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Sabre Dynamic Equity UCITS Fund
PRIVATE AND CONFIDENTIAL ‐ ADDRESSEE ONLY
PRESENTATION November 2019
© Sabre Fund Management 2019 – Confidential Information
Sabre Fund Management: Key Team Members
2
Melissa HillMelissa is a Principal, Director
and the CEO of Sabre. She chairs the firm’s Board and
Management Committee. She is also a member of the Investment Committee which supervises the ongoing development of Sabre’s
funds.
Melissa has been leading Sabre’s business since 2006, when she
concluded a management buyout and restructuring of the firm. She
has previously held the management roles of COO 2002‐2005 and Marketing Director
2000‐2002,having originally been appointed to the Board in
March 2000.
Melissa entered the investment industry in 1996 on joining Sabre.
She was instrumental in the launch of Sabre’s first
quantitative strategy in 1997, being actively involved in the
implementation and global asset raising.
Dan JelicicDan is a Principal of Sabre and the architect of Sabre’s dynamic Style investment methodology. Dan leads Sabre’s research
programme
Dan joined Sabre in 2002 to manage the Sabre Style Arbitrage Fund, using a process he devised as a progression of his previous
investment experience.
Prior to Sabre, Dan managed money at ABM AMRO Asset
management where he worked from 1998‐2002. Before this, Dan spent two years at JP Morgan Investment Management, working on a number of quantitative and risk
management projects as well as providing bespoke research for
clients.
Dan has an MSc in Mathematical Trading and Finance and is a
qualified actuary.
.
Stephen ReesStephen is Senior Portfolio
Manager and Head of Investment Risk at Sabre. He chairs the firm’s Investment
Committee and is a director of Sabre’s Board.
Prior to joining Sabre in 2009, Stephen was Head of Investment Process research at Schroders.
He has also held the position of Head of Quantitative Investment
at both Baring Asset Management and Rothschild
Asset Management.
He began his career at BZW Investment Management (now integrated into Blackrock Group) where, in 1991, he developed
and managed one of the earliest UK equity funds to be run using
quantitative techniques.
Stephen has a Ph.D. in Mathematical Physics from
Cambridge University.
..
7 Investment professionals 7 Operational Professionals
Dan Jelicic & Stephen Rees both have 20+ years experience running Systematic Equity Funds
© Sabre Fund Management 2019 – Confidential Information
Sabre Fund Management
3
Boutique Hedge Fund Manager
Specialists in generating alpha from Style Factors
Award winning market neutral fund (Sabre Style Arbitrage) launched in 2002
Market neutral process Enhanced by directional components in 2013 with the launch of the Sabre Dynamic Equity Fund
Proven track record – targeting the highest quality risk adjusted returns
Established management and investment team
© Sabre Fund Management 2019 – Confidential Information
Overview Of The Sabre Dynamic Equity Strategy
4
A systematic equity long/short fund with a market neutral core
Market neutral alpha generating process enhanced with a variable net market bias
“Market Neutral +”
Targeting returns in the region of 10%-15% p.a. with < 10% annualised volatility and low beta (-0.3 to +0.3 target range)
Predominantly invested in large or upper mid cap European equities. Modest US market exposure too, to enhance Sharpe ratio
Low correlation with equity markets and long/short hedge fund indices (<0.3 long term target)
© Sabre Fund Management 2019 – Confidential Information
Sabre Dynamic Equity Returns Since Inception
5
Sabre Style ArbitrageFeb 2013 – Oct 2019
5.2%
6.8%
0.66
0.95
Sabre Dynamic Equity Feb 2013 –Oct 2019
7.2%7.9%0.81
1.33
Sabre Style Arbitrage: (Sabre’s original market neutral
process)
Sabre Dynamic Equity UCITS
(Market neutral process enhanced)HFRI, Equity HedgeFeb 2013 – Oct 2019
4.5%
6.1%
0.61
0.81
HFRI Equity Hedge Index:(Benchmark hedge fund index)
Stoxx 600Feb 2013 – Oct 2019
8.5%
11.1%
0.95
1.25
Stoxx 600:(Benchmark European equity index)
Compound Annual Return :
Annualised Volatility:
Annualised Sharpe Ratio:
Annualised Sortino Ratio
The above returns are net of fees charged to investors.Dynamic Equity returns from February to May 2013 were recorded in the legal entity Sabre Enhanced Fund Limited. Dynamic Equity returns from June 2013 were recorded in the legal entity Sabre Dynamic Equity Fund Limited.Actual performance attribution of Sabre Dynamic Equity (UCITS) fund from Nov 2014
© Sabre Fund Management 2019 – Confidential Information 6
• Only around 1/2 our return attributable to broadly
researched ‘conventional’ Style factors.
