Multi-strategy hedge fund Brummer navigates equities and energy upheaval

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Swedish asset manager Brummer & Partners’ flagship multi-strategy hedge fund vehicle edged into positive territory in September, as stock market highs earlier in the month rapidly reversed amid renewed volatility, and commodity prices surged higher.

The Brummer Multi-Strategy (BMS) vehicle – which comprises nine hedge fund strategies spanning equity, macro, trend-following and more - saw its SEK-denominated share class rise 0.5 per cent last month, and 0.4 per cent in its USD class. However, on a year-to-date basis the fund is still down 0.4 per cent following losses earlier in the year.

Meanwhile, the BMS 2xL twice-levered version was up 0.8 per cent (SEK) and 0.9 per cent (USD) in September, but remains in the red to the tune of 1.6 per cent since the start of 2021.

As oil, electricity and gas prices soared, systematic trend-following strategy Florin Court was the best performer, generating an 8.1 per cent monthly return from correct calls in energy, commodities and fixed income markets. The advance brings Florin Court’s year-to-date gain to more than 23 per cent.

Meanwhile, Lynx, another managed futures quant fund, rose 1.1 per cent, helped by commodities and FX positions, with the fund now up 1.4 per cent YTD.

Amid supply chain disruptions and rising consumer price inflation, the strong equity market gains earlier in the month – which saw the S&P500 and Nasdaq reach all-time highs – receded, with the indices ending September down 4.7 per cent and 5.3 per cent respectively.

Against that backdrop, long/short equity manager Manticore navigated the month’s volatility well, Brummer said, adding 1.2 per cent thanks to successful bets across its long and short book. Manticore is now up 1.7 per cent over the nine-month period in 2021.

On the downside, tech-focused long/short equity hedge fund Black-and-White slipped 1.8 per cent last month thanks to losses in longs and shorts, and has fallen a hefty 18.7 per cent so far this year. Meanwhile, Kersley – a newly-added financials-focused long/short equity name to the BMS vehicle – rose 0.3 per cent last month.

Elsewhere, macro strategy Arete tumbled 1.8 per cent as a result of losses in equity markets, but it remains up 6.8 per cent in 2021. Quantitative equity manager AlphaCrest posted alpha losses, with the fund down 2.1 per cent for the month, but up 2.1 per cent YTD.

Fixed income relative value strategy Frost dipped 0.9 per cent, but stays in the black year-to-date by some 0.3 per cent, while Lynx Constellation, a machine-learning hedge fund strategy, fell 7.4 per cent and has now lost more than 16 per cent year-to-date, according to a Brummer update this week.

BMS is set to redeem its entire investment in Black-and-White after Seth Wunder announced he is stepping down as CIO of the technology-focused manager.  Following the closure of Black-and-White – which has generated a return of 42 per cent since its start in 2016 – BMS has added two sector specialist long/short equity funds, Kersley and Pantechnicon.

The shuffle comes as the long-running Stockholm-based multi-strategy pioneer’s flagship recently unveiled a new leadership.

Deputy managing director and partner Markus Wiklund is named as managing director, and Kerim Celebi, currently head of research, becomes a portfolio manager for BMS, together with founder Patrik Brummer, with the addition of a new risk manager Andreas Ekenbäck. Portfolio manager Mikael Spångberg is leaving the firm.

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Hugh Leask
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