Systematic Equities Monthly Comments - March 2024

RAM Emerging Markets Equities

Emerging Markets equities were up by 2.5% in March, as economic surprises turned more positive globally.

Among the large markets, Taiwan led the way with Taiwan Semiconductor, the largest position in the index, progressing by 12%.

The RAM (Lux) Systematic Funds - Emerging Markets fund (hereinafter ‘the Fund’) (Class-IP USD net of fee*) lagged over the month, being up 1.3% and is in-line with the benchmark since the beginning of the year, as Growth stocks dominated the upside in March.**

The strong performance of the index heavyweights weighed on performance, South Korea as a country detracting the most relative performance with Samsung Electronics being up more than 11% on the month.

Good selection of stocks in Brazil and Malaysia contributed positively to the fund’s relative returns, as well as the underweight position on Saudi Arabia.

The allocation to China was reduced last month, the fund being now underweight in the country, the largest strategy exposure there being on Communication Services stocks, Financials being the most underweight.

The underweight to India was slightly reduced, Financials and Tech remaining our first exposures in the country.

Malaysia is our strategies’ top overweight, our strategies capturing names with very attractive fundamentals’ momentum locally in the financial and industrial sectors.

*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

Global equities made new highs last month as the global economy gave signs of resilience, despite expected rate cuts being postponed to the summer.

The RAM (Lux) Systematic Funds –European Market Neutral Equity fund (Class-I EUR net of fee*) progressed by 0.4% over the time-period, bringing the year-to-date performance to 8.6%, as the short book kept delivering alpha.

On the Long side of the book, positive alpha brought by Momentum selections was offset by the Low Risk and Quality selections of the fund.

Our short single name engines performed the best, Low Quality shorts underperforming significantly the rest of the market.

Short Consumer picks did very well in the portfolio, internet and app-based Staples and Discretionary spending stocks disappointing on their growth guidance.

Some Staples producers’ positions in the portfolio on the other hand did well on the long side.

Short IT names in the semiconductor industry provided significantly positive returns to the portfolio, while short materials picks detracted performance after strong outperformance.

The strategies increased the net long exposure to Industrials over the month, while the net short exposure to Materials was increased despite the stocks’ recent outperformance.

*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

Throughout the month, European Equities exhibited steady performance, surpassing the global index and American equities while demonstrating a superior risk/return profile.

This month RAM (Lux) Systematic Funds – European Equities fund (Class-IP EUR net of fee*) saw a strong overperformance of Momentum stocks, while Quality stock underperformed. European SMIDs underperformed despite a positive performance.

SMIDs still exhibit a greater P/E overall dispersion than large cap stocks and remain at levels not seen since the early 2010s. In this environment, we can expect a stronger performance in the SMID segment in the future.

In this environment, the fund underperformed its benchmark, concluding the month with a 3.4% increase against 4.06%.**

Our Momentum and Defensive portfolios exceeded the benchmark, whereas our Value and ML portfolios fell short, particularly towards the latter part of the month.

Although our UK selection closely mirrored the benchmark, our underweight position had a negative impact on the country's relative contribution. In Germany, where the fund underperformed, and in France, where it excelled, respectively constituting the second and third largest allocations, similar dynamics were observed. Conversely, the fund experienced significant underperformance in Norway and Denmark, attributed to lagging Norwegian Industrial picks and an overweight in the sector amplifying the impact on relative performance. Conversely, our selections in Ireland and Finland fared well, with a positive relative contribution bolstered by overweights in both countries.

The fund is increasing its allocations in France, Germany and the Netherlands, while reducing exposure to Swiss and Irish stocks.

In terms of sector performance, the fund underperformed in Industrials, its largest allocated sector, as well as in Healthcare, while strongly performing in both Consumer Staples and Discretionary. Financials weighed down the fund's relative performance, with our selections lagging and our underweight position in the sector further exacerbating the impact. Conversely, the fund significantly outperformed in Communication Services, with our overweight position enhancing the sector's contribution to relative performance.

Adjustments are being made to the fund's sector allocations, with reductions in Utilities and Materials and increases in Information Technology and Consumer Discretionary.

Although our selection across all market cap segments outperformed, our underweight position in large caps and strong overweight in mid and small caps proved detrimental. Large cap stocks were the benchmark’s top performers during the month, while our small cap selection underperformed in comparison to our large and mid cap picks.

*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 (hereinafter the ‘Fund’)  (Class-PI USD net of fee*) increased by 4.44% in the month of March.

March was another good month for risky assets, as the US Federal Reserve retained a dovish stance despite maintaining its policy rates unchanged. Overall, the US economy continued to demonstrate resilience, with strong durable goods orders, a rebounding manufacturing sector and a strong housing market.

