Commentaries

Commentaries

9 February 2024

Systematic Equities Monthly Comments - January 2024

RAM Emerging Markets Equities
In January, Chinese stocks led the decline in Emerging Markets, with continued outflows from the country despite its increasingly attractive valuations.

The RAM (Lux) Systematic Funds - Emerging Markets fund (hereinafter ‘the Fund’) (Class-IP USD net of fee*) performed better than the index,** declining by 3.71% compared to the index's larger correction of over 4.6%, resulting in a 90 basis points outperformance for the month.
Our Chinese allocation in line with the index (after the underweight was trimmed end of last year) had little contribution over the month, while our selection in the country outperformed.
The best alpha picks were found within momentum and low risk segments of the market last month while our value-biased picks lagged.
Our Mid and Small Cap selections performed the best as there was a large dispersion of returns across the universe.
The fund benefitted from its underweight in South Korea, from its overweight allocation to Malaysia and satellite selection in Australia.
India was once again a detractor of performance last month as inflows to the country continued despite very stretched valuation levels.
The fund remains underweight there while being overweight Malaysia, benefitting from strong growth momentum at cheaper valuations, and Thailand namely.
*Note: IP USD share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, UK, IT, NL, NO, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns. 
** The portfolio is actively managed on a discretionary basis with reference to a benchmark. While the product compares its performance against the Index, it does not try to replicate this benchmark and freely selects the securities that it invests in. The deviation with this benchmark can be significant.

RAM European Market Neutral Equity
The beginning of the year saw European Equity markets experiencing significant fluctuations, initially losing some of the gains from December, only to later reach new historical highs. The speculative environment at the end of 2023 presented numerous appealing short opportunities, as short covering and speculative purchases pushed many low-quality stocks to unjustifiably high valuations. 
These trends reverted back in favour of our investment strategies last month as the market repriced fundamental risk across several industries. Strong performance of our short single-name engines helped the RAM (Lux) Systematic Funds –European Market Neutral Equity fund (Class-I EUR net of fee*) progress by 5.3%, while the market was slightly up after the end-of-month rally (MSCI EU TRN up 1.6%).
Short picks of the fund in semiconductors, specialty chemicals and renewable energies were among the best contributors to returns.
All our short alpha engines across value, quality or momentum universes contributed positively to the returns last month, our picks within overvalued market segments performing the best.
On the Long side of the portfolio, alpha picks within low-risk universes performed the best while picks of momentum-biased stocks underperformed.
The long portfolio was overall in-line with the market over the month.
The fund has net long picks in marine transportation stocks, multi-line insurance and pharmaceutical stocks, while being net short in selective renewable energy/energy storage, life insurance and semiconductor names.
*Note: I EUR share class currently registered in LU, AT, CH, DE, ES, FR, UK, IT, NL, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns. 
 
RAM European Equities
European equities experienced significant volatility in the first half of the month, with the MSCI Europe index declining by over 2%.* Despite this, the RAM (Lux) Systematic Funds – European Equities fund (Class-IP EUR net of fee**) demonstrated resilience and incurred a substantially lower drawdown. In the latter part of the month, both our fund and the index exhibited strong performance, particularly driven by prominent Large Cap stocks such as Française des Jeux and LVMH. Consequently, our fund concluded the month with a 1.57% increase, aligning closely with its benchmark but exhibiting lower volatility throughout the period.
The United Kingdom, representing our largest allocated country, made a substantial contribution to the fund's relative performance in both allocation and selection. Our German selection mirrored the benchmark, while France had a negative impact on the fund's relative performance due to our underweight position in French Large Cap stocks. In contrast, our selections in Sweden, Portugal, and Norway contributed positively to the fund's overall performance. 
Currently, the fund is adjusting its weight by increasing allocations in the UK and Norway and reducing allocations in Germany and France.
The fund strongly performed in Industrials, its biggest allocated sector, thanks to strong picks in Transportation and Capital goods. However, Information Technology and Consumer Discretionary sectors had a negative impact on the fund's relative performance, primarily influenced by the quarterly results of key players such as LVMH and La Française des Jeux, in which the fund holds an underweight position. Meanwhile, the Financials sector delivered strong results, but Energy picks had a detrimental effect on the fund's relative performance. 
The fund is currently rebalancing by increasing allocations in Healthcare and Financials and decreasing allocations in IT, Consumer Discretionary, and Industrials.
The fund's selection in the Mid Cap segment significantly contributed to its relative performance, outperforming the benchmark despite the segment's overall decline. Although the Large Cap selection outperformed, the fund's underweight position in this segment offset the positive performance of our picks. The Small Cap segment positively contributed to the fund's overall performance.
*The portfolio is actively managed on a discretionary basis using a benchmark. Although the product compares its performance to that of the MSCI Daily Net TR Europe Euro, it does not seek to replicate this benchmark and is free to choose the securities in which it invests. The securities in which it invests. The difference with this benchmark may be significant.
**Note: IP EUR share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, IT, NL, UK, NO, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.

