Our Focus

Our Focus

To trade highly active and very liquid investment strategies with outstanding performance and an exceptional level of transparency.
Our Ethics

Our Ethics

To commit ourselves and live up to high standards of ethics and compliance.
Our Motivation

Our Motivation

At SAR we are driven by passion and dedication; being patient and disciplined, we work harder than most to achieve greater success.
Our Culture

Our Culture

To consistently innovate and to advance the success of our investors and clients with the quality of our products and services.
Our Commitment

Our Commitment

To provide outstanding results and excellent added value with high quality, absolute return and Alpha generating investment solutions.
Our Vision

Our Vision

To be one of the leading investment boutiques for active investment strategies in the field of scientific, research-driven, model-based, quantitative portfolio management.
Our Beliefs

Our Beliefs

We believe in strict risk management to avoid drawdowns and to benefit from the superior power of return compounding.

SAR Portable Liquid Equity Alpha Strategy (PLEAS)

Strategy Description

SAR Portable Liquid Equity Alpha (PLEAS) Strategy is a highly active, quantitative, intraday long-only equity strategy, trading the most liquid US stocks currently. The strategy has a successful, more than five-year track record. The portfolio is run fully systematic and exploits short term (intraday) behavioral mean-reversion patterns, a proven, genuine and persistent source of return. Trading occurs during trading hours only. End of the day the portfolio is 100% flat with no overnight exposure.

PLEAS is a true equity Alpha and absolute return strategy with a long volatility profile and daily liquidity. Due to its characteristics, the Alpha is easily portable onto any underlying strategy including cash (cash plus Alpha). Also see our US Equity Alpha (USEA) solution – PLEAS transferred onto the S&P 500.
PLEAS is currently offered as a funded or unfunded (on existing collateral) managed account only.

Risk/Return Profile

Gross Alpha is at a significant expected return level of between 6% and 12% p.a. in a low volatility environment and 15% to 30% in more volatile markets with active risk (volatility) between 4% and 9%. Downside deviation is an expected 3%.

Active Alpha exposure is fully scalable: 0% – max. 300%; the level can be actively set by the investor, resulting in a corresponding tracking error and Alpha potential.

 

Investment Highlights 

  • Daily liquidity and fully scalable active risk (0% to max. 300% Alpha allocation)
  • Portable onto any underlying collateral (cash or securities) in a funded or unfunded managed account
  • More than five years of live track record in SAR Liquid Equity Alpha (since May 2010)
  • Unique short-term trading strategy with long volatility profile, i.e. benefits from rising volatility
  • Liquid and transparent with sound and tested scientific underpinnings (mean reversion)
  • Completely model-based and fully automated, avoiding emotional and behavioral biases

Suitability

  • The strategy is an actively managed intraday equity strategy, providing an excess return (Alpha) portable onto any existing portfolio or cash and, besides increasing returns, improves the risk characteristics of underlying strategies due to its long volatility sensitivity and non-correlated returns. It is a performance effective add-on to any underlying investment or cash.
  • This strategy is offered to acredited/qualified investors only as a managed account.

 


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