Commentaries

12 July 2021

Philippe Huber, Tony Guida

The RAM (Lux) Systematic Funds - Diversified Alpha Fund (Class–PI USD net of fee*) finished the month of June with a performance of 2.24%.

This last month for the first half of the year, demonstrated a very interesting environment for divergence and convergence strategies. Indeed, June was a more active month, with regards to dispersion and volatility in the equity space, exhibiting factors and sectors rotation that fuelled many short and ultra-short reversal strategies. On a much more macro note, moves for US and Euro LT bonds created short-term trading opportunities. Commodities’ universe showed some interesting breakdowns in the ranking structure within sub-commodities indices such as agricultural, metals and energy. Inflation and macroeconomic concerns are still fuelling one of the most pronounced commodities’ rally experienced through the last 10 years.

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 higher dispersion in equity and in futures markets, 85% of our programs have been profitable.

This month’s performance has been positive for both Futures and Equities, reflecting the slight pickup in equity dispersion and the increased volatility in the cross-commodities space. More specifically, the principal component of our monthly performance has been led by the futures programs, accounting for two third of the performance, benefiting both from trend and reversal strategies. Cash equity contribution has been shadowed by the poor performance from the Japanese partition of the program while US and Europe versions of the models have been performing well, benefitting from respective sector rotations.

The best contributors of the month have been the positioning in Gold and Natural gas futures. On the other side, the worst contributors have been exposure to metals such as Lead and Platinum.

 

Source: RAM Active Investments.