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.
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.
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 edgeDr Ewan Kirk, Chief Investment Officer - GAM Systematic Cantab
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.
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.
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.
Investments in equities (directly or indirectly via derivatives) may be subject to significant fluctuations in value.
Assumptions employed in quantitative-based pricing theories and valuation models used could prove over time to be incorrect.
The Fund relies extensively on computer programs and systems which interfaces with third party systems. Reliability of third party systems cannot be guaranteed.
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.
Derivatives may multiply the exposure to underlying assets and expose the Fund to the risk of substantial losses.
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.