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Vier Impulse : Eine Location, vier Manager, Ihre Zeit effektiv genutzt Speaker: Maxime Botti
Q3 2018
RAM Active Investments
The Background
2 RAM Active Investments | For Professional Investors Only
Company profile
RAM Active Investments
Key Facts:
Founding
- Established in 2007 by Thomas de Saint-Seine, Maxime Botti and Emmanuel Hauptmann
Ownership
- Majority owned by MedioBanca since 2018
Staff
- RAM currently employs 40 people
AUM
- AUM as at end of December 2017 stood at USD 5.0bn
Governance
- Regulated by FINMA, CSSF and the SEC
Luxembourg
Zurich
Geneva (Headquarters)
-
1'000
2'000
3'000
4'000
5'000
2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
The Growth of RAM’s Business (U.S. $mn)
Source: RAM Active Investments . As at 29th December 2017
3 RAM Active Investments SA | For Professional Investors Only
Who we are
RAM Active Investments
Company
We are an active specialist and alternative asset manager with the mission to deliver high risk-adjusted returns, diversification benefits, and liquid
products and solutions to our investors.
Belief
A disciplined and active management style can deliver compelling value to investors. Rigorous in-house research strengthens objectivity of the alpha
sourcing. We believe inefficiencies will continue to persist in global markets, while the means of extracting alpha will continue to vary by approach. As
investors, we strive to extend the possibilities in both the systematic and discretionary disciplines.
Business Lines
Over the years, we have developed two distinct businesses, managing systematic long-only and liquid alternative equity strategies and discretionary
fixed income strategies.
Our History
2005 2004 2014 2013 2001 2016 2017 2008 2007 2009 2011
Thomas de
Saint-Seine
started asset
management
business in REYL
Maxime Botti
joined to
develop REYL’s
AM business
Implemented
Systematic
methodology
within the
European and
North American
Equities Equities
Foundation of
RAM Active
Investments
Emmanuel
Hauptmann
joined
Launch of RAM
Long/Short
European
Equities and
RAM and
Long/Short
Emerging
Markets
Equities Funds
Regulated by
the Swiss
Financial
Market
Supervisory
Authority
Opened
Luxembourg
office, regulated
by the CSSF
Launch of the
RAM Emerging
Markets CORE
Equities fund for
a large-cap
universe
Established
RAM (Lux)
Tactical Funds
Range
Launch of the
RAM Emerging
Markets
Equities Fund
Launched
RAM Global
Shareholder
Yield Equities
Fund
Launch of a
Macro/CTA
strategy
Launched third
long/short beta
neutral RAM
Long/Short
Global Equities
Fund in UCITS
format
Launch of the RAM
Global Multi-Asset
Fund in UCITS
format
2018: MedioBanca *and RAM enter into a long-term strategic partnership
*MEDIOBANCA S.P.A – HEADQUARTERS Piazzetta Enrico Cuccia, 1 20121 Milan, Italy
4 RAM Active Investments SA | For Professional Investors Only
Environmental, social and corporate governance
Corporate Responsibility
At RAM AI, we believe that corporate responsibility should permeate our business, from investment management to business administration.
Reducing the firm’s environmental footprint through a Corporate Green Policy
Environmental, Social and Corporate Governance issues are accounted for in investment decisions
Signatory of the UN Principles for Responsible Investment and dedicated to acting in the best, long-term interests of our clients
Learning, development and talent management to improve the expertise and capabilities of our employees
5 RAM Active Investments SA | For Professional Investors Only
Promoting sustainable finance
“The Principles for Responsible Investment”
Incorporate ESG
(Environmental, Social and
Governance) issues into investment analysis and
decision-making processes
Incorporate ESG issues into our ownership
policies and practices
Promote acceptance and implementation of the principles
within the investment
industry
Work together to enhance our effectiveness in implementing
these principles
Report on activities and
progress towards implementing
these principles
Disclose ESG issues by the
entities in which we invest
6 RAM Active Investments SA | For Professional Investors Only
Committed to RAM’s long-term success
Equity Investment Team- Fund Managers
Thomas, Maxime and Emmanuel created and developed the investment philosophy and
processes which underpin RAM’s Systematic Equity Fund Range.
Thomas de Saint-Seine, CEO &Senior Equity Fund Manager
Thomas de Saint-Seine is the CEO, a Senior Equity Fund Manager and a Founding Partner of RAM Active Investments SA, which specialises in
managing the investment funds grouped under the RAM Systematic Funds and RAM Tactical Funds brands. He initiated and played a determining role in
the research that underpins the management of the RAM Systematic Equity Funds.
Thomas has 20 years of experience in fund management. From 1996 to 2001, he worked as an equity and bond Fund Manager at Crédit Agricole
Indosuez. In 2001, he joined the Reyl Group to fund and develop the fund management activity which has become totally independent since 2007 and is
known as RAM Active Investments. Thomas is a graduate of the University of Paris X (Econometrics, 1994) and the Master in Management of NEOMA
Business School (Finance, 1996).
Maxime Botti, Senior Equity Fund Manager
Maxime Botti is a Senior Equity Fund Manager and a Founding Partner of RAM Active Investments SA, which specialises in managing the investment
funds grouped under the RAM Systematic Funds and RAM Tactical Funds brands. He initiated and played a determining role in the research that
underpins the management of the RAM Systematic Equity Funds.
Before joining RAM in 2004, Maxime worked as a hedge fund manager at Equinoxe Partners and risk-arbitrage analyst at Barep Asset Management, a
subsidiary of Société Générale. Maxime is a graduate of the NEOMA Business School (Master in Management, Finance, 2002).
Emmanuel Hauptmann, Senior Equity Fund Manager
Emmanuel Hauptmann is a Senior Equity Fund Manager and a Founding Partner of RAM Active Investments SA, which specialises in managing the
investment funds grouped under the RAM Systematic Funds and RAM Tactical Funds brands. He played a determining role in the research that
underpins the management of the RAM Systematic Equity Funds.
He started his career in London as European Equity Derivatives quant strategist in Morgan Stanley’s Quantitative and Derivative Strategies team in 2002.
He was then Senior Quantitative Analyst as Director within Citigroup’s Alternative Execution team in London. He joined RAM Active Investments in 2007.
Emmanuel is a graduate of the Ecole Centrale Paris (MSc, Financial Engineering, 2002), the London School of Economics (MSc, Finance and
Economics, 2002) and the University of Paris I (BSc, Economics, 2001).
7 RAM Active Investments SA | For Professional Investors Only
A Reinforced Team
Quantitative Trading and Research
Philippe Huber, Senior Quantitative Analyst
Philippe Huber works together with the portfolio managers on the development of systematic investment strategies.
Philippe started his career in 2006 as a quantitative analyst in Union Bancaire Privée in Geneva. In 2007, he launched a systematic U.S. equity
hedge fund as the partner of Company Cinetics SA; in 2009 he joined Galena Asset Management as a quantitative analyst, becoming a derivatives
oil trader. Philippe Huber joined RAM Active Investments in June 2016.
Philippe is an award-winning PhD in Econometrics and Statistics (University of Geneva, 2004), a graduate of the EPFL (MSc, Physics, 1998) and a
graduate of the University of Geneva (MSc, Econometrics and Statistics). He has a number of publications under his name in some of the best
academic journals in Statistics.
Nicolas Jamet, Senior Quantitative Analyst
Nicolas Jamet works closely with the Portfolio Managers to develop systematic investment strategies. The models are based on a broad range of
information including; company fundamentals, analyst estimates and market data.
Nicolas started his career at Société Générale Hong Kong in 2006, where he joined the equity proprietary trading desk to work on systematic
fundamental investment strategies, covering Asian markets. In 2011, he moved to Macquarie Group where he ran their global fundamental
quantitative book. In 2012, he co-founded Fundamental Dynamics, a hedge fund that was managing long/short global equity strategies for an
institutional mandate. He joined RAM in September 2016.
Nicolas graduated in 2005 as a Business Engineer in ICHEC, Brussels. In 2015, he became a CFA Charterholder.
Thierry Dessingy, Head of Quantitative Trading
Working closely with the portfolio managers, Thierry Dessingy operates the trading platform for the equity funds managed by RAM Active
Investments. He manages the implementation, maintenance and development of the platform.
A software engineer by training, Thierry began his professional career in 2000 at Annuncio Software, in the United States. He then returned to
Geneva to work at Geneprot as a bioinformatician until 2003. After receiving his MBA, he chose to dedicate himself to finance. In 2005, he joined
Avendis Group where he co-managed a SIV fund (structured investment vehicle) with assets of USD 2 billion. He joined RAM Active Investments in
2008. Thierry holds a Master in Communication Systems from EPFL (Ecole Polytechnique Fédérale de Lausanne, 2000) and an MBA from the
Université de Lausanne (HEC, 2004).
Valentin Betrix, Senior Quantitative Analyst, Trader Valentin Betrix works as a quantitative analyst and trader in the RAM Systematic Equity Funds Management team. He participates in dealing in
global markets and developing the trading platform, with a strong focus on trading analytics and execution enhancement. His research covers
optimizing rebalancing methodology and developing systematic investment strategies.
Valentin Betrix started his career as a quantitative analyst at BPCE Group, then as a corporate finance analyst at BNP Paribas in London, in 2006.
In 2007, he joined Alpstar Capital as a cross-asset quantitative analyst and trader. Valentin Betrix joined RAM Active Investments in August 2013.
Valentin Betrix graduated in Engineering from Ecole des Mines de Saint-Etienne and then qualified as an Actuary from ISFA in Lyon.
