Fri, 13/07/2007 - 06:51
IPM Informed Portfolio Management, a Stockholm-based multi-boutique offering quantitative investment strategies to institutional investors, and Vequus, a hedge fund investment research firm founded by Joe Roseman and Dylan Grice, are launching two institutional Global CTA programmes investing in global macro and long/short equity.
The two strategies, dubbed M.A.S.T. and Nestor, have been developed by Roseman and Grice. They incorporate global macro trends and the macro environment to establish long or short positions in the equity markets, fixed income and foreign exchange.
'We are confident that the breadth and depth of the Vequus team combined with our institutional client service, risk management and operational platform will enable us to offer very attractive investment opportunities,' says IPM cofounder and chief executive Jonas Rinné.
'Skill-based systematic investment programs tailored for institutional investors are becoming harder and harder to find. Through the co-operation with Vequus we have managed to marry some of the most distinguished individuals in the industry.'
The new product will be offered in both managed account format as well as through Dublin-based pooled vehicles. The strategies will be executed and managed from Stockholm while the research will be carried out in London, where IPM will set up a representative office to serve local consultants, partners and local clients.
'Applying macro analysis in a systematic way, and overlaying that macro analysis with rigorous statistical and technical analysis provides a relatively unique methodology for consistently capturing excess returns from global markets,' Roseman says.
'Vequus aims to combine macro and technical analysis in its unique methodology. Combining the research skills of Vequus with the institutional infrastructure of IPM creates new market opportunities for investors.'
Between 1994 and 2006, Roseman was a portfolio strategist at Moore Capital, and was head of economic research from 1998 to 2001. Grice was a senior economist with Dresdner Kleinwort between 1997 and 2003, after which he joined the firm's proprietary trading desk.
M.A.S.T. is a non-optimised system that is applied across three different asset classes and adopts a process of filters aimed at trend identification. Once identified, a second level of filter is applied to capture the portion of the trend considered to have the highest probability of persisting. This second filter is a proprietary indicator and is the heart of the model.
The aim is to emulate the trading style of a group of the world's most talented hedge fund traders. The strategy has been applied across asset classes and different macro-environments, covering both developed and emerging market instruments. The system has no tolerance for ongoing losses, and has been built upon the cornerstone of protecting capital.
Nestor is a scalable macro-fundamental approach to systematically trading developed market equity risk premium. By integrating the proprietary macro-risk regime technology with technical filters that allow the leverage of high probability trades, the programme aims to generate attractive and uncorrelated long-term alpha throughout the constant process of structural macroeconomic change.
Through strategic alliances with quantitative specialists First Quadrant, Research Affiliates and Global Advisors, IPM delivers GTAA, currency management, fundamental index and commodity strategies. The firm manages more than USD7bn in assets for clients including Sweden's Environmental Agency, the Second Swedish National Pension Fund and the Swedish National Debt Office.
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