RAM (LUX) Systematic Funds Long/Short European Equities

The RAM (LUX) Systematic Funds Long/Short European Equities strategy has seen several changes since our last research. ESG is now considered as one of the four dimensions of the investment objective, next to alpha, risk, and liquidity. RAM AI’s research suggests that ESG brings a sustainable angle to the investment process that not only makes it more socially responsible but can also help reduce long-term investment risk and help enhance strategy returns. During 2021, research efforts were focused on strengthening the machine learning platform and models particularly in respect of integration of ESG and unstructured datasets. A range of new ESG inputs have been integrated, reflecting the growing number of data inputs available, going further than just carbon data, such as new environmental (waste, water, nitrate emissions) and governance inputs. Whilst new inputs are currently being integrated from earnings announcements’ transcripts data. Using NLP the team can extract a range of sentiment and polarity inputs from the text of management presentations and Q&As with analysts which the team believe have some predictive power on future stock returns.