AwardBarclayHedge 2011 Equity L/S - Europe no.2

17.8% return in Saemor Capital Europe Alpha Fund 

Strong quant model performance
The Fund outperformed against its peers in 2011, with the broad HFRX hedge fund index returning -8.9%, the HFRX Equity Market Neutral index returning -2.9%, and the MSCI Europe index at -10.9%. 

While the quant-driven Fund benefitted from a good year for quantitative equity models, Saemor Capital’s Founder and CEO Sven Bouman believes that the combination of a well-defined quant model and dynamic investment approach led to performance-enhancing investment decisions throughout 2011. 

Bouman: ‘Most of the factors we apply for stock selection ended the year in positive territory. We look at roughly 50 factors in 4 quadrants: valuation, momentum, profitability & growth and quality. Three out of four quadrants performed well the past year.’ 

An adaptive model
Saemor Capital’s stock selection model has a flexible approach toward prevailing macro-economic and market environments, allowing fund managers are to make adaptive fine-tuning decisions.
When economic activity started to slow around May 2011, the dynamic factor model began to favour highly profitable companies with stable earnings growth and continued earnings upgrades – which were expected to become scarcer during the rest of the year. The Fund thus added value by emphasizing quality and earnings momentum at the expense of valuation factors.

Bouman: ‘As the year progressed and the Euro-crisis unfolded, we stuck with our preference for quality – e.g. Health Care, Telecom and Utility stocks – and continued to be short Financials and Chemicals. Our preference for Large Caps over Small Caps also contributed to the outperformance.’

Risk management
Contrary to pure quant funds, Saemor Capital portfolio managers are very knowledgeable of the companies in which they invest. They speak regularly with sector analysts and track events closely.

'We use this knowledge as a risk overlay,’ says Bouman, ‘limiting our exposure to companies where M&A event risk is looming or litigation risk is an issue.

‘This strong, persistent combination of quantitative processes with systematic human input gives us the edge that results in such outperformance as witnessed in 2011.’

Top-ranking fund manager

Saemor Capital currently holds a top 5 ranking within its various market-neutral peer groups. While the Fund has been in positive territory since September 2009, 2011 was the first year that the fund provided double digit returns. 

About Saemor Capital Saemor Capital B.V. is a specialist in quantitative investment management, focusing on absolute return generation. The company was founded in 2008 with the backing of insurance company AEGON as a cornerstone investor. The team consists of award-winning equity managers with vast experience in European equities. The company manages the Saemor Europe Alpha Fund. 

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