The Saemor Europe Alpha Fund rose 1.2 per cent in value in June, with performance driven largely by positioning in the utilities, materials and technology sector.
Saemor’s long book posted a relative outperformance whilst the short book performed in line with the market.
The fund’s quantitative stock selection model performed well, with the best returns coming from defensive value factors (e.g. dividend, earnings and cash flow yield).
In general it was a very good month for most value factors, which came to the fore on the back of June’s increased risk appetite.
Short-term price reversion was also strongly evident whereas price momentum metrics suffered.
Earnings momentum, the fund’s preferred style year-to-date, was relatively unaffected by June’s increased risk appetite.
All profitability and growth factors ended up negative for the month.
