Monthly commentary BMS September 2018
Brummer Multi-Strategy (BMS) SEK gained 0.7 percent in September and has returned 3.4 percent in 2018.
The global news flow in September remained centered on the prolonged trade dispute between primarily the US and China. In Europe, stranded Brexit negotiations dominated news, while post-election government uncertainty was the main focus in Sweden. Financial markets have however thus far remained relatively calm in light of current political risks, as the outlook on global economic growth remains positive, supported by continued robust macroeconomic fundamentals. The Fed confirmed this view in September when it raised the fed funds rate for the third time this year. US and European equity indices were relatively flat in a market environment with rising rates. Meanwhile, the Swedish Krona strengthened versus both the Dollar and the Euro. Emerging markets weakness continued during the first half of the month in the wake of US trade tariffs and a strong dollar but recovered somewhat towards the end of the month. In commodities, oil prices reached a four-year high ahead of new US sanctions on Iran, while gold continued its trend of decline.
The primary contributors to BMS last month were long/short equity funds Bodenholm and Black-and-White, along with the exotic CTA fund Florin Court. The trend-following fund Lynx, which focuses on traditional CTA markets, was the largest detractor after posting losses in equity indices, rates and currencies. Mid-September, BMS started to invest in AlphaCrest, a US hedge fund with a model driven systematic investment strategy focusing on equities. AlphaCrest did not have a significant impact on the performance of BMS in September but is expected to complement the existing strategies and be an important contribution to the portfolio going forward.
Ahead of October, the portfolio managers increased the allocation to Florin Court and Bodenholm and reduced the allocation to Arete and Manticore.