• ~50% attributable to Sabre idiosyncratic factors.
Key Differentiators from our Peers in Factor Investing
Proprietary FactorsProprietary Factors
• Unique factors to tradecompany announcements of
earnings, revenues & corporate guidance.
• From data captured and quantified by Sabre over 15 years giving us a significant edge (~30% of performance
attribution)
• Unique factors to tradecompany announcements of
earnings, revenues & corporate guidance.
• From data captured and quantified by Sabre over 15 years giving us a significant edge (~30% of performance
attribution)
‘Information Advantage’‘Information Advantage’
• Innovative integration of statistical arbitrage trading
models with factor investing.
• Extra low correlation source of alpha & Risk
Management benefits in managing drawdowns in factor reversal/inflection
periods.
• Innovative integration of statistical arbitrage trading
models with factor investing.
• Extra low correlation source of alpha & Risk
Management benefits in managing drawdowns in factor reversal/inflection
periods.
Statistical ArbitrageStatistical Arbitrage
+=
• Incorporation of risk controlled net-market
exposure, effectively treating the equity market and beta
as additional sources of factor premia.
• Incorporation of risk controlled net-market
exposure, effectively treating the equity market and beta
as additional sources of factor premia.
Market Neutral +Market Neutral +
• Dynamic allocation to factors based on factor-trend
identification
• Dynamic Net Variable Bias
• Higher frequency tradingfrom proprietary factors
• Capacity constrained high alpha
• Dynamic allocation to factors based on factor-trend
identification
• Dynamic Net Variable Bias
• Higher frequency tradingfrom proprietary factors
• Capacity constrained high alpha
Dynamic ProcessDynamic Process
• Primarily European Process
• Most factor funds are US or Global in nature
• Primarily European Process
• Most factor funds are US or Global in nature
EuropeanEuropean
© Sabre Fund Management 2019 – Confidential Information
Sabre Dynamic Equity : The Process
7
Over 40 long/short Style Factor indices
Fundamental & behavioural factors
Proprietary factors
Dynamic Style factor allocation
Market neutral multi factor portfolio
Over 40 long/short Style Factor indices
Fundamental & behavioural factors
Proprietary factors
Dynamic Style factor allocation
Market neutral multi factor portfolio
Variable net market exposure by gearing of long book relative to the short
Treats ‘the market’ as an additional factor to capture long-term equity risk premium
Also magnifies long-book alpha which is higher than short
Net exposure determined by riskiness of the market, measured by factors such as long book volatility, VIX, gold price & sentiment/macro risk indices
Potential for net short position in extreme risk environment
Variable net market exposure by gearing of long book relative to the short
Treats ‘the market’ as an additional factor to capture long-term equity risk premium
Also magnifies long-book alpha which is higher than short
Net exposure determined by riskiness of the market, measured by factors such as long book volatility, VIX, gold price & sentiment/macro risk indices
Potential for net short position in extreme risk environment
Low volatility (low beta) stocks tend to outperform high beta ones, when risk adjusted.
Proprietary formulation of beta factors
Long book tilted towards low beta, short book towards high beta
Requires additional net directionality in the portfolio but without increasing net beta.
Dynamic Allocation
Low volatility (low beta) stocks tend to outperform high beta ones, when risk adjusted.
