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GAM Systematic Global Equity Market Neutral

Reasons to Invest

Systematic

A computer-driven, automated approach allows for a highly structured, repeatable process that excludes human trading or behavioural biases.

Access to superior technology

Cutting-edge proprietary infrastructure and trading systems have enabled the team to develop an advanced and complex suite of equity strategies, which continue to evolve over time.

Effective diversifier

Delivering returns that are uncorrelated to global equity markets and other asset classes helps provide valuable portfolio diversification.

Risk controlled

Multiple proprietary risk management tools systematically reallocate risk to each strategy, cluster and across the entire portfolio, as market conditions change.

Our Edge

Proven and tested

Equity trading models, designed and tested by the team’s multi-billion dollar quantitative specialist platform, have a proven track record as part of the team’s broader multi-strategy quantitative programme which launched in 2007.

Multiple sources of alpha

Multiple strategies within the portfolio can be valuable diversifiers in different market environments, as they seek to harvest returns across various factors.

Cost-effective

A focus on implementation and trade execution enables an efficient and cost-effective method of capturing alpha from equity markets.

Liquidity

The team invests in approximately 3,000 relatively liquid large and mid-cap stocks across 10 exchanges globally, resulting in a liquid, diversified fund in a daily dealing UCITS structure.

Philosophy and Process

Investment Philosophy

The team believes there are persistent and recurring sources of return in equity markets which can be identified and harvested systematically. To capture these returns, rigorous scientific research can be used to create multiple equity strategies. By combining these strategies in a portfolio, with tightly controlled risk, the team believes better long-term results can be achieved than just relying on a single source of return. Multiple strategies – grouped around value, quality, defensive and momentum clusters, as well as more esoteric, proprietary satellite strategies – can be combined to create a robust macro portfolio aiming to capture uncorrelated alpha.

Investment Process

Systematic investing applies scientific methodology to financial markets, by building hypotheses and using data to prove or disprove them. Technical, fundamental and alternative data feeds into multiple proprietary models, which identify the relative attractiveness of each stock based on the distribution of signals across the universe. Statistical techniques determine long or short positioning using a vast array of real-time pricing data. In parallel, the portfolio construction process computes the optimal allocation to each position, region, strategy and cluster to ensure that the portfolio maintains market neutrality and realises annualised volatility of 6-8% over a cycle. Sophisticated, interlocking risk management tools dynamically reallocate risk as market conditions change, thereby building a portfolio that has the highest risk return trade-off, is risk controlled, and is cost-efficient and implementable.

1. Research and development

  • Development of new strategies
  • Cross fertilisation of ideas using a scientific method

2. Investment implementation

  • Strategy weights dynamically optimised; close to equal risk weighting over time
  • Proprietary trading algorithms

3. Risk management

  • Risk tools dynamically control real-time risk
  • Independent Risk Committee oversees market, regulatory and business risks

Investment Team

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

Founded in 2006 and employing over 35 scientists fully dedicated to research, systems and trading, GAM Systematic Cantab 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.

We constantly invest in our research and development to ensure our strategies and systems stay at the cutting edge
Dr Ewan Kirk, Chief Investment Officer - GAM Systematic Cantab

Fund Information

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.

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.

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 currency. Where hedging strategies are employed, they may not be fully effective.

Equity

Investments in equities (directly or indirectly via derivatives) may be subject to significant fluctuations in value.

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.

Leverage Risk

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

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.

Resources

Fund Profile - GAM Systematic Global Equity Market Neutral

Risk management at GAM

Contacts

GAM Systematic Global Equity Market Neutral 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.