8 RAM Active Investments | For Professional Investors Only
Industry recognition
Award-Winning Specialist Fund Manager
RAM L/S European Equities Fund RAM Emerging Markets Equities Fund
RAM L/S Emerging Markets Equities Fund RAM European Equities Fund
9 RAM Active Investments SA | For Professional Investors Only
Instit share class net of fee Summary Investment Performance-
Selected Strategies (Data as of August 2018) 2018 3 Yr Ann. 5 Yr. Ann. Perf. Ann.
Since Launch
Vol. Ann.
Since Launch Inception Date
Systematic
Long Only
RAM Emerging Markets Equities ($)
MSCI Emerging Markets TRN ($)
-7.28%
-7.19%
8.54%
11.27%
4.50%
5.01%
8.86%
4.97%
15.6%
17.2% 31 Jul 2009
RAM European Equities (€)
MSCI Europe TRN (€)
2.08%
0.31%
8.14%
4.49%
11.96%
7.63%
11.11%
6.13%
14.3%
13.8%
30 Sep 2004
RAM North American Equities ($)
MSCI North America TRN ($)
4.37%
9.04%
13.86%
14.29%
11.94%
13.07%
9.1%
8.6%
15.2%
13.9%
30 Apr 2005
Global Shareholder Yield Equities ($)
MSCI World High Dividend Yield TRN ($)
0.39%
0.29%
10.90%
9.50%
6.79%
4.76%
10.4%
10.8%
2 May 2014
Long / Short
RAM Long/Short European Equities (€) -1.53% 3.67% 6.87% 6.80% 6.1% 31 March 2009
RAM Long/Short Emerging Markets Eq. ($) -0.73% 0.19% 1.70% 2.63% 3.8% 15 Dec 2011
RAM Long/Short Global Equities ($) -2.63% 1.08% 3.6% 16 Dec 2016
Tactical
RAM Convertible Europe (€)
Exane Convertible Europe TR (€)
-2.89%
0.93%
1.07%
2.41%
2.00%
3.03%
5.6%
6.1%
25 Jun 2014
RAM Global Bond Total Return B ($) -0.32% 2.59% 2.79% 4.36% 2.3% 31 Mar 2009
RAM Asia Bond Total Return PI ($)
JP Morgan Asia Credit TR ($)
-2.52%
-1.29%
4.17%
3.77%
4.44%
4.99%
4.29%
4.67%
2.8%
3.0%
14 Jun 2013
Past performance is not a guide to current or future results. The performance data do not take into account fees and expenses charged on issuance and redemption of the shares nor any taxes that may be levied. Changes in exchange rates may cause the NAV per share in the investor's base currency to go up or down
(1) Performance data shown is for institutional share classes net of management and performance fees (2) Source: RAM Active Investments
RAM Long/Short Equities Approaches
The Opportunity & Historic Performance
11 RAM Active Investments SA | For Professional Investors Only
High alpha generation
Offering Long/Short Equity Funds
RAM Emerging Markets Equities Fund RAM UCITS Long/Short Emerging Markets
Equities Fund
July 2009
RAM European Equities Fund RAM Long/Short European Equities
Strategy
September 2004 March 2009
December 2011
Funds vs MSCI Europe TRN€ 5 Years
Alpha Beta Sharpe Ratio
RAM European Equities Fund 5.24% 0.74 0.95
RAM Long/Short European Equities Strategy 6.50% 0.08 0.97
Funds vs MSCI EM TRN$ 5 Years
Alpha Beta Sharpe Ratio
RAM Emerging Markets Equities Fund 0.21% 0.80 0.30
RAM Long/Short Emerging Markets Equities Fund 1.04% 0.01 0.27
Note: RAM European Equities Fund performance net of fee (Class I-EUR , 1.0% of MF+15% of PF) / RAM Emerging Markets Equities Fund performance net of fee (Class Ip—USD , 1.0% of
MF + 15% of PF) / RAM Long/Short European Equities Strategy performance net of fee (RAM L/S European Equities Fund Class-I from December 2011 (1.5% of MF + 20% of PF) / RAM
Long/Short Emerging Markets Equities Fund Class I-USD (performance net of 1.5% of MF + 20% of PF)
Source: RAM Active Investments, MSCI indices as of 31.08.2018
Past performance is not a guide to future performance
L/S FUND CHARACTERISTICS & OBJECTIVES
Average annual returns around 6-8%
Volatility budget of 4-6%
L/S FUND CHARACTERISTICS & OBJECTIVES
Average annual returns above 8%
Volatility budget of 6-10%
Launch of the RAM Long/Short Global Equities Fund in December 2016
L/S FUND CHARACTERISTICS & OBJECTIVES • Average annual returns above 8%
• Volatility budget of 6-8%
12 RAM Active Investments SA | For Professional Investors Only
Our beliefs
RAM Long/Short Strategies
PHILOSOPHY:
• Capture persistent inefficiencies across European, Emerging and Global 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 indices
• A fixed allocation of Value, Momentum and Defensive strategies designed to avoid market timing and 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
• Since 2005, we have built a quantitative investment methodology applied to the RAM European Equities Fund, capable
of delivering consistent alpha in the medium and long term.
• Since 2009 we have applied this methodology to capture opportunities both on the long and the short side, hedging our
market exposure.
• In 2011 we decided to adapt our Long/Short European Equities investment strategy into a transparent and liquid UCITS
structure under the new name of the RAM Long/Short European Equities Fund.
• In 2016 we leveraged this investment philosophy to create our Long/Short Global Equities strategy. The strategy follows
the same investment philosophy, applied to global developed equities.
FOUNDATION OF OUR PHILOSOPHY
13 RAM Active Investments SA | For Professional Investors Only
100
110
120
130
140
150
160
170
180
190
200
Gro
wth
of
10
0 E
UR
31.03.2009 31.12.2010 30.12.2011 31.12.2012 31.12.2013 31.12.2014 31.12.2015 30.12.2016 31.08.2018
Performance
RAM Long/Short European Equities
The RAM Long/Short European Equities strategy has a diversified long exposure, hedged with a basket of indices and
short stocks.
Net Performance
Strategy inception:
03.2009
AUM
EUR 1046Mn
Note: Whether real or simulated, past
performance is not necessarily a reliable
guide to future performance
Note: RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of management
fee+20% of performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact investment strategy within a
Cayman vehicle (1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Source: RAM Active Investments, MSCI indices as of 31.08.2018
Past performance is not a guide to future performance
Return figures since Inception (monthly data)
2018
YTD 2017 2016 2015 2014 2013 2012 2011 2010
Annualised
Return
Annualized
Volatility
RAM Long/Short European Equities Strat. 1.53% 8.76% -4.00% 14.48% 7.92% 13.26% 5.37% -0.81% 16.56% 8.37% 6.29%
Last 3 Years Statistics (weekly data)
Alpha Beta Sharpe
Ratio
Max
Drawdown
Return, %
Max Drawdown
Period
RAM Long/Short European Equities Strat. 4.03% 0.00% 0.53 -10.9 21.12.15-
22.04.16
14 RAM Active Investments SA | For Professional Investors Only
in USD, 11.2011 - 08.2018
100
105
110
115
120
125
Gro
wth
of
$1
00
11.2011 06.2012 12.2012 06.2013 12.2013 06.2014 12.2014 06.2015 12.2015 06.2016 12.2016 06.2017 12.2017 08.2018
Performance
RAM Long/Short Emerging Markets Equities
The RAM Long/Short Emerging Markets Equities strategy has a diversified long exposure, hedged with a basket of indices
and short stocks.
Net Performance
▬ LONG/SHORT EMERGING MARKETS EQUITIES FUND (CLASS I-USD, NET OF FEE)
Strategy inception:
12.2011
AUM
USD 131Mn
Note: Whether real or simulated, past
performance is not necessarily a reliable
guide to future performance
Note: RAM Long/Short Emerging Markets Equities Fund Class I-USD (performance net of 1.5% of MF + 20% of PF)
Source: RAM Active Investments, MSCI indices as of 31.08.2018
Past performance is not a guide to future performance
2018 YTD 2017 2016 2015 2014 2013 Annualised
Return
RAM Long/Short Emerging Markets Equities Fund I$ -0.73% 4.29% -3.68% 2.24% 3.02% 6.66% 2.63%
(weekly data since fund launch) Annualized
Volatility Alpha Beta
Sharpe
Ratio
Max Drawdown
Return, %
RAM Long/Short Emerging Markets Equities Fund I$ 3.8% 1.91% 0.01% 0.52 -4.97%
15 RAM Active Investments SA | For Professional Investors Only
Since December 2016
Realised Track Record
Performance Statistics vs Peers since incpetion, monthly data in USD
in USD, 12.2016 - 08.2018
90
92
94
96
98
100
102
104
106
108
110
112
Gro
wth
of
$1
00
12.2016 01.2017 02.2017 03.2017 04.2017 05.2017 06.2017 07.2017 08.2017 09.2017 10.2017 11.2017 12.2017 01.2018 02.2018 03.2018 04.2018 05.2018 06.2018 07.2018 08.2018
5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile
RAM Long/Short Global Equities (Class PI) HFRX EH: Equity Market Neutral Index
RAM Long/Short Equities Approach
Investment Process & Portfolio Construction
17 RAM Active Investments SA | For Professional Investors Only
Extracting information from data sources
to capture inefficiences
Agnostic Capturing of Inefficiences
Capture
Information
Analyse
Analysing the inefficiencies
which can be captured
according to our three styles
Feedback Loop Essential part of our process;
feedback and analysis of live
strategy performance
Income
Quality
Growth
Momentum
Low Risk
Positioning
Liquidity
Value
Sentiment
Gain insight Strategy = Factor
Combination
Alpha-Capture Factor Standalone factors capturing alpha from the
inefficiencies
Strategies
3 2
1
A. Pure Profile strategies
B. Best-of-Breed strategies
18 RAM Active Investments SA | For Professional Investors Only
Consistent alpha generation in all markets
Repeatable Outperformance
• 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
• A proprietary market impact model including volatility and liquidity metrics
• We apply our systematic approach to equity investing; not seeking to time the market, in a highly-disciplined approach across regions
Expansion
Slowdown
Contraction
Recovery
GARP/ Momentum
Typical best performing
strategy
In an environment of rising
volatility, our DEFENSIVE
strategy helps stabilize
portfolio returns
Naturally, following the initial
phase of the downturn, the
VALUE, then GARP sub-
strategies identify larger
stocks, turning increasingly
defensive
In the second phase, the
MOMENTUM sub-strategy
takes over, catching new
positive market trends
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
19 RAM Active Investments SA | For Professional Investors Only
A blend of styles
The Strategies – Long Book
• A systematic bottom-up stock picking strategy
• Extensive research in the emerging and European markets space has led us to identify large
market inefficiencies that we aim to capture through three distinct strategies:
Value names with strong free cash
flow generation, superior
profitability relative to peers and a
high quality balance sheet.
