Commentaries

10 June 2021

Philippe Huber, Tony Guida

The RAM (Lux) Systematic Funds - Diversified Alpha Fund (Class–PI USD net of fee*) has finished on a slight negative note with -27bps in May.

May was a much quieter month with regards to dispersion and volatility in the equity space, VIX levels are now closer to their pre-covid era. Globally, markets are still reacting to the cycle of worries/craving regarding inflation and the linked potential stimulus cutback in the U.S. that is at stake. Commodities’ run, started 14 months ago, is still on especially in energy and agricultural.

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 environment with lower dispersion in equity and lower volatility cross assets, our trend exposure in futures (especially commodities) has been performing well once again. Conversely the short-term reversal (MT and ST) of the equity programs have been detracting performance.

The first part of the month was very challenging for our cash equities programs (especially the Japan equity part) while our futures exposure, fueled by commodities, did very during the whole month. Performance of the equities’ leg of the fund has been negative (-172 bps), globally penalized by short positions in more cyclicals type of sectors. Futures’ program has been performing well (+135bps) notably thanks to bonds and commodities-metals. Indeed, reversal strategies on mid and short-term bonds have been profitable in May. Trend-based strategies on metals, with a lookback of 200 days in average, helped the funds mitigate the negative drag from single name equity.

The best contributors of the month have been the positioning in Gold and Nickel contracts. On the other side, the worst contributors have been exposure to FX and soybean meal futures.

Source: RAM Active Investments.