Exclusive: New boutique launches European equity risk premium fund
Paris-based recently launched asset manager Sagara Financière has unveiled a quantitative strategy focused on European equity risk premia, the Sagara Europe Equity Premium fund, on 25 September 2017, InvestmentEurope can reveal.
The fund’s active stock picking approach relies on a quantitative model that calculates the implicit risk premium of each stock by actualising their expected earnings per share. Additionally the management team runs a discretionary analysis of stocks eligible for the fund.
Hence the Sagara Europe Equity Premium fund will invest between 60% and 100% of its net assets in large and mid-cap European companies that are part of the MSCI Europe universe. It can also purchase MSCI Europe futures and be invested in external money market funds for treasury purposes.
The strategy seeks to outperform the MSCI Europe EUR Dividends Reinvested over a recommended investment period of five years.
“We hold around 60 positions in the portfolio. Our sectoral allocation remains similar to that of the MSCI Europe Index. An allocation solely focused on the highest equity risk premia would result in a concentration of our portfolio in a number of sectors such as financials. But we want to run a diversified portfolio in order to reduce its global level of risk,” explains Denis Gerber, portfolio manager of the Sagara Europe Equity Premium fund, to InvestmentEurope.
Gerber joined Sagara Financière in May 2017 at the time the firm was established by chairman Fabrice Moullé-Berteaux, following the purchase of French quantitative boutique Day Trade Asset Management (DTAM) – founded in 2002 – from previous owner Adrien Fuchs last April.
Before that, Gerber launched Equanimity Trading Systems (ETS), developing models built upon quantitative finance research and with which Sagara Financière created its proprietary risk management quantitative methodology.
Sagara Financière is not the first entrepreneurial investment firm set up by Moullé-Berteaux, who was most recently a managing director of Quilvest Banque Privée and formerly a founding partner of Sycomore Gestion Privée in 2004 before the entity was sold to Swiss financial group EFG International in November 2008.
Arnauld Chamelot, founding partner of DTAM, and Guillaume Nicoulaud, fund manager of Sagara US Equity Premium who joined DTAM in 2012, remained part of the new boutique’s staff that was strengthened with the hires of private wealth managers Etienne Touraille and Jean Raoul-Duval in June 2017 and September 2017 respectively.
“The environment is not the same as it was 13 years ago at the time Sycomore Gestion Privée was launched. We did not want to add another traditional long-only stock-picking expertise to the market because the segment is well furnished and much competitive in Paris already. Also DTAM was managing a US equity risk premia fund since May 2012. We therefore took the decision to pursue the development of quantitative strategies at Sagara Financière,” outlines Moullé-Berteaux to InvestmentEurope.
The company was named after the Singalese word Saägara (or Sagara) referring to the ocean. From the ocean comes life, even fortune and it can also mean danger and loss, explains the firm on its website.
It is Sagara Financière’s belief that the shortening of market cycles coupled to the structural unpredictability of financial markets affect asset managers’ ability of protecting capital. Only active risk management can generate sustainable financial performance in the boutique’s view.
The manager awaits the agreement of the French financial market authority AMF for two new funds : Sagara Patrimoine, applying a flexible risk parity approach with a particular focus on maximum drawdowns, and Sagara Systématique, says the chairman of Sagara Financière, who stresses demand from French investors for quantitative strategies.
Regarding the private wealth management line, Moullé-Berteaux says the boutique wants to bring methodologies used in the institutional asset management space to the service of private clients and that it relies partly on open architecture.
However, he explains that the firm does not want to stack up external funds in a list as it tries to mitigate risk. Sagara Financière’s chairman also emphasises on the importance of decorrelation between the funds selected by the firm and on the full transparency of portfolio reportings for the firm’s clients, that include company directors, families and private investors.