BPI Alternative Iberian Equities Long/Short

The research team met with Paulo Freire Oliveira, co-portfolio manager of the BPI Alternative Iberian Equities Long/Short Fund. The fund provides long/short exposure to listed Portuguese and Spanish shares by leveraging the team’s local knowledge and network (the investment team has been working together since 2007). The investable universe comprises about 70 companies. Out of this universe, the fund identifies relative value opportunities which are exploited in a market neutral fashion. Ideas are thoroughly analysed in house (sector analysis and company’s specific modelling) and are included into the long/short portfolio according to their relative upside/downside to fundamental value (cross-sector pair trades). The portfolio holds on average about 40 positions in total, with decent level of single stock concentration. Absolute position sizes range from -5% to +5% depending on the level of conviction, liquidity and risk-reward. The investment manager does not have a predetermined investment horizon but is willing to hold on the position as long as conviction remains strong. The fund targets a low vol profile (3% annualised) and a Sharpe Ratio of about 1 over the cycle. As result, the fund don’t run with a lot of leverage (gross exposure is about 100%), while net exposure fluctuates between 0-10% targeting neutrality at sector, country and factor level. Portfolio turnover is also low, about 2x in dollar terms (names turnover is slightly lower).