Commentaries

14 February 2020

Thomas de Saint-Seine

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

The RAM (Lux) Systematic Funds - Long/Short European Equities Fund returned +1.29%* (I EUR class – net of fees) in January. The coronavirus outbreak emanating from China sent jitters across financial markets amid fears of a hit to the global economy in January. As volatility spiked, hedge funds became net sellers of some of the most crowded long positions, as investors became increasingly discriminate on low quality names at a time of high uncertainty. Despite this challenging backdrop for our fundamentally-agnostic peers, our models were highly alpha generative, aided in part by a fall in factor correlation and an uptick in volatility. From a strategy perspective on the long side, our Defensive style was the month’s strongest performer, as large cap growth & quality names offered some protection, while our Momentum style was also highly alpha generative. Conversely, both our Value and Machine Learning engines stuttered in a difficult month for value stock pickers; a continuation of 2019’s wider trend. On the short side, all strategies were alpha generative, but it was our Short Momentum engine which was the month’s clear winner, underperforming the wider market and capturing those names exhibiting negative fundamentals and price trends. We also witnessed positive contribution from our Short Value, which demonstrated attractive fundamentals for our engines to profit from. From a country perspective, longs and shorts combined to a positive effect in both Italy and the UK, while we saw losses emanating from our Sweden longs. From a sector perspective, our Utilities and Health Care longs were highly beneficial, while our shorts in Consumer Discretionary names more than offset losses in our longs here.

*Sources : RAM Active Investments