Monthly commentary BMS May 2017
Brummer Multi-Strategy (BMS) gained 2.1% in May which brings performance year to date to 3.4%. Hedge Fund Research’s fund-of-fund index posted a decline of -0.2% during the month bringing its performance during 2017 to 2.8%.
Implied volatilities fell following French election results while global equity markets posted strong results led by technology, as well as UK and Asian equities. In the foreign exchange market, the US dollar weakened against a basket of currencies. Fixed Income markets saw small movements and within commodities declines were led by oil, sugar and natural gas.
May was a strong month for the long/short equity funds that BMS invests in. The top contributor to BMS was the TMT-focused fund Manticore which had a very strong month within the internet, semiconductor and video game software sectors. The largest negative contributor to performance was Lynx, with losses mainly from commodity and currency markets.
BMS’s net exposure towards equities and commodities ranged between +25 and +30 percent and closed out the month at around +30 percent. The portfolio managers kept portfolio allocation largely unchanged.
