Anständige Rendite ohne zu viel Risikomöglich? Chancen der Aktienanlage Beta-neutral mit Long/Short-Strategien nutzen

Transcription

1 Wiesbadener Investorentag Nassauer Hof 18 Juni 2015 Anständige Rendite ohne zu viel Risikomöglich? Chancen der Aktienanlage Beta-neutral mit Long/Short-Strategien nutzen Lic. Oec. Int. Pierre-Olivier Pourcelot C.E.F.A. Mitglied Der Geschäftsleitung RAM Active Investments AG

2 STRONG PERFORMANCE ON LONG ONLY AND SHORT EQUITY STRATEGIES The RAM Long/Short Emerging Markets Equities received the award for the best performing Emerging Markets L/S fund by UCITS Hedge Awards RAM Long/Short European Equities Fund awarded the HedgePo Investors choice Awards 2015 in the category Quantitative Equity Fund of RAM Emerging Markets Equities Fund awarded an excellence award by the Deutscher FondsPreis for the best Emerging Markets Equity Fund. RAM Emerging Markets Equities Fund has been awarded by Morningstar in Spain, Italy, Finland, Benelux in the category Best Global EM Equity Fund. RAM Emerging Markets Equities Fund received the award for the best fund in the Emerging Markets category by The European Funds Trophy RAM Emerging Markets Equities Fund has been awarded 2 nd place in the category Emerging Markets Equities Fund by Les Globes de la Gestion. RAM Active Investments short-listed to win a European Pensions Award in the category Alternatives Investment Manager of the Year. RAM Emerging Markets Equities wins the Investment Europe Fund Manager of the Year award in the category Global Emerging Markets. RAM is short-listed in the UK Pensions Awards "Emerging Markets Manager of the Year" category. RAM Long/Short Emerging Markets Equities ranked among the top 10 funds in the Emerging Markets Equity Global sector by BarclaysHedge. The RAM European Equities fund won the Lipper Fund Award 2011 in Spain and Italy in the European Equities category for the quality and consistency of its performance over three years. RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 2

3 I - HOW INSTITUTIONAL INVESTORS COULD BENEFIT FROM AN ALLOCATION TO BETA ZERO LONG/SHORT EQUITIES STRATEGIES NOW? Growth of 100 EUR Last 5 Years Cumulative Performance A annualized return of 9.25% with a volatility of 5.8%, over the last 60 months Our RAM Long/Short European Equities approach exhibits very low correlation to the European equity market (0.07 over 60 months) and persistent alpha generation over the mid term 5th to 25th Percentile Median to 75th Percentile RAM Long/Short European Equities Strategy Net of Fee 25th to Median 75th to 95th Percentile MSCI Europe Total Return Net EUR (Morningstar Long/Short Europe Equity+ Market Neutral Equity Funds, 197 oldest EUR share class) Note: RAM Long/Short European Equities Strategy performance net of fee (RAM L/S European Equities Fund Class I-EUR from December 2011 (1.5% of management fee + 20% of performance fee, before performance of the RAM Absolute Return Fund net of fees. Source: RAM Active Investments, MSCI indices as of Past performance is not a guide to future performance RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 3

4 II - HOW INSTITUTIONAL INVESTORS COULD BENEFIT FROM AN ALLOCATION TO BETA ZERO LONG/SHORT EQUITIES STRATEGIES NOW? Alpha, % An Optimising an equity investment pocket- Alpha vs Beta. Alpha vs Beta, since m odel inception, Most of Long/Short European Equity funds are 20% net long and with a 0.2 beta exposure. RAM Long/Short European Eq. fund is beta neutral and only delivers alpha extracted from the European equity market. The fund also reduces beta more than cash thanks to its decorrelation vs MSCI Europe Mstar Europe All Caps Equity Blend EUR Peers Group RAM Long/Short European Equities Strategy Net of Fee RAM LSEU 75% + MSCI Europe TRN 25% Composite RAM LSEU 50% + MSCI Europe TRN 50% Composite RAM LSEU 25% + MSCI Europe TRN 75% Composite Cash Euribor 3M 25% + MSCI Europe TRN 75% Composite Cash Euribor 3M 50% + MSCI Europe TRN 50% Composite Cash Euribor 3M 75% + MSCI Europe TRN 25% Composite MSCI Europe Total Return Net EUR Beta Source: RAM Active Investments, Morningstar, MSCI Index, as of ; created with MPI Stylus Pro RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 4

