Commentaries

L/S GLOBAL EQUITIES FUND MANAGERS' COMMENTS MAY 2020

11 June 2020

Emmanuel Hauptmann

RAM (LUX) SYSTEMATIC FUNDS – LONG/SHORT GLOBAL EQUITIES

The RAM (Lux) Systematic Funds - Long/Short Global Equities Fund returned +0.42%* (PI USD class – net of fees) in May. The Momentum strategy’s negative impact felt across most portfolios was partly negated by our global beta-neutral strategy in May owing to strong positive picks from our long engines. Longs across Sweden, Japan and Norway, typically within our Value engine, helped to offset losses in our Momentum engines. Within the U.S. and over a 12-day period 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 their short counterparts. The U.S. market’s positive performance during this period concealed this violence. Following these painful moves, we saw the index up handsomely, while our Momentum engine fell, in perhaps the single worst day on record for the style (27th). The following day, we saw a significant recovery of these same names. 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. Elsewhere, and on a sector level long picks in Materials and Industrials proved highly alpha generative, as did Consumer Discretionary names, although this contribution was eroded by shorts here. Going forward we would expect the market to focus on fundamentals and our strategies to recoup some of the recent negative performance.

*Sources : RAM Active Investments