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Brummer & Partners Seeds New Strategy

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Stockholm (HedgeNordic) – In anticipation of higher volatility and more dispersion both within and between asset classes and countries, Brummer Multi-Strategy will seed a new systematic macro strategy launched by Brummer & Partners-backed alternative markets trend-follower Florin Court Capital (FCC). The new strategy, named Florin Court Capital Systematic Macro Fund, focuses on capturing non-trend, cross-sectional relationships within alternative markets.

“We have full confidence in the FCC team and are excited to invest in the systematic macro fund,” comments Kerim Celebi (pictured), portfolio manager at Brummer Multi-Strategy (BMS). The new strategy relies on both fundamental and technical models across four sectors to capitalize on systematic relationships among assets. The models have been developed by the team at Florin Court Capital (FCC) over decades, and have been traded within the FCC Programme for some years.

“We have full confidence in the FCC team and are excited to invest in the systematic macro fund.”

“We have been looking at these models for some years and risk-adjusted performance has, in line with our expectations, been competitive with low correlation to our existing strategies as well as other risk factors,” says Celebi. “It is a relatively unique and complementary approach in alternative markets,” he continues. “We believe that the programme has the potential to generate competitive risk-adjusted returns across a wide range of different market scenarios, and the addition will further improve diversification in BMS.”

Backed by Brummer & Partners, Florin Court launched its CTA programme in August 2015. The firm headed by CEO and CIO Douglas Greenig, who was chief risk officer at Man Group’s quant unit AHL from 2012 to 2014, predominantly employs trend-following and other systematic strategies on a broad range of alternative and exotic markets not commonly traded by traditional systematic macro and CTA programmes. The BMS share class of Florin Court has delivered an annualized return of 6.6 percent since its launch in early August of 2015 to achieve an inception-to-date Sharpe ratio of 1.09. Florin Court gained 27.8 percent in 2021 and edged up 0.8 percent in the first month of this year.

“It’s a unique investment programme with low correlations to virtually everything, including CTAs.”

“Our new fund applies systematic models to alternative markets, such as emerging market interest rates and diverse commodities,” says Doug Greenig, the CIO of FCC. “It’s a unique investment programme with low correlations to virtually everything, including CTAs.”

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Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

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