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环球邮报的报道：Alberta pension manager loses $4-billion on investment bet gone wrongAlberta’s government-owned money manager has lost more than $4-billion on what clients are calling a wrong-way bet against sharp swings in stock prices, dealing a heavy financial blow to a province already reeling from falling oil prices and the COVID-19 pandemic.Alberta Investment Management Corp., known as AIMCo, suffered far larger losses than comparable funds after investing in contracts that pay off only if stock markets remain stable. It lost billions of dollars when the economic collapse wrought by COVID-19 sent the S&P 500 and other stock benchmarks on a roller coaster ride, putting it on the losing end of the trades, according to several senior pension plan officials and other sources who are familiar with the situation. The Globe and Mail is not naming the people because they aren’t authorized to speak publicly about AIMCo’s investing strategies.The Edmonton-based Crown corporation manages about $119-billion on behalf of 375,000 members of provincial public retirement programs as well as public accounts such as the province’s $18-billion Heritage Savings Trust Fund. With investment decisions that affect pension beneficiaries as well as Alberta taxpayers, the loss raises questions about whether the strategy was too risky. The sources said that AIMCo now acknowledges its executives were not fully aware of the risks they were taking. A $4-billion loss would equate to more than a third of AIMCo’s 2019 net investment income of $11.5-billion.AIMCo’s hit on volatility-based investment strategies came on top of a sharp drop in the value of its traditional equity, bond and real estate investments in March, when virtually every investor lost money. The average Canadian pension plan lost 8.7 per cent of its value in the first three months of this year, according to consulting firm Mercer. When it formally reports quarterly results to clients later this month, AIMCo is expected to be down far more than this.AIMCo declined to discuss details of its investing strategies. However, its director of corporate communications, Denes Nemeth, said it has not breached any internal or external rules or regulations related to the risk it can take on as a fund manager acting on behalf of pensioners and government accounts. “The level of volatility that markets experienced in March, 2020, the result of the COVID-19 pandemic, during which volatility rose faster, and on a more sustained basis than at any other time in history, is exceptional,” Mr. Nemeth said in an e-mail. “AIMCo acknowledges that it is not immune to the challenges, unique as they may be, that institutional investors around the world have experienced.” AIMCo executives have kept clients apprised of the market conditions’ impact on investment performance, he said.Markets were relatively placid in recent years, and clients said AIMCo made consistent 6-per-cent to 7-per-cent returns on the volatility strategy, which is meant to be a low-risk way of generating dependable results that are not linked to the performance of public market investments such as stocks or bonds.AIMCo’s past returns on the strategy are now overshadowed by losses on the unprecedented moves in stock prices that played out in March, when volatility reached all-time highs, exceeding records set in the 1929 stock market crash.AIMCo told clients in early April it is terminating the money-losing approach. However, it some of its contracts with institutions such as global investment banks will not expire until June.The sources said AIMCo already booked about $2-billion in losses in March on this one strategy, and expects $2-billion or more in additional losses as the remainder of its contracts expire, although calmer markets could reduce that. AIMCo’s results are known in the industry because it reports to clients every three months, while most other plans disclose performance numbers once a year, or semi-annually.Sheri Wright, vice-president of the Edmonton-based Local Authorities Pension Plan, known as LAPP, would not discuss specific investments, but said plan officials were briefed on the impact of the market meltdown in early April.AIMCo invests $50-billion on behalf of LAPP’s 275,000 members, who include Alberta’s hospital workers and other current and retired government employees.“We have heard from AIMCo, in a preliminary reporting, that the first-quarter report is likely to show significant losses as a result of the severe market volatility that characterized the first few months of 2020, in reaction to COVID-19,” Ms. Wright said.“AIMCo is fully aware, and we communicate to them on a regular basis, that our risk tolerances are as much a reflection of our pension obligations as the need for positive investment gains," she said.Alberta regulations require LAPP to use AIMCo as its fund manager. The pension plan has flagged poor performance as a problem for many years, noting in its most recent report that “AIMCo has been short of LAPP’s value-added expectations for 46 consecutive quarters, or 11 years and 6 months.”Other clients gave AIMCo qualified support. The fund manager oversees $150-million for the city of Medicine Hat, and city controller Dennis Egert said AIMCo provided a recent update on its performance. In an e-mail, Mr. Egert said: “We appreciate the unique COVID-19 impact on the financial markets, however, we also appreciate the nature and behaviours of the capital markets.”Early this month, AIMCo reported a return of 10.6 per cent for its 30 pension-plan, endowment and government clients in 2019. It warned in its report that 2020 would be “unparalleled” because of the impact of COVID-19 and the oil-price crash on all asset values. AIMCo warned it was dealing with “a period of sudden and unprecedented volatility” in investment markets.“Our team is responding decisively in an effort to protect our clients’ liquidity and assets in the near and medium term, while still identifying longer-term investment opportunities that will come out of these challenging market circumstances,” chief executive officer Kevin Uebelein said in a statement announcing the 2019 results.Investment industry experts are warning pension plan members to brace for a shock when they see recent performance numbers, and focus on their long-term goals. Andrew Whale, a principal at Mercer, said in a recent report: “There is no doubt that funded positions are down and almost every defined-benefit plan will feel this economic and public health crisis, but we’re optimistic that plan sponsors can avoid a pension crisis with smart and strategic decision-making.”AIMCo has been at the centre of controversy over the past year. Union leaders and Alberta’s opposition NDP opposed legislation passed by Premier Jason Kenney’s UCP government in late 2019 that brought teachers’ pensions under the AIMCo umbrella. The government said the move was aimed at saving taxpayer dollars.The Alberta Teachers’ Association has argued that its members have been well served by the Alberta Teachers’ Retirement Fund, which has managed their pensions for decades and has modelled itself on the Ontario Teachers’ Pension Plan. The transition is not due to be completed until the end of 2021, so AIMCo’s loss does not affect Alberta’s teachers and retirees.