Playing medium-term convergence
of each selected name to its
sector’s valuation.
Companies with a low risk profile
and high dividend and earnings
yield, 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.
Growth at Reasonable
Price / Momentum
Defensive /
Low-Vol Value
20 RAM Active Investments SA | For Professional Investors Only
Why Now?
Deep Learning Evolution
Hardware:
▲ processing power – ▼cost with new technology like GPU, TPU, TPU2
Software:
Largest tech companies (Google, Amazon, Facebook) contribute to open-source
deep learning libraries giving us access to the highest evolutive, robust
Machine Learning software
Data:
▲ number of Data brings need efficient way of combining factors across
different strategies
How the new strategy integration improves the risk return profile of the fund?
Alphawith ML integratiion> Alphawithout
Riskwith ML integratiion ≤ Riskwithout
Increase Diversification
Decrease turnover
Reduce trading costs
21 RAM Active Investments SA | For Professional Investors Only
Best Standards Selection
Deep Learning
Helps to capture stocks that may not be
a pure Value, low-risk, Growth
Momentum profile, but are highly alpha
generative being great by all standards
Deep Learning
22 RAM Active Investments SA | For Professional Investors Only
Sub-strategies implemented
A blend of styles
The Strategies – Short Book
The short book consists of a short indices basket to neutralize the portfolio’s beta, as well as short stock
positions to enhance the overall alpha.
Short
Momentum
Short
Value
Short
Quality
Single Names Strategies
Index
Basket
Shorting major country &
regional indices to neutralize
Beta exposure
Short exposure in
Indices
Short Value Cash Flow (used in EU, EM, Global)
Short Value Cycle (used in EM, Global)
Short DASP (used in EU, EM, Global)
Short EPS Negative
Convexity (used in Global)
Short Overstated
(used in EM, Global)
Short Overinvestment (used in EU)
Names with negative fundamentals
and price trends
Levered companies destroying a
high level of operating cash-flows,
relative to their sectors
Companies having low quality
of earnings or book
23 RAM Active Investments SA | For Professional Investors Only
To identify and capture inefficiencies
Focus on research
All our research have been inspired on a number of academic papers having identified persistent market inefficiencies:
Liquidity
R. Almgren, C.Thum, E. Hauptmann, and H. Li, 2005, Direct Estimation of Equity Market
Impact
Written in collaboration with Emmanuel Hauptmann, Fund Manager of
the RAM Systematic Equity Fund Range, this paper is illustrative of
our ongoing work to control costs and reduce the liquidity risk of our
holdings.
Value
E. F. Fama, K. R. French, 2011, Size, Value, and Momentum in International Stock Returns
Foundation paper on the Value and Momentum inefficiency blends,
concept we apply at RAM across a number of our systematic
investment philosophies.
J. Boudoukh, R. Michaely, M. Richardson, M. R. Roberts, 2003, On The Importance of
Measuring Payout Yield: Implications for Empirical Asset Pricing
Strong evidence of the Shareholder Yield inefficiency captured
through our global Shareholder Yield approach, differentiating from
traditional income funds.
Momentum
N. Jegadeesh, J. Kim, S. D. Krische, C. M. C. Lee, 2002, Analyzing the analysts: When do
recommendations add value?
A pivotal research that analyze sell-side analysts recommendations
and how the change in the consensus is a robust return predictor,
inspiration for some of our Analyst sentiment momentum factors.
Quality
D. Hirshleifer, K. Hou, S. Hong Teoh , 2010, The Accrual Anomaly: Risk Or Mispricing?
The paper illustrates the Accruals anomaly which we exploit in some of
our Short selection strategies.
M. D. Beneish, D. C. Nichols, 2007, The Predictable Cost of Earnings Manipulation
This paper on US Earnings overstatement inspired the RAM
Systematic Equity team research in Emerging Markets leading to the
development of a Short Overstated Earnings philosophy.
Low-Risk
Frazzini, L. Heje Pedersen, 2011, Betting against Beta
Low-volatility and low-beta stocks tend to have significantly higher risk-
adjusted returns than predicted by efficient markets’ hypothesis, which
we capture in a number of our Defensive strategies.
24 RAM Active Investments SA | For Professional Investors Only
An ethical approach to investing with RAM
Incorporation of ESG Issues
As an UNPRI Signatory, RAM defined an SRI policy for responsible investment setting out the investment beliefs, the guidelines, and the
approach for us to consider and incorporate corporate governance, environmental, and social factors into our investment process and
strategies.
Analyse & Incorporate Exclude
Screening criteria are applied through a
systematic monitoring of companies to identify
holdings for further assessment, engagement,
and/or exclusion, focusing mainly on the
following:
• Illegal or controversial weapons
• Suspected of accounting fraud
• Disregard international norms for labor rights
• Violate human rights
• Environmental damage
• Exposed to sanctions; OFAC list
Analyze and incorporate ESG Data and Metrics:
• Introduction of an ESG specific strategy,
called the RAM Responsible Income
Equities Fund.
• Strong Governance integration aiming at
identifying quality names looking at sound
accounting and board practices.
• RAM analyzes climate data to filter out
stocks with excessive carbon footprint from
some its EM fund investment universe.
• Alignment of interest between sustainability
of the company and the sustainability of its
shareholders
Engage
Engage collaboratively with companies and
exercise active shareholder stewardship:
• RAM directly engages and participates in in
collaborative engagement with companies.
• RAM applies a voting policy to the full range
of its Funds to which RAM acts as
investment manager or delegated
investment manager.
25 RAM Active Investments SA | For Professional Investors Only
Making it work together
Investment Process
Objective: Construct a well
diversified portfolio with stocks
that create sustained value and
growth at reasonable price
Exposure: static
Optimisation: optimal
allocation of strategy or stock
weights given their alpha,
liquidity and risk characteristics
Objective: select stocks that
destroy cash flow using high
leverage or have negative
fundamental trends
Exposure: static
Optimisation: through
historical research
Objective: select a basked of
liquid index futures. Avoid
short squeezes
Exposure: variable,
depending on beta
Optimisation: optimal
allocation of futures positions
to hedge the portfolio risk
Maximum Risk Adjusted Return
Historical Beta : -0.2 to 0.2
Value
Index
Basket
Short
Value
LONG
Growth/Momentum
SHORTS
Short
Quality
Optimiser
Low-Vol
Short
Momentum
26 RAM Active Investments SA | For Professional Investors Only
The building blocks of our philosophy
Investment Process
Our entire equity fund range is built on a systematic investment process that seeks to perform throughout different market
cycles with, at its core, an Alpha Engine.
Value Added
~ 6’000 stocks reduced to
~ 1’500 stocks
Proprietary Alpha Model Impact Model Portfolio
We screen a large
universe of more than
6’000 stocks in developed
Europe and above 30’000
in emerging markets and
over 50’000 in the
developed world
Data is screened so that
only stocks with set
liquidity profiles and
capitalizations are
selected.
The universe is reduced
to 3’500 stocks in EM and
to 1’500 in developed
Europe, and 6’000 in the
dev. world.
Screening
0
Alpha Engines
Through the underlying strategies, our model is well balanced between
fundamental and behavioral approaches with minimal
correlation.
Impact model including
volatility and liquidity
metrics (measured over
the last few weeks of
trading) helps scale
down positions with
eventual liquidity
impact, fully integrated
in portfolio construction
A highly-diversified
portfolio across country,
sector and market caps,
rebalanced on an optimal
basis to maximize
expected alpha
c. 600 stocks (L/S Europe)
c. 600 stocks (L/S
Emerging)
c. 800 stocks (L/S Global)
Final Portfolio
We collect our information from a number of data sources to
construct a wide area of fundamental & technical factors, which form the building blocks
for our strategies.
Volatility & Liquidity
Data Treatment
Information Sources
Other Data Sources
Analyst Estimates
Management Transactions
Stock Loan Data
ESG Data
Financial Statements
Market Data
Value
Index
Basket
Short
Value
LONG
Growth/
Momentum
SHORTS
Short
Quality
Optimiser
Low-Vol
Short
Momentum
27 RAM Active Investments SA | For Professional Investors Only
The rebalancing methodology
Liquidity Risk and Market Impact
• Rebalance on an optimal basis to maximize expected alpha
• Minimize market impact due to our high turnover
RAM has developed a technique to gradually allow the integration of new information within our overall portfolio and
reduce the market impact during the rebalancing phase.
