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.
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.
The Alternative Risk Premia team, led by Dr. Lars Jäger, comprises seven investment professionals. The team benefits from industry leading expertise built over a long history of leadership in risk premia research, design and systematic implementation.
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 PremiaDr Lars Jaeger, Investment Director and Head of Alternative Risk Premia
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.
Derivatives may multiply the exposure to underlying assets and expose the Fund to the risk of substantial losses.
Bonds may be subject to significant fluctuations in value. Bonds are subject to credit risk and interest rate 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.
Emerging markets will generally be subject to greater political, market, counterparty and operational risks.
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.