Brummer Multi-Strategy ends August in red, as flagship adds financials-focused long/short hedge fund

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Brummer Multi-Strategy ends August in red, as flagship adds financials-focused long/short hedge fund

Negative performance

Brummer & Partners’ flagship multi-strategy vehicle slipped into the red during August, with all but two of its underlying managers posting losses during the month. The slide comes as the Stockholm-based fund began allocating capital to Kersley Financials, a new financials-focused long/short equity strategy, on 1 September.

Overall, Brummer Multi-Strategy fell 1.1 per cent last month, a loss which dragged down its year-to-date performance to -0.9 per cent. The twice-levered Brummer Multi-Strategy 2xL version meanwhile gave back 2.4 per cent in August, leaving it down 2.4 per cent overall since the start of 2021.

Long/short equity funds Black-and-White and Manticore proved the biggest detractors last month. With equities recording fresh highs in August, coupled with strong corporate earnings, the Food & Drug Administration’s approval of the Pfizer vaccine, and Jay Powell’s dovish comments from at Jackson Hole helped boost markets, long alpha proved particularly challenging, Brummer said in an update. Black-and-White tumbled 3.8 per cent in August, and has now plummeted more than 17 per cent since the start of the year, while Manticore shipped 2.5 per cent last month, though remains some 0.5 per cent in the black.

Lynx, the systematic trend-follower, lost 2.1 per cent as gains in equities and currencies were outweighed by losses from long oil and long bond positioning, which were struck as oil market rebounds disrupted price trends.

Florin Court, another quantitative managed futures strategy, fared better, advancing 3.1 per cent in August on the back of correct positioning in power, equities and credit, which helped drive year-to-date returns to 14 per cent.

The only other strategy which ended August in positive territory was discretionary macro manager Arete, which was up 1.7 per cent for the month, and 8.7 per cent for the year, after navigating the  month’s volatility and taking profits from equity bets.

Systematic equity manager AlphaCrest lost 1.2 per cent last month, but has stayed positive on a year-to-date basis to the tune of 4.3 per cent. Frost, a fixed income relative value strategy, and machine learning hedge fund Lynx Constellation both fell 1.4 per cent in August, but while Frost has returned 1.3 per cent overall in 2021, Lynx Constellation has tumbled more than 10 per cent in the eight-month period since the start of January. 

Brummer Multi-Strategy also started allocating capital to Kersley Financials, a new financials-focused long/short equity strategy, with an initial pledge of 6 per cent. Portfolio managers Patrik Brummer and Mikael Spångberg decreased their allocation to Black-and-White and Manticore, making minor adjustments to the rest of the portfolio.

The adjustment comes after Brummer withdrew capital from trading-oriented long/short corporate credit-focused hedge fund Observatory, one of the underlying funds in the BMS flagship earlier in the summer.

The vehicle, which was established in 1996, is also set to add another sector-specialist long/short equity fund later in the autumn.