Brummer Multi-Strategy ends first half flat, following June losses in trend and equity hedge funds

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Stockholm-based Brummer & Partners’ flagship multi-strategy hedge fund vehicle is flat for the first half of the year, after June brought trend reversals in currencies, bonds and gold, and sharp rotations across equities, leading to losses in several of its underlying funds.

The Brummer Multi-Strategy (BMS) vehicle’s SEK-denominated share class lost 1.2 per cent last month, while the twice-levered Brummer Multi-Strategy 2xL version finished June down 2.5 per cent. BMS is now essentially flat for the year, at 0.4 per cent, with the twice-levered strategy returning 0.3 per cent between January and June.

Machine learning strategy Lynx Constellation took a hefty 7.3 per cent June hit as a result of faulty FX and commodity positions, and is now down 9.5 per cent year-to-date. Trend-follower Lynx meanwhile lost 3.1 per cent last month, as trends in the US dollar, gold and bond prices were upended. However, Lynx remains up 1.1 per cent over the six-month period.

Meanwhile, the Federal Reserve’s recent hawkish tone on inflation led to a shift away from stocks benefitting from a reflationary environment towards growth names, which squeezed Brummers’ equity-focused positions.

Long/short equity manager Manticore fell 1.4 per cent and Black-and-White slipped 0.5 per cent in June. However, while Manticore remains up 4.3 per cent year-to-date, Black-and-White has collapsed more than 12 per cent since the start of 2021.

Similarly, systematic equity strategy Alphacrest has risen almost 8 per cent in the six months since the start of January, despite losing 3 per cent last month due to the rotations within and across equity sectors.

On the flipside, Florin Court scored a 1.8 per cent gain – the best overall performer in BMS for the month - which brought the quant trend-following manager’s year-to-date returns to more than 9 per cent, helping to stem H1 losses elsewhere. Discretionary macro hedge fund Arete also ended June in positive territory, generating some 0.5 per cent in both equity and FX positions. Arete’s year-to-date performance stands at 4.3 per cent.

Last month, the long-running Swedish multi-strategy hedge fund firm announced plans to withdraw its entire investment in long/short credit strategy Observatory, which was was essentially flat for the month, down 0.2 per cent in June and up 1.7 per cent YTD.

As a result of the Observatory redemption, BMS has increased its allocation to Black-and-White, Arete and Manticore. Brummer will also add two new sector-specialist equity long/short market neutral strategies to BMS later in the year.