The Saemor Europe Alpha Fund increased its year to date returns to 1.5 percent through a gain of 3.0 percent return in March. Saemor points this to the fact that gains were broad-based. Defensive positioning was effectively compatible with the risk-off environment.
Reports on Performance
Saemor reports that Earnings Momentum, Profitability, and Stability held great promise in return spreads. Their key underweight however, Cyclical Value, did not perform up to standard. Saemor states that factor clusters wherein they had increased weight enjoyed excellent performance. This was achieved through their slowdown stance since mid-February.
“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,” wrote Saemor.