Saemor’s Europe Alpha Fund returned of 2.1 per cent for December, with utilities and industrials contributing most.

The short in banks was detrimental to performance, while the short positions in Aggreko and Nokia were respectively the biggest contributor and bleeder.

Towards the end of the month the net beta-adjusted exposure of the fund was increased temporarily in anticipation of the typical year-end effects.

December showed a major style rotation. The improvement in market sentiment prompted strong risk taking.

Investors dumped safer assets and shifted towards high beta and value stocks; cyclical value measures (book to price and sales to price) stood out.

FCF yield was the only valuation factor which ended the month negative.

Price momentum and to a lesser extent earnings momentum suffered. Profitability and growth and quality factors also underperformed.