GAM Systematic Core Macro seeks to provide a diversified stream of macro-style returns at a fraction of standard industry fees. The strategy can serve as a core liquid alternative to portfolios, by combining multiple strategies grouped around two uncorrelated return sources, Trend and Value/Carry. Sophisticated proprietary tools determine position weights, while risk allocation between asset classes and strategies is fully systematic and dynamic.
As systematic investors, one of the things that we are very focused on is the amount of diversification that's available through the markets that we trade.
The management of the systematic macro strategy is led by Head of GAM Systematic Dr Chris Longworth, together with the wider GAM Systematic investment team.
Founded in 2006 and employing scientists fully dedicated to research, systems and trading, the GAM Systematic team leverages off extensive academic and quantitative research experience, and benefits from strong links to Cambridge’s academic, research and technology communities. The team deliberately focuses on attracting top scientists from diverse backgrounds in fields including engineering, statistics, computer science and economics.
The GAM Systematic team also manages a Commodity strategy, headed by Danny Dhingra. The team is united in their belief in delivering value to investors through a rigorous scientific, systematic and predominantly rules-based approach that creates portfolios with limited correlation to traditional asset classes.
We constantly invest in our research and development to ensure our strategies and systems stay at the cutting edge.
The team believes that there are persistent and recurring sources of return in markets which can be identified and harvested systematically. To capture these returns, they use rigorous scientific research to create proprietary systematic investment strategies. They believe that combining multiple strategies in a portfolio with tightly controlled risk creates better long-term results than relying on a single source of return. Two strategy clusters - Value & Carry and Trend – are combined to create a robust macro portfolio aiming to capture uncorrelated alpha.
Systematic investing applies scientific methodology to financial markets, by building hypotheses and using data to prove or disprove them. Strategies are classified as Value & Carry (seeking to capture multiple carry and ‘GTAA-style’ returns via several distinct strategies across four macro asset classes) and Trend (seeking to capture trending behaviour across assets on a medium-term basis). Portfolio construction relies on multiple risk tools to assess changing volatility, correlation and return forecasts. The portfolio optimisation process and trading run intraday, dynamically rebalancing position sizes. Risk management tools dynamically adjust risk in each market, strategy and the entire portfolio, as market conditions change, while the team’s risk management architecture comprises around 400 components that send around 200 million messages to each other daily.
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 portfolio to the risk of substantial losses.
Some investments can be difficult to sell quickly which may affect the value of the portfolio and, in extreme market conditions, its ability to meet redemption requests.
Investments in equities (directly or indirectly via derivatives) may be subject to significant fluctuations in value.
Non-base currency share classes may or may not be hedged to the base currency of the portfolio. Changes in exchange rates will have an impact on the value of shares in the portfolio which are not denominated in the base currency. Where hedging strategies are employed, they may not be fully effective.
Assumptions employed in quantitative-based pricing theories and valuation models used could prove over time to be incorrect.
The portfolio relies extensively on computer programs and systems which interfaces with third party systems. Reliability of third party systems cannot be guaranteed.
The portfolio is at risk of errors of implementation (e.g. “bugs” and classic coding errors), errors of design and errors resulting from unexpected interaction of various code modules or systems.
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.
9 min read
Systematic investing has recently seen increased interest as many traditional investment styles have been challenged by adverse market conditions. We sat down with Dr Silvia Stanescu and Dr Chris Longworth, Investment Directors at GAM Systematic, to discuss some of the most asked questions about how systematic investing works, some common misconceptions, as well as the role a systematic investment style can play as a constituent of a well-diversified portfolio.
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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.
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