Brummer Multi-Strategy monthly commentary September 2019
Brummer Multi-Strategy (BMS) SEK posted an estimated decline of -2.9 per cent in September (-2.7 per cent for the USD class).
Haven assets took a hit in September with government bonds retracing their long-term rally while the price of gold also declined during the month. Although major equity indices ended the month higher, September saw a sharp sector rotation with a significant sell-off in growth stocks, while value companies such as bank stocks rose. Within commodities, oil prices spiked following a drone strike on Saudi oil facilities and problems with French nuclear reactors as well as disruptions in Dutch gas supplies caused reversals in the French power and Dutch natural gas markets. In currencies, the US dollar was essentially flat for the month while continued Brexit uncertainty led to a volatile month for sterling.
Brummer Multi-Strategy ended the month in negative territory for the first month since November 2018. Losses were primarily attributable to the long/short equity funds Black-and-White, Bodenholm and Manticore, which, despite their low net exposure, struggled with the sharp sector rotations. Lynx and Florin Court, both trend following strategies, were hit by the snapback in rates, as well as trend reversals in commodity markets. The Hong Kong-based macro strategy Arete meanwhile was able to capitalise mainly on long equity futures positions. Systematic equities fund AlphaCrest profited from an increase in cross-sectional volatility and the long/short credit fund Observatory was also profitable during the month.
As of 1 October, Brummer Multi-Strategy allocated capital to the new fund Lynx Constellation that uses machine learning techniques on listed futures in equity indices, fixed income, currencies and commodities. The portfolio managers made minor adjustments to the rest of the portfolio with all of the funds, apart from Manticore, getting a somewhat reduced allocation.