Proprietary formulation of beta factors
Long book tilted towards low beta, short book towards high beta
Requires additional net directionality in the portfolio but without increasing net beta.
Dynamic Allocation
Stock Selection Variable BiasBeta Arbitrage
Sabre’s award winning market neutral
processenhanced by
directional and beta tilting.
Market Neutral Core Directional Elements
© Sabre Fund Management 2019 – Confidential Information
Performance Attribution from the three principal return drivers
8
% average contribution to total returns
Return Decomposition by Calendar Year
Source: Sabre Fund Management Limited
Actual performance attribution of Sabre Dynamic Equity (Cayman) fund from Feb
2013 to Oct 2014. Actual performance attribution of Sabre Dynamic Equity
(UCITS) fund from Nov 2014.
Pro forma attribution for variable bias and beta arbitrage from 2002 to Jan 2013.
Stock selection attribution extracted from Sabre Style Arbitrage Fund Limited,.
© Sabre Fund Management 2019 – Confidential Information 9
Source: Sabre Fund Management Limited
Variable Bias: History of Net Exposure
Net Bias varies dynamically with changing risk landscape Modest Bias averaging just 22% since inception Long Bias can be beneficial, even in falling markets due to very strong long book alpha Pro-forma shows bias would have gone net short in very volatile past periods (e.g. 2008,2011)
© Sabre Fund Management 2019 – Confidential Information 10
Style Factors for Stock Selection
+
Size:Sensitivity of stock returns to company market cap
+
Helps manage Style Inflection Points
‘Conventional’ factors
Value, Quality & GrowthFundamental Styles measuring key p/l account and balance sheet metrics
Earnings Momentum:Measuring Consensus Analyst Revisions to forecast earnings
Momentum:Measuring the ‘Herd Effect’ in Investor behaviour
Macro Economic:Sensitivity of stock prices to macro parameters
40+ Factors across 9 different Styles40+ Factors across 9 different Styles
Helps manage Style Inflection Points
Technical factors capturing tendency of groups of stocks to ‘revert to mean’
Different frequencies & groups (e.g. Sectors, correlated pairs)
Generally uncorrelated source of alpha to most style factors
Important in dynamic style allocation to help prevent over emphasis on trending styles
Sabre ‘Reversal’ factors Sabre ‘Information Advantage’ factors
Focus on Earnings, Revenues & Company Guidance
Announcements captured over many years for every stock in our universe to build rich, proprietary , time stamped database
Enabled Sabre to build proprietary models to quantify and react to company announcements in optimal way
Gives significant advantage over peers
Most significant source of Performance Attribution over 12 years
Size:How markets are rewarding Market Cap exposure
Suite of proprietary ‘Statistical Arbitrage’ type factors
© Sabre Fund Management 2019 – Confidential Information
Why Dynamic Style Allocation?
To be clear: We are not predicting Style regimes – or the economic cycle
Style regimes tend to display ‘persistence’ :- lasting long enough to ‘trend follow’
Sabre’s process detects factor trends and tilts the portfolio accordingly
Style factor returns vary through time for a variety of reasons
E.g., investor behavioural biases, the risk landscape and the economic cycle
11
Schematic of typical Style regimes through an economic Cycle Sabre’s dynamic factor trend following process
© Sabre Fund Management 2019 – Confidential Information 12
Volume, liquidity & size constraints
Maximum position size of 3% NAV
Risk Target: 9%-10%
Gross Leverage : 200% to 500%
Beta adjusted Net : -30% to +30%
Approximately 300 to 400 stocks per side
Limited exposure to each factor country & sector
Risk Management
Quantitative: Risk management
Quantitative: Risk management
Qualitative:Risk Management
Qualitative:Risk Management
Checking of daily and intraday data updates and model outputs
Flexibility to tailor trade sizes to account for intra-day news, borrowing costs, etc. within model tracking error constraints
Checking for ‘event risk’ i.e. extreme stock specific issues not covered by models
Weekly Risk meetings with Head of Risk & CEO
Net Leverage : -30% to +60%
