Saemor Capital’s Europe Alpha Fund finished August on a positive tone registering a gain of 0.4 per cent.
Consumer discretionary and automobiles were the biggest contributors to the fund’s returns, while Saemor’s net short position in banks hurt the performance.
A long position in AXA was the biggest stock contributor while a short in Credit Agricole was detrimental to performance.
The risk rally started in the beginning of August, but partly reversed in the latter part of the month. Saemor’s quantitative model posted modest gains in this environment. Valuation strategies were profitable with earnings and book yield among the best performing strategies.
The “risk on” trade was also evidenced by some outperformance of low quality stocks. Companies with high earnings estimate dispersion fared well. The fall in the equity risk premium so far has also benefited less profitable companies.
Meanwhile, momentum was shunned. Price momentum and earnings momentum were the two bottom performing factors in Saemor’s model.
