Brummer Multi-Strategy monthly commentary October 2019
Brummer Multi-Strategy (BMS) SEK posted an estimated decline of 1.3 per cent in October (-1.1 per cent for the USD class).
Concerns surrounding global growth eased in October as did trade tensions between the US and China. Global equities moved higher during the month while bonds sold-off. Like September, value type equities outperformed growth tilted stocks in the rising yield environment. In currencies, Sterling rallied significantly against the US dollar as the risk of Britain leaving the European Union without a deal became increasingly unlikely.
Approximately two-thirds of losses in October were attributable to L/S equity funds Manticore, Black-and-White and Bodenholm that struggled with alpha related losses on the back of third quarter earnings reports. Trend following strategies Lynx and Florin Court accounted for the majority of the remaining losses, primarily Lynx which lost money on long US dollar and long bond positions. The systematic equities fund AlphaCrest had a solid month profiting from a continued increase in cross sectional volatility. The Hong Kong-based macro strategy Arete was also profitable in October as was the long/short credit fund Observatory. Lynx Constellation, the newest addition to the portfolio, was marginally down for the month.
As of 1 November, the portfolio managers made minor adjustments to the portfolio, decreasing the allocation to Black-and-White and Bodenholm somewhat while increasing Manticore and Arete’s allocation.