RAM Stable Climate Global Equities
The RAM (Lux) Systematic Funds - Stable Climate Global Equities Fund (hereinafter the ‘Fund’) (Class-PI USD net of fee*) was up 1.25% in January.
Despite the backdrop of a protracted 21-month decline in key economic indicators, such as the Leading Economic Indicator (LEI), global developed Equity markets generally performed well. This was particularly true for US Equity indices, which benefitted from a resurgence in economic activity in the US—a significant upswing in business operations in January. This resurgence coincided with an easing of inflationary pressures, as evidenced by the lowest increase in company product prices in more than three years.
The market favoured different segments compared with December, particularly regarding factors. While last month saw highly liquid Growth stocks outperform, Momentum and Low Volatility led the market upside this time.
In terms of sectors, the fund saw mixed results, with strong selection in Consumer Staples, Communication Services, and Materials. In contrast, picks were less successful in Consumer Discretionary, Industrials, and IT. The EU Taxonomy strategy, mainly investing in Utilities, finished the month slightly negative.
Mid Cap segments suffered, underperforming the main index by close to 2.5%. The Mid Cap allocation of the fund performed relatively well, somewhat limiting the downside of the allocation.
As in December, the US was the largest contributor. Japan was the most negative contributor, followed by Germany.
The fund slightly reduced the Healthcare allocation. It is still the largest sector exposure (20%) in front of Financials (16.5%) and Consumer Discretionary (15%).
The fund's carbon footprint aligns with its sustainability goals, boasting a significantly lower greenhouse gas intensity compared to the global Equity market average.
ESG leaders outperformed the main index by 55 basis points, while Low Carbon stocks ended the month on par with the broader market.
*Note: PI USD share class currently registered in LU, AT, BE, FI, UK, NO, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.


RAM Global Equity Income
The RAM (Lux) Global Equity Income Fund (hereinafter the ‘Fund’) (Class-IP USD net of fee*) was up 0.02% in January. However, the fund underperformed the MSCI World High Dividend Yield Index TRN$, which rose by 0.54%. The Global Equity Market Index finished the month up 1.2%.**
Despite the backdrop of a protracted 21-month decline in key economic indicators, such as the Leading Economic Indicator (LEI), global developed Equity markets generally performed well. This was particularly true for US Equity indices, which benefitted from a resurgence in economic activity in the US—a significant upswing in business operations in January. This resurgence coincided with an easing of inflationary pressures, as evidenced by the lowest increase in company product prices in more than three years.
The market favoured different segments compared with December, particularly regarding factors. While last month saw highly liquid Growth stocks outperform, Momentum and Low Volatility led the market upside this time. The Dividend Yield factor and Share Buyback ended the month close to flat when considering the top vs. bottom performance spread.
Japan was the main performance detractor due to both negative allocation and selection effects, followed by the US. In contrast, Australia and Switzerland contributed positively.
Negative selections were observed in the Consumer Discretionary, Healthcare, and Communication Services sectors. The EU Taxonomy strategy, mainly investing in Utilities, finished the month slightly negative.
The Mid Cap and Small Cap allocations penalised the fund's return as the market saw an overall Large Cap outperformance (Mid Cap index underperformed the main index by close to 2.5%).
The fund maintains an overweight position in Financials and Consumer Discretionary and remains underweight in Materials and Energy, in line with its sustainability focus.
The fund's carbon footprint and greenhouse gas intensity metrics continue to align with the sustainability goals of the sustainable investments performed, remaining below benchmark levels.

