IPM Informed Portfolio Management AB

IPM Systematic Currency Fund

Strategy Description

IPM’s Systematic Currency strategy is based on proprietary investment models that provide unique insights into how fundamental drivers interact with the dynamics of asset price returns. The investment models employed evaluate the relative attractiveness of financial instruments and exploit the divergence in fundamentals by taking long and short positions. The information derived from these models is processed in a systematic way on a daily basis whereas the identified dislocations are typically medium to long term.

General Information

NHX CategoryManaged Futures & CTA
NHX CountrySweden
Legal StructureUndefined
Fund DomicileCayman Islands
Minimum Investment100,000 USD
AUM107M USD
Highwater MarkYes
Inception DateApr 2005
Management Fee0.75%
Performance Fee20%

Company Information

CompanyIPM Informed Portfolio Management AB
PrincipalStefan Nydahl
AddressMäster Samuelsgatan 6
Stockholm, SE-111 44
Phone+46 (0)8 20 19 29
Emailclientservices@ipm.se
Websitehttp://ipm.se

Monthly Performance

  JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC Year
2017 -4.39 2.67 4.75 4.70 -1.37 -5.35 -2.75 1.14 -0.37 0.33 -1.11 -0.28 -2.56
2016 3.55 4.91 -1.46 2.50 -0.38 6.80 -0.71 -0.73 1.68 0.21 -5.24 -1.41 9.53
2015 0.42 -0.31 0.05 0.43 -2.69 0.32 0.02 5.96 -0.28 -3.41 -3.19 5.71 2.58
2014 -0.15 2.11 3.97 -0.54 0.26 0.22 0.02 1.41 -3.09 1.20 1.92 0.05 7.46
2013 2.07 0.22 -2.56 -1.24 2.18 3.80 -0.43 0.70 -1.33 1.09 0.83 -0.28 4.99
2012 -0.13 1.13 -2.73 0.08 1.09 -3.21 0.72 -1.12 -0.82 1.13 -0.02 2.64 -1.39
2011 -1.94 -3.42 -0.73 -0.24 0.87 1.31 1.26 -4.83 1.08 1.39 -0.79 -0.16 -6.24
2010 3.43 -1.30 -2.16 0.92 7.91 1.06 -0.22 0.46 -1.70 2.66 -2.20 -0.39 8.33
2009 0.51 -1.30 2.09 -0.41 -1.09 0.81 -1.09 1.32 2.43 -2.79 -1.27 1.36 0.43
2008 3.00 -0.41 7.36 -4.50 -1.66 2.76 1.96 10.14 4.52 3.80 0.04 -0.20 29.28
2007 -2.52 3.90 5.86 0.59 -3.20 2.66 1.77 3.62 -4.51 -4.04 7.85 0.02 11.72
2006 -2.97 2.45 3.73 -3.54 -1.28 -2.70 -2.30 -4.91 2.64 -1.48 2.88 1.64 -6.15
2005 -1.16 3.41 0.31 0.56 -0.72 0.22 0.33 0.48 1.95 5.43
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.

Manager Bio

 

Return Statistics

Last Month -0.28
3 Month ROR -1.06
Year To Date -2.56
12 Month ROR -2.56
36 Month ROR 9.49
Compound ROR 4.61
Winning Months (%) 55.56
Average Winning Month 2.19
Average Losing Month -1.81
Total Return 77.58

Risk Statistics

Sharpe Ratio 0.52
Sortino Ratio 0.84
Sterling Ratio 0.17
Calmar Ratio 0.29
Skewness 0.58
Kurtosis 1.02
Maximum Drawdown -13.92
Correlation vs S&P 500 -0.30
Average Losing Month -1.81
Standard Deviation (monthly) 2.72
Downside Deviation 1.55

Risk/Return Chart

Monthly Returns

Performance (VAMI)

Distribution of Monthly Returns

12 Month Rolling ROR

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
1 -13.92 5 12 04/2006 08/2007
2 -13.20 23 18 11/2010 03/2014
3 -10.68 3 3 11/2016 04/2017
4 -9.49 8 0 05/2017 12/2017
5 -8.37 2 3 09/2007 01/2008

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 10.14-5.350.410.22-0.2855.56
3 Months 19.49-10.681.260.56-1.0659.60
6 Months 25.25-11.652.531.78-3.0563.51
1 Year 39.68-9.205.385.25-2.5666.20
2 Years 51.26-12.2212.5210.606.7384.62
3 Years 55.73-7.3818.9315.689.4983.05
5 Years 55.520.8427.2527.4523.53100.00

Up Capture vs. NHX Composite

Down Capture vs. NHX Composite

Drawdown

Volatility (12 Months Rolling)

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Average ROR-0.28-0.36-0.51-0.220.270.25
% Positive0.0033.3333.3341.6745.8350.00
Avg. Pos. Period - 0.330.742.723.022.56
Avg. Neg. Period-0.28-0.70-1.13-2.23-1.97-1.97
Sharpe0.00-1.69-1.32-0.180.350.34
Sortino-3.46-1.86-1.45-0.340.480.48
Std. Deviation0.000.721.333.193.193.08
Down. Deviation0.280.661.232.211.951.83

AUM

ALL DATA INCLUDING PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE RESPECITVE MANAGERS AND FUND. HEDGENORDIC IN NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATION PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH FUNDS S RISK DISCLOSURE DOCUMENT. THERE MAY BE FUNDS WHO HAVE CHOSEN NOT TO BE LISTED IN THE HEDGENORDIC DATABASE AND NHX THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE IN OUR DATABASE.

THE RISK OF LOSS IN INVESTING IN HEDGEFUNDS CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADE ONLY WITH RISK CAPITAL. SALES RESTRICTIONS MAY APPLY IN YOUR JURISDICTION.