Commentaries

14 December 2018

Thomas de Saint-Seine

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 again struggled in November, posting -3.37%* (Ip-EUR class – net of fees) vs -0.86% for the MSCI Europe TRN. November proved to be a particularly difficult month for number of competitors, with important sector rotations and technical factors impacting many type of approaches from quantitative to more traditional funds.  We saw our Fund track the index lower until the middle of the month, before a predominantly-large cap rally pushed markets higher as our small and mid-caps underperformed: a similar story to last month. Despite strong fundamentals, this move unsurprisingly was unhelpful. We believe this violent return of larger caps should offer an interesting upside for our all cap approach. In terms of style, our Defensive engine worked well, helping the Fund to resist while our other styles detracted. We believe we should see some interesting upside potential when looking at certain cyclical sectors that have recently suffered significantly. Given the uncertainty in the UK, we feel we are well positioned to mitigate the potential volatility there, with an allocation in line with the index and half of our GBP exposure already hedged.  Looking back at what we have experienced in the past in such environments of significant deleveraging and violent sector rotations, the level of this relative drawdown remains in line with what we can expect. It is of course always uncomfortable, historically we have recovered quickly following such episodes. Indeed, after a strong deleveraging phase, we now see higher levels of dispersion in the market, offering an interesting environment that our stock-picking process can potentially profit from.

*Sources : RAM Active Investments