For the last three years, Sabre Fund Management, one of London's most well established hedge fund managers, has been running a low net equity strategy in tandem with the market neutral Sabre Style Arbitrage Fund.
Launched in February 2013, Sabre Dynamic Equity Fund is a fully systematic equity long/short strategy with a variable bias.
"On average, markets go up. So by constraining a strategy to remain market neutral – as we do with our Style Arbitrage Fund – you will leave some of the available equity returns on the table. What appeals to investors about our Dynamic Equity Strategy is that by incorporating a core market neutral component, we can provide a defensive equity product – equity-style returns but with lower volatility,” explains Sabre's Managing Principal, Melissa Hill (pictured).
From February 2013 through January 2016, Sabre Dynamic Equity Fund has delivered an annualised Sharpe ratio of 1.58 with an annualised volatility of 9.6 per cent. "We've achieved compound annualised returns of 15.3 per cent, which is in line with our target range," says Hill.
What sets Sabre apart from other quantitative specialists operating in the market neutral space is that it is primarily Europe-focused; this applies to both the market neutral Sabre Style Arbitrage Fund and Sabre Dynamic Equity Fund.
"Ever since we've been running dynamic style rotation strategies in 2002, the alpha generated by our models has been stronger from the UK and Europe than it has been from the US. Although we utilise a universe of 1,300 stocks, of which 800 are European and 500 are US, in terms of the geographic attribution of the book, approximately 80 per cent is allocated to Europe/UK," confirms Hill.
Sabre Dynamic Equity Fund represents the latest evolution of Sabre, building on the highly successful track record in generating returns from the Style Arbitrage Fund. Sabre combines its original market neutral stock selection process with directional tilting, driven by risk sentiment. It also incorporates some new beta factors that improve the risk/return profile of the Fund. "It has been designed to profit in more market environments than a pure market neutral fund," says Hill
On winning this year's award, Hill says: "The Sabre team is thrilled to have won our first award for Dynamic Equity. It is a great recognition of our efforts to provide investors with an innovative strategy and excellent risk/adjusted returns.
