Brummer Multi-Strategy monthly commentary March 2021

MARKETS

The yield on long dated treasuries continued higher in March with positive macro data contributing to a brighter outlook for the US economy fueled further by the Biden administration’s USD 1.9tn stimulus programme. Although a volatile month for equities, the S&P 500 reached new all-time highs while the tech-focused Nasdaq index generally underperformed. With higher treasury yields and rising inflation expectations in the US, the dollar strengthened while the euro weakened as Europe’s biggest economies were forced to reimpose lockdowns. In commodity markets, the oil prices initially continued its rally before falling in the second half of the month after signs of flagging demand in key markets.

STRATEGIES WITHIN BRUMMER MULTI-STRATEGY

Long/short equity strategies Black-and-White and Manticore accounted for the majority of the March losses as the rotation from growth to value stocks proved difficult. Machine learning strategy Lynx Constellation was also down for the month losing money on short positions in equity indices. Of the month's positive contributors, trend following strategy Florin Court performed best with gains across sub-sectors; power and credit positioning were particularly profitable. Fixed income relative value strategy Frost profited from the increased volatility resulting from the rapid rise in rates with gains across most of its thematic exposures. Macro focused Arete made money on steeper US rates, a stronger US dollar, and an overweight to the more cyclical parts of global equity markets. Systematic equities strategy AlphaCrest also managed to capitalise on the increase in volatility. Long/short credit strategy Observatory and systematic trend following strategy Lynx were both essentially flat for the month.

As of April 1st, BMS’s portfolio managers increased the allocation to AlphaCrest and Arete and decreased the allocation to Black-and-White.