SAR US Equity Alpha Strategy (USEA)
SAR US Equity Alpha Strategy (USEA) is a highly active, quantitative long-only equity strategy, trading the most liquid US stocks against the S&P 500 as a benchmark. The strategy’s objective is to outperfom the S&P 500 with a comparable risk/return profile. The strategy’s Alpha has a successful, more than five-year track record.
The portfolio is run fully systematic and exploits behavioral mean-reversion patterns in the US stock market, a proven, genuine and persistent source of return. Trading occurs intra-day only. Over night the portfolio is 100% passively invested in the S&P 500, all actively traded positions are closed at the end of the day.
USEA combines the performance of S&P 500 futures with SAR’s intra-day overlay Portable Liquid Equity Alpha (PLEAS) trading strategy that adds sizeable Alpha, improves risk characteristics and adds a long volatility sensitivity to the portfolio. USEA has been able to significantly outperform the S&P 500 over the past, based on PLEAS live trading results. USEA is currently offered as a managed account only.
The strategy can be expected to generate significant excess returns (Alpha) of more than 4% p.a. over benchmark, based on past performance experienced.
Live trading of the LEAS strategy (providing the Alpha) started 10 May 2010 in managed accounts.
Past performance is no guarantee for future results.
- Attractive outperformance versus the S&P 500
- Improved risk/return profile with smaller drawdowns and stronger recovery
- Daily liquidity
- 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
- Risk management procedures implemented into trading strategies via clearly defined trading rules with realtime monitored & executed limits
- Experienced research and investment team with long standing track record
- The strategy is an actively managed alternative to a passive investment in the S&P 500, providing excess return (Alpha) and superior risk characteristics due to its long volatility sensitivity and lower standard deviation. It is a substitute or compliment to any US equity investment.
- As a managed account it is suitable for qualified and institutional investors looking for direct access to their assets, control and transparency with their own account at their preferred broker.