(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.
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“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.”
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