Commentaries

14 November 2018

Emmanuel Hauptmann

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

The RAM (Lux) Systematic Funds - Long/Short European Equities Fund fell -3.81%* (I EUR class – net of fees) in October. European equities continue to be particularly unstable over the past few 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. While these market rotations can prove painful, we never adjust our exposure to ensure we can capitalize on reversals that tend to follow. Our peers have also been negatively impacted, some to a far greater extent, with many posting their worst monthly returns since the 2008 crisis. October produced a remarkably difficult stock picking environment; as top long positions underperformed their respective indices compounded by top short positions outperformed theirs. Overall it was our long strategies detracted, with Momentum and Machine Learning (ML) engines underwhelming. Elsewhere our Defensive engine bucked the trend, continuing its strong year-to-date and preserving further losses, Value produced a mixed month. Again this month our short engines generated a remarkable amount of alpha with our Short Value and Short ML engines the primary drivers. Only our Short GARP/Momentum engine struggled to gain traction, owing to a mid-month rally as growth stocks returned to favour and sector and style rotations occurred. At the country level short picks in Switzerland, the UK and Germany were positive for the Fund overall. However, on the long side stock picking within Switzerland, Denmark and Austria all detracted. Sector-wise our longs in Health Care, Industrials and particularly Materials detracted significantly from performance. Despite these losses, we witnessed positive contributions from our shorts in Financials and Industrials names. Changes to our models were muted over the month, with a decrease of net exposure to the UK, which came at the expense of Norway, Finland and Austria. Our largest net short positions are in Germany and Switzerland, while conversely our largest net long positions are in Sweden and Norway. At a sector level modifications includes strong net reductions to both Health Care and IT, while Financials witnessed its net exposure increased.

*Sources : RAM Active Investments