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Saemor Capital – Best Absolute Return Manager

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Saemor Capital is a specialist in quantitative investment management. With approximately USD575m in AUM, Saemor is the second largest hedge fund manager in The Netherlands and is AIFMD-regulated.

The Saemor Europe Alpha Fund has generated an 11 per cent return with 9 per cent volatility over the past 5 years, and was launched in 2008, when the firm was founded by Sven Bouman (pictured) and Patrick van de Laar with the backing of insurance company AEGON. The Fund follows an equity market neutral strategy and typically holds 225 positions. 

“Despite the increased volatility as a result of geopolitical events and the abrupt fall in the oil price, we have been able to generate strong returns for our investors. We are ardent believers that quantitative stock rating processes deliver robust results and limit behavioural biases that can hinder buy and sell decisions. Being effectively market neutral, with a zero percent Beta to market indices, our stock selection process thrived when other hedge fund strategies had difficult times in February and October last year”, explains Sven Bouman, CEO.

The strategy follows over 1,000 stocks on a daily basis, applying a multi-factor model to score and rank stocks. The model uses more than 60 predictive factors, divided into four distinct segments: Valuation, Momentum, Profitability & Growth and Quality. Factor weightings are first of all based on their long-term effectiveness, but the underpinnings should always be economic or behavioural.

“We try to avoid purely statistical factors to rank stocks. The long book is composed of companies which trade on relatively low valuations, are supported by positive stock price and earnings trends and have improving business fundamentals. Our short book has the opposite posture,” explains Bouman. 

Although still early days, there is evidence that a turn in the eurozone’s business cycle is building and with a weak euro, Europe is even getting more interesting for investors than the US. This could create good opportunities for identifying value stocks. Indeed, Bouman confirms that during December the fund reduced exposure in defensive stocks and increased the weighting to cyclicals and value stocks.

“Defensive stocks have been bid up in 2014, but with our multi-factor model approach we are still able to select a number of quality companies with good earnings momentum at reasonable valuations. Within European equity markets this currently leads us to healthcare, automobiles, media, IT and telecom stocks. Additionally we have long positions in a number of banks where we see the benefits of a lower interest rate environment finally kicking in.”

Investors are expected to turn more to market neutral strategies in 2015 as they look to add less directional strategies to their portfolio mix. One of the key attractions to doing this is that, even if the markets do experience a downturn, investors have the reassurance that they can still rely on sources of returns that are not dependent on market direction.

“Market movements have very limited impact on our results. In addition, Saemor has demonstrated limited correlation with other managers who manage market neutral strategies.  We believe that one of the greatest benefits that we offer to investors is our ability to enhance diversification,” says Bouman

On winning this year’s award, he adds: “Winning this award in 2012 was the start of new relationships with many investors. Winning it this year, after a year that was difficult for many hedge funds, is proof that it was not a one-off, and has renewed investor interest in Europe as well as the US.” 

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