Brummer Multi-Strategy monthly commentary December 2020
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted estimated returns of 4.6 and 8.9 per cent respectively in December (4.6 and 8.9 per cent for the corresponding USD classes).
MARKETS
Equity markets moved higher in December with a new $900bn fiscal stimulus package in the United States coupled with a Brexit trade deal brightening sentiment. Economic activity however showed signs of a slowdown with both labour market gains and consumer spending beginning to stall. In fixed income markets the US 10y Treasury yield continued to climb to just under 1 percent buoyed by expectations of higher future inflation. In currencies, the US dollar continued its downward slide while sterling appreciated on the back of the EU-UK trade deal. In commodities, the price of oil rose while certain agricultural product prices extended their rally.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
December was another very strong month for BMS with almost all investment strategies contributing positively. The month’s largest contributors were long/short equity strategies Black-and-White and Manticore both carving out solid alpha gains. Systematic trend following strategies Florin Court and Lynx were also profitable with gains from FX and power positioning being the main drivers for the former while commodity and FX positioning were the largest winners for the latter. Macro focused Arete made money from its equity exposure and long/short credit strategy Observatory generated gains from relative value positioning. For machine learning strategy Lynx Constellation unprofitable trading in equity indices were outweighed by solid profits in commodities, with agricultural markets particularly profitable. Fixed income relative value strategy Frost and market neutral systematic equities strategy AlphaCrest detracted marginally.
As of January 1st, BMS’s portfolio managers made only minor adjustments to the portfolio.