5 CONTROLLING ITS DOWNSIDE RISK IN CORRECTION PHASES Up Mkt Up Mkt Capture Ratio, % % M PT Statistics Up/Down Market Capture Ratio since inception inram LOC, Long/Short to European on common Equities w eekly dates Strategy A negative down market 120 capture ratio of -48% 110 means that when the 100 market is down by 1% the 90 fund is up by 48bps, while 80 the RAM Long/Short European Equities 50 maintains a neutral Beta Down DowMkt n Capture Ratio, Ratio, % % Our Beta Neutral approach brings a complementarity return profile when compared to our Peers. Morningstar Long-Short Europe Equity UCITS Funds Peers' Group MSCI Europe Total Return Net EUR RAM Long/Short European Equities Strategy Net of Fee Morningstar Alt- Market Neutral Equity UCITS Funds Peers' Group RAM Long/Short European Equities Strategy Net of Fee Note: RAM Long/Short European Equities Strategy performance net of fee (RAM L/S European Equities Fund Class I-EUR from December 2011 (1.5% of management fee + 20% of performance fee, before performance of the RAM Absolute Return Fund net of fees. Source: RAM Active Investments, MSCI indices as of RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 5

6 A NEUTRAL BETA, A PERSISTENT ALPHA Beta Month Rolling Beta vs MSCI Europe TRN in EUR, RAM Long/Short European Equities Strategy Net of Fee 5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile Beta 36-Month Rolling Alpha vs MSCI Europe TRN in EUR, Alpha, Alpha % An RAM Long/Short European Equities Strategy Net of Fee 5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile Alpha (Morningstar Long/Short Europe Equity+ Market Neutral Equity Funds, 197 oldest EUR share class) Note: RAM Long/Short European Equities Strategy performance net of fee (RAM L/S European Equities Fund Class I-EUR from December 2011 (1.5% of management fee + 20% of performance fee, before performance of the RAM Absolute Return Fund net of fees. Source: RAM Active Investments, MSCI indices as of RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 6

7 OUR INVESTMENT APPROACH PHILOSOPHY: Capture persistent inefficiencies across European Equity Markets Invest using fundamentally-driven stock picking strategies, applied systematically A disciplined long-short investment approach aimed at generating alpha on the both long and short side, neutralized with a book of index futures A fixed allocation of Value, Momentum, and Defensive strategies to avoid market timing risk/style arbitrage A proprietary alpha engine based on uncorrelated alpha sources in terms of style and market capitalization segments Benefits from the potential of an All Cap approach with strong focus on market impact and liquidity risk CHARACTERISTICS & OBJECTIVES Average annual returns around 8-12% Volatility budget of 6-8% Weekly liquidity Optimal long/short exposure to 400 stocks and index futures Strictly controlled UCITS risk parameters RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 7

8 REPEATABLE OUTPERFORMANCE ACROSS DISTINCT MARKET SEGMENTS A proprietary market impact model including volatility and liquidity metrics At RAM we have built a systematic engine which sits at the very heart of our investment philosophy, taking an optimal blend of Value, GARP/Momentum and Defensive sub-strategies We apply our systematic approach to equity investing; not seeking to time the market, in a highly-disciplined yet flexible approach across both Emerging Market and European equities In the second phase, the MOMENTUM substrategy takes over, catching new positive market trends Expansion GARP/ Momentum In an environment of rising volatility, our DEFENSIVE strategy helps stabilize portfolio returns Recovery Typical best performing substrategy Slowdown The first phase of the recovery would see a strong contribution of the VALUE sub-strategy - benefiting from a return to quality and small/mid cap effect Contraction Naturally, following the initial phase of the downturn, the VALUE, then GARP sub-strategies identify larger stocks, turning increasingly defensive RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 8

9 LONG PORTFOLIO - INVESTMENT PHILOSOPHY Our in-house research has led us to the construction of optimal fundamental, sentiment and technical factors combing to create different stock-picking strategies within 3 investment styles: Value Defensive Momentum Value names with strong free cash flow generation, superior profitability than peers and a high quality of balance sheet. Playing medium-term convergence of each selected name to its sector s valuation. Companies with high dividend and earnings yield, a low risk profile with a bias to large-cap non-cyclical stocks. Low-volatility income selection stabilizing the returns of the long book. High growth companies with sustained earnings and price momentum with a value bias. Playing the continuation of their divergence on the upside from the universe. RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 9

