Commentaries

12 June 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 +0.90%* (I EUR class – net of fees) in May. European markets were slightly better insulated from the contagion effect emanating from the escalation of the trade war between the U.S. and China than their global peers but were still undercut by the gyrations on the election front. Many of our peers entered the month with their net exposure sitting near their lowest level in almost two years, suggesting a cautious stance. May was a particularly violent month from a fundamental investor perspective, with Value names suffering a sharp reversal from April’s highs, while both Momentum and Low Risk names returned to flavour. Our positive performance was largely attributable to the asymmetrical nature of our selection engines, which were perfectly illustrated in an extremely negative market in which all our short strategies produced strong returns. Our long Value and Machine Learning Strategies suffered during May’s woes, however, our Momentum (long and short) and Short Quality strategies all delivered significant alpha. The wider market’s downside stress created a fertile backdrop for these engines, coupled with the added diversification they bring particularly on the short side, enabling us to find overvalued or cashflow destroying names. On a sector basis, our IT picks within our Short Quality engine offset losses on the long side, while our short stock selection in the Health Care sector was the strongest positive contributor. From a country perspective, our long book’s losses in the UK and France were not completely offset by our short picks here. Short selections in both Belgium and Denmark were particularly fruitful, especially within our Short Momentum engine. 

*Sources : RAM Active Investments