Commentaries

14 November 2018

Emmanuel Hauptmann

RAM (LUX) SYSTEMATIC FUNDS – LONG/SHORT GLOBAL EQUITIES

The RAM (Lux) Systematic Funds - Long/Short Global Equities Fund returned -0.64%* (PI USD class – net of fees) in October. A tumultuous October and the worst month for global shares since May 2012 greeted investors. While risks abound from the likes of European politics and slowing Chinese growth, global equities on the long side struggled as investors indiscriminately binned the most crowded names which underperformed, while compounding the pain by selling the top crowded shorts which were outperforming: a perfect storm. Naturally, given this market context, our Value engines have struggled the most over the month, while our Defensive engine, as with our other funds, has been the best relative performer, helping to stem losses. Elsewhere our short engines performed extremely well, with our Short GARP/Momentum and Short Value engines the best relative performers. From a country perspective, France, Japan and Canada were the primary detractors. Within Japan we saw our longs across both Consumer Staples and Health Care severely underperform despite a contribution from our short pics, failed to offset these losses. We witnessed a similar situation within France, where our long stock selection was the primary driver of underperformance. Conversely we saw significant alpha generated across both Switzerland and the U.S.. Within the latter it was our short engines which produced significant alpha, offsetting losses felt in our long book. From a sector perspective our long engines detracted across both Consumer Discretionary (France and Japan) and Financials (U.S. and Canada), with positive alpha generated in Consumer Staples (U.S. and South Korea) not enough to offset losses felt here. Our models at the country level increased their net bets in Japan, South Korea and Australia at the expense of the UK, Canada and France.  Sector adjustments by our models revealed a significant increase in both Consumer Discretionary and Energy net exposures, while as a consequence Financials and Materials were reduced.

*Sources : RAM Active Investments