Commentaries

14 July 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 -4.35%* (I USD class – net of fees) in June.
The first week of June saw a continuation of the risk-on and short covering that characterized the month of May, hurting us across Short single name books in the funds. During the rest of the month Equity markets traded sideways and we could finally see some return dispersion in favour of our engines, mitigating some of the large beginning of the month drawdown. At a strategy level in EM, we were hurt by our Short Machine Learning and Value books, both having a strong bias to leveraged and negative free cash-flow companies that participated to the early-month bounce amid record short-covering. In our Short book, our South Korea exposure was particularly costly with wide market moves in the country, and our short exposure in the HealthCare, Industrials and Energy sectors impacted the most on a sector basis. Also, regardless of Covid statistics and potential impact on the Brazilian economy, our short names in the county contributed negatively. The uncertainty we see in companies’ fundamentals and earnings revisions is likely to translate into more volatility in the next weeks and months, and the defensive positioning of our Momentum engines should be a positive driver of relative performance when that occurs. After the recent record short covering in the market, we also see a large number of Low-Quality, highly leveraged and negative free-cash-flow companies trade at very generous levels of valuation despite the current challenging environment, which provides a lot of attractive opportunities for our Short single name engines.

*Sources : RAM Active Investments