Stockholm (HedgeNordic) – In mid-November 2022, Nils Brobacke launched Brobacke Global Allokering, a discretionary multi-asset global macro fund. Following mixed performance in the first half of 2023, the fund dipped into negative territory after losses in September and October. However, Brobacke Global Allokering advanced 11.5 percent in November and a further 2.3 percent so far in December to reclaim positive territory for the year. The recovery was fueled by a multitude of buy signals generated by Brobacke’s short-term models in early November.
Brobacke’s global macro strategy centers around predicting price movements in equity, currency, bond, and commodity markets, relying on market-related information such as price data, sentiment analysis, and capital flows. Influenced by the trend-following CTA space, Brobacke acknowledges the challenges faced in capturing trends so far in 2023. Following a risk-off period in September and October, triggered by the Israel-Palestine conflict and concerns over inflation and the ‘higher for longer’ narrative, Brobacke observed signs of a risk-on environment in November.
“Coming into November, we observed record short positioning in equities and bonds, a depressed sentiment at both retail and institutional level,” notes Brobacke. The U.S. dollar index, a gauge of the currency’s strength against a basket of six rivals and a key indicator of market sentiment, stopped rising in early October, suggesting a more risk-on tone to the market, according to Brobacke. “Emerging market currencies started going up,” he emphasizes. Seasonal patterns also suggested that the tides could be turning, as November has historically been the strongest month for stocks since 1950.
“All of these combined was a great backdrop for risk assets to rally in November.”
“All of these combined was a great backdrop for risk assets to rally in November,” summarizes Brobacke. “A lot of my short-term models were generating buy signals in early November and kept coming throughout the month.” The fund’s standout performers in November included the exposure to the crypto space from individual positions in Coinbase and MicroStrategy, and the VanEck Crypto and Blockchain Innovators UCITS ETF. Additionally, strong contributions came from small-cap exposure via the iShares Russell 2000 ETF, investments in uranium and gold, as well as various single-stock positions such as Uber and Chinese agriculture-focused online retailer PDD Holdings. “On the FX side, the long bet on the Swedish Krona has played out well.”
Brobacke expects higher volatility in the fund’s returns going forward as “trading a multi-asset strategy in a UCITS-regulated structure has changed the trading universe for me.” Compliance and liquidity issues with UCITS-structured ETFs have led Brobacke to shift toward using single stocks to express market views. After struggling with execution during the first half of the year, “I have the confidence that the strategy will deliver when execution is on par.”
