Commentaries

12 October 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 (Class-I EUR net of fee*) posted a performance of 2.73% bringing the Q3 return to 6.33%.

The fund posted a strong positive return on the market downside, with both the Long and Short books delivering strong alpha. The best performance contributors were our Low Risk, Momentum and Machine Learning engines (on the Long side), that remain well positioned for more volatility in the wake of the COVID crisis. Again, our Low Risk and Momentum engines were well positioned to benefit from more volatility thanks to wise stock selection. Logitech illustrates well how our models were able to identify companies with attractive earnings trends and price profiles. The company has been selected by both our Momentum and Low Risk engines. Additionally, the dispersion observed over the quarter in the small cap segment contributed to the fund’s outperformance. Finally, we see the first signs of a positive reversal of some of our Value-biased engines, i.e. the Machine Learning strategy coming back very nicely at the end of the month with very attractively valued names. On the Short side, while detracting significantly over the year, the short picks started to deliver some alpha as volatility increased. Given the weak state of a lot of cash-flow balances and balance sheets currently, we see strong alpha potential in the short book.

Source: RAM Active Investments.