Saemor’s European Alpha Fund is a quantitative equity market neutral hedge fund with a beta of -0.2 to +0.2 and volatility of 8 to 10%. The fund has returned almost 10% net annualised for the past five years with zero correlation to equity markets and low correlation to other hedge funds. Since revamping the funds’ strategy to “90% quantitative” by the end of 2009, Saemor has never had a negative year, and raised attention with a stellar 2011 performance of 17.8% (when most hedge funds struggled). YTD (September 2014), the fund is up 18.5%.
Supported by a team of 18, Saemor is led by Sven Bouman who was previously Head of Equities at Aegon. Jointly with CIO Sven Bakker, previously Head Quantitative Strategies of PGGM, he is responsible for portfolio positioning, quantitative investment processes and risk management. Aegon seeded the fund with EUR 400m in total.
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In this Opalesque.TV BACKSTAGE interview, Sven Bouman speaks about Saemor’s principles and how they are different from other quantitative funds:
- Adaptive factor model based on both academia and experience
- Blending quantitative rigor with fundamental insights
- Using the power of quantitative models, but only where effective
- Ability to make money on the short side
- Full transparency and full disclosure of models
After graduating in 1993, Sven served in the Dutch army as a tank commander. In 1995 he started at ING Investment Management as a portfolio manager and he became responsible for the Emerging European Equities product in 1997. In January 2000 Sven joined AEGON Asset Management as a Japanese equities manager. He subsequently also managed the Australian and Indian equities portfolios as well as the global ESG fund. In 2005 he became head of Equities at AEGON Asset Management NL, being responsible for AEGON’s range of global and regional equity funds. He and his team received several fund awards, including best overall Equity Manager in 2006 by Lipper and in 2008 by FD Morningstar. In 2012 Saemor won three awards for being the best market-neutral manager worldwide.
Sven holds an MSc degree in Economics from the University of Amsterdam. He is a Certified EFFAS Financial Analyst (CEFA) and is registered with the Dutch Securities Institute (DSI). His academic work in the American Economic Review won the ‘Award for Top Academic Article 2003’, honoured by the Rotterdam Erasmus Research Institute of Management.