AIMCo Says Volatility Bet Lost $1.5 Billion, Less Than Reported

(Bloomberg) -- Alberta Investment Management Corp. said losses from a bet against market volatility have totaled C$2.1 billion ($1.5 billion) to date, which is less than the roughly C$4 billion that media outlets have reported.

The pension fund manager has taken steps to limit the eventual loss, which will be finalized when the strategy winds down in mid-June, AIMCo Chief Executive Officer Kevin Uebelein said in a statement. The firm’s board has begun a review of the strategy using its internal auditors as well as third-party experts, Uebelein said.

The reports of the money-losing strategy have increased scrutiny on AIMCo, which manages more than C$100 billion for the province’s government, pension funds and endowments. Alberta Premier Jason Kenney affirmed his support for AIMCo during a recent press conference, and the government has said Finance Minister Travis Toews will be monitoring AIMCo’s inquiry and will scrutinize the review.

“Anytime you are counting in the billions, it is a big number worthy of attention, and I certainly would never want to experience such an outcome from a strategy,” Uebelein said. “When record-setting market movements occur — recall the TSX suffered its biggest one-day plunge in eight decades — new lessons will inevitably emerge, as they clearly will here at AIMCo.”

©2020 Bloomberg L.P.