Saemor Capital’s Europe Alpha Fund finished July on a positive note with a gain of 0.7 per cent.
The performance was largely driven by the positioning in the consumer discretionary and energy sectors.
Stock selection results within industrials were weak. The stocks in Sameor’s short book lagged the market whilst the long book performed in line with the market.
Saemor’s quantitative model performed well with the best returns coming from price and earnings momentum factors. Stability factors also showed healthy gains; stocks with low estimates dispersion (the narrowest spread in forecast earnings) and low price volatility were popular. Other quality factors were mostly down. Profitability and growth factors ended up positive for the month.
Valuation strategies suffered somewhat as the spread between cheap and expensive names widened further.