Brummer Multi-Strategy UCITS monthly commentary September 2023
Brummer Multi-Strategy UCITS (Inst. Inception Class USD) posted an estimated return of 0.7 per cent in September.
Markets
In September, bond markets sold-off significantly particularly in the long end of the curve with the US 10-year yield finishing the month at over 4.5 per cent. Much of the upward pressure on yields was driven by the supply/demand balance with over $1tn net US treasury issuance in Q3 coupled with central banks stepping back from the market. Real yields consequently also surged and in turn drove the US dollar higher during the month. Several central banks across the globe had their monetary policy meetings mid-month with a clear signal from most that rates have plateaued but also estimated to remain at elevated levels for longer. In commodity markets Brent crude oil prices approached $100 per barrel while gold prices fell. In equity markets, tighter financial conditions weighed on risk sentiment with both the Nasdaq and S&P 500 indices falling close to 5 per cent in September.
Brummer Multi-Strategy UCITS
Systematic trend-following posted a strong month. Fixed income in Asia and North America accounted for notable gains particularly further out on the curve. In currencies, the strategy type collectively generated gains from long positions in the US dollar. Within commodities, gains were captured in energies and metals primarily. Equity positioning on the other hand was unprofitable across both developed and alternative markets.
Systematic macro had another strong month with gains in most asset classes, primarily stemming from relative value positioning in developed market currencies. Long dollar positioning was fruitful particularly against the Swiss franc.
September was more challenging for long/short equity with some sectors performing well with strong alpha and others struggling. Most profits were seen in the industrials space where short alpha dominated whereas losses for the month were seen in the TMT sector and most significantly in the financial sector.
As of October 1st, BMS UCITS portfolio managers increased the allocation to systematic trend and decreased the allocation to long/short equity. 