Commentaries

15 March 2019

Thomas de Saint-Seine

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 -1.84%* (I USD class – net of fees) in February. Concerns over a potential sharp rebound in U.S. data, which would likely cause the dollar to rally and U.S. interest rates to rise, were the major concerns for emerging markets investors in February. Despite this headwind, the asset class was up sharply in the first part of the month, with Chinese stocks leading a sustained rally before this optimism faded leaving emerging markets trailing their developed counterparts over the month. It was our underweight to China & HK, coupled with the broad underperformance of small and mid vs their large cap counterparts that led to our negative performance. From an engine perspective, our long Defensive and Value engines where the month’s primary laggards, while our Machine Learning (“ML”) produced exceptionally strong returns and Momentum performed admirably. On the short side, our Momentum and Value strongly outperformed the market, causing negative alpha decay, while ML contributed positively. From a country perspective, we felt losses within our China & HK underweight, with our positive selection within our long book completely eroded by a weak selection effect in our shorts. South Korean selection across both sides of the book was also negative overall. On the positive side, our long book’s selection of Taiwanese IT and Financials names helped to stem losses. We lost money across both sides of the book within the Consumer Discretionary sector (with Brazil and South Korea), while our Energy selection also detracted. Conversely, longs in Real Estate, Materials and Financials helped to boost portfolio returns.

*Sources : RAM Active Investments