Long Portfolio
Short Portfolio
Index Basket
Rebalancing Phases
Sub-portfolio #1 Sub-portfolio #2 Sub-portfolio #3 Sub-portfolio #4
Period 1 Period 2 Period 3 Period 4 …
Long Portfolio Long Portfolio Long Portfolio
Short Portfolio Short Portfolio Short Portfolio
Index Basket Index Basket Index Basket
28 RAM Active Investments SA | For Professional Investors Only
Limits and constraints
Portfolio Construction
Strategy Characteristics RAM Long/Short European
Equities Fund
RAM Long/Short Emerging
Markets Equities Fund
RAM Long/Short Global
Equities Fund
Target Return Above 8% annualised across a market
cycle
Above 6% annualised across a market
cycle
Above 8% annualised across a market
cycle
Target Volatility 6-10% 4-6% 6-10%
Max Net L/S country exposure: 25% 25% 25%
Max Net L/S sector exposure: 25% 25% 25%
Max Net L/S single stock weight: 3% 2.5% 2.5%
Regional Coverage Developed Europe Global emerging markets and satellites Developed Global Equities
Investment Instruments Common equity, CFDs, Futures Common equity, CFDs, Futures Common equity, CFDs, Futures
Liquidity +$150mn market cap
daily liquidity thresholds
+$150mn market cap
daily liquidity thresholds
+$500mn market cap
daily liquidity thresholds
# of holdings Typically above 600 stocks Typically above 600 stocks Typically above 800 stocks
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)
A strict VAR limit set at 15% (20 days-
99% confidence level)
Maximum leverage via derivative
instruments: 100%
Stress Tests limits- Max Loss Level (1
Day, 1 Week, 1 Month)
UCITS Regulatory Risk Limits
(counterparty, concentration, coverage
risk)
A strict VAR limit set at 15% (20 days-
99% confidence level)
Maximum leverage via derivative
instruments: 200%
Stress Tests limits- Max Loss Level (1
Day, 1 Week, 1 Month)
UCITS Regulatory Risk Limits
(counterparty, concentration, coverage
risk)
29 RAM Active Investments SA | For Professional Investors Only
An integrated component of the investment process
Risk Controls & Liquidity Monitoring
Investment Team RAM Risk
Management Custodian
Banque de Luxembourg
RAM Risk
Management
Pre –trade and Trade Post Trade
Internal Limits
• Allocation Limits
• Proprietary Market Impact
Model
• Liquidity
• Best execution
• Broker Selection relying on
in-house pre and post
trade analytics
UCITS Pretrade check
• Counterparty Risk
• Investment guidelines
control
UCITS Guidelines
• Counterparty Risk
• Investment guidelines
control
RAM Middle Office
NAV Reconciliation UCITS Post Trade Check
• Counterparty Risk
• Investment guidelines
control
• Market Risk (VaR), etc
• Daily report to the ManCo
Broker Committee Asset Management & Market Risk
Committee
Compliance & Operational Risk
Committee
Analysis of Broker execution and follow up
of best execution policy
Assessment of market risk and funds’
positioning
Assessment and follow-up of key risk
indicators such as operational, compliance,
counterparty risks
Fund Administrator European Fund Administration
NAV Calculation
• Risk review and on-going strategy reviews are at the heart of risk management models
• Daily oversight of market and liquidity risk by the Risk Management team
• Highly conservative approach to cash management and counterparty risk
• UCITs limits are fully implemented into the investment process, with complete risk management oversight
Investment Team
Best Execution
• Post trade analysis
• Slippage Anaylsis
30 RAM Active Investments SA | For Professional Investors Only
Liquidity curve
Liquidity Risk and Market Impact
Source: RAM Active Investments, Holdings as of 29.06.2018
• RAM has developed a proprietary market impact model including volatility and liquidity metrics
• Off-benchmark positions present a different liquidity profile to peers
• Subsequently careful monitoring and management of liquidity risk is key
Number of Days to Liquidate the Portfolio
Based on 20% ADV (Average Daily Volume) - 20 days
RAM Long/Short Emerging Markets Equities RAM Long/Short Global Equities RAM Long/Short European Equities
68% of the portfolio can be liquidated
within 1 day, 88% within 3 days.
99%
1%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Day 1 Day 2
100%
0% 0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Day 1 Day 2
68%
13% 7% 5% 4% 2%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Day 1 Day 2 Day 3 Day 4 Day 5 Day 6
To update with Latesst figures
31 RAM Active Investments SA | For Professional Investors Only
Long, short portfolios
Historic Exposures
RAM Long/Short Emerging Markets Equities Fund 12.2011-06.2018
The Fund’s leverage is at a level far below restrictions
imposed by UCITS Guidelines, with less risk than its
competitors
RAM Long/Short European Equities Strategy 06.2009-06.2018
Levera
ge,
%
Levera
ge,
%
-100
-60
-20
20
60
100
140
Long Book Short Stocks Book Short Indices Net Exposure
-100
-60
-20
20
60
100
140
-100
-60
-20
20
60
100
140
RAM Long/Short Global Equities Fund 12.2016-06.2018
Annex
Long/Short European Equities Fund
33 RAM Active Investments SA | For Professional Investors Only
vs our peers
Comparative Performance
Last 5 Years Cumulative Performance
Inception of the UCITS fund in December 2011,
previously managed within a Cayman vehicle (cf. Note)
Note: RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of management fee+20% of
performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact investment strategy within a Cayman vehicle
(1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Past performance is not a guide to future performance / Source: RAM Active Investments, MSCI indices as of 29.06.2018
An annualized return of 6.75% with a volatility of 6.43%, over the last 5 years Our RAM Long/Short European Equities approach exhibits very low correlation to the European equity market (0.1 over 60 months) and persistent alpha generation over the mid term
34 RAM Active Investments SA | For Professional Investors Only
-50
-40
-30
-20
-10
0
10
20
30
40
50
60
70
80
90
100
110
120
130
140
150
-100 -80 -60 -40 -20 0 20 40 60 80 100 120 140
Morningstar Alt- Market Neutral Equity UCITS Funds Peers' Group
RAM Long/Short European Equities Strategy Net of Fee
MPT Statistics
in LOC, 01.04.09 to 29.06.18 on common weekly dates
-50
-40
-30
-20
-10
0
10
20
30
40
50
60
70
80
90
100
110
120
130
140
150
Up
Mkt C
ap
ture
Ra
tio
, %
-100 -80 -60 -40 -20 0 20 40 60 80 100 120 140
Down Mkt Capture Ratio, %
Mstar Alt - Market Neutral - Equity Funds Peers Group dyn,Mstar Long-Short Europe Equity Funds Peers Group dyn
MSCI Europe Total Return Net EUR
In correction phases
Controlling its Downside Risk
Up/Down Market Capture Ratio since inception RAM Long/Short European Equities Strategy
A negative down market capture
ratio of -33% means that when
the market is down by 1% the
Fund is up by 33bps, while the
RAM Long/Short European
Equities maintains a neutral
Beta.
Down Mkt Capture Ratio, %
Up M
kt
Captu
re R
atio,
%
Our beta-neutral approach
provides a complementarity
return profile relative to our
peers.
Note: RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of management fee+20% of
performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact investment strategy within a Cayman vehicle
(1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Past performance is not a guide to future performance / Source: RAM Active Investments, MSCI indices as of 29.06.2018
MPT Statistics
in LOC, 01.04.09 to 28.02.18 on common weekly dates
-50
-40
-30
-20
-10
0
10
20
30
40
50
60
70
80
90
100
110
120
130
140
150
Up M
kt C
aptu
re R
atio, %
-100 -80 -60 -40 -20 0 20 40 60 80 100 120 140
Down Mkt Capture Ratio, %
Mstar Long-Short Europe Equity UCITS Funds Peers' Group
MSCI Europe Total Return Net EUR
35 RAM Active Investments SA | For Professional Investors Only
36-Month Rolling Beta vs MSCI Europe TRN€
in EUR, 03.2012 - 06.2018
-0.4
-0.2
0.0
0.2
0.4
0.6
0.8
1.0
1.2
Be
ta
03.2012 12.2012 06.2013 12.2013 06.2014 12.2014 06.2015 12.2015 06.2016 12.2016 06.2017 12.2017 06.2018
RAM Long/Short European Equities Strategy Net of Fee
5th to 25th Percentile 25th to Median Median to 75th Percentile 75th to 95th Percentile
Beta36-Month Rolling Alpha vs MSCI Europe TRN€
in EUR, 03.2012 - 06.2018
(Morningstar Long/Short Europe Equity+ Market Neutral Equity Funds, 316 oldest EUR share class)
-15
-10
-5
0
5
10
15
Alp
ha
, %
An
.
03.2012 12.2012 06.2013 12.2013 06.2014 12.2014 06.2015 12.2015 06.2016 12.2016 06.2017 12.2017 06.2018
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
A persistent alpha
A Neutral Beta
Note: RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of management fee+20% of
performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact investment strategy within a Cayman vehicle
(1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Past performance is not a guide to future performance / Source: RAM Active Investments, MSCI indices as of 29.06.2018
Alp
ha
36 RAM Active Investments SA | For Professional Investors Only
156 Week Rolling Alpha
in EUR, 29.06.2012 - 29.06.2018
-10
-5
0
5
10
15
Alp
ha
, %
29.06.2012 03.01.2014 02.01.2015 31.12.2015 30.12.2016 29.06.2018
156 Week Rolling Beta
in EUR, 29.06.2012 - 29.06.2018
-2.0
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Be
ta
29.06.2012 03.01.2014 02.01.2015 31.12.2015 30.12.2016 29.06.2018
RAM Long/Short European Equities (Gross of MF & PF) RAM L/S EE- Long Side
RAM L/S EE- Short Single Names RAM L/S EE- Short Indices
Maximize alpha
Neutralize Beta
Note: RAM Long/Short European Equities Strategy performance gross of fee (RAM L/S European Equities Fund from December 2011 (gross of management and
performance fee, before performance of the RAM Absolute Return Fund gross of fees, Short & Long Book returns are estimates.
