Brummer Multi-Strategy monthly commentary April 2020

MARKETS

April saw increasingly grim reports showing the economic damage resulting from the Coronavirus. US industrial production declined at a pace not seen since the Second World War and the IMF announced expectations of a slowdown second only to that of the 1930s. Despite the sour forecasts, global stock markets rallied during the month as central banks increased stimulus measures and governments prepared to restart their economies in an attempt to limit the negative effects of the major shutdowns. It was a particularly volatile month for oil markets with prices collapsing as a result of the fall in near-term demand and shortage of storage facilities. 

STRATEGIES WITHIN BRUMMER MULTI-STRATEGY

Of the month’s positive contributing strategies, systematic equity strategy AlphaCrest performed best, generating solid market neutral alpha. L/S credit fund Observatory navigated the month’s volatility well, profiting from primary issuances and relative value positions. Hong Kong based macro fund Arete profited from various relative value positions both in equities and FX while trend following strategy Lynx made money across most asset classes with short oil as the largest contributor. Fixed income relative value strategy Frost, machine learning strategy Lynx Constellation and L/S equity strategy Manticore all contributed positively to BMS. April’s performance was weighed down by L/S equity strategy Black-and-White with the bear market rally, particularly within cyclical names, proving difficult. Exotic market trend follower Florin Court detracted marginally with gains in fixed income offset by losses in other asset classes. 

The proceeds from the Bodenholm redemption were distributed in such a way that all funds in the BMS portfolio were given higher weights compared to the previous month. The allocation to AlphaCrest, Arete and Lynx increased more than a pro rata allocation, while the allocation to Black-and-White and Manticore increased less.