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Sabre launches managed futures fund

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Sabre Fund Management has launched a new quantitative futures strategy – the Sabre Adaptive Trading Fund. 

Sabre Fund Management has launched a new quantitative futures strategy – the Sabre Adaptive Trading Fund. 

The external seed capital has been provided by a London based fund of funds.

The fund’s management team is headed by Alexandre Guillaume and Dobromir Tzotchev, who both joined Sabre in September 2008. Guillaume and Tzotchev previously ran a USD150m managed futures strategy for Peloton Partners. 

The Sabre Adaptive Trading Fund will focus on the inherent returns from macro market opportunities with limited exposure over the long term to the direction of any one market. 

The fund will maximise the overall Sharpe Ratio by employing a broad range of individual strategies, each with low correlation, at varying time horizons and across all markets. 

At the shortest end the holding period will be intra day, ranging to a few weeks at the longer end.  

The fund aims to provide low correlation to other major commodity trading advisers. The target return for the strategy is cash plus eight to 14 per cent per annum, with volatility of 12 per cent per annum.

Melissa Hill, managing principal of Sabre, says: ‘Although we are mostly known for our highly successful quantitative equity strategy – Sabre Style Arbitrage, many industry participants will remember that Sabre was a pioneer of futures strategies from the early eighties and provided work experience for several of today’s highly respected CTAs.’ 

The Sabre Adaptive Trading Fund has appointed New Edge as prime broker and LaSalle GTS Fund Services Division as fund administrator and fund custodian. LaSalle also services the existing Sabre Style Arbitrage Fund as both administrator and custodian.

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