Systematic Equities Monthly Comments - June 2023

RAM Emerging Markets Equities

The RAM (Lux) Emerging Markets Equities Fund (Class-PI USD net of fee*) increased by 3.8% for the month, in line with its benchmark, the MSCI Emerging Markets TRN Index.
The Emerging Markets ended the semester very strongly, in line with global developed markets that reached new historical highs relative to bonds. The fund is up 6.36% YTD, versus 4.89% for the index.
In this market environment, Growth and Earnings Revision factors performed robustly. Conversely, Quality and High-Income names turned out to be the worst performers.
The Financials allocation of the fund contributed very positively (50bps), especially in South Africa with names like FirstRand Ltd. and Standard Bank Group Ltd. Healthcare was also a positive contributor (20bps), thanks to a strong selection effect and despite a negative allocation effect. The energy sector outperformed the rest of the market, negatively impacting the fund due to its sustainability targets.
Selection effects in Taiwan and South Korea contributed significantly to the outperformance and were partially offset by negative contribution of China.
In terms of market cap, the mid cap overweight had a neutral allocation effect but contributed positively (44bps) thanks to a strong selection effect.
The Carbon profile of the portfolio aligns with the fund's sustainable objective, displaying a realised Carbon footprint and Greenhouse Gas Intensity (Scope 1, 2, and 3) that are below the benchmark.

RAM European Equities

Class IP rose by 1.86% in June, while MSCI Europe was up 2.43%.
Large caps and cyclical stocks, particularly Consumer Discretionary, led the European equity market's June surge.
European mega-cap Growth stocks ended H1 deep in overbought territory.
Global equities outperformed, reaching record highs compared to bonds while bond yields went higher, despite breadth below historical averages.
The market cap diversification logically cost the Fund in June, as the performance of small vs. large caps over 12 months has reached historically low levels, not seen before, not even during the financial crisis.
In H1, the market cap diversification has been the main underperformance driver, before the contribution of styles: Growth stocks outperformed, while both Momentum and Value stocks lagged.
The top contributors to the Fund’s relative performance have been Healthcare stocks, both from a selection and allocation standpoint, as the Fund is underweight on the sector, which lagged in June.
The Fund’s underweight in Finance stocks was the main performance detractor in June, as banks rebounded strongly.
The Fund remains overweight in Consumer Staples and Communication Services stocks, and underweight in Healthcare and Financials.

RAM Long/Short European Equities

Class I increased by 0.77% in June, as large caps and cyclical stocks dominated the European equity market rebound.
Global equities outperformed in H1, reaching record highs compared to bonds while bond yields went higher, despite breadth below historical averages.
The Fund proved resilient despite the continuation of the underperformance of small vs. large caps, thanks to moderate net Long/Short exposures across market cap segments.
Long selection exceeded, while short selection underperformed the market, both contributing positively to performance.
Top performance contributors were long picks across Industrials, Financials and Healthcare, as our Momentum engines (based on liquidity and sentiment, not pure price momentum) performed well.
While European mega-cap Growth stocks ended H1 deep in overbought territory, our Value, Momentum and Defensive engines failed to deliver, but valuation dispersion in the universe remains at historical highs.
The Fund is net long Healthcare, Financials and Consumer Discretionary, and net short Utilities, Materials and Energy. 

RAM Long/Short Global Equities

RAM (Lux) Long/Short Global Equities Fund (Class-PI USD net of fee*) was up 1.21% in June.
Global equities rose significantly in H1. Despite breadth below historical averages, the rise in equities coupled with the rise in bond yields has seen the performance of global equity markets reach new historic highs relative to bonds.
Cyclical sectors globally outperformed.
Rally pervasive across most styles and market cap segments. Defensive stocks lagged though.
The Long book was the main contributor to the performance, as our Momentum engines (based on liquidity and sentiment, not pure price momentum) performed well. 
The Fund is net long Information Technology and Healthcare, and net short Utilities, Materials and Energy.

RAM US Sustainable Equities

RAM (Lux) US Sustainable Equities Fund (Class-IP USD net of fee*) was up 5.02% in June, trailing the MSCI US index's 6.63% increase.
Despite breadth below historical averages, the rise in equities coupled with the rise in bond yields has seen the performance of global equity markets reach new historic highs relative to bonds.
Cyclical sectors, particularly Consumer Discretionary, outperformed in the risk-on market.
Positive selection effects in Financials benefitted the Fund.
The Fund's defensive stance resulted in negative allocation effects in certain sectors, particularly Utilities (overweight) and Consumer Discretionary (underweight).

RAM Stable Climate Equities

The RAM (Lux) Stable Climate Global Equities Fund (Class-PI USD net of fee*) increased by 4.80% for the month.
Global equities saw a significant rise in June, reaching new historical highs relative to bonds. This increase was primarily driven by a rise in bond yields, despite market breadth remaining below historical averages.
In this market environment, Value and Earnings Revision factors performed robustly. Conversely, as already observed in May, Low Volatility names turned out to be the worst performers.
The energy sector outperformed the rest of the market by around 50bps, negatively impacting the fund due to its sustainability targets.
The taxonomy-aligned sustainable strategy, with a heavy bias towards Utilities, generated negative allocation and selection effect compared to global equity as Alternative Power Generation plays such as Brookfield Renewable Corp underperformed.
The fund's largest sector exposures remain in Health Care and Financials.
The Carbon profile of the portfolio aligns with the fund's sustainable objective, displaying a realised Carbon footprint and Greenhouse Gas Intensity (Scope 1, 2, and 3) that are over 50% below the global equity market.
ESG leaders and low carbon stocks finished in line with the main index.

RAM Global Sustainable Income Equities

The RAM (Lux) Global Sustainable Income Fund (Class-IP USD net of fee*) increased by 5.38%, while its benchmark, the MSCI World High Dividend Yield Index TRN$, finished the month up by 4.9%. In contrast, the Global equity market index increased by 6.05%.
Global equities saw a significant rise in June, reaching new historical highs relative to bonds. This increase was primarily driven by a rise in bond yields, despite market breadth remaining below historical averages.
In this market environment, Value and Earnings Revision factors performed robustly. Highly shorted stocks were also favoured. Conversely, as already observed in May, Low Volatility names turned out to be the worst performers. The Dividend Yield factor ended up slightly in the red, with top decile names underperforming bottom decile names by 0.4%. The Share Buyback factor exhibited better results, with top decile names outperforming bottom decile names by 1.7%. This positively influenced the fund's performance relative to the High Dividend Yield benchmark.
The fund benefitted from a strong performance of the mid cap and small cap segments, which contributed respectively 0.21% and 0.24%.
Regionally, the fund benefitted from a strong Selection in the US and positive allocation effect in Switzerland due to a clear underweight. Biggest detractor was UK, due to both negative selection and allocation effects.
The taxonomy-aligned sustainable strategy, with a heavy bias towards Utilities, generated a negative allocation and selection effect compared to global equity as Alternative Power Generation plays such as Brookfield Renewable Corp underperformed.
The Fund continues to be overweight in Financials and Consumer Discretionary stocks, and underweight in Materials and Consumer Staples stocks. On a absolute term, the fund’s largest sectorial exposure is Health Care (20%) and was also the largest outperformance contributor (0.45%), thanks to companies like The Cigna Group, HCA Healthcare, Inc and AMN Healthcare Services, Inc.
The Carbon profile of the portfolio aligns with the fund's sustainable objective, displaying a realised Carbon footprint and Greenhouse Gas Intensity (Scope 1, 2, and 3) that are below the benchmark.
ESG leaders and low carbon stocks finished in line with the main index.

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