Rare discretionary leverage reduction by consensus of risk panelBespoke Risk attribution and
forecasting model
Extraordinary meetings of Risk Panel (Head of Risk, CEO & portfolio managers) to discuss perceived macro risks
© Sabre Fund Management 2019 – Confidential Information
Sabre Dynamic Equity Layers of Added Value
13
Statistical Arbitrage Trading
Dynamic factor Allocation
Style Factors, Long/ Short Indices
Information Advantage
Factors
Dynamic Variable Net Bias
Dynamic multi layered process
Gre
ater
Alp
ha,
Gre
ater
Skill
,
G
reat
er A
dded
Val
ue
Beta Arbitrage
© Sabre Fund Management 2019 – Confidential Information
ADDITIONAL INFORMATION – FUND / COMPANY
14
© Sabre Fund Management 2019 – Confidential Information 15
Fund Terms
Share Class ISIN Management Fee
PerformanceFee
Hurdle Rate
Minimum Investment
Share Class
Closure
B - Founders Class LU1366216296 0.90% 20% × €100,00028th
February 2017
C – Ordinary Class LU1366216452 1.65% 20% × €100 ×
© Sabre Fund Management 2019 – Confidential Information 16
Sabre Dynamic Equity UCITS Returns Since Inception
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2014 0.18 1.96 2.14
2015 2.34 1.12 1.67 (1.24) 3.29 2.12 4.32 (0.96) (0.80) 2.59 2.42 2.53 21.10
2016 (3.14) (3.70) (0.23) (1.72) 3.99 (2.75) 2.73 (0.44) 2.21 (0.26) (1.12) (0.39) (5.03)*
2017 2.79 0.62 1.42 1.48 (0.36) (0.24) 0.85 2.02 0.29 2.08 1.76 0.33 13.80
2018 1.46 (0.23) (0.51) 0.91 (1.08) (2.51) 0.94 0.40 (1.06) (4.79) (2.77) (2.44) (11.25)
2019 5.44 3.18 0.69 (2.51) 1.55 1.83 0.02 0.37 (1.6) (5.08) 3.56
Year 2013 2014 2015 2016 2017 2018 2019
18.35 12.08 19.72 (0.83) 13.74 (9.03) (e) (3.59)
Sabre Dynamic Equity (offshore) Returns Since Inception
The above returns are net of fees charged to investors.
The above returns are net of fees charged to investors.
Sabre Dynamic Equity (UCITS) and Sabre Dynamic Equity (Offshore) are run pari-passu and have identical gross trading p/l’sNet performance differences between the two funds can occur due to different fee structures, liquidity terms, NAV pricing datesand other operational considerations. Over time, we would expect similar cumulative performances from the two funds.
* The majority of the net performance differential between the two funds during 2016 was due to costs involved in porting the UCITS fund from its original platform to the Advenis Investment Management platform.
© Sabre Fund Management 2019 – Confidential Information
Contact details
17
email: client.relations@sabrefund.com
46-48 Grosvenor Gardens
London
SW1W 0EB
Tel: +44 (0)20 7592 7870
Fax: +44 (0)20 7592 7880
www.sabrefund.com
© Sabre Fund Management 2019 – Confidential Information
AWARDS RECEIVED BY SABRE FUNDS
18
© Sabre Fund Management 2019 – Confidential Information
Disclaimer
19
This presentation has been prepared by Sabre Fund Management Limited (the “Investment Manager”), which is authorised and regulated by the UK Financial Conduct Authority (“FCA”), firm registration number 114233 and registered with the Securities and Exchange Commission in the USA,. This document is intended for Professional Clients and eligible Counterparties only. Sabre are not permitted to deal directly with Retail Clients. The content is confidential, is intended only for the person to whom it has been provided and under no circumstance may a copy be shown, copied, transmitted, or otherwise given to any person other than the authorized recipient without the prior written consent of the Investment Manager). Notwithstanding anything to the contrary herein, each recipient to this presentation (and each employee, representative, or recipient) may disclose to any and all persons, without limitation of any kind, the tax treatment and tax structure of: the Sabre Dynamic Equity UCITS (the “Fund”) and (ii) any of their transactions, and all materials of any kind (including opinions or other tax analyses) relating to such tax treatment and tax structure. The distribution of the information contained herein in certain jurisdictions may be restricted, and, accordingly, it is the responsibility of any prospective investor to satisfy itself as to compliance with relevant laws and regulations.