Alberta pension manager loses $4-billion on investment bet gone wrong
AIMCo suffered far larger losses than comparable funds after investing in contracts that pay off only if stock markets remain stable
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哈法 说:环球邮报的报道：Alberta pension manager loses $4-billion on investment bet gone wrongAlberta’s government-owned money manager has lost more than $4-billion on what clients are calling a wrong-way bet against sharp swings in stock prices, dealing a heavy financial blow to a province already reeling from falling oil prices and the COVID-19 pandemic.Alberta Investment Management Corp., known as AIMCo, suffered far larger losses than comparable funds after investing in contracts that pay off only if stock markets remain stable. It lost billions of dollars when the economic collapse wrought by COVID-19 sent the S&P 500 and other stock benchmarks on a roller coaster ride, putting it on the losing end of the trades, according to several senior pension plan officials and other sources who are familiar with the situation.The Globe and Mail is not naming the people because they aren’t authorized to speak publicly about AIMCo’s investing strategies.The Edmonton-based Crown corporation manages about $119-billion on behalf of 375,000 members of provincial public retirement programs as well as public accounts such as the province’s $18-billion Heritage Savings Trust Fund. With investment decisions that affect pension beneficiaries as well as Alberta taxpayers, the loss raises questions about whether the strategy was too risky.The sources said that AIMCo now acknowledges its executives were not fully aware of the risks they were taking.A $4-billion loss would equate to more than a third of AIMCo’s 2019 net investment income of $11.5-billion.AIMCo’s hit on volatility-based investment strategies came on top of a sharp drop in the value of its traditional equity, bond and real estate investments in March, when virtually every investor lost money. The average Canadian pension plan lost 8.7 per cent of its value in the first three months of this year, according to consulting firm Mercer. When it formally reports quarterly results to clients later this month, AIMCo is expected to be down far more than this.AIMCo declined to discuss details of its investing strategies. However, its director of corporate communications, Denes Nemeth, said it has not breached any internal or external rules or regulations related to the risk it can take on as a fund manager acting on behalf of pensioners and government accounts.“The level of volatility that markets experienced in March, 2020, the result of the COVID-19 pandemic, during which volatility rose faster, and on a more sustained basis than at any other time in history, is exceptional,” Mr. Nemeth said in an e-mail. “AIMCo acknowledges that it is not immune to the challenges, unique as they may be, that institutional investors around the world have experienced.”AIMCo executives have kept clients apprised of the market conditions’ impact on investment performance, he said.Markets were relatively placid in recent years, and clients said AIMCo made consistent 6-per-cent to 7-per-cent returns on the volatility strategy, which is meant to be a low-risk way of generating dependable results that are not linked to the performance of public market investments such as stocks or bonds.AIMCo’s past returns on the strategy are now overshadowed by losses on the unprecedented moves in stock prices that played out in March, when volatility reached all-time highs, exceeding records set in the 1929 stock market crash.AIMCo told clients in early April it is terminating the money-losing approach. However, it some of its contracts with institutions such as global investment banks will not expire until June.The sources said AIMCo already booked about $2-billion in losses in March on this one strategy, and expects $2-billion or more in additional losses as the remainder of its contracts expire, although calmer markets could reduce that. AIMCo’s results are known in the industry because it reports to clients every three months, while most other plans disclose performance numbers once a year, or semi-annually.Sheri Wright, vice-president of the Edmonton-based Local Authorities Pension Plan, known as LAPP, would not discuss specific investments, but said plan officials were briefed on the impact of the market meltdown in early April.AIMCo invests $50-billion on behalf of LAPP’s 275,000 members, who include Alberta’s hospital workers and other current and retired government employees.