Within this market environment, preferences shifted towards Value and High Income names, whereas Growth, Quality, and Low Volatility shares fell behind.

From a sector perspective, Financials emerged as the top performer, thanks to strong pics such as Caixabank and Paypal Holdings. Continuing a positive trajectory that began in February, Dell Technology was instrumental in the results of our IT allocation, alongside Brother Industries and Lenovo Group.

The Mid and Small Cap segments lagged once more in March, notably trailing behind the large-cap market and adversely affecting the fund's investment in small & mid cap stocks (constituting around 12% of the portfolio).

For the fourth consecutive month, the investment in the US led in terms of contributions. The Asia Pacific region, particularly Hong Kong & Japan, once again detracted from the fund’s overall performance.

The strategy slightly reduced the Healthcare allocation, from 20% to 18%. Financials is now the largest sector exposure with 18.6%.

The fund's carbon footprint aligns with its sustainability goals, boasting significantly lower greenhouse gas intensity compared to the global equity market average.

ESG leaders, the companies with the highest ESG rating, ended the month on par with the broader market, while Low Carbon stocks underperformed by more than 30bps.

*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 (hereinafter the ‘Fund’) (Class-IP USD net of fee*) rose by 3.71% in March, slightly underperforming its benchmark, the MSCI World High Dividend Yield Index TRN$, which rose by 4.08%. The Global Equity Market Index finished the month up 3.18%.**

March was another good month for risky assets, as the US Federal Reserve retained a dovish stance despite maintaining its policy rates unchanged. Overall, the US economy continued to demonstrate resilience, with strong durable goods orders, a rebounding manufacturing sector and a strong housing market.

Within this market environment, preferences shifted towards Value and High Income names, whereas Growth, Quality, and low volatility shares fell behind. Top 20% companies in terms of dividend yield outperformed the market by more than 1.5%, while the top 20% companies in terms of shareholder yield outperformed by more than 1%.

The investment strategy uncovered strong selections in Europe, notably in Portugal, Germany and the UK. Conversely, the US was the principal detractor from performance, mainly due to unfavourable stock selection.

The Healthcare sector emerged as the most significant contributor, benefitting from both allocation and selection effects. On the other hand, the fund's underweight position in Energy, aligning with its sustainability goals, detracted from its performance as the sector outperformed.

Allocations in the Mid Cap and Small Cap segments were generally detractive, as these segments lagged behind once again in March. Nonetheless, the adverse impact of the allocation was offset by successful individual stock selections.

The fund continues to favour Financials and Consumer Discretionary sectors with overweight positions and maintains underweight positions in Materials and Energy.

*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.

** The portfolio is actively managed on a discretionary basis using a benchmark. Although the product compares its performance to that of the MSCI World High Dividend Yield Net Index, it does not seek to replicate this benchmark and is free to choose the securities in which it invests. The difference with this benchmark can be significant.

RAM Global Market Neutral Equity

The RAM (Lux) Global Market Neutral Equity Fund (Class-PI USD net of fee*)  was down 0.82% in March, while the MSCI World index was up 3.24%. This brought year-to-date performance to 1.48% at the end of March.

March was another good month for risky assets, as the US Federal Reserve retained a dovish stance despite maintaining its policy rates unchanged.

The US economy continued to show strength with robust consumer spending, stabilising inflation and recovery in several sectors, highlighted by a 0.8% increase in February's Personal Consumption Expenditures (PCE) data, although personal income growth slowed, causing a drop in real disposable income for the first time in five months.

Overall the US economy continued to demonstrate resilience, with strong durable goods orders, a rebounding manufacturing sector and a strong housing market.

Defensive and Quality engines continued to underperform as they did in February. However, in March Value did well at the expense of Growth.

The good performance of high beta low-quality names hurt the Short book, mainly in the Materials sector, where the Fund retains a net short bias and was penalised by the rebound of a few short picks in particular in the Gold and Silver mining sector.

On the other hand, the Fund benefitted from the outperformance of several cheap Long picks in the Consumer Discretionary sector.

Outside of the low-frequency book, the short term mean reversion strategy contributed positively in March, despite subpar year-to-date returns on the back of the low level of realised market volatility.

The VIX arbitrage strategy had another month of positive performance, following its deployment in early January.

The Fund remains net long Information Technology and Industrials, and net short Materials and Utilities.

* 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). RAM Active Investments (Europe) S.A., 51 av. John F. Kennedy L-1855 Luxembourg, Grand Duchy of Luxembourg is the Management Company.
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