The Saemor Europe Alpha Fund produced a return of 2.4 per cent in March, according to figures released by Saemor.
Average return over the past three years now stands at 7.5 per cent (annualised).
Performance of the fund was relatively strong in March, with only seven down days for the month. The drivers included short positions in Vopak and Italian banks such as UniCredit and UBI, and long positions in Persimmon and Thales. This was countered by a number of performance bleeders which included short positions in Asos, Serco and Capita and long positions in Rio Tinto and Gas Natural.
In contrast to the market direction in March, investors remained risk averse and leadership was dominated by defensives while small caps, high beta and cyclical stocks underperformed. March saw a continuation of rotation into safety. Nearly everything among Saemor’s profitability & growth and quality factors posted positive returns.
Low price volatility was the best performing factor. Earnings revision and long-term price momentum strategies also produced good results. The latter indicates that the market is trend-driven right now. In contrast, valuation strategies lost ground with the exception of free cash flow yield and dividend yield.
“In line with our positive strategy outlook written in January, we had a solid March,” says a statement from Saemor. “During the earnings season, earnings surprises were rewarded by investors and vice versa. This may bode well for stockpicking strategies like ours.”