“We have heard from AIMCo, in a preliminary reporting, that the first-quarter report is likely to show significant losses as a result of the severe market volatility that characterized the first few months of 2020, in reaction to COVID-19,” Ms. Wright said.“AIMCo is fully aware, and we communicate to them on a regular basis, that our risk tolerances are as much a reflection of our pension obligations as the need for positive investment gains," she said.Alberta regulations require LAPP to use AIMCo as its fund manager. The pension plan has flagged poor performance as a problem for many years, noting in its most recent report that “AIMCo has been short of LAPP’s value-added expectations for 46 consecutive quarters, or 11 years and 6 months.”Other clients gave AIMCo qualified support. The fund manager oversees $150-million for the city of Medicine Hat, and city controller Dennis Egert said AIMCo provided a recent update on its performance. In an e-mail, Mr. Egert said: “We appreciate the unique COVID-19 impact on the financial markets, however, we also appreciate the nature and behaviours of the capital markets.”Early this month, AIMCo reported a return of 10.6 per cent for its 30 pension-plan, endowment and government clients in 2019. It warned in its report that 2020 would be “unparalleled” because of the impact of COVID-19 and the oil-price crash on all asset values. AIMCo warned it was dealing with “a period of sudden and unprecedented volatility” in investment markets.“Our team is responding decisively in an effort to protect our clients’ liquidity and assets in the near and medium term, while still identifying longer-term investment opportunities that will come out of these challenging market circumstances,” chief executive officer Kevin Uebelein said in a statement announcing the 2019 results.Investment industry experts are warning pension plan members to brace for a shock when they see recent performance numbers, and focus on their long-term goals. Andrew Whale, a principal at Mercer, said in a recent report: “There is no doubt that funded positions are down and almost every defined-benefit plan will feel this economic and public health crisis, but we’re optimistic that plan sponsors can avoid a pension crisis with smart and strategic decision-making.”AIMCo has been at the centre of controversy over the past year. Union leaders and Alberta’s opposition NDP opposed legislation passed by Premier Jason Kenney’s UCP government in late 2019 that brought teachers’ pensions under the AIMCo umbrella. The government said the move was aimed at saving taxpayer dollars.The Alberta Teachers’ Association has argued that its members have been well served by the Alberta Teachers’ Retirement Fund, which has managed their pensions for decades and has modelled itself on the Ontario Teachers’ Pension Plan. The transition is not due to be completed until the end of 2021, so AIMCo’s loss does not affect Alberta’s teachers and retirees.
Alberta pension manager loses $4-billion on investment bet gone wrong
AIMCo suffered far larger losses than comparable funds after investing in contracts that pay off only if stock markets remain stablewww.theglobeandmail.com点击展开...It takes a moment of orgasm to get fucked up hard. How possibly can they shoot their own feet in this way? 评论
呵呵，文章说基金经理还不想讨论交易亏损细节。根据描述，基金经理最大可能是卖期权，你看它说管理1190亿，一年挣110亿。光靠大盘正常回报哪里够。在太平岁月，每个月卖卖put 卖卖call确实可以月月收钱。但是动荡市场就会大亏。股市是个讲实力的地方，门第，学位这些都没用。
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我觉得他们可能SHORT VIX.. 过去10年，SHORT VIX的人赚大了。 例如UVXY， SHORT 年回报几乎100%一年。我去年底也尝试了一下 Short UVXY + buy UVXY put，太诱人了。还好我停止了。而且IB自从3月份之后禁止了所有VIX TRADING。如果Sell cash secured put,不会导致永久性损失。Assign也跟直接买股票毫无区别，而且价格更便宜。 他们紧急停止VOLATILITY 策略，明显是单向的无底洞损失。符合VIX指数的特点。2月份到3月份,UVXY突然增长了9倍，SHORT它的人损失惨重。VIX ETF长期都是下降的，但偶尔会突然爆发，让人损失。
ProShares Trust Ultra VIX Short (UVXY) Stock Price, News, Quote & History - Yahoo Finance
Find the latest ProShares Trust Ultra VIX Short (UVXY) stock quote, history, news and other vital information to help you with your stock trading and investing.
