Monthly commentary BMS December 2016
Brummer Multi-Strategy (BMS) had a flat December to conclude 2016 down 1.3 percent. Meanwhile, Hedge Fund Research’s HFRI Fund-of-Funds Composite Index gained 0.9 percent in the month and 0.5 percent for the year.
In December, the positive trend in financial markets continued. Equites and energy prices surged despite rising fixed income yields, and the US dollar strengthened further against other G5-currencies. Investor optimism was primarily supported by a positive outlook on US economic conditions along with the Federal Reserve’s rate hike.
The relative value-/macro strategy, Nektar had the best performance in December, benefitting from favourable FX and fixed income positions. Positive contributions to BMS also came from macro strategy Arete, which has had a strong year, as well as long/short equity strategies Bodenholm and Talarium. The systematic macro strategy, Florin Court had a difficult December, with losses in primarily commodities, and was the main detractor which weighed on performance.
BMS’s net exposure towards equities and commodities peaked at approximately 30 percent mid-December and closed out the month at around 20 percent.
The portfolio allocation to Arete, Black-and-White and Lynx was increased during December, at the same time as primarily Bodenholm and Florin Court received reduced weights.
