Commentaries

13 February 2019

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 returned +0.47%* (I EUR class – net of fees) in January. European markets experiencing a substantial risk-on environment with signs of improved valuations, enabling stocks to post their biggest monthly gain since October 2015. Typically, these type of strong market bounces prove most unhelpful for our engines. And, so it proved for our short engines; as both high- and low-quality stocks rallied strongly meaning our engines were unable to capture these nascent and fast-moving trends. From a long engine perspective, our Value and Machine Learning (ML) Strategies were the month’s clear strongest positive contributors, followed by Momentum, while Defensive lagged the wider market. On the short side, our Short Momentum was the worst-performer over the month, while Short Value followed by Short Quality followed suit in a difficult month for short stock pickers. Country-wise, longs in UK, Italy and France all contributed positively, with our short engines eroding some of this alpha. Picks within Germany via our Value and ML engines, also contributed positively, but suffered from our short engine’s alpha decay. Elsewhere, short stock selection in Switzerland weighed on returns. Financials and Energy longs, on a sector basis, were the strongest relative contributors, with only a little positive alpha eroded by our short engines. Conversely, IT picks across Austria and the Netherlands were negative.

*Sources : RAM Active Investments