Brummer’s multi-strategy flagship hedge fund soars on November’s stock market rise

Financial data

Swedish multi-strategy hedge fund firm Brummer & Partners has capitalised on last month’s equity surge, with its flagship Brummer Multi-Strategy vehicle generating strong returns across its underlying funds as November’s coronavirus vaccine breakthrough and US election result sent risk appetite soaring.

The Brummer Multi-Strategy (BMS) fund - which invests in a range of single-strategy hedge funds – advanced 3.1 per cent in November in both its USD and SEK classes, to put its year-to-date return to 7.7 per cent.

The Brummer Multi-Strategy 2xL twice-levered version has meanwhile gained more than 14 per cent in the 11 months since the start of 2020, after it surged 6.1 per cent in November in both USD and SEK classes.

All but two of Brummer’s underlying strategies finished November in positive territory.

The long-running Swedish hedge fund manager said its long/short equity strategies Black-and-White and Manticore navigated the mid-month growth-to-value stock market rotation well, delivering solid alpha on the back of a strong earnings season.

Black-and-White led the way with a 7.5 per cent monthly gain. The strategy is now up 23.6 per cent since the start of 2020. Manticore rose 3.7 per cent in November, putting its YTD return at almost 28 per cent.

The “record month” in equity market rises also benefitted discretionary macro fund Arete (up 4.8 per cent) and trend-following strategy Lynx (which added 4.7 per cent). Year-to-date, Arete has gained 9.5 per cent, though Lynx – which also took profits from various foreign exchange bets in November – is down 2.9 per cent YTD.

Market neutral systematic equities fund AlphaCrest’s 3.8 per cent return was driven by its machine learning-based strategies last month. Since the start of January, AlphaCrest has made almost 7 per cent.

Long/short credit strategy Observatory’s idiosyncratic positions pushed it to a 2.7 per cent rise (YTD: 4.7 per cent),  while Frost, a fixed income relative value strategy, was marginally positive at 0.8 per cent, which brought its year-to-date return to more than 11 per cent.

On the downside, systematic trend follower Florin Court lost 3 per cent last month. As safe haven assets struggled, with both the US dollar and gold prices falling, and oil and metals recovering, Florin Court’s bets in power, rates and equities came unstuck, sending the systematic trend following strategy down some 3 per cent for the month. The fund is now 3.9 per cent in the red year-to-date.

Machine learning strategy Lynx Constellation dropped 0.5 per cent in November, and has lost 3.1 per cent in the last 11 months.