Commentaries

11 April 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 0.07%* (I USD class – net of fees) in March. Markets appear caught between incoming data that suggests decelerating global growth, and the Fed’s dovish tones, which continue to be supportive of risk assets. We believe that the sustained neglect to a slew of weakening macroeconomic data points to an extremely complacent market. March’s key underlying theme was the stark underperformance of Value vs Growth stocks, with the latter continuing to trade at stretched levels particularly across both the IT and Communication Services sectors in Asia, our models were naturally diversified away from these hot-spots. The month’s risk-on environment was a positive sign for certain sectors, leading to short covering amongst peers. This short covering was largely supportive of equity markets throughout March, despite the weakening growth outlook we’ve mentioned above. Our significant net short bets in South Korea were largely behind our month’s positive performance, with the country struggling in March, while we also saw positive contributions from our long picks in Taiwan and India. On the negative side, long picks in Brazil and Poland detracted markedly, the former to a lesser extent owing to a positive contribution from our shorts. From a sector perspective, we saw Consumer Staples and Energy names weigh negatively, especially within our Long Momentum and Long Value engines. On the positive side, long picks in Real Estate and short picks within Health Care names generated meaningful alpha. From an engine perspective, our long Value and Momentum engines struggled, however our Machine Learning and Defensive engines enjoyed a profitable month. Our short engines did not enjoy a profitable month, outperforming the wider market, with only our Machine Learning engine generating alpha, as expected our Short Value strategy was the month’s worst performer.

*Sources : RAM Active Investments