Multi Asset Monthly Comment - May 2023

RAM Global Multi Asset

The global economy continued to present a mixed picture in May, with services PMIs indicating expansionary levels and manufacturing signalling a contraction in activity. The Debt Ceiling impasse had a limited impact on risk assets, far less than what was feared by market participants. Global equities finished the month in decline. Market breadth indicators, particularly in the US, continued to deteriorate, primarily due to the significant rally in tech companies (i.e., companies involved in artificial intelligence). NVIDIA's strong sales and earnings growth have further increased dispersion both between and within sectors. Another positive area of performance was observed in the Japanese Equity market, which benefited from a strong rebound in private consumption, while inflation continued to rise. In China, the pace of economic recovery slowed down, increasing the likelihood of support from central authorities. The market pricing of the Fed's interest rate policy remained volatile in May. Credit indices in USD ended the month down, primarily due to the negative effect of interest rates, whereas EUR Credit outperformed overall. The USD appreciated against major Currencies and Commodities, including precious metals, closed in negative territory.

The Risk Reducing bucket was the main drag on performance in May. Strategies aimed at mitigating Equity downside and curve/duration trades in USD had the largest negative impact, followed by the gold-related strategy. Despite some intra-month fluctuations, equity index volatility remained relatively low throughout most of the month and disconnected from other major asset classes’ volatility. Single Name Equity exposures outperformed thanks to US Tech names, while Diversified Equities detracted from performance (Climate, European and Shareholder retribution exposures). Liquid Alternative exposures detracted from performance to the negative impact stemming from Equity Market Neutral strategies, primarily driven by the behaviour of short positions. The divergence in Fundamentals between long and short positions has become significant, indicating a higher potential positive return in the coming months. Within this category, Fixed Income Long/Short exposures made a positive contribution, while CTA/Macro strategies experienced a slight decline. The Traditional Fixed Income book delivered a flat performance as the positive performance of EUR HY exposures offset the negative impact of the IG exposure.
 

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Important Information

RAM (Lux) Systematic Funds -Global Multi-Asset Fund is a Sub-Fund of RAM (Lux) Systematic Funds, a Luxembourg SICAV with registered office: 14, Boulevard Royal L-2449 Luxembourg, approved by the CSSF and constituting a UCITS (Directive 2009/65/EC).
RAM (Lux) Tactical Funds -SUSTAINABLE NEXTGEN TMF* 2028 FUND and SUSTAINABLE FLEXIBLE FUND are a Sub-Funds of RAM (Lux) Tactical Funds, a Luxembourg SICAV with registered office: 14, Boulevard Royal L-2449Luxembourg, approved by the CSSF and constituting a UCITS (Directive 2009/65/EC).
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