Commentaries

9 August 2019

Thomas de Saint-Seine

RAM (LUX) SYSTEMATIC FUNDS – LONG/SHORT GLOBAL EQUITIES

The RAM (Lux) Systematic Funds - Long/Short Global Equities Fund returned -0.08%* (PI USD class – net of fees) in July.  Despite a relatively muted start to the month, July witnessed some seismic shifts at the end of the period. In the space of three days, we witnessed a reignition of the global trade war with President Trump threatening a 10% tariff on a further $300bn of Chinese goods, and the Fed’s disappointing rhetoric amid a cautious outlook. Earlier in the period, the ECB kept their powder dry and maintain rates, but signaling its intention to introduce a comprehensive easing package, including rate cuts and the restarting of asset purchases (QE). Elsewhere, the S&P500 moving above the 3000 mark, establishing a new historical high, while conversely, China’s economy quietly slipped to its lowest growth in 27 years, 6.2%. The market reaction to these figures was relatively muted. Broadly, it was our long strategies which weighed over the month, with our Defensive and GARP/Momentum, struggling in a difficult month for fundamentally driven stock pickers. Elsewhere, Value continues to disappoint, negatively impacting our Machine Learning Strategy too. On the short side, our Momentum engine was highly alpha generative, capturing stocks with negative fundamental price trends. Elsewhere, our short Value also underperformed the market. Within our short picks, the U.S., Canada and the UK were all strong contributors, also enjoying alpha created by our long. On the negative side, our Asia exposure across South Korea, Hong Kong and Japan all weighed heavily. As the market adapts to a higher volatility environment, we can already begin to see in August the advantage of having a beta of close to zero in combination with short stock picking strategies.

*Sources : RAM Active Investments