The Investment Manager of Brummer Multi-Strategy Cayman (BMS Cayman) strives for a well-balanced portfolio that can generate returns in most scenarios to meet the need of institutional and private investors looking for an efficient way to diversify risk from traditional asset classes across complementing absolute return strategies. Risk is allocated across strategies managed by sub-investment managers within Brummer & Partners with low correlation to one another. The majority of risk and return is market neutral and idiosyncratic. The limited directional exposure primarily comes from trend-following strategies. The number of strategies in the portfolio is typically 9-15. 

Investment process

The Investment Manager,  Brummer & Partners Asset Management (UK) Ltd, continuously monitors the sub-investment managers, the aggregated risk and return profile of Brummer-Multi Strategy as well as the overall market environment to form the basis of strategic and active tactical allocations. Proprietary risk management technology provides comprehensive monitoring of risks and performance in real time. 

Sub-Investment Manager level

Strategy-dependent evaluation of the quality in the research, investment and risk management processes based on ongoing monitoring and close dialogue with each sub-investment manager. The analysis is both quantitative and qualitative on bottom-up and top-down aspects of each strategy. 

Market environment

Identification and analysis of contextual factors that can create tail- or headwinds for different investment strategies, which can tilt the allocation in different directions. 

Multi-Strategy level

Quantitative and qualitative analysis of the overall portfolio to identify and measure main risk exposure and contributors. The risk and opportunity set are then evaluated vis-à-vis predefined tolerance levels and view of overall market environment. The Investment Manager will also engage as an active investor by raising awareness of risks and working with the sub-investment managers to support development of their respective investment processes and responsible investment practices. Tactical, incremental adjustments around longer-term strategic allocations are performed to achieve the investment objectives: to build a well-balanced portfolio that can deliver competitive alpha-driven risk-adjusted return over time with limited drawdowns. 

Manager selection

We review more than 100 strategy proposals on a yearly basis, but on average only one to two are added each year. Brummer & Partners’ global network is key in identifying new high caliber investment teams, including extensive access to the Scandinavian talent pool. The proposals are evaluated in line with the ongoing investment process outlined above. 

Brummer & Partners offers managers a strong partnership that enables teams to launch an investment strategy, while our infrastructure and operational support facilitate their focus on alpha generation. The investment teams manage their strategy as a pod within Brummer Multi-Strategy, or by co-owning an investment management company with Brummer & Partners. This model has proven to attract talented investment teams with a long-term focus that thrive in a collaborative culture. 

Sub-investment strategies

Long/Short Equity

A long/short equity strategy consists of taking long and short positions on equity securities likely to appreciate or depreciate, respectively. Brummer Multi-Strategy primarily invests in market-neutral and sector-focused long/short equity strategies to ensure diversification and that risk and return are primarily idiosyncratic and not market or factor-driven.

Systematic Macro

A systematic macro strategy applies proprietary algorithmic models to a diverse range of liquid asset classes. The underlying factors driving market prices are analysed through, typically, models that look at a broad set of macroeconomic or other fundamental data. Rules-based trading systems are developed around the understanding of how fundamentals and markets interact, and position-taking is typically relative-value and cross-sectional based.

Systematic Trend

A systematic trend strategy applies proprietary algorithmic models with different characteristics to analyse markets and take, typically, directional positions. A diversified set of trend-following approaches constitutes the main part of the strategies, using for example different mathematical techniques and historical look-back periods to analyse mainly price trends and fluctuations.

Level of activity

As the fund does not seek to outperform a specific benchmark index, it is not suitable to compare the fund’s performance to the performance of a specific benchmark index in order to the determine the level of activity in the management of the fund.