 100% 0% -100% -200% 104% 103% 102% 101% 100% 99% 98% 97% 96% Source: IPM Exposure Bund vs Basket PnL 12

13 IPM Systematic Macro Strategy Bottom-up based on the conviction of each individual factor, agnostic to top-down views Fundamental evaluation isolated from any risk assumptions Risk management plugged in the sizing of each factor Risk budget only deployed when there are attractive opportunities 13

14 Log scale Close to 10 years of proven trackrecord Historical performance MSCI World TR Net (USD) IPM Systematic Macro Fund HFRI Fund Weighted Composite IPM founded in 1998 to deliver uncorrelated strategies to institutional investors 45 people of which half dedicated to investments AuM of approx. 1.5 Bn USD and 4.9 Bn USD firm wide Proven track-record across different macroeconomic and correlation regimes Achieved closed to 10% annualised return and 11% realised volatility Uncorrelated to equities and bonds, and to any hedge funds strategies Performance of the IPM Systematic Macro Fund B Shares (net of Mgmt. Fee 1%, Performance Fee 20%, HWM, discontinued) until Dec 2012 and E Shares (net of Mgmt. Fee 2% until Feb 2015 and 1.5% thereafter, Performance Fee 20%, HWM) thereafter. Past performance is no guarantee of future results and an investment in the Systematic Macro Program could lose value. * Calculated using 3 month US T-Bill returns as risk free rate. Source: IPM & Bloomberg. 14

15 Disclaimer This report is solely meant for client personnel. No part of it may be circulated, quoted or reproduced for distribution outside the client organization without prior written approval by IPM Informed Portfolio Management. The material is used by IPM Informed Portfolio Management during oral presentations, it is not a complete record of those discussions. The content in this presentation has been obtained and compiled in good faith from sources believed to be reliable. However, no representation or warranty, expressed or implied, is made by IPM Informed Portfolio Management AB ( IPM ) with respect to the completeness or accuracy of its contents, and it is not to be relied upon as authoritative and should not be taken in substitution for the exercise of reasoned, independent judgment by you. Recipients are urged to base their investment decisions upon such investigations as they deem necessary. To the extent permitted by applicable law, no liability whatsoever is accepted by IPM for any direct or consequential loss arising from the use of this document or its contents. Past performance is no guarantee of future results. There can be no assurance nor should it be assumed that future investment performance of the program will conform to any performance example in this report or that the program s investments will be able to avoid losses. The investment results and portfolio compositions in this report are provided for illustrative purposes only and may not be indicative of the future investment results or future portfolio composition of the program. The composition, size of, and risks associated with an investment in the fund may differ substantially from the example in this report. An investment in the Systematic Macro program can lose value. 15