Commentaries

17 September 2018

Emmanuel Hauptmann

RAM Active Investments RAM (Lux) Systematic Funds - Long/Short Emerging Markets Equities funds Maxime Botti Partner & Senior Systematic Equity Fund Manager

The RAM (Lux) Systematic Funds - Long/Short Emerging Market Equities Fund fell by 2.62%* (I USD class – net of fees) in August. Both our long and short engines suffered a similar fate to our long-only strategy, with the situation in Turkey contributing to unique month for our Fund. Despite the positive contributions from our short engines, August’s narrative was focused on our long book’s exposure to Turkey which was responsible for over half of our losses. We also felt losses emanating from Asia; with South Korea and China & HK both detracting (in the case of South Korea, we felt pain across both sides of the book). Within China, despite our short engines managing to generate alpha, this was completely offset by our long engine’s allocation here. On the positive side long positions in India, and our short positioning in Brazil helped stem some of the losses over the month. At a sector level, the pain was shared across all sectors, with Health Care and Financials the relative laggards in a difficult month. The strong performance of our short engines in the Industrials and IT sectors were wiped out by our long engine’s negative alpha, which was the story of the month. In terms of reallocation moves at the country level we moved from net long to net short in China & HK, at the expense of Brazil which moved in the other direction.  Our exposure to Russia was also increased, particularly within Energy and Industrials names. On a sector basis our models moved further net short in the IT space (particularly HK and South Korean names), while our Health Care allocation went from net long to net short. Elsewhere, we increased our exposure to Telecommunications and Energy.

*Sources : RAM Active Investments