11 February 2021

Philippe Huber, Tony Guida

The RAM (Lux) Systematic Funds - Diversified Alpha Fund (Class–PI USD net of fee*) started the year on a strong footing by generating +1.96% in January.

The first month of 2021 forced us to remember the old quote from Mark Twain “history does not repeat but it does rhyme”. Since the start of the global COVID crisis a large pan of the economy is still shaking. Despite the promises of future packages and financial stimulus prospects of growth are far from being certain. Investors reacted negatively during the last days of the month due growing fears on potential US unrest, further virus containment measures and erratic moves in the price action of the most shorted stocks by the Hedge Fund community. All this resulted in an increase of dispersion of assets, especially in the second part of the month, paving the way for short-term strategies. The rise of retail day traders, manifested mainly through the story of GameStop’s short squeeze, has propelled some major discretionary Hedge Funds to deleverage quickly, hence bolstering the dispersion in certain segment of equity market.

Our strategy is based on our proprietary Genetic algorithms process that build portfolios of short, mid, and long-term strategies implemented to take advantage of trend and reversal trading across and intra asset classes. In January, the fund mainly benefited from the short-term book in all our investment programs. The monthly performance has been built thanks to both Futures and Equity programs that finished the month in green territory. With respect to Futures program, it took advantage of the short leg in mid-term bonds and FX mainly, while the Cash Equity program thrived through its long leg in Pharmaceuticals and Capital Goods in US securities especially. The best contributor of the month has been the short positioning in Australian bonds. On the other side, the worst contributor has been the long exposure in long-term Euro bonds.

Source: RAM Active Investments.