Systematic Equities Monthly Comments - December 2024

RAM Emerging Markets Equities

In December, emerging markets faced headwinds from persistent US inflation, higher US interest rates, and a strong USD, which collectively contributed to a slight decline in performance. South Korea, India and Brazil were the primary detractors from the index.

The RAM (Lux) Systematic Funds - Emerging Markets fund’s (hereinafter ‘the Fund’) (Class-IP USD net of fee*) declined by 1.5% during the month, underperforming given its underweight position in Taiwan Semiconductor and value picks in Brazilian stocks.

On a more positive note, the fund’s underweight in India contributed positively to performance, as overvalued Indian stocks corrected amid signs of an economic slowdown reflected in PMI surveys.

Taiwan Semiconductor delivered a remarkable 5% contribution to the index for the year—more than half of its total annual upside. It now accounts for over 10% of the index allocation, marking a historically high concentration and elevating the index’s risk exposure.

For the year, the fund achieved a return of 7.2%, narrowly trailing the 7.5% gain of the MSCI EM TRN index. While the fund’s underweight in Taiwan Semiconductor detracted, this was offset by strong stock selection in China and Malaysia. Additionally, weakness in value-oriented positions was counterbalanced by the outperformance of our growth/momentum selection.     

*Note: IP USD share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, UK, IT, NL, NO, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

** The portfolio is actively managed on a discretionary basis with reference to a benchmark. While the product compares its performance against the Index, it does not try to replicate this benchmark and freely selects the securities that it invests in. The deviation with this benchmark can be significant.

RAM European Market Neutral Equity

In a month marked by high dispersion across European equities, which broadly ended lower, the RAM (Lux) Systematic Funds –European Market Neutral Equity fund’s (Class-I EUR net of fee*) posted a 0.9% gain in December. The pronounced return dispersion created favourable conditions for the fund to generate alpha in both its medium-term and short-term strategies.

On the long side, the fund benefitted from strong stock selection within Financials, with Scandinavian banks and Italian insurers among the top contributors for the month.

On the short side, positions in Utilities, which had been gradually built over the second half of the year, delivered robust performance in December, emerging as the top contributors for the month. Additionally, after reducing its net short exposure to French equities in November, the fund increased its short positions in these stocks last month, capitalising on their outperformance.

Looking ahead, the elevated valuation dispersion across European equities continues to provide a favourable environment for stock selection strategies.

For the full year, the fund delivered an impressive return of 18.7%, significantly outperforming the MSCI Europe TRN, which was up 8.6%. The fund achieved this performance with volatility below 5%, supported by strong diversification benefits from its short-term strategies.

*Note: I EUR share class currently registered in LU, AT, CH, DE, ES, FR, UK, IT, NL, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

RAM European Equities

European Equities rose in the first week of the month, then strongly declined before finally slightly rising. RAM (Lux) Systematic Funds – European Equities fund’s (Class-IP EUR net of fee*) ended the month down 33 bps, outperforming its benchmark – the MSCI Europe Index – down 47 bps over the same period.

The fund strongly outperformed in Denmark as it divested from NOVO Nordisk on December 11th. The stock strongly dipped, losing as much as 29% intraday over disappointing results for its new weight loss drug. This led to a strong outperformance in Denmark as well as in Health Care. The fund also strongly outperformed in the UK, Sweden and Ireland. The fund’s underweight in France detracted its relative performance as the country was the second-best performer over the month in Europe.

The fund outperformed in Industrials, the largest allocated sector, as well as in Communication Services, Utilities and Materials. Our underweight in Financials and Information Technology slightly penalised the fund’s relative performance.

Small and Large Cap stocks both positively contributed to the fund’s relative performance, while our Mid Cap allocation was in line with the benchmark.

*Note: IP EUR share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, IT, NL, UK, NO, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

**The portfolio is actively managed on a discretionary basis using a benchmark. Although the product compares its performance to that of the MSCI Daily Net TR Europe Euro, it does not seek to replicate this benchmark and is free to choose the securities in which it invests. The difference with this benchmark may be significant.

RAM Stable Climate Global Equities

The RAM (Lux) Systematic Funds - Stable Climate Global Equities Fund’s (hereinafter the ‘Fund’) (Class-PI USD net of fee*)  declined 4.75% in December.

Global developed equity markets lost 2.6%, as US Fed policy expectations shifted, and US long-term rates increased.

While most sectors ended the month notably down, Communication Services, IT, and Consumer Discretionary rose, supported by strong U.S. large-cap growth names.

The strategy identified resilient names in Financials, Industrials, and Consumer Staples, partially offsetting sector weakness.

Mid-cap stocks underperformed significantly versus large caps, negatively impacting fund performance.

In its latest rebalancing, the strategy trimmed Consumer sectors (Staples and Discretionary) and increased allocations to Communication Services, IT, and Financials.

*Note: PI USD share class currently registered in LU, AT, BE, FI, UK, NO, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

RAM Global Equity Income

The RAM (Lux) Global Equity Income Fund’s (hereinafter the ‘Fund’) (Class-IP USD net of fee*) fell 4.34% in November, outperforming its benchmark, the MSCI World High Dividend Yield, which declined 4.78%.

Global developed equity markets lost 2.6%, as US Fed policy expectations shifted, and US long-term rates increased.

Selection effects were strong in the U.S. but detracted in Japan. In allocation, the fund’s overweight in Asia (notably HK and Japan) was positive, while underweighting France detracted.

Energy, Financials and Materials were the top sector contributors due to favourable selection and allocation, while Health Care and Consumer Discretionary detracted.

Mid- and small-cap exposures were positive contributors, as smaller caps in the high-dividend-yield space outperformed.

In the latest rebalancing, the strategy reduced Utilities and Industrials while increasing allocations to Financials and Consumer Discretionary.

*Note: IP USD share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, IT, NL, NO, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

RAM Global Market Neutral Equity

The RAM (Lux) Global Market Neutral Equity Fund (Class-PI USD net of fee*) was up 1.25% in December, while the MSCI World index corrected by more than 2.5%, as US Fed policy expectations shifted and US long-term rates increased.

For 2024, the fund delivered a net return of roughly 10.7% with a volatility below 5%, demonstrating strong performance with controlled risk, helped by broad-based contributions from most alpha engines.

The main contributor to the performance in December was the short book, Utilities and Energy short picks significantly underperformed the market in the context of rate repricing. The fund’s net short exposures to those 2 sectors also helped.

Healthcare was the top-contributing sector, thanks to strong stock selection on both the long and short sides.

The shorter-term statistical arbitrage book delivered positively in 2024, slightly less than the low frequency book but with close to zero daily return correlation.

The fund is currently net long IT and communication services and net short in Utilities and energy.

* Note: PI USD share class currently registered in LU, CH, DE, DK, ES, FI, UK, IT, NO, SE, SG (foreign restricted recognised scheme). Please click on the above link to access the fund factsheet and obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns. 

Important Information

Important Information: The sub-funds mentioned above are Sub-Funds of RAM (Lux) Systematic Funds, a Luxembourg SICAV with registered office: 14, Boulevard Royal L-2449 Luxembourg, approved by the CSSF and constituting a UCITS (Directive 2009/65/EC). Mediobanca Management Company S.A. 2 Boulevard de la Foire 1528, Luxembourg, Grand Duchy of Luxembourg is the Management Company.

The information and analyses contained in this document are based on sources deemed to be reliable. However, RAM Active Investments S.A. cannot guarantee that said information and analyses are up-to-date, accurate or exhaustive, and accepts no liability for any loss or damage that may result from their use. All information and assessments are subject to change without notice.
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