Commentaries

30 August 2019

Maxime Botti

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 -2.10%* (I USD class – net of fees) in August. On trend with summer’s past, August proved a demanding month for equity markets. Persistent Trade War clouds continued to linger, hamstringing markets while we saw Argentina’s economy take a pounding, Germany’s economy faltering, a step-up in the intensity of the Hong Kong protests and the inversion of part of the U.S. Treasury curve sparking recession fears. This resurgence in geopolitical tensions has raised concerns about downside risks to the economic outlook, reflected in a selloff in equities and a rally in prices of developed government bonds. At the end of the period, stocks rebounded on trade hopes, signalling a “risk on” mode again for investors, as markets enjoyed their best week in nearly three months. These moves undermined our models, given the breadth and brevity of the rally. Our negative performance was almost entirely attributable to our Argentina exposure in our long Momentum engine, as the country’s president lost by a wider-than-expected margin during the election process, sending a shockwave through markets. Elsewhere on a strategy basis, the long Defensive engine was the month’s best performer, followed by Momentum, while Value’s relative underperformance continues unabated. Our short Machine Learning and Value engines overshot the market, causing further losses, while our Short Quality was highly alpha generative. On a country basis, short positions across Brazil and Australia added, while profitable short positions in South Korea failed to offset negative longs, detracting from fund performance overall.

*Sources : RAM Active Investments