ca.finance.yahoo.com评论
cloud_L 说:我觉得他们可能SHORT VIX.. 过去10年，SHORT VIX的人赚大了。 例如UVXY， SHORT 年回报几乎100%一年。我去年底也尝试了一下 Short UVXY + buy UVXY put，太诱人了。还好我停止了。而且IB自从3月份之后禁止了所有VIX TRADING。如果Sell cash secured put,不会导致永久性损失。Assign也跟直接买股票毫无区别，而且价格更便宜。 他们紧急停止VOLATILITY 策略，明显是单向的无底洞损失。符合VIX指数的特点。2月份到3月份,UVXY突然增长了9倍，SHORT它的人损失惨重。VIX ETF长期都是下降的，但偶尔会突然爆发，让人损失。
ProShares Trust Ultra VIX Short (UVXY) Stock Price, News, Quote & History - Yahoo Finance
Find the latest ProShares Trust Ultra VIX Short (UVXY) stock quote, history, news and other vital information to help you with your stock trading and investing.ca.finance.yahoo.com点击展开...AIMCo’s $3 Billion Volatility Trading BlunderApril 21, 2020 Leanna OrrThe Canadian fund pulled the plug on its volatility strategies following significant losses, sources say.The Alberta Investment Management Corp. — which manages pension assets, sovereign wealth, and other public money — lost billions of dollars on wrong-way volatility trades when markets crashed earlier this year, and then shut down the strategies, according to informed sources. The now-defunct volatility-trading program cost pensioners and Albertans about $3 billion, the sources said. That’s on top of substantial, first-quarter losses to portfolio value that nearly all public funds are dealing with amid the coronavirus crisis.“It’s not very hard to lose $3 billion selling volatility,” said one quantitative hedge fund manager who frequently trades with the likes of AIMCo. “You’re doing stuff that has a minus-infinity potential outcome.”Another highly complex strategy — AIMCo’s derivative-based “portable alpha” overlays — may have exacerbated the bleeding, according to one of the sources.AIMCo wouldn’t comment on these or any other strategies, but pointed to extraordinary challenges in markets this year.“The level of volatility that markets experienced in March 2020, the result of the Covid-19 pandemic, during which volatility rose faster, and on a more sustained basis that at any other time in history, is exceptional,” communications director Dénes Németh told Institutional Investor in an emailed statement this week. “AIMCo acknowledges that it is not immune to the challenges, unique as they may be, that institutional investors around the world have experienced.”Indeed, many retirement systems and nonprofits reaped years of steady returns by investing in asset managers that sold options or other forms of short-term risk insurance. But when markets blew out, a number of these funds blew up. Only a handful of institutions run their own volatility-trading strategies in-house, and the vast majority of them are Canadian. AIMCo provides virtually no public details about the program, which a portfolio manager named David Triska takes credit for building at least in part, according to his LinkedIn profile.Triska claims that he managed and developed “three equity volatility strategies across global developed and emerging markets” at AIMCo, using historical options data, volatility surface estimation, and methodology inspired by at least three types of stochastic volatility (Gatheral, Heston, and Bates), among many other items.Canada boasts some of the world’s most sophisticated and best performing public investment funds, which essentially operate like Wall Street firms but siphon profits to ex-bus drivers and retired nurses. AIMCo is not among that top tier, experts and data suggest.For example, the Ontario Teachers’ Pension Plan delivered 9.8 percent annualized over the last decade, whereas AIMCo gained 8.2 percent — a gap of more than 1.5 percentage points per year.Even within its own province, AIMCo has trailed the smaller Alberta Teachers’ Retirement Fund. AIMCo is slated to vacuum up ATRF’s C$18 billion (about $13 billion) or so in assets, despite teachers’ and fund leaders’ protracted opposition. Had this already happened, AIMCo’s wayward volatility trades would likely have hit educators’ pensions. The Alberta Finance Minister’s office did not directly answer when asked if it would push ahead with the ATRF fold-in or consider pausing until the chaos clears.“The transition of ATRF’s assets has not yet occurred and AIMCo operates with full operational and investment independence from the Government of Alberta,” a spokesperson for the provincial Treasury Board and Finance told II Tuesday. “AIMCo has a long track record of outperforming market benchmarks and providing great value to Albertans. We are facing unprecedented times and these are challenging market conditions for all investors. We are confident AIMCo will continue to meet the long-term investment objectives of their clients.”The full extent of the first-quarter damage will come out in AIMCo’s annual public reporting. But in announcing its 2019 returns, the organization seemed set on controlling expectations. “Our team is responding decisively in an effort to protect our clients’ liquidity and assets in the near- and medium-term, while still identifying longer-term investment opportunities that will come out of these challenging market circumstances,” said Kevin Uebelein, AIMCo’s chief executive officer, in an April 8 statement. “We know the impacts to their portfolios during these times of market uncertainty will be significant, and we are committed to accountability and full transparency to our clients as we navigate these conditions together.”Source of article:
AIMCo’s $3 Billion Volatility Trading Blunder
The Canadian fund pulled the plug on its volatility strategies following significant losses, sources say.
www.institutionalinvestor.com
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