Commentaries

9 August 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 -1.12%* (I USD class – net of fees) in July.   A relatively unremarkable month for much of July, until however, investor attention centered upon global central banks, whom were fully expected to continue their accommodative stance. With all eyes on the Fed, as expectations of a rate cut and further dovish rhetoric were heavily priced-in, markets were left disappointed amid a cautious outlook. Elsewhere, the reemergence of the global trade war, ignited by President Trump’s threats of a 10% tariff on an additional $300bn of Chinese goods, and geopolitical tensions across North Korea, Hong Kong and Iran ensured the month ended in volatile fashion. In the meantime, China’s economy quietly slipped to its lowest growth in 27 years, 6.2%. The market reaction to these figures was relatively muted. From a long strategy perspective, the Fund’s Value exposure was the main detractor, as the misery for this style continues unabated. Elsewhere, we saw our Momentum engine struggle amid the gyrations, as volatility picked up at the end of the period. Value’s ongoing struggles also meant that our Machine Learning engine joined it as the month’s relative laggard, but it remains our strongest contributor over 2019. On the short side, our Value engine was highly alpha generative, as was short ML. However, our Short Momentum and Quality engines outpaced the wider market, detracting. From a country perspective, losses emanated from China, India and South Korea names, contained within our long selection models. Within South Korea, our biggest detractor, we saw overweights to Industrials and selection of Consumer Discretionary stocks weigh, the latter benefited broadly from consensus-beating second-quarter corporate earnings reports. However, short picks here helped to offset some of the losses, particularly in our Short Value engine. Short picks in China’s IT and Communication Services sector also helped to generate alpha over the month.  

*Sources : RAM Active Investments