Brummer Multi-Strategy UCITS monthly commentary October 2023
Brummer Multi-Strategy UCITS (Inst. Inception Class USD) posted an estimated return of -0.2 per cent in October.
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 UCITS
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 and fixed income were the main detractors.
Systematic trend-following lost money during the month with most of the losses stemming from positions in commodities. Movements in oil, gas and power markets detracted. Losses were offset somewhat by profits in equity positioning.
As of November 1st, BMS UCITS portfolio managers made only minor changes to the portfolio.
