Monthly commentary BMS July 2019
Brummer Multi-Strategy (BMS) SEK generated an estimated return of 0.6 per cent in July (0.8 per cent for the USD class).
Following last month’s global equity rally, July was an eventful month in terms of macro events. Trade negotiations between US and China were resumed, the US Federal Reserve cut interest rates for the first time in over a decade and Boris Johnson was elected new prime minister in the UK. Major equity markets were mostly flat to slightly negative during the month. Expectations of new stimulus from ECB put downward pressure on rates in the eurozone, while the US dollar strengthened against most other currencies.
BMS had a solid month and six out of the eight fund investments contributed positively to BMS’s performance. The systematic trend-following fund Lynx had its second consecutive month with over 5 per cent in return, with the main attribution coming from currency and fixed income markets, while the systematic trend-following fund Florin Court was slightly up, making money predominantly in interest rate and currency buckets. Among the L/S equity strategies the performance was a bit mixed. Manticore (+2.6 per cent) and Bodenholm (+2.2 per cent) contributed with strong alpha performance whereas Black & White (-1.6 per cent) gave back some of the past months’ return. Macro fund Arete was down 1.4 per cent, while the systematic equities fund AlphaCrest had another positive month (+0,7 per cent).
As of 1 August, the portfolio managers made some adjustments to the portfolio and decreased the allocation to CTAs and increased the allocation to Arete, AlphaCrest, Black-and-White and Bodenholm.
