Brummer Multi-Strategy monthly commentary April 2021
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of 1.6 and 3.1 per cent respectively in April (1.5 and 3.1 per cent for the corresponding USD classes).
MARKETS
US equity markets reached new highs in April driven in part by positive macro-data, with retail sales and jobless claims coming in better than expected. The number of coronavirus cases saw a sharp increase in Japan and a devastating surge in India, contributing to weaker equity markets in Asia. Despite higher headline US inflation numbers, US government bonds yields moved lower from recent highs, while the US dollar weakened amid declining treasury yields. In commodity markets, oil prices increased on the back of an improving demand outlook.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
Long/short equity strategies Black-and-White and Manticore both delivered solid gains around first quarter earnings. Trend following strategy Florin Court also performed well with profits predominantly in power and commodity positioning. Systematic equities strategy AlphaCrest had another positive month, capitalising on the continued volatility among equities. Fixed income relative value strategy Frost was also in the black with country spreads the month’s main contributor. Long/short credit strategy Observatory, macro focused Arete and systematic trend following strategy Lynx were all marginal positive contributors. Machine learning strategy Lynx Constellation was the months only detractor with losses primarily in commodities.
As of May 1st, BMS’s portfolio managers made only minor adjustment to the portfolio.
