The Sabre Style Arbitrage Fund was launched by London-based boutique hedge fund, Sabre Fund Management, in August 2002. Following a market neutral strategy, the systematic fund dynamically combines statistical arbitrage with multi-factor models to exploit trending behaviour in stocks.
This makes the fund unique: although there are many statistical arbitrage funds, few have successfully incorporated a trend-following model. As such, Sabre was credited as Europe’s first hedge fund to use style investing to generate alpha through stock trend exploitation.
The Sabre Style Arbitrage Fund trades approximately 1,800 of the most liquid stocks in the UK, Europe, North America and Asia across both its long and short books, employing minimal leverage.
At the heart of the fund’s ‘style investing’ philosophy lies the idea that multiple forecasting factors are based on three distinct styles – Value, Growth and Momentum. Sabre uses proprietary models that detect and then exploit dominant emerging trends in factors by screening arrays of data. This helps the fund generate excellent risk-adjusted returns owing to the lack of correlation between positions in the portfolio.
Sabre’s three uncorrelated alpha engines aim to capture both long-term economic trends in global markets and short-term trends driven by investor behaviour. Whatever investor style develops in the markets, the fund’s proprietary models can adapt accordingly. It is this ability to combine elements of quant-based factor methodologies with statistical arbitrage and dynamic style rotation that enables Sabre’s investment team, headed up by Dan Jelicic, to validate and support fundamental market views.
Furthermore, the fund is able to react and rebalance its positions on a daily basis when trading signals detect short-term market trends. This makes allocation highly dynamic. Like many systematic funds, Sabre Style Arbitrage is market agnostic.
Sabre Style Arbitrage is domiciled in the Caymans and is available to investors in USD and EUR share classes: minimum investment is EUR/USD250,000. The fund’s key service providers include:
Prime broker: Deutsche Bank (London)
Legal counsel: Walkers
Administrator: LaCross Global Fund Services (Ireland)
Custodian: Bank of America Custodial Services (Ireland)
Sabre Style Arbitrage has successfully generated cumulative returns of 60.4 per cent over a five-year period. Target returns for the fund are cash +8-10% per annum, with a target volatility of 6-7%.
An UCITS-compliant version of the fund is now also available to investors. The Sabre All Weather Fund launched early 2011 and mirrors the offshore strategy with the added benefit of offering daily liquidity and enhanced transparency in line with UCITS regulation.
Other key members of the Sabre team include Melissa Hill and Tom Stevenson. Melissa joined the firm in 1996 and has been the Managing Principal since a buyout in 2005. She is responsible for overall business strategy and development and chairs the firm’s board and risk management committee. Tom is the firm’s Chief Operating Officer and Chief Financial Officer. He first joined the firm in 2004.