Source: RAM Active Investments, MSCI indices as of 29.06.2018
Very few managers can generate
alpha on the short side, sellers
face important issues such as the
ability to borrow, execution impact,
capacity limitations, etc
Our short book has been
constructed to:
• Generate strong alpha within its
book of short stocks (45% of the
short side)
• Control risk with its basket of
index futures (i.e. limiting risk in
case of deleveraging) and
maintain a neutral Beta
156-week Rolling Alpha vs MSCI Europe TR€
156-week Rolling Beta vs MSCI Europe TR€
37 RAM Active Investments SA | For Professional Investors Only
50
100
150
200
250
300
350
400
Gro
wth
of
10
0 E
UR
31.07.2009 31.12.2010 30.12.2011 28.12.2012 03.01.2014 02.01.2015 31.12.2015 30.12.2016 29.06.2018
RAM L/S EE- Long Side RAM L/S EE- Short Single Names
RAM L/S EE- Short Indices MSCI Europe TRN€
Calendar Year Book Performance
in EUR, 31.12.2010 - 22.06.2018
-30
-20
-10
0
10
20
30
40
To
tal R
etu
rn, %
31.12.2010 30.12.2011 28.12.2012 27.12.2013 24.12.2014 31.12.2015 30.12.2016 29.12.2017 22.06.2018
Performance contribution
Short, Futures, Long Book
Note: RAM Long/Short European Equities Strategy performance gross of fee (RAM L/S European Equities Fund from December 2011 (gross of management and
performance fee, before performance of the RAM Absolute Return Fund gross of fees, Short & Long Book returns are estimates.
Source: RAM Active Investments, MSCI indices as of 29.06.2018
Past performance is not a guide to future performance
In 2011, during the
European sovereign debt
crisis, our short book
proved resilient for the
Fund, while providing
strong returns during the
subsequent rebound
(2012-2013).
Cumulative Performance
(Book Long, Short Single Names, Short Indices)
38 RAM Active Investments SA | For Professional Investors Only
Fiscal Annual Performance
in EUR, 12.2010 - 12.2017
-25
-20
-15
-10
-5
0
5
10
15
20
25
Exc
ess
Retu
rn,
%
12.2010 12.2011 12.2012 12.2013 12.2014 12.2015 12.2016 12.2017
EE-Defensive EE-Momentum EE-Value
RAM L/S EE- Short Single Names
Model strategies
Benefit from the Alternate Source of Returns
In 2011, the
short
strategies
performed
strongly
Market rebound
following
expansionist
monetary
policy, excellent
contribution
from the mid-
cap segment
within a Value
allocation
In 2014 long
and short
strategies
were positive
contributors
RAM European Equities Model Strategies (Long & Short) vs MSCI Europe TRN€
Gross Excess Return
Note: Whether real
or simulated, past
performance is not
necessarily a
reliable guide to
future performance
In 2013
momentum
allocation
caught up with
the value
strategies
Shorts
Note: Figures shown above are for illustration purpose only. On the long-side sub-strategy performance is calculated based on simulated model portfolios rebalanced monthly on RAM equity
investment screenings and may not represent the exact contribution of strategies in real portfolio. Strategy performance is adjusted considering their long-term theoretical fixed allocation in the
fund. For the short book, performance is estimates. Performance is gross of management and performance fee. Client’s return will be reduced by such fees in case of investment in such
strategies.
Source: RAM as of 29.12.2017, Bloomberg Port
Past performance is not a guide to future performance
39 RAM Active Investments SA | For Professional Investors Only
Sector breakdown
Active Positioning
RAM LONG/SHORT EUROPEAN EQUITIES FUND
SECTOR ALLOCATION
Net exposure
Source: RAM Active Investments as of 29.06.2018
-20
-10
0
10
20
30
40
50
Real estate
Industrials
Consumer Staples
Consumer Discretionary
Healthcare
Information Technology
Telecommunication Services
Utilities
Financials
Energy
Materials
Annex
Long/Short Emerging Markets Equities Fund
41 RAM Active Investments SA | For Professional Investors Only
156 Week Rolling Alpha
12.12.2014 - 29.06.2018
-4
-2
0
2
4
6
8
10
12
14
Alp
ha
, %
12.12.2014 02.07.2015 31.12.2015 01.07.2016 30.12.2016 30.06.2017 29.12.2017 29.06.2018
156 Week Rolling Beta
12.12.2014 - 29.06.2018
-1.5
-1.0
-0.5
0.0
0.5
1.0
1.5
Be
ta
12.12.2014 02.07.2015 31.12.2015 01.07.2016 30.12.2016 30.06.2017 29.12.2017 29.06.2018
RAM Long/Short Emerging Markets Equities (Gross of MF & PF) RAM L/S EM- Long Side
RAM L/S EM- Short Single Names RAM L/S EM- Short Indices
Maximize alpha
Neutralize Beta
Note: RAM Long/Short Emerging Markets Equities Strategy performance gross of fee , Short & Long Book returns are estimates
Source: RAM Active Investments, MSCI indices as of 29.06.2018
Very few managers can generate alpha on the short side, sellers
face important issues such as ability to borrow, execution impact,
capacity limitations, etc
Our short book has been constructed to:
• Generate strong alpha within its book
of short stocks (35% of the short side)
• Control risk with its basket of index
(i.e.. limiting risk in case of
deleveraging) and maintain a neutral
Beta
42 RAM Active Investments SA | For Professional Investors Only
Cumulative Book Performance
16.12.2011 - 29.06.2018
60
80
100
120
140
160
180
200
220
240
Gro
wth
of
$100
16.12.2011 28.12.2012 03.01.2014 02.01.2015 31.12.2015 30.12.2016 29.06.2018
RAM Long/Short Emerging Markets Equities (Gross of MF & PF) RAM L/S EM- Long Side
RAM L/S EM- Short Single Names RAM L/S EM- Short Indices
MSCI Emerging Markets TRN$
Caldendar Year Book Performance
28.12.2012 - 29.06.2018
-30
-20
-10
0
10
20
30
40
Tota
l R
etu
rn,
%
28.12.2012 27.12.2013 24.12.2014 31.12.2015 30.12.2016 29.12.2017 29.06.2018
Performance Contribution
16.12.2011 - 29.06.2018RAM Long/Short Emerging Markets Equities (Gross of MF & PF) RAM L/S EM- Long Side
RAM L/S EM- Short Single Names RAM L/S EM- Short Indices
MSCI Emerging Markets TRN$
Performance contribution
Short, Futures, Long Book
Note: RAM Long/Short Emerging Markets Equities Strategy performance gross of fee , Short & Long Book returns are estimates
Source: RAM Active Investments, MSCI indices as of 29.06.2018
Past performance is not a guide to future performance
43 RAM Active Investments SA | For Professional Investors Only
Fiscal Annual Performance
31.12.2012 - 29.12.2017
-20
-15
-10
-5
0
5
10
15
20
Exce
ss R
etu
rn,
%
31.12.2012 31.12.2013 31.12.2014 31.12.2015 30.12.2016 29.12.2017
Long - Defensive Long - Value Long - GARP RAM L/S EME- Short Single Names
Model strategies
Benefit from the Alternate Source of Returns
Emerging Market Equities - RAM Model Strategies (Long & Short) vs MSCI EM
Gross Excess Return
Note: Whether real or
simulated, past
performance is not
necessarily a reliable
guide to future
performance
Shorts
Note: Figures showed above are for illustration purpose only. On the long-side sub-strategy performances are calculated based on simulated model portfolios rebalanced monthly on RAM
equity investment screenings and may not represent the exact contribution of strategies in real portfolio. Strategies performances are here adjusted considering their long-term theoretical fixed
allocation in the fund. For the short book performance are estimates. Performance are gross of management and performance fee. Client’s return will be reduced by such fees in case of
investment in such strategies
Source: RAM as of 29.12.2017, Bloomberg Port
Implementation of the
short Overstated
Earnings strategy in Q3
2013
Implementation of the
short Value Cash Flow
strategy in Q3 2014
44 RAM Active Investments SA | For Professional Investors Only
Geographical breakdown
Active Positioning
COUNTRY ALLOCATION
Net exposure
Source: RAM Active Investments as of 29.06.2018
-30
-20
-10
0
10
20
30
40
50 Chile
Peru
India
Turkey
China + Hong Kong
Thailand
Malaysia
South Africa
Taiwan
Singapore
Mexico
Russia
New Zealand
Poland
Philippines
Australia
Indonesia
Israel
Czech Republic
United Arab Emirates
Greece
Colombia
Brazil
South Korea
45 RAM Active Investments SA | For Professional Investors Only
-20
-10
0
10
20
30
40
50
Real Estate
Utilities
Telecommunication Services
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Sector breakdown
Active Positioning
Source: RAM Active Investments as of 29.06.2018
SECTOR ALLOCATION
Net exposure
Annex
Long/Short Global Equities Fund
47 RAM Active Investments SA | For Professional Investors Only
Important Information
Long/Short Global Equities
These presentation materials (collectively, this "Presentation") have been provided in order to provide a high-level overview of RAM Active
Investments SA (the "Investment Manager"), certain of its operational and advisory programs and processes, and certain of its key personnel.
This Presentation is provided for information purposes only and does not constitute an offer to sell or a solicitation to buy any securities in any
mutual fund (the “Fund”) that offers the Long/Short Global Equities investment strategy (the “Strategy”), and may not be relied upon in connection
with any offer or sale of securities. Any such offer or solicitation may only be made pursuant to a Prospectus (or similar document) and the
organizational documents for such Fund (e.g. limited partnership agreements, articles of association, etc.), which will be provided only to
qualified/institutional offerees and which should be carefully reviewed prior to investing.
An investment in the Strategy is speculative and entails substantial risks, including the fact that such an investment would be illiquid and be subject
to significant restrictions on transferability. No market is expected to develop for interests in the Fund.
