Commentaries

14 November 2018

Emmanuel Hauptmann

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 struggled in October, posting -7.63%* (Ip-EUR class – net of fees) vs -5.61% for the MSCI Europe TRN. European equities continue to be particularly unstable over recent months, with October no exception as negative macro-economic news from the political issues in Italy and the UK continue to impinge upon growth prospects and erode sentiment. Our Fund’s all-cap approach was a key factor in explaining some of this underperformance; while our large cap allocation was largely positive, it was our small (to a lesser extent) and mid-cap exposure which underwhelmed over the month. From a strategy perspective it was our Momentum and Machine Learning (ML) engines which detracted. Elsewhere our Defensive engine bucked the trend, continuing its strong year-to-date and preserving further losses, Value produced a mixed month, but ultimately underperformed the wider market. On a sector basis losses where felt across several sectors, but our Energy and Health Care pics where the most stark. Within the latter sector, it was our underweighting to Swiss names which ultimately cost us. Within the former sector UK names detracted heavily. On a country basis losses were contained within Switzerland and the UK in the aforementioned sectors. Additionally our overweight to Sweden, which has been a strong contributor year-to-date, detracted, as did stock selection here. On the positive side we saw our pics in Finland outstrip the wider market. Allocation changes at the country level include increasing our Switzerland, Norway and Finland exposure while reducing our allocation to the UK and Sweden. Changes to our models at the sector level include a reduction to Health Care and Industrials (the latter still remains our largest absolute sector bet), these moves came at the expense of Utilities and Financials.

*Sources : RAM Active Investments