Commentaries

12 March 2021

Philippe Huber, Tony Guida

The RAM (Lux) Systematic Funds - Diversified Alpha Fund (Class–PI USD net of fee*) exhibited a performance of 3.5% in February.

In February financial news have been filled with mainly two words in: REFLATION-TRADE. While the effects of reflation trade, globally outperformance for riskier assets, have been crystallised mainly in February, our algorithms initiated positions (short long-term bonds, overweight in energy and metals) in December last year. Hence depending on which side of the trade you were sitting this 2nd month of 2021 could have a curse or a blessing.

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 this very specific environment our short-term reversal exposure on the equity program, that experienced a very good January, has been challenged. Conversely the trend components (MT and LT) of the futures programs but also the MT reversal book have been doing very well in February

This month even though the cash equity program has been positive (50bps), futures’ program did the heavy lifting (300bps) to achieve a net performance of 3.5% for the fund. Best contributors on the future side have been the short position on long terms bonds, the exposure in energy linked commodities and the exposure in agricultural futures.

The best contributors of the month have been the short positioning US LT bonds and long for Brent crude oil. On the other side, the worst contributor has been Australian bonds (best contributor of last month).

 

Source: RAM Active Investments.