Commentaries

11 June 2020

Emmanuel Hauptmann

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 -0.47%* (I EUR class – net of fees) in May. May saw a month of conflicting signals for Momentum strategies, impacting both our long and short engines in equal measure despite the positive performance of the broader European market. During the period (15th to 27th), we suffered from market short covering, with low quality, short momentum and other shunned trades witnessed a significant price rise. Incredibly, during this same period Long Momentum stocks underperformed Short Momentum stocks by over 13%. The wider market’s positive performance during this period concealed this violence. Following these painful moves, we saw the index up 60bps, while our Momentum engine fell 2.6%, in perhaps the single worst day on record for the style (27th). The following day, we saw a significant recovery of these same names, but not enough to offset losses. This major rotation also negatively impacted our Low Risk/Defensive books as banks, car makers, leisure companies (those that had suffered the most during the Covid crisis), rebound aggressively, despite their underlying negative earnings dynamics. Naturally our Momentum and Low Risk books held few of these names and therefore suffered from a strong sell-off in the highest momentum names of the last few months, so are significantly down in an overall up-market. Despite our long Value and Machine Learning books outperforming the market in May, we were unable to produce positive performance. We would expect the market to focus on fundamentals in the near-term and our strategies to recoup some of the recent negative performance.

*Sources : RAM Active Investments