Commentaries

14 November 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 returned +0.71%* (I USD class – net of fees) in October. It was our short book which contributed to a positive month for the Fund, with our long engines underperforming the benchmark, particularly in the final week of the month. From a long strategy perspective both our Defensive and Machine Learning (ML) engines outstripped the market, while it was primarily our Value engine which cost us. October was a month where a risk-off mood dominated emerging markets triggered by declines in U.S. equities, amid various uncertainties including U.S.-China trade frictions and the Fed’s tightening path, presenting our models with an extremely challenging landscape. This environment actually proved extremely helpful for our short engines which continued to generate palpable alpha, offsetting the losses of our longs. Our Short ML significantly underperformed the market, and thus generated positive returns. All our short engines have contributed to October’s positive alpha. Country-wise China contributed across both sides of the book over the month. Within our long selection engines, South Africa (IT) and Russia (Materials) contributed. Conversely we witnessed detractors emanating from Taiwan (Materials) and off-benchmark Australia. Short pics within South Korea and Thailand were highly beneficial for our Fund.. On the sector-front our overweighting of the Health Care sector proved extremely beneficial, while IT and Industrials also added.. Conversely stock picking in Materials was the standout detractor. Allocation changes over the period included a net increase in our Russia and Poland exposure (the former is now our largest net country bet). Conversely our models trimmed their exposure to India, South Korea and Turkey. Sector alterations saw Industrials and Consumer Discretionary exposure trimmed which came at the expense of Energy and IT.

*Sources : RAM Active Investments