Commentaries

7 November 2019

Emmanuel Hauptmann

RAM Active Investments RAM (Lux) Systematic Funds - Long/Short Emerging Markets Equities funds Maxime Botti Partner & Senior Systematic Equity Fund Manager

The RAM (Lux) Systematic Funds - Long/Short Emerging Market Equities Fund returned -0.36%* (I USD class – net of fees) in October. A perceived de-escalation in U.S.-China tensions and Brexit optimism continued to drive up risk assets, yet a slew of weakening macroeconomic indicators acted as an undercurrent throughout October. Despite signs that weakness caused by a protectionist push is spreading beyond manufacturing and casting a shadow on the global growth backdrop, markets preferred instead to focus on central banks’ supportive actions. Emerging markets heavyweights China and India both offered a glimpse at the health of their economy, with the former’s manufacturing activity shrinking for the sixth straight month. At the end of the period, the Fed again cut interest rates by a quarter-point and signalled that policy is just about where officials want it to be. On the long side strategy-wise, our Value and GARP/Momentum engines performed the best, naturally given the strong risk-on mode in EM in October, Defensive weighed, as did our Machine Learning engine. Our negative performance was largely attributable to our short engines, where we witnessed a spike in volatility across both our ML and Momentum engines. However, our Short Quality and, to a lesser extent our Short Value engines underperformed the wider market, and thus produced positive performance overall. At the country level, longs in Taiwan, China and South Africa were all extremely positive despite our shorts eroding some of these gains. Shorts in South Korea were the primary cause of our Fund’s pain over the month, with low quality names here across Materials and Technology were indiscriminately bought back by the market at the expense of those with stronger fundamentals, hurting our engines. 

*Sources : RAM Active Investments