*Note: IP USD share class currently registered in LU, AT, CH, DE, DK, ES, FI, FR, IT, NL, NO, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns.
** The portfolio is actively managed on a discretionary basis using a benchmark. Although the product compares its performance to that of the MSCI World High Dividend Yield Net Index, it does not seek to replicate this benchmark and is free to choose the securities in which it invests. freely chooses the securities in which it invests. The difference with this benchmark can be significant.


RAM Global Market Neutral Equity
The RAM (Lux) Global Market Neutral Equity Fund (Class-PI USD net of fee*) was up 3.76% in January, while the MSCI World index returned 1.2%.
Despite the backdrop of a protracted 21-month decline in key economic indicators such as the Leading Economic Indicator (LEI), global developed Equity markets generally performed well, in particular US Equity indices, on the back of a resurgence in economic activity in the US - significant upswing in business operations in January -, which also coincided with an easing of inflationary pressures, as evidenced by the lowest increase in company product prices in more than three years.
The Short book was the main contributor to the performance, with a broad based contribution from all our short Alpha engines. Momentum and Defensive engines performed strongly, and high beta low quality stocks underperformed, after leading during the December short squeeze.
The top contributing sector was Industrials, where the Fund retains a net long bias and a high level of gross exposure. Top short picks being providers of equipment and solutions to the renewable energy sector, while long picks among more established and diversified industrials performed well. This sector still currently exhibits a particularly high level of valuation dispersion. 
Our shorter term statistical arbitrage strategy also performed positively in January, returning close to 1.5%, despite the overall good performance of long-term price momentum signals.
With the view to further diversify the mix of Alpha sources in the fund, we deployed a small allocation to a VIX future arbitrage strategy in January, which is a dynamic long-short strategy seeking to extract carry from the VIX future term structure.
The Fund captures a well-diversified set of inefficiencies through its Alpha engines, and the level of valuation dispersion remains elevated among Global equities – especially across a universe extended to Small and Mid Caps

* Note: PI USD share class currently registered in LU, CH, DE, DK, ES, FI, UK, IT, NO, SE, SG (foreign restricted recognised scheme). Please refer to the fund factsheet to obtain a global overview of performance since inception. Past performance is not a reliable indicator of future returns. 


