Repricing Flow Strategy | Guerrieri Capital Ltd

Repricing Flow is a long-biased systematic L/S equity strategy designed to outperform SPY in unhedged GBP terms by buying liquid US/UK/EU equities undergoing slow institutional repricing, while using short index exposure and downside overlays to control market drawdown rather than neutralise beta.

It buys liquid stocks where fundamental improvement is confirmed by price action, but where large investors typically adjust exposure gradually because of liquidity, benchmark, mandate, and career-risk constraints.

The value proposition versus simply buying SPY is upgraded equity participation: retain exposure to the same equity-risk engine, but replace passive index ownership with a diversified, capped stock-selection book, explicit cost/liquidity discipline, and downside protection.

In the current Best Sharpe backtest, 2020-01-02 to 2026-06-02, the strategy returns 19.4% annualised versus 14.6% for SPY GBP, with Sharpe 2.06 versus 0.76 and max drawdown -8.8% versus -25.8%, delivering roughly +4.8% annualised excess return with materially lower realised downside.

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Implementation spectrum

Best Sharpe, risk-tight, and conservative variants

Role	Annualised return	Volatility	Sharpe	Max drawdown	Latest beta	Turnover	Notes
Best Sharpe specification	19.4%	9.4%	2.06	-8.8%	0.48	32.0%	Lead research book. Uses more drawdown budget, but remains below the informal -10% danger line.
Risk-tight boundary	18.5%	9.4%	1.98	-7.9%	0.43	32.0%	Tight implementation if the drawdown limit is treated as -8% rather than -10%.
Conservative fallback	17.6%	9.4%	1.88	-7.0%	0.38	32.0%	Lower-beta version for capital-ramp or conservative implementation framing.

Historical research output only. Figures are not live performance, target returns, investment advice, an offer, solicitation, or a recommendation.

Against SPY in unhedged GBP terms over 2020-01-02 to 2026-06-02:

Variant	Ann. return	SPY ann. return	Annualised outperformance	Total return	SPY total return	Total outperformance
`beta045` Best Sharpe	19.4%	14.6%	+4.8% p.a.	224.4%	146.8%	+77.6 pp
`beta040` risk-tight	18.5%	14.6%	+3.9% p.a.	208.5%	146.8%	+61.6 pp
`beta035` conservative	17.6%	14.6%	+3.0% p.a.	193.1%	146.8%	+46.3 pp

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Implementation diagnostics

Selected strategy cumulative return and drawdown diagnostic — **Cumulative return and drawdown review**Best Sharpe, risk-tight, and conservative variants reviewed against the drawdown budget.

Parameter stability fan for neighbouring strategy specifications — **Parameter stability**Neighbouring specifications remain coherent around the Best Sharpe implementation area.

Professional review

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