The Saemor Europe Alpha Fund was up 3.0 per cent in March, lifting the year-to-date returns to 1.5 per cent.
Saemor says gains were broad-based as its defensive positioning worked well in the risk-off environment.
“Factor clusters where we had added weight through our slowdown stance since mid-February performed well. Earnings Momentum, Profitability and Stability all showed attractive return spreads, while our key underweight in Cyclical Value fared poorly,” writes Saemor. “After an initial market correction in February, where high-risk stocks held up well, investors gradually started positioning themselves for more volatility, with Low versus High Beta the best performing style. Therefore, the overall net long position in high-quality names worked well. Our short book added the most in absolute and relative terms.”
