Brummer Multi-Strategy monthly commentary August 2021
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of -1.1 and -2.4 per cent respectively in August (-1.1 and -2.3 per cent for the corresponding USD classes).
MARKETS
Despite the continued spread of the Delta variant of Covid-19 and minutes from the Federal Reserve signaling an imminent reduction in stimulus measures, equities finished August at new all-time highs. Strong corporate earnings, the FDA approval of the Pfizer vaccine and somewhat dovish comments from Jay Powell at Jackson Hole helped boost markets. In commodities, oil prices bounced back from an initial decline supported by falling Covid-19 case numbers in China, the world’s largest consumer of commodities. In currencies, the US dollar index strengthened initially, supported by job-data in the US but later weakened.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
The month’s largest detractors were long/short equity strategies Black-and-White and Manticore where long alpha was particularly challenging on the back of earnings results. For trend following strategy Lynx, gains in equities were outweighed by losses from long oil and long bond positioning. The trend following strategy Florin Court was profitable across all sectors apart from currencies with the largest gains generated by power, equity, and credit positioning. Macro focused Arete managed the month’s volatility well and made money on equity trading. Systematic equities strategy AlphaCrest, fixed income relative value strategy Frost, and machine-learning strategy Lynx Constellation were all marginal detractors for the month.
As of September 1st, Brummer Multi-Strategy started allocating capital to the new fund Kersley Financials, a financials-focused long/short equity strategy, with an initial allocation of 6 per cent.The portfolio managers decreased the allocation to Black-and-White and Manticore and made minor adjustments to the rest of the portfolio.