Important Information
Important Information: The sub-funds mentioned above are Sub-Funds 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 Active Investments (Europe) S.A., 51 av. John F. Kennedy L-1855 Luxembourg, Grand Duchy of Luxembourg is the Management Company.
The information and analyses contained in this document are based on sources deemed to be reliable. However, RAM Active Investments S.A. cannot guarantee that said information and analyses are up-to-date, accurate or exhaustive, and accepts no liability for any loss or damage that may result from their use. All information and assessments are subject to change without notice.
This document has been drawn up for information purposes only. It is neither an offer nor an invitation to buy or sell the investment products mentioned herein and may not be interpreted as an investment advisory service. It is not intended to be distributed, published or used in a jurisdiction where such distribution, publication or use is forbidden, and is not intended for any person or entity to whom or to which it would be illegal to address such a document. In particular, the investment products are not offered for sale in the United States or its territories and possessions, nor to any US person (citizens or residents of the United States of America). The opinions expressed herein do not take into account each customer’s individual situation, objectives or needs. Customers should form their own opinion about any security or financial instrument mentioned in this document. Prior to any transaction, customers should check whether it is suited to their personal situation, and analyse the specific risks incurred, especially financial, legal and tax risks, and consult professional advisers if necessary.
Note to investors domiciled in Singapore: shares of the Sub-Fund offered in Singapore are restricted schemes under the Sixth Schedule to the Securities and Futures (Offers of Investments)
(Collective Investment Schemes) Regulations of Singapore.
There is no guarantee that the holdings shown will be held in the future. The investment described concerns the acquisition of shares in the Sub-Fund and not in a specific underlying asset. Past performance is not a guide to current or future results. There is no guarantee to get back the full amount invested. The performance data do not take into account fees and expenses charged on subscription and redemption of shares nor any taxes that may be levied.
RAM Active Investments may decide to terminate the marketing arrangement in place in any given country in accordance with Article 93a of Directive 2009/65/EC.
Leverage intensifies the risk of potential increased losses or returns. Changes in exchange rates may cause the NAV per share in the investor's base currency to fluctuate.
Please refer to the Key Investor Information Document and prospectus with special attention to the risk warnings before investing. For further information on ESG, please refer to https://www.ram-ai.com/en/regulatory-information and the relevant Sub-Fund webpage (section ‘sustainability-related disclosures’). The prospectus, constitutive documents and financial reports are available in English and French while PRIIPs KIDs are available in the relevant local languages. These documents can be obtained, free of charge, from the SICAVs’ and Management Company’s head office and www.ram-ai.com, its representative and distributor in Switzerland, RAM Active Investments S.A. and the relevant local representatives in the distribution countries.
This marketing document has not been approved by any financial Authority. A summary of Investors’ rights is available on: https://www.ram-ai.com/en/regulatory-information
This document is strictly confidential and addressed solely to its intended recipient; its reproduction and distribution are prohibited. It has not been approved by any financial
Authority. Issued in Switzerland by RAM Active Investments S.A. (Rue du Rhône 8 CH-1204 Geneva) which is authorised and regulated in Switzerland by the Swiss Financial Market Supervisory Authority (FINMA). Issued in the European Union and the EEA by the Management Company RAM Active Investments (Europe) S.A., 51 av. John F. Kennedy L-1855 Luxembourg, Grand Duchy of Luxembourg. No part of this document may be copied, stored electronically or transferred in any way, whether manually or electronically, without the prior agreement of RAM Active Investments S.A.

 

Legal Disclaimer

This document has been drawn up for information purposes only. It is neither an offer nor an invitation to buy or sell the investment products mentioned herein and may not be interpreted as an investment advisory service. It is not intended to be distributed, published or used in a jurisdiction where such distribution, publication or use is prohibited, and is not intended for any person or entity to whom or to which it would be illegal to address such a document. In particular, the products mentioned herein are not offered for sale in the United States or its territories and possessions, nor to any US person (citizens or residents of the United States of America). The opinions expressed herein do not take into account each customer’s individual situation, objectives or needs. Customers should form their own opinion about any security or financial instrument mentioned in this document. Prior to any transaction, customers should check whether it is suited to their personal situation and analyse the specific risks incurred, especially financial, legal and tax risks, and consult professional advisers if necessary. The information and analyses contained in this document are based on sources deemed to be reliable. However, RAM AI Group cannot guarantee that said information and analyses are up-to-date, accurate or exhaustive, and accepts no liability for any loss or damage that may result from their use. All information and assessments are subject to change without notice. Investors are advised to base their decision whether or not to invest in fund units on the most recent reports and prospectuses. These contain further information on the products concerned. The value of units and income thereon may rise or fall and is in no way guaranteed. The price of the financial products mentioned in this document may fluctuate and drop both suddenly and sharply, and it is even possible that all money invested may be lost. If requested, RAM AI Group will provide customers with more detailed information on the risks attached to specific investments. Exchange rate variations may also cause the value of an investment to rise or fall. Whether real or simulated, past performance is not necessarily a reliable guide to future performance. The prospectus, key investor information document, articles of association and financial reports are available free of charge from the SICAVs’ and management company’s head offices, its representative and distributor in Switzerland, RAM Active Investments S.A., Geneva, and the funds’ representative in the country in which the funds are registered. This marketing document has not been approved by any financial Authority, it is confidential and its total or partial reproduction and distribution are prohibited. Issued in Switzerland by RAM Active Investments S.A. which is authorised and regulated in Switzerland by the Swiss Financial Market Supervisory Authority (FINMA). Issued in the European Union and the EEA by the Management Company RAM Active Investments (Europe) S.A., 51 av. John F. Kennedy L-1855 Luxembourg, Grand Duchy of Luxembourg. The reference to RAM AI Group includes both entities, RAM Active Investments S.A. and RAM Active Investments (Europe) S.A.