False ffc2a380-87fe-43e2-8908-03528ee0759a
Featured Strategy

GAM Systematic Alternative Risk Premia

GAM Systematic Alternative Risk Premia seeks to harvest systematic returns from alternative risk premia strategies across markets. The strategy aims to deliver consistent returns, with low correlation to equities and bonds and a focus on capital preservation. Managed by GAM Systematic’s Alternative Risk Premia team, systematic models are combined with bottom-up research to create a highly liquid portfolio of 12-25 risk premia.

GAM Systematic Alternative Risk Premia seeks to harvest systematic returns from alternative risk premia strategies across markets. The strategy aims to deliver consistent returns, with low correlation to equities and bonds and a focus on capital preservation. Managed by GAM Systematic’s Alternative Risk Premia team, systematic models are combined with bottom-up research to create a highly liquid portfolio of 12-25 risk premia.

Active Thinking Video

Danny Dhingra summarises the third quarter, characterised by rate hikes and high inflation, and explains how his asset class proved positive and provided good portfolio diversification in a market environment that was challenging for traditional asset classes.

In a challenging market environment for traditional asset classes, where both equity and bond gauges fell to lower levels and correlations between them somewhat increased through the period, alternative risk premium strategies proved positive and provided good portfolio diversification.

Our Edge

Solid credentials

The team has a strong reputation as pioneers of alternative risk premia investing having traded alternative risk premia for 15 years, with extensive academic and quantitative research experience.

Sophisticated, innovative approach

Proprietary models have been developed to support the identification of risk premia opportunities by tracking correlation, as well as seeking to limit downside risk.

Active risk management

The strategy benefits from a high degree of liquidity and transparency that enables tight operational and investment risk management on a continuous basis.

Quality and cost

Diligent cost analysis, a focus on the proprietary execution system of risk premia, via a world class trading platform, saves on implementation costs and seeks to ensure excellent quality of underlying strategies.

Investment Team

The ARP team is led by Dr Lars Jaeger, and comprises six investment professionals. Other team members are Paolo Scripelliti, Co-Head of Alternative Risk Premia and Dr Daniele Lamponi, Investment Manager, as well as Danny Dhingra, Senior Investment Analyst, Dr Vladimir Kobelev, Senior Investment Analyst and one further analyst Dr Utibe Umoh. The team benefits from industry-leading expertise built over a long history of leadership in risk premia research, design and systematic implementation. With the industry’s longest live and continuous track record in alternative risk premia investing, the team has served some of the world’s leading investors.

The varied background of the team members encompasses theoretical physics, mathematics and mathematical science. This strong quantitative orientation, combined with many years of trading experience in global capital markets, enables the team to evaluate, build and execute a broad range of risk premia strategies optimally.

The team is part of GAM Systematic, a leading quantitative platform offering a range of solutions across the systematic investing spectrum.

‘Our decade plus of experience researching, designing and improving risk premia models gives our clients a clear advantage, as evidenced by our track record.’
Dr Lars Jaeger, Investment Director and Head of Alternative Risk Premia
Dr Lars Jaeger
Head of Alternative Risk Premia
Paolo Scripelliti
Co-Head of Alternative Risk Premia

Philosophy & Process

Investment philosophy

The team believes the identification of risk premia investing has fundamentally changed the way investors approach alpha generation. The team believes alternative risk premia returns are not driven by systematic long equity or bond risks, but can be extracted systematically, using unconventional techniques beyond buy and hold. Such alternative risk premia offer low correlation and thus the opportunity for diversification.

Investment process

The team bases its process on a diversified risk approach, investing in alternative risk premia across the breadth of asset classes and trading styles globally. Their research has identified three main investment styles – value, momentum and carry – across four broad asset classes – equities, fixed income, FX and commodities. Firstly, distinct and diverse risk premia are identified using proprietary Cluster Map Analysis, followed by rigorous quantitative and qualitative investment due diligence on each premium and on the implementation path. The portfolio of selected premia is then constructed and actively managed using Expected Drawdown Analysis – a proprietary tool focused on capital preservation – in order to understand the contribution of each risk premium to expected drawdown. Risk management is embedded throughout the process, and monitored independently by GAM’s Quantitative Analysis Team.

