Commentaries

11 June 2020

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 -1.26%* (I USD class – net of fees) in May. Despite the strong contribution of our long engines, where we witnessed the continuation of the performance reversal of our Value and Small/Mid-cap selections, Momentum strategies served up conflicting signals. May’s key theme was the violence of the equity factor rotation whose violence was masked by the strong positive performance of the wider market. Here we saw Momentum strategies negatively impact both our long and short engines; exhibiting conflicting signals. Low quality, short momentum stocks witnessed a significant price rise over a 12-day period, while long momentum names moved in the opposite direction. Following this painful period, we saw the index rise, while our Momentum engine fell precipitously 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 remain significantly down in an overall up-market. Shorts in Brazil and Australia where the primary detractors at the country level, while we also saw long and shorts in China negatively contribute. Sector-wise, Consumer Discretionary short weighed the most, but we did record health gains in long picks within the Health Care sector. 

*Sources : RAM Active Investments