In Brief

We believe that markets are structurally inefficient and provide opportunities for well-founded, disciplined and balanced investment strategies. Value, Momentum and Quality have proven to be profitable equity strategies for nearly 100 years. At Saemor Capital, we focus on exploiting anomalies that can deliver attractive returns. A Quantitative alpha strategy constitutes the backbone of this investment approach.

  • Stocks that are cheap, show good profitability & growth, are trending up and beat earnings estimates, outperform their counterparts. This makes economic sense and has proven to be the case for decades.
  • Quantitative screening and ranking of stocks avoids behavioral biases and allows us to compare over 1000 stocks in one holistic approach
  • Value, Momentum and Quality factors tend to work well with a 3-4 month holding period, whereas more formulaic, machine type strategies lend themselves better to shorter time horizons
  • Qualitative overlays improve the results of quantitative models by avoiding pitfalls
  • Macro and market environments have a huge influence on style performance, adaptability is key
  • The right market neutral strategy enhances total portfolio diversification for end investors

Quantitative alpha strategy: a dynamic multifactor model

Dynamic Multifactor Model
Saemor employs a dynamic multifactor model for selecting European equities. This proprietary model provides a transparent and disciplined methodology to generate investment ideas. Stocks are continuously evaluated on the basis of risk and reward characteristics, aimed at uncovering pricing anomalies that have not yet been exploited by the market. ranks stocks in our universe across four quadrants: valuation, momentum, profitability & growth, and quality.

Complementary alpha drivers
Research shows that these alpha drivers are complementary (momentum outperforms when value struggles), and not mutually exclusive (though rare, undervalued growth companies do exist).

Proprietary model
The fund manager has developed the model over a 10-year period (partly at previous employers).

  • Valuation
  • fair value
  • defensive value
  • cyclical value
  • Momentum
  • price momentum
  • earnings momentum
  • reversal
  • Profitability & Growth
  • profitablity
  • growth
  • Quality
  • efficiency
  • improvement
  • stability

Unique features of our model

We designed the model to be adaptive to both the equity market and the macro environment: we know that in a recession other stocks are attractive than in a bull market. On a shorter term, tactical factor weights are in place as an overlay.

The tactical weights account for exogenous influences, such as macroeconomic conditions, and how factors are positioned in its life cycle. Factor weight will be increased or decreased according to the likelihood that the factor will continue or cease to perform in the foreseeable future. This is achieved by understanding and monitoring factors behavior within the pertaining economic environment.

Qualitative risk overlays
What makes us special is that we are equity investors by nature and that we blend quantitative rigour with qualitative insights.

This human angle comes in as we avoid or limit stocks where other things than our model drive performance, like M&A activity.