10 SHORT PORTFOLIO - INVESTMENT PHILOSOPHY The short book consists of a short index futures basket to neutralize the portfolio s beta, as well as short stock positions to enhance the alpha. 45% of short exposure in STOCKS 40-60% of short exposure in FUTURES D ecay A t S tretched P rices Negative Cash Flow Short Overinvestment Index Futures Basket Overvalued names Levered companies Companies having Shorting major European with negative destroying a high very high financing Index Futures (i.e. earnings momentum level of operating growth with weak EuroSTOXX50,CAC40, cash-flows, relative fundamental FTSE, DAX ) to their sectors dynamic RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 10

11 INVESTMENT METHODOLOGY Our approach is built on a balanced and disciplined investment process that continuously identifies opportunities across capitalizations and sectors. ~ 6000 STOCKS ~ 1500 STOCKS We consider the European Equity Market (EU15 + Switzerland and Norway) as the investment universe of the RAM Long/Short European Equities Fund. Data is screened so that only stocks with set liquidity profiles and capitalizations are selected. European caps: > EUR 150Mn PROPRIETARY ALPHA MODEL No Style Arbitrage implemented. Allocation between strategies are fixed Alpha Risk Impact Optimisation ~300 STOCKS LONGS ~150 STOCKS SHORTS 5 SHORT FUTURES Rebalancing every 6 weeks with electronic routing of orders to trading counterparts. Real-time monitoring of the orders. PORTFOLIO SCREEN Maximum Risk Adjusted Return Historical Beta : -0.2 to 0.2 VALUE ADDED RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 11

12 RISK GUIDELINES PORTFOLIO CONSTRAINTS: Max Net L/S country exposure: 25% Max Net L/S sector exposure: 25% Max Net L/S single stock weight: 3% PRINCIPAL RISK LIMITS: A strict VAR limit set at 15% (20 days- 99% confidence level) Maximum leverage via derivative instruments: 170% Stress Tests limits- Max Loss Level (1 Day, 1 Week, 1 Month) UCITS Regulatory Risk Limits (counterparty, concentration, coverage risk) Leverage, % RAM Long/Short European Equities Strategy Monthly Historic Leverage, % Long Book Short Stocks Book Short Index Futures Basket Net Exposure The fund s leverage is at a level below restrictions imposed by UCITS Guidelines, with less risk than the majority of competitors. RAM Long/Short European Equities Fund 2 nd Quarter 2015 Page 12

13 DISCLAIMER Disclaimer: This document is for informative purpose only and does not constitute an offer or solicitation to purchase or sell any investment products mentioned therein. It is not intended for distribution, publication, or use in any jurisdiction where such distribution, publication, or use would be unlawful, nor is it directed to any person or entity to which it would be unlawful to direct such a document. The opinions herein do not take into account individual clients circumstances, objectives, or needs. Each client must make his own independent decisions regarding any securities or financial instruments mentioned herein. Before entering into any transaction, each client is urged to consider the suitability of the transaction to his particular circumstances and to independently review, with professional advisors as necessary, the specific risks incurred, in particular at the financial, regulatory, and tax levels. The information and analysis contained herein have been based on sources believed to be reliable. However, RAM Active Investments S.A. does not guarantee their timeliness, accuracy, or completeness, nor does it accept any liability for any loss or damage resulting from their use. All information and opinions are subject to change without notice. Investors are invited to base their investment decisions in the form of Share subscriptions on the most recent prospectus and annual reports which contain additional information relating to the Shares and the Fund. Shares valuation and any income generated from them can increase as well as decrease and are not guaranteed in any way. The financial products mentioned in this document can fluctuate in value and may be subject to sudden and large falls that could equal the amount invested. Upon request, RAM Active Investments S.A. is available to provide more information to clients on risks associated with specific investments. Changes in the rate of exchange may also cause the value the investment to go up and down. Past performances, whether actual or back-tested, are not necessarily indicative of future performance. The prospectus, KIID, constitutive documents and financial reports are available free of charge from the SICAV s head office, its representative and distributor in Switzerland, RAM Active Investments SA, and the distributor in the UK, RAM Active Investments (UK) Limited, and the Paying and Information agent in Germany MARCARD, STEIN & CO AG. This document is confidential and addressed solely to its intended recipient; its reproduction and distribution are prohibited. RAM Active Investments SA is authorised and regulated in Switzerland by the Swiss Financial Market Supervisory Authority (FINMA). Issued in the UK to professional investors only by RAM Active Investments (UK) Limited, 35 Berkeley Square, London W1J5BF, incorporated in England and Wales, No RAM Active Investments is an Appointed Representative of Reyl & Co (UK) LLP which is authorised and regulated by the Financial Conduct Authority. All rights reserved. No element of this publication can be copied, memorised electronically or transferred by any means, whether mechanically or electronically without the prior written consent of RAM Active Investments S.A.