Financial instruments and investment opportunities discussed or referenced herein may not be suitable for all investors, and potential investors
must make an independent assessment of the appropriateness of any transaction in light of their own objectives and circumstances, including the
possible risk and benefits of entering into such a transaction.
A number of indices are referenced herein. Each index is presented because RAM feels that it serves as a useful point of comparison with aspects of
the Fund's portfolio management and composition. The Fund's portfolio will not replicate any of these indices and no guarantee is given that
performance will match any of the indices; it is not possible to invest in any index.
48 RAM Active Investments SA | For Professional Investors Only
Important Information
Long/Short Global Equities
There are significant differences between the Strategy's investments and the indices references below (the "Indices"). For instance, the Strategy
may use short sales and leverage and may invest in securities that have a greater degree of risk and volatility, as well as less liquidity, than those
securities contained in the Indices. Moreover, the Indices may not reflect the reinvestment of income or dividends and may not be subject to any of
the management fees or expenses that the Fund must pay. It should not be assumed that the Fund will invest in any specific securities that comprise
the Indices, nor should it be understood to mean that there is a correlation between the Fund's returns and the Indices' performance. The Indices are
included for informational purposes only.
Additional information on each index follows:
• The MSCI Europe Total Return Net Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity
market performance of the developed markets in Europe. The MSCI Europe Index consists of the following 16 developed market country indices:
Austria, Belgium, Denmark, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and
the United Kingdom
• The MSCI Emerging Markets Total Return Net Index is a free float-adjusted market capitalization-weighted index of the performance of the global
emerging markets reflects. It approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding
tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to
Luxembourg holding companies, as Luxembourg applies the highest rates.
• The MSCI World Total Return Net Index measures the performance of large and mid cap stocks across 23 developed markets countries covering
approximately 85% of the free float-adjusted market capitalization of each country. The index is constructed to provide a comprehensive and
unbiased barometer and is completely reconstituted annually to ensure all countries and their stocks are included on merit, and thus do not distort
the performance and characteristics of the opportunity set.
• The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of
developed and emerging markets. The MSCI ACWI consists of 44 country indices comprising 23 developed and 21 emerging market country indices.
The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland,
Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States.
The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea,
Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey.
49 RAM Active Investments SA | For Professional Investors Only
Dislcaimer: Theoretical Performances
Important Note
THE THEORETICAL MODELS PRESENTED HEREIN ARE BASED ON A NUMBER OF HYPOTHETICAL ASSUMPTIONS, INCLUDING THE
PERFORMANCE OF STOCKS WITH MARKET CAPITALIZATION ABOVE U.S.$500Mn AND A DEFINED LIQUIDUTY THRESHOLD BASED ON
A 10-DAY AVERAGE DAILY VOLUME. THEY ARE PRESENTED ONLY FOR THE LIMITED PURPOSE OF PROVIDING SAMPLE
ILLUSTRATIONS. CHANGES IN THESE ASSUMPTIONS MAY HAVE A MATERIAL IMPACT ON THE BACKTESTED RETURNS PRESENTED.
CERTAIN ASSUMPTIONS HAVE BEEN MADE FOR MODELING PURPOSES AND ARE UNLIKELY TO BE REALIZED. NO
REPRESENTATIONS AND WARRANTIES ARE MADE AS TO THE REASONABLENESS OF THE ASSUMPTIONS. THE THEORETICAL
MODELS ARE NOT REFLECTIVE OF AN ACTUAL STRATEGY OFFERED TO INVESTORS AND ARE NOT INTENDED TO REPRESENT
WHAT THE STRATEGY WOULD HAVE EARNED OVER THE SAME PERIOD HAD THE STRATEGY BEEN IN OPERATION. THE ACTUAL
RETURNS OF ANY STRATEGY ARE LIKELY TO HAVE NO CORRELATION WITH THE THEORETICAL MODELS PRESENTED HEREIN.
The Manager calculated the theoretical performance of the Long/Short Global Equities Backtest using the following methodology:
Backtest Peformance:
Performance results created by applying an investment strategy or methodology to historical data from December 2005 to June 2016. Backtested
performance attempts to indicate how a product constructed with the benefit of hindsight would have performed during a certain period in the past if
the product had been in existence during such time.
The Manager calculated the hypothetical performance data of the Long/Short Global Equities Backtest using the following methodology:
The model backtest has been extracted for the long side using separate stock selection engines able to analyze and select stocks among a
universe of over 6’000 names globally. Each strategy has unique characteristics which it uses to identify and capture pre-defined inefficiencies
using Factset Fundamentals database. On the long side we consider different strategies with a fixed allocation summing up to 100% of the
exposure, and on the short side, a combination of short strategies representing -60% of the exposure and an short allocation to the MSCI World
TRN$ Index which is adjusted to neutralize the portfolio’s beta. A filter has been applied by excluding the following subsets:
1- Small Caps <$500 Mn and unassigned stocks
2- a defined liquidity threshold based on a 10-day Average Daily Volume
Performance presented includes management fees of (1.5%), performance fees of (15%), administrative fees and custodian fees. Transactions
costs, tax and slippage have been estimated based on the level reached by the RAM (Lux) Systematic Funds- Long/Short European Equities in
2015 and according to the investment manager’s experience.
50 RAM Active Investments SA | For Professional Investors Only
Dislcaimer on Theoretical performance
Important Note
Theoretical Models including Backtesting
The Theoretical Models provided herein may materially differ from what the Strategy's actual performance would have been. This is
due to a number of factors, including the inherent limitations that would have existed if the Investment Manager had managed the
Strategy. Such limitations may include, but are not limited to, the inaccuracy of data available for the research process, the fact that
the signals which drive the models can lose efficiency when applied in live markets, the inability to account for how RAM personnel
would have actually traded on a real time basis in a live market. Alternative assumptions which may be relied on in the future could
produce significantly different results. The hypothetical results do not represent actual trading and may not reflect the impact that
material economic and market conditions could have on the Investment Manager's decision making had this been an actual
investment portfolio. Further, backtesting allows the security selection methodology to be adjusted until past returns are maximized.
The model returns provided herein assume the reinvestment of all hypothetical dividends and income. In addition, the actual returns
of the Fund will differ from model returns as the actual returns will be subject to different advisory fees or allocations,
administration fees and estimated organizational expenses, additional transaction costs, ongoing expenses and other
expenses. These eventual additional fees and expenses, compounded over a period of years, would result in lower performance
results. No cash balance or cash flow is included in the calculation.
51 RAM Active Investments SA | For Professional Investors Only
Cumulative Performance
in USD, 12.2005 - 06.2016
100
125
150
175
200
225
250
275
300
325
Gro
wth
of $100
12.2005 12.2006 12.2007 12.2008 12.2009 12.2010 12.2011 12.2012 12.2013 12.2014 06.2016
Long/Short Global Equities Backtested
Theoretical Performance
The Long/Short Global Equities Strategy will aim to have a diversified long exposure, hedged with a basket of
indices and short stocks.
Backtest Performance (gross of management and performance fee, net of implementation costs)
▬ LONG/SHORT GLOBAL EQUITIES BACKTEST
Backtest:
Last 10 Years Returns 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006
Annualised
Return
Long/Short Global Equities Backtest 0.03% 12.70% 13.53% 22.34% 5.76% 14.91% 7.07% -4.86% 14.18% 20.80% 18.74% 11.63%
Capture Ratio Max Drawdown
Backtest:
Last 10 Years Stats
An. Volatility Alpha Beta Sharpe
Ratio Up Mkt
Down
Mkt Return Period Duration
Recovery
Period
Long/Short Global Equities Backtest 7.27 10.60 -0.10 1.40 20.50 -23.97 -13.21
01.2009-
04.2009 4 18 months
Performance and risk data are based on simulation
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical returns being presented. The performance information is simulated net of fees and expenses, including a
management fee of 1.5% and a relative performance fee of 15%.
Source: RAM Active Investments, MSCI indices as of 06.2016
52 RAM Active Investments SA | For Professional Investors Only
Neutralise Beta & Maximize alpha
Theoretical Performance
Our short book aims at:
• generate strong alpha within its
book of short stocks (60% of
the short side)
• Mitigate risk with its basket of
index (i.e.. limiting risk in case
of deleveraging) and maintain
a neutral Beta
36 Month Rolling Alpha
in USD, 12.2008 - 06.2016
-10
-5
0
5
10
15
20
Alp
ha, %
12.2008 06.2009 12.2009 06.2010 12.2010 06.2011 12.2011 06.2012 12.2012 06.2013 12.2013 06.2014 12.2014 06.2015 12.2015 06.2016
36 Month Rolling Beta
in USD, 12.2008 - 06.2016
-2
-1
0
1
2
Beta
12.2008 06.2009 12.2009 06.2010 12.2010 06.2011 12.2011 06.2012 12.2012 06.2013 12.2013 06.2014 12.2014 06.2015 12.2015 06.2016
Long Book Short Book Single Names Short Futures RAM LS Global Backtest Net I
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical returns being presented. The performance information is simulated net of fees and expenses, including a
management fee of 1.5% and a relative performance fee of 15%.
Source: RAM Active Investments, MSCI indices as of 06.2016
Actual results may significantly differ from
the theoretical data of the backtest
presented herein
Short Indices
53 RAM Active Investments SA | For Professional Investors Only
Calendar Year Book Performance
in USD, 12.2006 - 06.2016
-60
-40
-20
0
20
40
60
80
Tot
al R
etur
n, %
12.2006 12.2007 12.2008 12.2009 12.2010 12.2011 12.2012 12.2013 12.2014 12.2015 06.2016
Cumulative Book Performance
in USD, 12.2005 - 06.2016
0
50
100
150
200
250
300
350
Gro
wth
of $
100
12.2005 12.2006 12.2007 12.2008 12.2009 12.2010 12.2011 12.2012 12.2013 12.2014 06.2016
Long Book Short Book Single Names
Short Futures RAM LS Global Backtest Net I
MSCI AC World Index ND USD
Performance contribution – Backtested
Short, Futures, Long Book
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical returns being presented. The performance information is simulated net of fees and expenses, including a
management fee of 1.5% and a relative performance fee of 15%.
