Key Takeaways
- • Brummer Multi-Strategy (BMS) will seed a new systematic macro strategy to be launched by Florin Court Capital LLP (FCC), which currently runs a trend-following strategy in alternative markets.
- • The new vehicle, the Florin Court Capital Systematic Macro Fund, focuses on non-trend, cross-sectional relationships across four sectors using both fundamental and technical models.
- • The models were developed by FCC's principals over decades and have been traded within the FCC Programme for several years.
- • BMS CIO Kerim Celebi says the strategy's risk-adjusted performance has been competitive with low correlation to BMS's existing strategies and other risk factors.
Summary
Brummer Multi-Strategy (BMS) is to seed a new systematic macro strategy to be launched by Florin Court Capital LLP (FCC), a manager that currently runs a trend-following strategy within alternative markets, according to Hedgeweek. The new vehicle, the Florin Court Capital Systematic Macro Fund, will target non-trend, cross-sectional relationships within alternative markets rather than following trends.
The strategy uses both fundamental and technical models across four sectors, seeking to capture returns from systematic relationships among assets. According to the article, the models were developed by FCC's principals over decades and have been traded within the FCC Programme for some years. FCC CIO Doug Greenig said the fund applies systematic models to alternative markets such as emerging market interest rates and diverse commodities, describing it as a unique investment programme with low correlations to virtually everything, including CTAs.
Kerim Celebi commented that BMS has full confidence in the FCC team and has been examining these models for some years. He said risk-adjusted performance has been competitive, in line with expectations, with low correlation to BMS's existing strategies as well as other risk factors. He described the approach as relatively unique and complementary in alternative markets, and said BMS believes it can generate competitive risk-adjusted returns across a wide range of market scenarios, further improving diversification within BMS.
The strategy uses both fundamental and technical models across four sectors, seeking to capture returns from systematic relationships among assets. According to the article, the models were developed by FCC's principals over decades and have been traded within the FCC Programme for some years. FCC CIO Doug Greenig said the fund applies systematic models to alternative markets such as emerging market interest rates and diverse commodities, describing it as a unique investment programme with low correlations to virtually everything, including CTAs.
Kerim Celebi commented that BMS has full confidence in the FCC team and has been examining these models for some years. He said risk-adjusted performance has been competitive, in line with expectations, with low correlation to BMS's existing strategies as well as other risk factors. He described the approach as relatively unique and complementary in alternative markets, and said BMS believes it can generate competitive risk-adjusted returns across a wide range of market scenarios, further improving diversification within BMS.
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