Brummer Multi-Strategy monthly commentary December 2021
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of -0.1 and -0.2 per cent respectively in December (-0.1 and -0.2 per cent for the corresponding USD classes).
MARKETS
Concern over Omicron and rising inflation continued to weigh on market sentiment in December. Several governments reimposed tighter restrictions following the rapid rise in Covid-19 cases. Central banks meanwhile took divergent policy paths to combat surging inflation. The Federal Reserve announced an acceleration in its asset purchase taper, the Bank of England raised interest rates while the European Central Bank took a more dovish stance; ending its pandemic-response bond purchasing programme but maintaining an older asset purchase scheme. December was a volatile month for global equity markets, whipsawed by the aforementioned market concerns, but they nonetheless ended the month near new record levels. In commodities, crude oil prices recovered most of November’s decline and European gas prices spiked past record levels. In currency markets, the pound appreciated against most other major currencies following the Bank of England’s unexpected rate hike.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
The largest detractor in December was long/short equity strategy Manticore which struggled with both long and short alpha. Trend following strategies were also negative for the month. Lynx generated gains in equities that were offset by losses in fixed income, commodities, and currencies. Florin Court’s losses in currencies and commodities outweighed gains in fixed income, equities and power markets. The month’s largest contributor was the systematic equity strategy AlphaCrest with gains across investment philosophies. Macro focused Arete made money on equity positioning. Both long/short equity strategies Pantechnicon and Kersley were marginally positive contributors, with the former generating alpha in the materials sector while the latter made money across sectors with diversified financials particularly profitable.
As of January 1st, BMS’s portfolio manager decreased the allocation to Manticore, Lynx and Arete, and increased the allocation to Pantechnicon, AlphaCrest, Florin Court and Kersley.
For more information on Brummer Multi-Strategy's performance, please see the tables and graphs below.