Source: RAM Active Investments, MSCI indices as of 06.2016
Actual results may significantly differ from
the theoretical data of the backtest
presented herein
Short Indices
54 RAM Active Investments SA | For Professional Investors Only
Limits and constraints
Portfolio Construction
Strategy Characteristics RAM Long/Short Global Equities Fund
Expected Return Above 8% annualised across a market cycle
Expected Volatility 6-10%
Max Net L/S country exposure: 25%
Max Net L/S sector exposure: 25%
Max Net L/S single stock weight: 2.5%
Regional Coverage Developed Global Equities
Investment Instruments Common equity, CFDs, Futures
Liquidity +$500mn market cap
daily liquidity thresholds
# of holdings Typically above 800 stocks
Principal Risk Limits
A strict VAR limit set at 15% (20 days- 99% confidence level)
Maximum leverage via derivative instruments: 200%
Stress Tests limits- Max Loss Level (1 Day, 1 Week, 1 Month)
UCITS Regulatory Risk Limits (counterparty, concentration, coverage risk)
55 RAM Active Investments SA | For Professional Investors Only
Stress Test
Backtested Portfolio
-1'200
-1'000
-800
-600
-400
-200
0
200
Asian Crisis (1997) Gulf War (1990)Mexican Crisis
(1995)Russian
Devaluation (1998) Sept 11th Gulf War 2 Bond Sell-Off
RAM Global Long/Short Equities Backtest MSCI World Index
RAM Long/Short Global Equities Strategy under diverse scenarios (RiskMetrics 5D models in USD)
NAV Changes in BPS
As of October 2016
The strategy emphasis on
risk control helps the fund to
cross different stressed
scenarios
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical returns being presented. The performance information is simulated based on model portfolio extracted from
the backtest as of 31.10.2016.
Source: RAM Active Investments, MSCI indices as of 10.2016
56 RAM Active Investments SA | For Professional Investors Only
Market Cap – Global Long/Short Backtest
Backtest- Portfolio Allocation
0%
20%
40%
60%
80%
100%
Long Book
Short Book
Net Exposure
-30%
-20%
-10%
0%
10%
20%
30%
40%
50%
Large Cap Mid Cap Small Cap
0%
50%
100%
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical information being presented.
Source: RAM Active Investments as of 06.2016
57 RAM Active Investments SA | For Professional Investors Only
Country breakdown – Long & Short Book
Backtest - Portfolio Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100% United States
United Kingdom
Switzerland
Sweden
Spain
South Korea
Singapore
Portugal
Peru
Norway
New Zealand
Netherlands
Luxembourg
Japan
Italy
Israel
Ireland
Greece
Germany
France
Finland
Denmark
China
Canada
Belgium
Austria
Australia
Long Book Short Book
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical information being presented.
Source: RAM Active Investments as of 06.2016
58 RAM Active Investments SA | For Professional Investors Only
Net Country Exposure – Global L/S Approach
Backtest- Portfolio Allocation
-30
-20
-10
0
10
20
30
40
50
60 United States
United Kingdom
Switzerland
Sweden
Spain
South Korea
Singapore
Portugal
Peru
Norway
New Zealand
Netherlands
Luxembourg
Japan
Italy
Israel
Ireland
Greece
Germany
France
Finland
Denmark
China
Canada
Belgium
Austria
Australia
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical information being presented.
Source: RAM Active Investments as of 06.2016
59 RAM Active Investments SA | For Professional Investors Only
Sector breakdown – Global L/S Approach
Backtest- Portfolio Allocation
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100% Others
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
Long Book Short Book
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical information being presented.
Source: RAM Active Investments as of 06.2016
60 RAM Active Investments SA | For Professional Investors Only
Net Sector Exposure – Global L/S Approach
Backtest - Portfolio Allocation
-40
-30
-20
-10
0
10
20
30
40
50
60Others
Utilities
Telecommunication Services
Real Estate
Materials
Information Technology
Industrials
Health Care
Financials
Energy
Consumer Staples
Consumer Discretionary
See important disclaimer on slide 10-11. The results do not represent actual results.
Actual results may significantly differ from the theoretical information being presented.
Source: RAM Active Investments as of 06.2016
61 RAM Active Investments SA | For Professional Investors Only
60 Month Rolling Performance
in USD, 04.2014 - 06.2016
0
2
4
6
8
10
12
14
16
Tota
l A
nnualized R
etu
rn, %
04.2014 06.2014 09.2014 12.2014 03.2015 06.2015 09.2015 12.2015 03.2016 06.2016
60 Month Rolling Risk
in USD, 04.2014 - 06.2016
0
1
2
3
4
5
6
7
8
Tota
l A
nnualized S
tdD
ev, %
04.2014 06.2014 09.2014 12.2014 03.2015 06.2015 09.2015 12.2015 03.2016 06.2016
Allocacation (equally w eighted) RAM LS EE Fund Class I EUR Net of fee+ RAM L/S Global Eq. Backtest Net of fee RAM LS Global Backtest Net of fee
RAM LS EE Fund Class I EUR Net of fee
Europe and Global Equity Markets
Comparing RAM Long/Short Approaches
See important disclaimer on slide 10-11. The results do not represent actual results. Actual results may significantly differ from the theoretical returns being
presented.
RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of
management fee+20% of performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact
investment strategy within a Cayman vehicle (1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Source: Source: RAM Active Investments as of 06.2016.
RAM Long/Short Global Equities Backtest has a
higher volatility, but subsequently higher returns
The performance of the RAM Long/Short Global Equities Backtest is net of 1.5% management fee
and 15% of performance fee (net of implementation cost). The allocation shown here RAM L/S
EE+RAM L/S Global Eq is a simulated equally-weighted portfolio combining the RAM Long/Short
Global Equities Backtest net of fee and the actual performance from April 2009 to June 2016 of the
RAM LS EE Fund Strategy net of fee.
62 RAM Active Investments SA | For Professional Investors Only
European and Global Equity Markets
Combining RAM Long/Short Approaches
Based on a backtest, RAM
Long/Short Global Equities Backtest
and RAM Long/Short European
Equities Backtest are lowly
correlated. Hence a simulated
equally weighted portfolio combining
both strategies could improve the
risk/return profile of an investment.
Annualised Return vs Sharpe Ratio
05.2009 - 06.2016
-2
0
2
4
6
8
10
12
14
16
Tota
l A
nnualized R
etu
rn, %
0.0 0.5 1.0 1.5 2.0 2.5
Sharpe Ratio
Allocacation (equally w eighted) RAM LS EE Fund Class I EUR Net of fee+ RAM L/S Global Eq. Backtest Net of fee
RAM LS Global Backtest Net of fee
RAM LS EE Fund Class I EUR Net of fee
MSCI Europe TRN€
MSCI AC World Index ND USD
Correlation
(from
12.2011)
Equally
Weighted
Allocation
RAM LS Global
Backtest
Net of fee
RAM LS EE Fund
Class I EUR
Net of fee
MSCI
Europe
TRN€
MSCI AC
World Index
ND USD
Equally Weighted
Allocation1.00 0.82 0.84 -0.05 -0.11
RAM LS Global
Backtest Net of fee0.82 1.00 0.39 -0.12 -0.12
RAM LS EE Fund Class
I EUR Net of fee0.84 0.39 1.00 0.04 -0.07
MSCI Europe
TRN€-0.05 -0.12 0.04 1.00 0.82
MSCI AC World
Index ND USD-0.11 -0.12 -0.07 0.82 1.00
The performance of the RAM Long/Short Global Equities backtest is net of 1.5%
management fee and 15% of performance fee (net of implementation cost). The allocation
RAM L/S EE+RAM L/S Global Eq. is a simulated equally weighted portfolio combining the
RAM Long/Short Global Equities Backtest net of fee and the actual performance from April
2009 to June 2016 of the RAM LS EE Fund Strategy net of fee.
See important disclaimer on slide 10-11. The results do not represent actual results. Actual results may significantly differ from the theoretical returns being
presented.
RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of
management fee+20% of performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact
investment strategy within a Cayman vehicle (1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Source: Source: RAM Active Investments as of 06.2016.
63 RAM Active Investments SA | For Professional Investors Only
RAM (Lux) Long/Short Emerging Markets Equities
Fund Terms and Service Providers
INVESTMENT CLASSES & TERMS:
Classes Class B Class I Class I
Retail/Instit Retail (oldest share class) Instit Instit
Currency USD USD USD
Management Fee 2.0 % 1.5 % 1.2 %
Performance fee 20% without hurdle 20% without hurdle 15% with hurdle
High Water Mark Yes Yes Yes
Bloomberg RLSEMEB LX RLSEMEI LX
ISIN LU0705072188 LU0705072691 LU1149832922
Minimum Subscription N/A USD 1 Mn USD 20 Mn
Fund Terms
Fund Name RAM (LUX) SYSTEMATIC FUNDS
Domicile Luxembourg
Compartment Long Short Emerging Markets Equities
Distribution SGP, AUT, CHE, FRA, ITA, BEL, DEU, NLD, GBR, ESP, NOR, SWE, FIN, DNK
Manager RAM Active Investments S.A.
