Ari Bergmann’s Penso Capital Markets profited during the economic crisis, but failed to reach sufficient mass to keep going. The Cedarhurst, Long Island-based firm will shutter its two macro hedge funds, Penso Global Macro Opportunities Strategy and Alpha Risk Overlay Strategy, to focus on its risk advisory business.
The fund will be liquidated on Jan. 31, and the firm expects investors to receive 90% of their capital by Feb. 5, Bergmann wrote in a Jan. 26 letter to investors, which noted that the remainder of investors’ capital will be held until the final audit is completed.
Despite positive performance during a highly volatile period, Penso’s $230 million global macro fund—which managed the majority of its assets—faltered in 2009 and the firm had difficulties raising money to support its operations and compliance infrastructure, hence the decision to close the funds. The Penso Global Macro fund annualized 12.63% from its June 2008 inception through December 2009, gaining 27.94% in 2008 but falling 5.64% in 2009. The firm’s smaller Alpha Risk fund returned 468 basis points annualized from September 2006 through last December.
“Given our strong and value-added performance, I have not made the decision to liquidate these funds easily,” Bergmann wrote.
Bergmann will continue to run Penso’s risk advisory business for hedge funds and institutional investors. “The demand for my expertise as an advisor on systemic risk management has never been greater,” he wrote in the letter. “There is a plethora of systemic risks in capital markets, taxation of financial exposures and transactions, leverage and investment structuring, and regulation changes that need to be addressed both by hedge fund managers and investors.” He declined to comment.
Bergmann, an alumnus of Bankers Trust, co-founded Penso in 1997 with Abraham Pfeiffer, who was formerly with the prime brokerage technology group at Goldman Sachs.
--Suzy Kenly