Netherlands-based Saemor Capital was established in 2008 with the backing of insurance company Aegon, where a number of Saemor’s team previously worked. Founder and chief executive Sven Bouman was head of equities at Aegon, while chief financial and operating officer Patrick van de Laar was head of derivatives and hedging.
The Saemor Europe Alpha Fund is a market neutral long/short equity strategy that focuses on European equities and equity-related securities. It currently manages USD650m of assets in the portfolio, which contains 250 positions, and limits each position size to a maximum of 3 per cent of the fund’s NAV.
Saemor uses a dynamic multi-factor model known as the Quadrant Model – the four quadrants comprise valuation, profitability and growth, momentum and quality. A selection of 1,000 stocks is ranked daily by the Quadrant Model using 50 different metrics, although the team uses qualitative judgement in tandem with the systematic model to maximise fund performance.
Last year, three of the four quadrants performed positively, according to investor relations manager Erwin de Kleijn (pictured): “In 2011 the fund enjoyed a 17.8 per cent return. When economic activity started to slow around May, the model began favouring highly profitable companies with stable earnings growth and continued earnings upgrades.” The fund was able to add value by emphasising quality and earnings momentum at the expense of valuation factors.
The multi-factor model is based on sound economic and behavioural rationale that is tested and analysed extensively. Enhancements are applied to different aspects of the model, so that rather being ‘pure value’ or ‘pure growth’, for example, the Quadrant Model can consider stocks as a mixture of the two styles, producing a more blended, nuanced approach.
Additionally, the strategy takes into account exogenous events, such as changing macroeconomic conditions, to apply a shorter-term tactical overlay in what Saemor describes as dynamisation.
“We employ a tailored approach for specific stocks and market segments, and changing macro-economic regimes,” says de Kleijn. “Of the approximately 1,000 stocks we rank every day, the top 20 per cent are long candidates, the bottom 20 per cent short candidates.
“As 2011 progressed and the euro crisis unfolded, we stuck with our preference for quality, such as health care, telecoms and utility stocks, and continued to be short financials and chemicals. Our preference for large caps over small caps also contributed to outperformance.”
The flexible approach of the Quadrant model enables it to adjust to prevailing macroeconomic and market conditions, and the investment team is always ready to fine-tune the model when necessary.
“We put a lot of effort into finding the best combination of factors for each sector, as return drivers differ among sectors,” de Kleijn says. “In our model we emphasise those aspects of stock selection where we believe a quantitative approach works best. Our portfolio is constantly tilted toward stocks that fit both our fundamental and behavioural stock selection criteria and our macroeconomic views.”
Unlike with pure quant funds, Saemor’s portfolio management team have a deep knowledge of the companies they are investing in. This knowledge is used as a risk overlay, according to de Kleijn, limiting the fund’s exposure to companies where M&A event risk is looming or litigation risk is an issue.
He adds: “Four years after launching the company, this award is more than just recognition of our views on equity investing. Saemor provides a high level of transparency on the portfolio and its returns, and is ready to take new professional investors on board.”
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