SAR Liquid Equity Alpha Strategy (LEAS)
SAR Liquid Equity Alpha Strategy (LEAS) is a highly active, quantitative long-only equity strategy, trading the most liquid stocks globally. The strategy has a successful, more than five-year track record. The portfolio is run fully systematic and exploits behavioral mean reversion patterns, a proven, genuine and persistent source of return. Trading occurs intra-day only and the portfolio is 100% in cash at the end of the day with no overnight exposure. LEAS is a true equity Alpha and absolute return strategy with a long volatility profile and daily liquidity.
Risk/Return Profile (unleveraged version)
The strategy exhibits a conservative risk profile with expected volatility between 4 to 7% p.a. in the unleveraged version and significant expected return potential of between 6% and 18% p.a. based on past performances and dependent on market volatility.
- Offers a pure equity Alpha, long-only investment
- Provides daily liquidity and excellent transparency
- Has no overnight exposure (intraday) – reduced shock risks
- Generates profits in bull and bear markets as well as during up and down market days
Shows a long volatility profile (i.e. rising return during increased volatility)
- Provides a natural hedge – strategy works even better under market stress conditions
- Is truly uncorrelated with strong diversification potential
- The strategy is long only equities. It can therefore be placed into the global equity allocation of an asset allocation.
- As a managed account it is suitable for institutional investors looking for direct access to their assets, control and transparency with their own account at their preferred broker.
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