The information contained herein is preliminary, is provided for discussion purposes only, is only a summary of key information, is not complete, and does not contain certain material information about the Fund, including important conflicts disclosures and risk factors associated with an investment in the Fund, and is subject to change without notice. Unless otherwise indicated, the information contained herein is believed to be accurate as of the date on the front cover. No representation or warranty is made as to its continued accuracy after such date.This document is not intended to be, nor should it be construed or used as an offer to sell, or a solicitation of any offer to buy, interests or shares in the Fund. No offer or solicitation may be made prior to the delivery of a definitive private placement memorandum (the "Memorandum") which will contain additional information about the Fund, including disclosures relating to risk factors and conflicts of interest. Performance data represents past performance. Current performance may be higher or lower than the performance data presented. The information contained herein does not take into account the particular investment objectives or financial circumstances of any specific person who may receive it and may not be considered to be a personal recommendation. In the event of any discrepancies between the information contained herein and the Memorandum, the Memorandum will prevail. The information herein is not intended to provide, and should not be relied upon for, accounting, legal or tax advice or investment recommendations. You should make an independent investigation of the investment described herein, including consulting your tax, legal, accounting or other advisors about the matters discussed herein.
An investment in the Fund may not be suitable for all investors. An investment in the Fund will be suitable only for certain financially sophisticated investors who meet certain eligibility requirements, have no need for immediate liquidity in their investment, and can bear the risk of an investment in the Fund for an extended period of time. Investing in financial markets involves a substantial degree of risk. There can be no assurance that the investment objectives described herein will be achieved. Investment losses may occur, and investors could lose some or all of their investment. No guarantee or representation is made that the Fund’s investment program, including, without limitation, the investment objectives, diversification strategies, or risk monitoring goals, will be successful, and investment results may vary substantially over time. Investment losses may occur from time to time. Nothing herein is intended to imply that the Fund's investment methodologies may be considered "conservative", "safe", "risk free" or "risk averse". Economic, market and other conditions could also cause the Fund to alter the investment objectives, guidelines, and restrictions. Certain information contained in this document constitutes "forward-looking statements," which can be identified by the use of forward-looking terminology such as "may", "will", "should", "expect", "anticipate", "target", "project", "estimate", "intend", "continue" or "believe" or the negatives thereof or other variations thereon or comparable terminology. Due to various risks and uncertainties, actual events or results or the actual performance of the Fund may differ materially from those reflected or contemplated in such forward-looking statements.
The Investment Manager believes that the information contained in this material to be reliable but does not warrant its accuracy or completeness. The estimates, investment strategies, and views expressed in this document are based upon past or current market conditions and/or data and information provided by unaffiliated third parties (which has not been independently verified) and is subject to change without notice. Target returns presented herein are solely for the purpose of providing insight into the Fund’s' investment objectives, detailing the Fund’s anticipated risk and reward characteristics in order to facilitate comparisons with other investments and for establishing a benchmark for future evaluation of the Fund’s performance. Such target returns presented are not a prediction, projection or guarantee of future Funds performance. The target is based upon assumptions regarding future events and situations that may prove not to be accurate or not materialize. Accordingly, the Fund’s target return should not be used as a primary basis for an investor's decision to invest in the Fund.
Equity funds may decline in value due to both real and perceived general market, economic and industry conditions. Investment in securities of smaller and mid-capitalization companies tend to be more volatile and less liquid than securities of larger companies. Investing in foreign denominated and/or domiciled securities may involve heightened risk due to currency fluctuations, and economic and political risks. Entering into short sales includes the potential for loss of more money than the actual cost of the investment, and the risk that the third party to the short sale may fail to honor its contract terms, causing a loss to the portfolio.
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