Commentaries

15 May 2020

Thomas de Saint-Seine

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 0.34%* (I USD class – net of fees) in April. Emerging-market central banks continued to cut interest rates at a brisk clip in April as policymakers battled the fallout from the COVID-19 pandemic. These moves, coupled with improving investor sentiment surrounding the news of a slowing infection rate, especially from China, helped markets rebound strongly. Despite slowing global trade, which is expected to fall by up to 30% this year and the steepest monthly decline in oil prices on record, markets were buoyed by central banks’ actions which saw South Africa and Turkey notably cut rates contributing to weaker currencies which reached new lows against the dollar. Following March’s rout and a backdrop of high valuation dispersion, April also saw the much-welcomed return to performance across Value and Small Cap segments, which were the primary drivers of our long book’s significant outperformance, hopefully a start of a broader recovery after their last two years’ underperformance. Our long engines’ performance was driven by Value, ML while Momentum was flat and Defensive naturally lagged. Our Short engines, which have helped to deliver alpha since the turn of the year, suffered as the most shorted names in our book outperformed during this rally. Our Short Quality and Momentum suffered the most. Within our latter engine high beta Taiwan, China and South Korean short plays rallied at such a pace, thus outstripping the market, and detracting overall. However, our models view these names as fundamentally exposed, and are indicative of the high alpha potential we have in our short book if volatility resurfaces. Elsewhere at a country level, longs across Russia, South Korea and Taiwan names helped post positive performance. We believe that the currently high dispersion in valuations and the high dispersion in returns in the market (particularly within the SMID cap segments) should present highly attractive opportunities for our Value/ML and our Momentum/Low-Risk engines respectively.

*Sources : RAM Active Investments