Commentaries

10 October 2018

Maxime Botti

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 returned 0.65%* (I USD class – net of fees) in September. Both books contributed to a positive month for the Fund, with our long engines generating more alpha than our shorts. September saw the beta-neutral approach work well as our long engines (particularly our Defensive and Momentum strategies) dovetailed well with our shorts (particularly Short Quality and Short Value). Within China & HK for example our long and short engines generated tangible alpha. Within Taiwan our long book lost money, but was helped by our short engines which more than offset the losses felt here. At a pure country level both Russia and Turkey were the Fund’s primary drivers of positive performance. Within Russia, the Energy sector was a strong source of alpha, and we were positioned in the right areas here. Conversely, negative performance was generated in both South Korea and India, with the former’s positive long book performance being eroded by our shorts. Sector-wise, Energy and Financials were positive, the latter across both sides of our book. However, performance was dampened by Health Care and IT. The latter hurt us in our long book (particularly Taiwan), but this downside was cushioned somewhat by our shorts here. Allocation changes over the month include a further net reduction to our China & HK allocation and Russia. These reductions came at the expense of Turkey (a slight net short and now a net long) and India (increase in net exposure). At a sector level, the key change occurred in Industrials which saw its net exposure significantly increased at the expense of IT and Utilities. IT now remains the Fund’s largest net short bet.

*Sources : RAM Active Investments