Alberta public pension manager AIMCo says $2.1B lost on volatility-based strategy
Board of directors has launched a review of the situation, AIMCo CEO says
The Alberta Investment Management Corporation (AIMCo) — the province's government-owned pension management fund — confirmed Thursday in a letter from the pension manager's CEO that losses from a bet on market volatility have led to a loss of $2.1 billion.
"This occurred because the losses that quickly accrued as market volatility dramatically increased and remained elevated were not able to be offset by the gains that would normally be realized as volatility returned to more typical levels," said CEO Kevin Uebelein in a release.
"Markets behaved in a manner never-before-seen and the result was a very unfortunate loss."
Last week, Institutional Investor, a trade publication based in New York that follows pension funds, first reported that AIMCo had lost more than $4 billion through the investment strategy.
Though the actual losses are projected to be less than that figure — actual numbers will not be confirmed until the strategy is completely finished in mid-June — Uebelein said such losses were "wholly unsatisfactory."
"As an independent investment manager, AIMCo takes full responsibility for the investment losses incurred by this strategy,"