Brummer Multi-Strategy monthly commentary November 2022
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of -2.2 and -4.6 per cent respectively in November (-2.3 and -4.4 per cent for the corresponding USD classes).
MARKETS
Global equity markets continued higher in November as US CPI numbers undershot expectations, fuelling optimism that central banks will get inflation under control and begin slowing the pace of interest rate increases. US bond yields fell and yield curves in both the US and Europe inverted further while the US dollar depreciated against most currencies. The prospect of China easing its zero-Covid policy and continuing its reopening plans sent Chinese equities higher following protests against the government’s strict Covid-19 policies. In commodity markets, brent and WTI prices declined, while the price of gold and silver ended in positive territory for the month.
STRATEGIES WITHIN BRUMMER MULTI-STRATEGY
BMS ended the month in negative territory with systematic trend following and systematic macro the primary detracting strategies, outweighing gains in long/short equity and systematic equity. Systematic trend following struggled with trend reversals in rates, commodities and FX. Long dollar positioning was particularly costly as was short positions in precious metals. Systematic macro struggled across most asset classes with relative value positions in equities, rates and FX driving losses. Long/short equity was the primary contributor in November with the largest alpha gains coming from stock picking within the banking, capital goods and media & entertainment sectors. Losses came primarily from the retail, transportation and insurance sectors. Systematic equity contributed marginally positive alpha.
As of December 1st, BMS’s portfolio managers increased the allocation to long/short equity, while also adjusting the weights within the strategy bucket and decreased the allocation to systematic equity.
