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GAM Systematic Dynamic Credit

Reasons to Invest

Attractive risk/return profile

Aims to outperform global credit markets across cycles at materially less drawdown risk.

Downside protection

Designed to optimise market upside participation, while protecting or even benefiting from any prolonged market drawdowns.

Effective diversifier

The fund aims to have only minor correlation patterns to traditional credit products, as well as other major risk asset classes over the cycle.

Flexible application

The risk/return profile, active multidimensional credit approach and broadly neutral interest rate duration positioning over time makes the fund a compelling standalone or overlay credit strategy

Our Edge

Multiple sources of alpha

Three distinctive risk-return drivers aim to dynamically capture changes in risk sentiment and absolute and relative spread changes in or between credit markets and issuers.

Systematic

Purely model-driven, automated process allows for a highly structured, repeatable, real-time approach that excludes any human bias otherwise inherent in active traditional credit strategies.

Transparent, liquid, scalable and efficient

Active market exposure is taken through the most liquid, standardised credit and interest rate derivatives, centrally cleared to eliminate counterparty risk.

Proven and tested

All models have been designed and tested by GAM Systematic’s multi-billion dollar quantitative specialist platform and leverage off proven track records.

Philosophy and Process

Investment Philosophy

The credit strategy combines three distinct, largely uncorrelated return drivers that differ not only in terms of objective, directionality and the risk taken, but also in terms of investment horizons and corresponding trading activity. Empirical evidence and extensive backtesting demonstates that this should create materially better, higher quality long-term returns from global credit markets than comparable traditional investment approaches.

Investment Process

Our fully automated, model-driven and tightly risk controlled process ensures that the strategy is managed in an entirely unbiased and highly effective manner while the exclusive focus on only the most liquid credit and interest rate derivative instruments, as well as short-dated US Treasury bills, allows for a maximum level of transparency, liquidity, scalability and cost efficiency. This daily trading portfolio has exposure to all three strategies at all times, albeit to varying degrees. A comparatively modest level of gross and limited net leverage is applied.

Investment Team

The fund is managed by the GAM Systematic | Cantab team. GAM Systematic manages a suite of solutions across asset classes and in both long-only and long-short strategies, predominantly for global institutional investors.

Founded in 2006 and employing over 30 scientists fully dedicated to research, systems and trading, the GAM Systematic | Cantab 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, astrophysics, statistics, computer science and economics, rather than primarily from other investment managers.

The team is united in their belief in delivering value to investors through a rigorous scientific, systematic and rules-based approach that creates portfolios with limited correlation to major systematic indices and competitors.

With diverse backgrounds in fields including engineering, astrophysics, statistics, computer science and economics, the common thread in our DNA is a passion for delivering value to our investors through our rigorous scientific approach to investing
Anthony Lawler, Co-Head of GAM Systematic

Our Thinking

GAM Systematic | Cantab 8 min read

FUND MANAGER PORTRAIT: DR LINDA GRUENDKEN

10 December 2019

Linda is the senior scientist for GAM Systematic’s Dynamic Credit proposition. In recent years, she and the rest of the GAM Systematic Cantab team have been researching ways to systematically harness sustainable fixed-income and credit returns in the quest to develop a strategy capable of weathering adverse credit market conditions, while capturing the upside in more favourable trading climates.

8 min read
GAM Systematic | Cantab 22 min read

Complication And Complexity: Need they be feared?

18 September 2019

How can you distinguish complicated from complex systems? GAM Systematic Cantab’s Dr Ewan Kirk explains why investors should not fear systems that are complicated, but should have justifiable concerns about systems that are complex.

22 min read
GAM Systematic | Cantab 2 min watch

GAM Talks: Systematic Investing

10 April 2019

GAM Systematic’s Anthony Lawler discusses the current market environment for systematic investing, outlining any risks as well as how markets are being navigated at present.

2 min watch

Fund Information

Key Risks

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.

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.

Currency Risk

The value of investments in assets that are denominated in currencies other than the base currency will be affected by changes in the relevant exchange rates which may cause a decline.

Currency Risk - non base currency share class

Non-base currency share classes may or may not be hedged to the base currency of the Fund. Changes in exchange rates will have an impact on the value of shares in the Fund which are not denominated in the base cur- rency. Where hedging strategies are employed, they may not be fully effective.

Liquidity Risk

Some investments can be difficult to sell quickly which may affect the value of the Fund and, in extreme market conditions, its ability to meet redemption requests.

Trading/Model Risk

Assumptions employed in quantitative-based pricing theories and valuation models used could prove over time to be incorrect.

Systems Risk

The Fund relies extensively on computer programs and systems which interfaces with third party systems. Reliability of third party systems cannot be guaranteed.

Strategy Exceptions and Hardware Failure

The Fund 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.

Resources

Fund Profile - GAM Systematic Dynamic Credit

Risk management at GAM

Contacts

GAM Star Dynamic Credit is a sub-fund of GAM Star Fund p.l.c., registered office at George’s Court, 54-62 Townsend Street, Dublin 2, Ireland, an umbrella investment company.