Commentaries

14 December 2020

Emmanuel Hauptmann

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

The RAM (Lux) Systematic Funds - Long/ShortGlobal Equities Fund (Class-PI USD net of fee*) posted a performance of -6.77%. 

The news of a surprisingly efficient vaccine for the pandemic by Pfizer on November 9th 2020 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. This tail event has been amplified furthermore by a strong short covering on November 9th, as illustrated level of short interest decreasing sharply, despite being already at low levels.
Short UK Airline stocks which bounced back very aggressively detracted, while South Korean Health Care short picks cost in a remarkable upside that is probably coincident with a large amount of short covering. On the Long side, strong performance of our stock selections in Scandinavian countries helped soften the rotation hit
Over the month, we saw particularly re-allocation on our short Book, reducing our exposure in United Kingdom and Germany in favour of Hong Kong. This re-allocation took particularly place in Airlines, and hospitality services. Globally, we remain net short Healthcare and Energy.
We believe that the fund can be a strong diversifier next to long equities and long credit in the environment lying ahead. After this market rotation, we see some degree of adjustment in the book on the momentum side, reducing risk on some lockdown plays. We continue to see a lot of asymmetry in valuation within our books that could benefit us in a risk-off environment.

 

Source: RAM Active Investments.