Commentaries

14 December 2020

Emmanuel Hauptmann

RAM Active Investments  RAM (Lux) Systematic Funds - European Equities Maxime Botti Partner & Senior Systematic Equity Fund Manager

The RAM (Lux) Systematic Funds - European Equities Fund (Class-IP EUR net of fee*) underperformed in November 2020 posting a return of 9.39% vs 13.95% for the MSCI Europe TRN€ Index, despite this underperformance, the fund continues to outperform the index over the year ( -3.84% vs -5.56%). 

The news of a surprisingly efficient vaccine for the pandemic by Pfizer on November 9th at a time when the second wave was strongly impacting again the fundamentals of all Lockdown-hit industries led to a historically violent market rotation in favour of these industries. The tail-event which occurred on Momentum, Low-Risk and Quality was by far the most painful the fund has experienced, concentrating in two days the scale of the worst multi-week rotations the fund has experienced before.
The book’s strategies were all negatively impacted by the risk-on move of the market, which led to a strong rebound of the largest loss making, most negative earnings’ trends companies in the market. Leisure, hospitality, energy services and transport industries were the largest negative relative contributors.
Our Momentum and Low Risk books were the most negatively impacted, while even our most Value-biased engines, Value and Agnostic Machine Learning lagged given their bias to Quality.
Over the month, we reduced mostly our United Kingdom allocation in favour of Switzerland, and Nordics countries. But most of changes took place at a sector level, with an increase across consumer sectors and technology (Communication Services and IT). Despite this difficult month for our fundamental approach, we remain in line with the market YTD and are well positioned to benefit from a potential increase volatility.

*Source: RAM Active Investments