Commentaries

8 February 2021

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*) by 2.12% over the month in a down market (MSCI Europe TRN -0.75%).

The rise of retail investors’ volume in recent quarters has exacerbated volatility in January. Large flows into high Short Interest names with US listings (Gamestop, AMC, Nokia,…) has driven to Short Squeezes on a large number of companies’ stocks and to a sudden deleveraging and short covering by the hedge fund industry. European Equities were impacted by the “second order” deleveraging, with large performance reversal of most crowded shorts versus the rest of the market. In this context the fund performed well thanks to the alpha generated on both sides of the book. Negative impact of the short covering on specific high Short Interest names in the Short book was offset by good performance of the rest of our Shorts, which provided significant alpha during the end of month correction overall. Our Long and Short Value engines were the best contributors, as the extreme dispersion in the valuations of the market started to bear its fruits for our stock picking. The Industrials sector, our largest gross exposure in the fund across Longs and Shorts, was a strong contributor on both sides. All our engines generated positive alpha last month in the Large and Mid Cap segment of the book, while the Small cap part of the book detracted slightly, with some selective shorts in the segment hurt in the short covering. We remain net Long Industrials while slightly net short Energy where very few names make it either into our Long or Short single name strategies.

Source: RAM Active Investments.