Lumyna - Sandbar Global Equity Market Neutral UCITS

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

Meeting 24 Oct 2019

The research team met with Sandbar, pre-launch, at a cap-intro conference. Sandbar, in association with Lumyna launched the UCITS fund on October 16th with the fund to be run pari passu to the master fund. The fund trades a universe of a... Read more

The research team met with Sandbar, pre-launch, at a cap-intro conference. Sandbar, in association with Lumyna launched the UCITS fund on October 16th with the fund to be run pari passu to the master fund. The fund trades a universe of approximately 700 global stocks with an average market cap of $15b, which Michael has covered throughout his hedge fund career. Out of this universe, the fund identifies sectors with high levels of inter-sector price dispersion driven by stock level idiosyncrasies, and not traditional factors or macro themes. From here quantitative modelling is undertaken to determine the fair value of companies and assess how quickly new information is reflected in the share price compared to valuation estimates. The fund looks to initiate intra-sector pair trades, long and short, of two similar firms which are modelled to react differently to news. The fund has no set time frame for trades and are willing to hold positions for however long is needed for prices to adjust to the pair-trade thesis, with the average holding period being 3-6 months. The fund has three core aims; uncorrelated returns, Sharpe Ratio >1, target volatility 7/8%.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.3 0.1 0.2 0.5 0.7 0.6 0.9 0.2 0.6 0.3 0.0 0.4 0.3
2018 0.4 0.9 0.6 0.1 0.9 0.2 0.0 0.5 0.7 0.3 0.8 0.1 0.4

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.