1

Identify premia

  • Original research identifies highest quality premia
  • ‘Cluster map’ verifies correlation profile
2

Structure premia

  • Full research, design and evaluation
  • Cost analysis of implementation
3

Portfolio construction

  • Sizing focused on capital preservation
  • Expected Drawdown Analysis tool manages risk
4

Trading and risk

  • Efficient execution platform and post-trade oversight
  • Ongoing independent risk monitoring

Reasons to Invest

Portfolio diversifier

Alternative risk premia are the rewards for taking non-traditional risk, typically employing unconventional investment techniques, ensuring low correlation to traditional asset classes.

Breadth of opportunity

Ability to invest in a range of asset classes globally, maximising the opportunity set and aiming for access to multiple sources of return, regardless of market environment.

Liquid and transparent

Highly liquid and transparent holdings make the asset class an attractive, long-term proposition, and provide investors with a solid understanding of the return and risk sources.

Cost effectiveness

Alternative risk premia are a robust alternative to equities and bonds without paying hedge fund fees, while accessing similar return sources.

Key Risks

Counterparty Risk / Derivatives

If a counterparty to a financial derivative contract were to default, the value of the contract, the cost to replace it and any cash or securities held by the counterparty to facilitate it, may be lost.

Leverage Risk

Derivatives may multiply the exposure to underlying assets and expose the Fund to the risk of substantial losses.

Credit Risk / Debt Securities

Bonds may be subject to significant fluctuations in value. Bonds are subject to credit risk and interest rate risk.

Capital at risk

All financial investments involve an element of risk. Therefore, the value of the investment and the income from it will vary and the initial investment amount cannot be guaranteed.

Market Risk / Emerging Markets

Emerging markets will generally be subject to greater political, market, counterparty and operational risks.

Interest Rate Risk

A rise or fall in interest rates causes fluctuations in the value of fixed income securities, which may result in a decline or an increase in the value of such investments.

Our Thinking

GAM Systematic

10 min read

A Lamarckian evolution framework of ARP
22 January 2021

GAM Systematic’s Dr Daniele Lamponi and Dr Lars Jaeger highlight the importance of alternative risk premia (ARP) models evolving over time and adapting to changing conditions.

GAM Systematic

10 min read

Titanomachia aka the battle of momentum models: In the end it’s all about exposures
29 October 2020

GAM Systematic’s Dr Daniele Lamponi says experience and attention to detail in understanding risk and performance drivers are crucial in harvesting alternative risk premia, and models must adapt to changing market conditions.

GAM Systematic

5 min read

Don't believe the hype about AI and fund management
05 October 2020

Machine learning can generate marginal improvements but nothing truly transformational

Our Thinking

Fund Information

Contact Us

If you would like us to contact you, or email you with further information, please complete the enquiry form below.

Speak to one of our client directors

If you wish to talk to a member of the team, please click the button below for their contact details.

 

 

Speak to a member of the team

Contacts

Please visit our Contacts and Locations page.

GAM Systematic Alternative Risk Premia is a sub-fund of GAM Star Fund p.l.c., registered office at Dockline, Mayor Street, IFSC, Dublin, D01 K8N7, Ireland, an umbrella investment company.

Disclaimer: Past performance is not an indicator of future performance and current or future trends. The indications could be based on figures denominated in a currency that may be different from the currency of your residence country and therefore the return may increase or decrease as a result of currency fluctuations. Capital at risk: all financial investments involve an element of risk. Therefore, the value of the investment and the income from it will vary and the initial investment amount cannot be guaranteed. Any reference to a security is not a recommendation to buy or sell that security.

x
x

Choose Language

Cancel OK
x

Before we search

You could get more results if you let us know where you are and what type of investor you are - self-certify. Until you do this we cannot show you any fund information.

Self-certify No thanks
x

Watchlist

Please login or register to add to your watchlist.

Register

Before you can proceed

The content you have requested is restricted in some jurisdictions.

Please select your investment profile to continue.

x

x

Fund Watchlist

Your watchlist has been updated.

My Funds
x

My Content

Your watchlist has been updated.

My Content
x

My Document Subscriptions

Your watchlist has been updated.

My Documents
x

You are now leaving the GAM Investments' website.

We are not responsible for the content or availability of linked sites.

Please click OK to continue or CANCEL to return.

OK Cancel