Sanlam preps US absolute return fund with value approach

The Sanlam US Absolute Return fund will be managed by its US equity team under value specialist Adour Sarkissian (pictured), who manages Sanlam's US dividend vehicle, and assistant manager Conor Walsh.

Expected to be launched by the end of August, subject to regulatory approval, the Dublin-domiciled UCITS fund is likely to charge an annual management charge of 75bps and already has the backing of "suitable" seed investors, according to group head of distribution Richard Pursglove.

The strategy, which has been tested on a paper-based portfolio, will be market neutral, with a targeted 0.05% correlation to equities. 

It will have maximum long exposure of 50 stocks and maximum short exposure of 40 stocks, with an allowance of up to 30% to be invested in Canadian equities. Ideas that are rejected from the long side of the portfolio will feed into ideas for the short side.

Notably, the fund will also use the LIBOR replacement SOFRA, making it one of the first to make that shift, according to Sanlam.

Acknowledging both value investing and - to an extent - absolute return strategies have been out of favour in the current market, Pursglove noted that Sarkissian is "one of the very few managers that has a ten-year track record of outperforming the S&P."

He added: "It has been very well documented that value has had a very difficult time as an investment style over the past ten years or so. 

"Adour has continued to chart a track record that positions him incredibly favourably against the peers in the US space that are running these value strategies."

Pursglove also said Sarkissian and the US equities team's view is "we are towards the end of the cycle" and as "liquidity unwinds", markets "can turn quite markedly".

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