Sapphire Equity Long-Short

A quant-driven long/short equity mandate. The ISID states the objective as: "The investment strategy seeks to generate alpha over the long term by investing across a spectrum of large, mid and small cap companies using long/short equity strategies," with the usual caveat that there is no assurance the objective will be achieved. It is categorised as an Equity Long-Short Fund, code FSIF/O/E/ELSF/25/10/0001/FTMF, and described as "An open-ended equity investment strategy investing in listed equity and equity related instruments including limited short exposure in equity through derivative instruments."

Face value is Rs 1,000 per unit — verified. This is the point most likely to confuse investors comparing NAVs across SIFs. The ISID cover page reads "Offer of units of Rs. 1000 each for cash during the New Fund Offer and Continuous offer for Units at NAV based prices," the New Fund Offer Price is stated as "Rs. 1000 price per unit," and the Plans and Options section states plainly: "All the plans have a common portfolio. The face value of the Units is Rs.1000 each." A NAV in the Rs 1,000-1,030 range therefore reflects a small percentage move from par, not a hundredfold gain.

Asset allocation and the 25% unhedged short cap. The ISID's indicative allocation (as a % of total assets) is: Equity and equity related instruments 80%-100%; Short exposure through unhedged derivative positions in equity and equity related instruments 0%-25%; Debt, money market instruments (excluding instruments/securities kept for margin purpose), InvITs, Exchange Traded Funds and units of debt mutual fund schemes 0%-20%. A footnote records that equity and equity related instruments include both long and short equity positions, and that at least 65% of total proceeds are invested in equity shares of domestic companies listed on a recognised stock exchange. Derivatives for hedging and portfolio rebalancing are capped at up to 50% of net assets; derivatives for non-hedging purposes at up to 25% of net assets.

A macro overlay on top of a multi-factor stock-selection model. The ISID describes the approach as combining "a top-down macro model for dynamic capital allocation with a bottom-up proprietary active quantitative multi-factor model for stock selection." The macro model — built on macro indicators, street sentiment and index valuation — drives gross exposure, with long exposure moved between 75% and 100% and unhedged short exposure between 0% and 25%, "rising in periods of macro uncertainty or negative outlooks." Stock selection uses five primary factors: Quality, Innovation, Value, Sentiment and Alternatives, with liquidity, market-cap and data-history screens governing the investable universe.

Fully open-ended, unlisted, with daily dealing. Unlike interval SIF strategies, subscription and redemption frequency are both "Daily on all business days," and the ISID states "The Strategy is not listed." Redemption proceeds are to be dispatched within the regulatory limit of 3 working days of a valid request, with AMFI guidance putting the payment cycle at 2 days. Minimum application is INR 10,00,000 during the NFO or as a first-time investment post-NFO, in multiples of 10,000; additional investments are a minimum of INR 10,000 in multiples of INR 1,000; and minimum redemption/switch-out is Rs 10,000.