Winner: Best equity market neutral hedge fund; Shortlist: Hedge fund of the year

Winner 2010
Best equity market neutral hedge fund

Sabre Fund Management has set out to be a leader in asset management by delivering a disciplined investment process that generates consistent alpha with strong downside protection, backed by a robust infrastructure.

The company sets out to align its interests to those of its clients by, say the principals, "eating our own cooking, focusing on investment performance and delivering a good degree of transparency".

Sabre, which has long experience in running separately managed accounts, only operates liquid, transparent investment strategies.

Sabre Style Arbitrage combines statistical arbitrage with quant equity market neutral strategies. This niche methodology is designed to capture longer-term returns generated by economic cycling and short-term returns attributable to investor behavioural activity.

Principal Dan Jelicic both leads and drives the investment process at Sabre. He joined the company in 2002 to run the Style Arbitrage Fund, which is a strategy devised by him as a progression of his previous experience of running money at ABN AMRO Asset Management in London.

The quantitative equity market neutral fund uses a dynamic allocation process to construct a global portfolio targeting returns of 10%-15% with volatility of 6%-7%.

The fund invests in approximately 1,500 liquid stocks across the UK, Europe, the US and Asia and was designed to incorporate all the best ideas from quantitative equity investing, say the principals.

By blending together traditional multi-factor models with statistical arbitrage in a dynamic framework, Sabre believes it has created a unique product. While there are many statistical arbitrage managers, Sabre believes no-one else has successfully combined both with a trend-following style-rotation model.

It is this dynamic, integrated process that provides the fund's edge, Sabre says. It is able to quickly adapt to changing market conditions through daily rebalancing to shift the allocation to the dominant investment themes.

"The Sabre market neutral fund has generated consistently good returns over recent years despite generally inconsistent performance amongst its peer group and volatile market conditions. The company views this as a vindication of its dynamic style-rotation process," according to a Sabre spokesman.

This enables Sabre to capture both the long-term style opportunity inherent in factors as well as style persistence (or trends) in factors caused by first, longer-term economic cycling and then, short-term behavioural activity.

Sabre thinks this strategy is volatility agnostic and fully sustainable in the long term. No matter which styles investors follow, Sabre says its models will be able to adapt to changing market dynamics. It also believes this strategy occupies a niche in European market neutral. It is not quite statistical arbitrage and not a traditional quant factor strategy even though it has elements of both.

Sabre Fund Management, privately owned with its two principals Melissa Hill and Jelicic holding the majority stake, is a boutique investment manager originally founded in 1982 as a commodity trading adviser (CTA). Under a new generation of principals and management team, it has focused since 1997 on the design, management and trading of quantitative equity strategies.

Alongside the Sabre Style Arbitrage fund, Sabre manages the Anaxis Sabre Style Arbitrage (an equity quantitative fund with a higher risk-return profile) and a Ucits-compliant fund launched in February 2011, Sabre All Weather Fund.

The company provides hedge fund management strategies for a client base that includes institutional investors, funds of funds, family offices and high net worth individuals.

Fund facts
Full name of fund: Sabre Style Arbitrage Fund
Name of portfolio managers: Dan Jelicic, William Butler, Matthew Isherwood and Stephen Rees
Name of investment/management company: Sabre Fund Management
Contact information: Aleksandra Gawlytta, Marketing, 46-48 Grosvenor Gardens, London SW1W 0EB (+44 (0) 20 7592 7870); aleksandra.gawlytta@sabrefund.com)
Launch date: 2002
Assets under management: $490 million (at December 31, 2010)
Strategy: equity market neutral, dynamic style rotation
Share classes: US dollar, euro
Administrator: LaCross Global Fund Services (Ireland)
Auditor: KPMG
Custodian: Bank of America Custodial Services (Ireland)
Prime broker: Deutsche Bank (London)
Legal counsel: Campbells
Domicile: Cayman Islands
Listing: Irish Stock Exchange
Management fee: 2%;
Performance fee: 20% with high water mark and no hurdle rate
Minimum investment: $/€250,000
Redemption/liquidity terms: monthly with 15 business days' notice