Commentaries

10 October 2018

Maxime Botti

RAM Active Investments  RAM (Lux) Systematic Funds - European Equities Maxime Botti Partner & Senior Systematic Equity Fund Manager

 

The RAM (Lux) Systematic Funds – European Equities Fund gave back some of its strong YTD outperformance in September, posting -0.47%* (Ip-EUR class – net of fees) vs +0.53% for the MSCI Europe TRN. European equities have been particularly unstable over the past few months, with negative macro-economic news continuing to impinge upon growth prospects and underwhelm. The end of the month witnessed political turmoil stemming from Italy amid concerns surrounding the country's budget and deficit targets for 2019 and infighting in the government. While our large cap allocation has helped to drive our year-to-date outperformance, our allocation here did suffer more than smaller caps this month. From a strategy perspective, our Momentum was the relative laggard for the month, while Value and Defensive also undershot the wider market. However, we did witness strong positive performance from our Machine Learning (“ML”) strategy. Despite our conservative positioning we suffered losses stemming from stock selection in the UK and Switzerland, while Denmark also detracted (all Momentum). We witnessed positive contributions from our Norway (Momentum) and Germany (ML) selections, the former country particularly alpha generative in both the Energy and Consumer Staples sectors. On a sector basis our losses were contained within the Financials and Health Care sectors, while our Consumer Discretionary selections detracted. Within our Financials picks, our exposure to a UK name cost us the most. We did, however, generate sizeable alpha in the Consumer Staples sector, with a helpful underweight and positive stock selection effect emanating from our ML Strategy. Changes to our models at the sector level include a reduction to Consumer Staples names at the expense of Financials, while Industrials remains our biggest relative overweight vs the benchmark. At a country level our models continue to allocate to Sweden (our largest relative bet vs the index) while we saw Norway and the UK trimmed.

*Sources : RAM Active Investments