Commentaries

10 May 2021

Philippe Huber, Tony Guida

The RAM (Lux) Systematic Funds - Diversified Alpha Fund (Class–PI USD net of fee*) continues to enhance its year-to-date performance by generating +0.80% in April.

In April, financial markets witnessed one of the best monthly performance for commodity indices since 2016. On the equity front, new highs were (once again) reached in the first part of the month. However, news about significant increase in CPI pushed investors further to think about the end of the era of “irrational equity valuation”, prompting a slowdown in stock price momentum. As a reminder, from the bottom of the COVID crisis US equity indices have rebounded more than 90% in only 14 months. For comparison, commodity indices gained less than half of the equity upside during the same period.

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 a less volatile environment, our trend exposure in futures (especially commodities) has been driving the month’s performance. Conversely the short-term reversal (MT and ST) of the equity programs have been contributing more modestly.

The first part of the month was positive for our cash equities program while the second part was dominated by our futures program, fueled by commodities exposure. The performance of the equities’ leg of the fund has been flat with long positions that have been globally outperforming while shorts have been negative on average. Symmetrically different than March, in April futures program has supported the performance of the fund, mainly through the long-term commodity allocations, benefitting from trend’s momentum. In this bucket, the best contributors of the month have been the long positioning in Corn and Soybeans contracts. On the other side, the worst contribution came from Taiwan equity futures.

Source: RAM Active Investments.