High directional risk
- Less predictable alpha
- Generate alpha during longer stressed markets
/ regime shifts
Investment strategies
In-house PM teams
The investment strategies within Brummer Multi-Strategy differ markedly by asset class, market, sector, geography and analytical approach. They are selected because they complement one another, and through dynamic allocation across them, the multi-strategy portfolio is kept robust across market environments.
We do not invest in external funds. All PM teams are in-house; either directly employed or through firms partly owned by Brummer & Partners. The multi-strategy portfolio itself is managed by a dedicated Portfolio Management team that allocates and rebalances risk across underlying strategies. Each year we meet with hundreds of potential PM teams, but only a select few are added.
The building blocks of Brummer Multi-Strategy
The portfolio is typically composed of 10-15 strategies across different strategy types. Sizing and rebalancing are driven by our assessment of each PM team’s alpha potential and contribution to total portfolio risk and correlations.
Underlying positions are monitored at portfolio level in real time, providing firm-wide visibility of exposures. If aggregate risk becomes unbalanced, we can hedge unwanted exposures or reallocate capital centrally, with immediate effect. This keeps the portfolio aligned with its intended risk profile through changing market conditions.
Convexity
High directional risk
- Less predictable alpha
- Generate alpha during longer stressed markets
/ regime shifts
Convexity is a group of strategies that, in addition to generating absolute return, can add value by benefiting from periods of heightened market volatility. It includes trend-following strategies that analyse markets and take primarily directional positions (which can exhibit long-volatility characteristics in medium- to long-term market dislocations). The group also includes volatility strategies that trade options to exploit structural inefficiencies within option markets.
The strategy’s in-house PM teams run model-driven approaches that follow and adapt to price trends across global markets. Coverage spans more than 500 markets worldwide, across equities, rates, credit, commodities, energy and FX, in both developed and alternative markets. These approaches result in primarily directional risk and return, with a tendency to be long volatility, making convexity a complementary diversifier to the platform’s market-neutral investment strategies.
Fixed Income & Macro
Low directional risk
- More predictable alpha
- Diversifying complement to the portfolio
Return drivers are differentiated, with low correlation to the long/short equity allocation and convexity, adding balance across market regimes. Within fixed income & macro, the strategies themselves are diverse and uncorrelated, which further reinforces resilience.
In-house PM teams span macro, credit, fixed income and relative value strategies, using discretionary and/or systematic approaches. The teams trade a broad set of liquid instruments including: government bonds, fixed income futures, swaps, FX, corporate bonds, single-name CDS, and credit indices.
Examples of such teams include:
A fixed income relative value team running long/short positions in Scandinavian government bonds and interest-rate derivatives.
A fixed income strategy applying data-driven models and discretionary analysis to exploit predictable auction and issuance patterns globally. By bridging supply-demand imbalances, it aims to generate alpha while containing broader market risk through tight exposure controls and maintaining low correlation to the multi-strategy portfolio.
A long/short relative value credit strategy focused on single-name credit basis trading, where corporate bonds are traded versus CDS.
Long/Short Equity
Market neutral
- Consistent alpha
- Minimise “tails”
- Beta / factor neutral sector specialists
Most of the portfolio’s risk is allocated to market-neutral long/short equity, run by multiple in-house PM teams with largely uncorrelated approaches. They target persistent, stock-specific alpha under tight market and factor constraints.
Neutrality is maintained via hard limits on net, factor and sector exposures, with disciplined sizing and rebalancing. When correlations rise and dispersion compresses, systematic trend and other diversifiers can provide crisis alpha and help steady the aggregate profile.
Teams are sector-specialised and operate from e.g. Stockholm, London or New York. Illustrative focus areas include Innovation & transformation, Technology/Media/Telecom, Financials, Healthcare and Listed Real Estate; coverage evolves with opportunity and team edge.
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