Brummer Multi-Strategy monthly commentary October 2023
Brummer Multi-Strategy (BMS) SEK and Brummer Multi-Strategy 2xL (BMS 2xL) SEK posted an estimated return of -0.8 and -2.0 per cent respectively in October (-0.7 and -1.9 per cent for the USD classes).
Markets
US equities moved lower in October for the third straight negative month. In bond markets the US yield curve steepened notably with the US 10-year yield rising to new 16-year highs, close to 5 per cent, as comments from the Federal Reserve reinforced the narrative that interest rates will be kept higher for longer. In Europe, the ECB kept rates unchanged amid rising concerns over eurozone growth. Geopolitical tensions came into focus on October 7th following the attack on Israel by Hamas with a major ground invasion by Israel likely to follow. Safe-haven assets like gold and silver rallied significantly during the month while oil prices also rose following the rise in tensions in the Middle East. In currency markets rising US yields sent the Japanese yen lower past ¥150 against the US dollar hitting three-decade lows and fuelling expectations that Japanese authorities may once again intervene.
Brummer Multi-Strategy
Long/short equity contributed positively in October. US TMT was particularly profitable during third quarter earnings with significant gains in the media and entertainment sector. Nordic/European TMT, in contrast, delivered poor alpha. Positioning in global industrials contributed marginally with gains in the capital goods sector offset somewhat by losses in the energy and semiconductors space. European financials detracted slightly with losses in insurance names outweighing positive alpha in banks. Positioning in the healthcare sector contributed positively with solid short alpha in the healthcare equipment space.
Systematic macro ended marginally down. Positioning in foreign exchange was the main detractor both in emerging and developed markets. Commodity positioning contributed somewhat with gains in gold and grains.
Systematic trend-following detracted during the month with most of the losses stemming from positions in commodities. In developed markets, movements in oil and gold prices were particularly costly while losses were also realised in power. Losses were offset somewhat by profits in equity positioning.
As of November 1st, BMS portfolio managers made only minor changes to the portfolio.
