Brummer Multi-Strategy monthly commentary June 2021
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of -1.2 and -2.5 per cent respectively in June (-1.2 and -2.4 per cent for the corresponding USD classes).
MARKETS
The US federal reserve had a more hawkish tone in their rate outlook in June leading to an unwind in reflation trades. The Fed indicated lower tolerance towards inflation in the future resulting e.g. in a flattening of the yield curve and a strengthening of the US dollar against most developed market currencies. In equity markets, the Federal Reserve’s announcement led to a shift from stocks likely to benefit from a reflationary environment to growth names.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
Brummer Multi-Strategy ended June in negative territory. Trend following strategy Lynx was the month’s largest detractor with trend reversals in the US dollar, gold and bond prices particularly costly. Systematic equities strategy AlphaCrest was also unprofitable for the month mainly due to alpha losses partly related to rotations within and across equity sectors. Long/short equity strategies Black-and-White and Manticore were both marginally down for the month due to alpha losses. Fixed income relative value strategy Frost struggled on the back of hawkish announcements from both the Norwegian and the US central banks. Machine learning strategy Lynx Constellation lost money primarily on FX and commodity positioning. The month’s best performing strategy was trend follower Florin Court which capitalized on power and commodity positioning while macro focused Arete made money on both equity and FX trading. Long/short credit strategy Observatory was essentially flat for the month.
As of July 1st, BMS’s portfolio managers decreased the allocation to Observatory, in line with the previously communicated redemption (for more details click here), and increased the allocation to Black-and-White, Arete and Manticore.
