The Saemor Europe Alpha Fund is a market-neutral long/short equity fund. The Fund is highly diversified, typically holds over 250 positions and primarily invests in liquid equities and equity-related securities in Europe.
Investment Philosophy
We believe that markets are structurally inefficient and provide opportunities for well-founded, disciplined and balanced investment strategies. The Fund is focused on exploiting anomalies that can deliver attractive returns. Quantitative alpha strategies constitute the backbone of this investment approach.
Investment Objective
The Saemor Europe Alpha Fund aims to generate attractive consistent annual returns irrespective of financial market conditions, while keeping volatility at around 8-10%, with gross exposure adjusted accordingly.
Investment Strategy
The investment strategy is based upon a dynamic multifactor stock selection model which ranks stocks in our universe across four quadrants: valuation, momentum, profitability & growth, and quality. The Fund can take both long and short positions. The Fund is run with low beta-adjusted net exposure, and will be predominantly market-neutral over time.
Risk Management
Portfolio risk management is an integrated and central part of the investment process. The portfolio construction follows a strict framework with restrictions on VaR, beta, leverage and liquidity. Stock, sector, country and market cap exposures are tightly controlled. We implement holding restrictions for stocks that are exposed to M&A, litigation risk, political risk, or other conditions that might be overlooked by a quantitative model. Companies that represent high risk in terms of integrity of their data or management are eliminated from our investable universe. The Fund operates a stop-loss policy. We use various risk models to fully understand the nature of the portfolio exposures and manage them accordingly.
Legal Structure
The Fund is an open-ended investment fund authorised and registered by the Netherlands Auhtority for the Financial Markets (AFM).