Commentaries

14 December 2018

Thomas de Saint-Seine

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 -2.45%* (I EUR class – net of fees) in November. Fundamental, and specifically equity hedge funds suffered significant losses as the continuation of October’s woes continued for a second consecutive month. The reduction of leverage by equity and hedge funds globally, which have reached their lowest levels since 2012, have increased the pressures on names held by us and our peers, causing selling pressure on long positions. Broadly it was our long book which struggled amid this testing technical backdrop (Momentum and Machine Learning (ML); a continuation of last month’s woes. Elsewhere our Defensive engine continued to buck the trend, maintaining its strong year-to-date and preserving further losses. Our Short engines were extremely alpha generative, underperforming the wider market, with our ML, Value and GARP/Momentum all contributing nicely. At the country level, longs in the Nordics, France and the UK all detracted, but we saw shorts in the latter reduce some of these losses. Similarly, in Germany we saw some losses from our long pics, offset nicely by our shorts. Within our short engines, Austria was the strongest performer. Despite this difficult technical environment, we believe our beta-neutral approach can deliver interesting alpha potential across both our long and short books to investors and we can expect to recover from this drawdown as fundamentals return as the driver of markets.

*Sources : RAM Active Investments