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Quarter	Letter Date	Fund Name	QTD	YTD	Tickers	Themes	Quick Take

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Bramshill Income Performance Fund 2023 Q2 Investor Letter | Buyside Digest

Back to Fund Profile (Bramshill Income Performance Fund)

Primary Source Intelligence • Q2 2023 Letter Analysis

Bramshill Income Performance Fund Quarterly Analysis

Buyside Digest is not affiliated with, and does not endorse, Bramshill Income Performance Fund. This analysis is provided for institutional research purposes only and is not investment advice.

Fund Returns

Annualized+2.65%

Positioning StanceConstructive

GeographyUS

Digest Analysis

Quick Take

"Office CRE faces structural decline from remote work and higher rates, with vacancy at 12.8% and strategic defaults rising. Regional banks have 6x more office exposure than large banks, creating credit stress."

Executive Summary

Bramshill Investments analyzes the stressed office commercial real estate sector, which represents 24% of the $10.9 trillion US CRE market. Office properties face structural challenges from remote work adoption, with vacancy rates reaching 12.8% and showing no signs of returning to pre-COVID levels. Regional banks have disproportionate exposure to office CRE at 3.0% of assets versus 0.5% for top 25 banks, creating credit stress. Rising mortgage rates from Fed tightening have made refinancing difficult, with the 10-year Treasury averaging 3.62% in H1 2023 versus 2.31% from 2013-2019. Strategic defaults are increasing, exemplified by 600 California Street and PIMCO's Columbia Property Trust. The firm expects property values to decline 25-47% to reach new equilibrium. Investment strategy focuses on avoiding office exposure while targeting multifamily CRE and preparing for opportunistic investments in distressed CMBS securities offering high single to mid-teens returns once fundamentals bottom out.

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Institutional Meta Strategy

Meta Strategy Gauges

Algorithmic conviction, macroeconomic posture, and risk appetite signals extracted from this quarterly letter with qualitative explanations.

Signal Matrix

Market Conviction

65%

CautiousHigh

Moderate (65%)

The manager demonstrates moderate-high conviction through clear sector avoidance (office CRE), specific positioning (multifamily focus), and detailed fundamental analysis. They provide concrete examples of defaults and specific return targets (high single to mid-teens), though no individual securities are named or sized.

Growth Outlook

25%

BearishBullish

Bearish (25%)

The manager expresses cautious to negative views on office CRE markets, describing significant stress, deteriorating fundamentals, and expecting further declines. However, they see this as creating future opportunities in securitized products.

Risk Appetite

38%

DefensiveAggressive

Defensive (38%)

The firm is positioned defensively, remaining selective and avoiding office CRE exposure while focusing on safer multifamily properties. They are reducing risk in the near term while preparing for future opportunities.

Capital Deployment

40%

De-riskingDeploying

Net Neutral (40%)

The firm is in a cautious deployment mode, actively avoiding certain sectors (office CRE) while maintaining selective positioning in multifamily. They are preserving capital for future opportunities rather than aggressively deploying.

Forward Guidance

0%

CautiousExpansionary

Cautious (0%)

The manager takes a wait-and-see approach, explicitly avoiding office exposure while monitoring for opportunities. They are not rushing to deploy capital but preparing for future distressed opportunities once fundamentals bottom out.

Language Signal

38%

BearishBullish

Balanced (38%)

Language is dominated by risk-focused terms like stress, deteriorating, defaults, impaired, and strategic defaults, but balanced with opportunity language around future distressed investing and attractive valuations.

Perceived Risk

75%

Low RiskElevated

Elevated Risk (75%)

The manager identifies significant systemic risks including regional bank credit stress, a wall of CRE maturities facing refinancing challenges, and structural changes to office demand. Multiple specific risk scenarios are discussed in detail with concrete examples.

Opportunity Density

60%

ScarceAbundant

Selective (60%)

The manager sees selective opportunities in multifamily CRE currently and anticipates broader opportunities in distressed CMBS securities once fundamentals deteriorate further. The opportunity set is characterized as requiring selectivity and patience.

Time Horizon

70%

Short-TermLong-Term

Decade+ (70%)

The manager takes a multi-year view, expecting office fundamentals to not return to pre-COVID levels for at least a generation. They are positioned for opportunities that will emerge over the next few years as the CRE cycle plays out.