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AIMCo's All Too Familiar Vol Blowup?

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Brett Friedman, Managing Partner at Winhall Risk Analytics, sent me a guest comment titled, AIMCo, Allianz, and Malachite Capital: All Too Familiar:
As Warren Buffet once said, “Only when the tide goes out do you discover who’s been swimming naked.”
The Alberta Investment Management Company (C$119 billion AUM), Allianz Structured Alpha 1000 and 1000 Plus ($9.5 billion AUM, est.), and Malachite Capital ($600 mm AUM, est.) all come to mind. All three funds pursued short volatility or variance strategies. Despite their claims to the contrary, the losses were predictable and had precedent in other markets. AIMCo’s estimated C$2.1+ billion loss should be viewed in the context of their asset base of approximately C$119 billion; the loss is large, and certainly disturbing, but not unheard of in a fund that size and with similar return expectations. The broader issue with AIMCo is not the strategy employed, evidently flawed as it was. Rather, it was the decision to pursue such strategies…

CDPQ's 2019 Annual Report

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Caisse de dépôt et placement du Québec (CDPQ) just released its 2019 Annual Report:
Caisse de dépôt et placement du Québec (CDPQ) today released its Annual Report for the year ended December 31, 2019, a little later than usual due to the exceptional situation related to COVID‑19. In addition to the detailed analysis of its financial results released on February 20, the report provides a complete overview of its activities. Here are some highlights:

PERFORMANCE OVER TEN YEARS
Annualized return of 9.2%.Net assets increased from $131.6 billion in 2009 to 340.1 billion in 2019, with $191.0 billion in net investment results and $17.5 billion in net deposits.The proportion of assets invested in international markets rose from 36% in 2009 to 66% in 2019.PERFORMANCE OVER FIVE YEARS
Annualized return of 8.1% and net assets grew $114.2 billion, with net investment results of $106.0 billion and net deposits of $8.2 billion.As at December 31, 2019, CDPQ’s five-year return outperforms its benchmark …

Blake Hutcheson is Now OMERS' New CEO

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OMERS today made it official, announcing Blake Hutcheson the new CEO to continue global expansion:
OMERS is pleased to announce the official appointment of Blake Hutcheson as President and CEO, effective today. Mr. Hutcheson, currently OMERS President, succeeds Michael Latimer as CEO. His appointment supports OMERS long-term plans for continued global expansion and completes the leadership transition announced in December 2019.

“Since its founding in 1962, OMERS has lived its purpose as a defined benefit pension plan to meet the retirement income needs of its members which consists of employees of municipal governments and local agencies and boards in the Province of Ontario,” said Mr. Hutcheson. “Right now, many OMERS members are working directly on the frontlines of Ontario’s response to the pandemic. I am deeply honoured and humbled to have the opportunity to work every day for them and all of our more than 500,000 members, and 1,000 employers.”

“It is a privilege to lead this purpo…

Can Money Printing Trump a Depression?

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Fred Imbert of CNBC reports stocks extend losses ahead of Trump China news conference:
The S&P 500 rose slightly on Friday, erasing losses earlier in the session, as traders breathed a sigh of relief after President Donald Trump signaled no changes to the trade deal with China despite rising tensions.

The U.S. equity benchmark finished the session up 0.4%, or 14.58 points, at 3,044.31. The Dow Jones Industrial Average fell 17.53 points, or less than 0.1%, to 25,383.11 as American Express and JPMorgan weighed. The 30-stock index ended the day well off the lows as it was down as much as 368 points at one point. The Nasdaq Composite jumped 1.2%, or 120.88 points, to 9,489.87 as chip stocks rallied.

The S&P 500 and the Dow gained 3% on the week, bringing their advance in May to 4.5% and 4.2%, respectively. The tech-heavy Nasdaq rose 1.7% this week, pushing its rally this month to 6.7%.


During a much-awaited news conference, Trump said he would take action to eliminate special trea…