Investment Objective
The investment objective of the Lumyna - Sandbar Global Equity Market Neutral UCITS Fund is to achieve capital appreciation through a global equity market neutral investment approach. The PM aims to use their proprietary fundamental investment models to identify undervalued equities that they would invest in and overvalued opportunities typically within the same sector to go short. The aim is to maintain a low net or market neutral portfolio that will exhibit low correlation to equity markets.
Latest Meeting Note
Conference Call 29 Apr 2020
Across Q1 the fund generated approximately 600+bps of gross alpha on an average daily beta of 0.02 to MSCI World (which fell 21.4% across the period), with the fund finishing the quarter up 5.6%. Performance was broad-based at sector lev...
Across Q1 the fund generated approximately 600+bps of gross alpha on an average daily beta of 0.02 to MSCI World (which fell 21.4% across the period), with the fund finishing the quarter up 5.6%. Performance was broad-based at sector level, driven by a large subset of pair trades across c. 160 names with standout contributors to returns within Aerospace & Defence, Industrial Machinery, Automobile Manufacturers and Household Products. Most notably, in March the gross exposure was cut significantly to ensure coherence with the portfolio’s volatility targets, from a Q1 high in February of 355% to approximately 135%. There was limited turn-over in the portfolio via the gross reduction with positions trimmed across the book.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.8 | 0.8 | 0.3 | 0.3 | 0.6 | 0.6 | 1.0 | 0.5 | 1.0 | 0.6 | 0.5 | 1.0 | 0.5 | |
| 2022 | 0.5 | 0.1 | 0.1 | 0.1 | 0.9 | 0.5 | 0.7 | 0.3 | 0.9 | 0.5 | 0.7 | 0.5 | 0.8 |
