Sanctum Europe

Sanctum Core Europe Adaptive

Sanctum Core Europe Adaptive fund includes two major strategy components: Adaptive Value (targeting more resilient value stocks) and Core Dividend (targeting stocks with higher dividend yield). This aims to build both capital from stock price appreciation and income from dividend securities. 

The investment process is sequenced according to Pre-Trade Analysis, Signal Generation, and Allocation.

Adaptive Value Portfolio 

The Adaptive Value investment strategy operates systematically on liquid securities. The algorithmic engine applies computational algorithms to a range of fundamental, price and other data to select undervalued stocks across a risk-adjusted portfolio. 

The Adaptive Value selection criteria allocates capital in accordance with the investment policy: 

• Approximately 20-30 long equity positions 
• High-quality European quoted businesses with sustainable profit and cashflow; 
• Companies at attractive valuations; 
• Companies which are more able to withstand a significant market downturn.  

Signal Generation  

Each stock is algorithmically assessed (e.g. across Value, Growth, Volatility…) with analysis over financial and other data (including e.g. share price history, P/E ratio, Return on Capital…). For example, each stock is reviewed on: 

• Value: whether the share price appears to be lower than its true worth 
• Growth: whether its price has the potential to grow in value faster than the market average.  
• Volatility: stability based on its historical volatility.   

Stock Convictions 

Combined signal generation assessments give a final conviction. The contribution of each assessment to this is optimised on a per-sector basis using machine learning techniques, and so can vary between different stocks. This optimisation leads to a static weight representing the confidence of how each algorithm performs in a particular sector and examines the full history of data covering different market regimes.    

Core Dividend Portfolio 

The Core Dividend portfolio is designed to allocate a consistently high-income portfolio. Stocks are selected which pay a consistent dividend. The portfolio targets the following attributes. 

• Approximately 15-25 long equity positions 
• Companies with dividends which are both high and consistent over the long term. 

Signal generation and stock pre-selection 

The Core Dividend stock universe is subject to the prescreening rules described in Core Dividend Portfolio section. Yield data is filtered so that large one-off dividend payments are not taken into account during later calculations. Any outlying past dividend payments are excluded, and a historical dividend score for each stock is recalculated without these values present. Any stocks with a most recent dividend of zero are removed. A final dividend score is adjusted for the standard deviation of the historical dividend payments to ensure consistency of yield. This calculation provides the input to allocation.