Fund Administrator European Fund Administration (EFA)
Custodian Banque de Luxembourg
Auditor Ernst & Young
Dealing Weekly
Redemption Fee None
Retail and Institutional share classes are also available in EUR, GBP, CHF and SEK
64 RAM Active Investments SA | For Professional Investors Only
RAM (Lux) Long/Short European Equities
Fund Terms and Service Providers
INVESTMENT CLASSES & TERMS:
Classes Class B Class I Class I
Retail/Instit Retail (oldest share class) Instit Instit
Currency EUR EUR EUR
Management Fee 2.0 % 1.5 % 1.2 %
Performance fee 20% without hurdle 20% without hurdle 15% without hurdle
High Water Mark Yes Yes Yes
Bloomberg REYLSEB LX REYLSEI LX RELSIPF LX
ISIN LU0705071453 LU0705071701 LU1149832682
Minimum Subscription N/A EUR 1 Mn EUR 20 Mn
Fund Terms
Fund Name RAM (LUX) SYSTEMATIC FUNDS
Domicile Luxembourg
Compartment Long Short European Equities
Distribution SGP, AUT, CHE, FRA, ITA, BEL, DEU, NLD, GBR, ESP, NOR, SWE, FIN, DNK
Manager RAM Active Investments S.A.
Fund Administrator European Fund Administration (EFA)
Custodian Banque de Luxembourg
Auditor Ernst & Young
Dealing Weekly
Redemption Fee None
Retail and Institutional share classes are also available in USD, GBP, CHF and SEK
65 RAM Active Investments SA | For Professional Investors Only
RAM (Lux) Long/Short Global Equities
Fund Terms and Service Providers
INVESTMENT CLASSES & TERMS:
Classes Class B Class I Class PI
Retail/Instit Retail (oldest share class) Instit Instit
Currency USD USD USD
Management Fee 2.0 % 1.5 % 1.0 %
Performance fee 20% without hurdle 15% without hurdle 15% without hurdle
High Water Mark Yes Yes Yes
Bloomberg RMLSGLB LX REYLSEI LX RMLSIPF LX
ISIN LU1520758985 LU1520762235 LU1520759363
Minimum Subscription N/A USD 1 Mn USD 20 Mn
Fund Terms
Fund Name RAM (LUX) SYSTEMATIC FUNDS
Domicile Luxembourg
Compartment Long Short Global Equities
Distribution AUT, CHE, FRA, ITA, BEL, DEU, NLD, GBR, NOR, SWE, FIN
Manager RAM Active Investments S.A.
Fund Administrator European Fund Administration (EFA)
Custodian Banque de Luxembourg
Auditor Ernst & Young
Dealing Daily
Redemption Fee None
Retail and Institutional share classes are also available in EUR, GBP, CHF and SEK
66 RAM Active Investments SA | For Professional Investors Only
Structure
RAM Active Investments
Z Pierre-Olivier Pourcelot
Roberto Zito
Thomas de Saint-Seine
CEO
Maxime Botti
Emmanuel Hauptmann
Executive Committee
Equity
Fund Managers
T. De Saint-Seine
M. Botti
E. Hauptmann
Systematic
Execution
T. Dessingy
V. Betrix
Quantitative Analyst
N. Jamet
P. Huber
Investment
Management
Head T. de Saint-Seine
Fixed Income
Fund Managers
C. Daras
G. Pradere
O. Mulin
C. Perrette
Product Specialist
H. Aslan
Legal &
Compliance
Risk Management
Head L. Lienard
Head S. Pilozzi
CSR
M. Saunders
SRI & CSR
Business Process
Management
Communications
& Events.
Head B. Li
Head A. Petit
Head S. Saccone
Communications
M. Sandell
Events
L. Marqués
Sales & Client
Services
Head P.O. Pourcelot
Sales
Sales Executives
P.O. Pourcelot
G. Glotin
E. Biella
J. Chevalier
B. Li
Assistant
Milena Follini
Client Services
Head C. Joye
S. Payne
Y. Wittrock
C. Tremege
A. Bataille
C. Castillo
F. Rossi
Operations &
Finance
Middle Office
C. Cardoso (Head)
C. Boulanger
R. Darbas
Y. Bernachot
Head R. Zito
Finance
A. Vaudan
GIPS Compliance
A. Petit
Laurent Lienard
Philippe Wagener Yves Wagner
Executive Committee
Operations
Operations &
Services Manager
N. Kraemer
Senior
Regulatory
Officer
I. Pacho Tejero
Legal &
Compliance
Sales & Client
Services
D. Endres
G. Glotin *
E. Biella *
J. Chevalier *
C. Tremege*
RAM Active Investments SA
(Geneva)
RAM Active Investments SA
(Luxembourg)
*part time between Geneva and Luxembourg
67 RAM Active Investments SA | For Professional Investors Only
Contacts
RAM Active Investments
GENEVA
62, rue du Rhône
1204 Geneva
SWITZERLAND
Tel: +41 22 816 8730
Fax: +41 22 816 8701
ZÜRICH
Talstrasse 65
8001 Zurich
SWITZERLAND
Tel: +41 58 717 9797
Fax: +41 58 717 9311
LUXEMBOURG
51, avenue John F. Kennedy,
L-1855
LUXEMBOURG
Tel: +352 285 614 22
Fax:+352 285 614 44
68 RAM Active Investments SA | For Professional Investors Only
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 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.
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. Subscriptions will be accepted only if they are made on the basis
of the most recent prospectus and the latest annual or half-year reports for the financial product. 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 Active Investments S.A. 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 a reliable guide to future results. 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 Luxembourg, RAM Active Investments SA. 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 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
(Luxembourg) 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.
69 RAM Active Investments SA | For Professional Investors Only
Monthly historical net returns
Appendix I
January February March April May June July August September October November December Year
2017 1.04% 0.38% 0.47% 2.86% 0.34% 0.81% 1.30% 2.05% -1.07% 1.19% -0.65% -0.24% 8.76%
2016 -1.11% -2.74% -1.71% -3.65% 2.63% 3.48% 3.20% -3.3% 1.88% -0.21% -1.00% -1.18% -4.00%
2015 5.18% 0.64% 1.53% -2.93% 2.15% -0.85% 2.84% 0.19% 1.48% -0.59% 2.20% 2.00% 14.48%
2014 2.28% 1.22% -0.24% -3.52% 0.51% 2.87% 0.49% -0.06% 0.93% 1.31% -0.12% 2.15% 7.92%
2013 -0.64% 3.93% 1.92% 2.11% -0.40% 1.27% 1.47% -3.44% 1.24% 2.65% 1.57% 1.04% 13.26%
2012 -1.77% 0.20% 2.63% 2.11% 0.86% -1.32% 0.98% -1.49% 0.86% 1.91% 0.29% 0.10% 5.37%
2011 -3.54% -0.21% 1.09% 1.82% 0.89% 0.11% 1.37% -2.13% -0.21% -0.67% 0.70% -0.23% -0.81%
2010 3.96% 0.26% 1.33% 1.61% -0.5% 1.93% -0.34% 1.92% 2.42% 0.38% 1.28% 1.24% 16.56%
2009 0.21% 1.67% -1.34% -0.33% 1.17% 2.40% 2.26% -0.30% -0.23%
Note: RAM Long/Short European Equities Strategy shows performance net of fee of the RAM L/S European Equities Fund Class-I from December 2011 (1.5% of management
fee+20% of performance fee) and of the RAM Absolute Return Fund prior to December 2011. The RAM Absolute Return Fund followed the same exact investment strategy within a
Cayman vehicle (1.75% of Management fee+20% of performance fee) before it was converted to a UCITS.
Source: RAM Active Investments, MSCI indices as of 31.12.2017
Past performance is not a guide to future performance
RAM Long/Short European Equities Strategy - Net Monthly Performance
70 RAM Active Investments SA | For Professional Investors Only
Monthly historical net returns
Appendix II
January February March April May June July August September October November December Year
2017 0.68% 1.24% -0.02% -0.34% -0.29% 1.32% 0.90% 0.70% -0.65% -0.94% 0.25% 1.45% 4.29%
2016 -0.48% -0.40% 0.46% -1.31% 1.13% 0.75% 0.52% 0.03% -0.67% -1.00% -3.03% 0.31% -3.68%
2015 0.85% 0.01% 1.63% -0.43% 0.92% -0.20% 0.37% -1.75% 0.12% -0.80% 0.72% 0.84% 2.24%
2014 -1.03% 0.50% -0.20% -0.17% 0.84% 0.11% -0.13% 0.41% 0.59% 0.28% 1.36% 0.45% 3.02%
2013 0.67% 1.42% 2.03% 1.65% -1.10% 0.04% -0.35% -1.46% 1.59% 0.64% 0.68% 0.73% 6.66%
2012 0.36% 0.97% 0.81% -0.06% -0.79% 1.28% 1.55% 0.09% -0.16% 0.24% 0.61% 1.08% 6.12%
RAM Long/Short Emerging Markets Equities Strategy - Net Monthly Performance
Note: RAM Long/Short Emerging Markets Equities Fund Class I-USD (performance net of 1.5% of MF + 20% of PF)
Source: RAM Active Investments, MSCI indices as of 31.12.2017
Past performance is not a guide to future performance
71 RAM Active Investments SA | For Professional Investors Only
Monthly historical net returns
Appendix III
January February March April May June July August September October November December Year
2017 0.51% 0.47% 0.58% 0.21% 1.90% -0.04% 0.99% 1.71% -1.54% 0.94% -0.18% -0.71% 4.88%
2016 -0.22%
RAM Long/Short Global Equities Strategy - Net Monthly Performance
Note: RAM Long/Short Global Equities Fund Class PI-USD (performance net of 1.0% of MF + 15% of PF)
Source: RAM Active Investments, MSCI indices as of 31.12.2017
Past performance is not a guide to future performance