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Dr Daniele Lamponi

Dr Daniele Lamponi - Investment Manager

Dr Daniele Lamponi is an Investment Manager in the GAM Systematic Alternative Risk Premia team, responsible for researching and implementing risk premia strategies.

Prior to joining GAM Investments in July 2018, he worked as a quantitative investment specialist for PG3 and a lecturer in statistics at the Geneva School of Business Administration, an investment manager at Unigestion and as a quantitative portfolio manager at Banque Cantonale Vaudoise. Before that, he worked alongside Dr. Lars Jaeger as a member of the Alternative Risk Premia Team at Partners Group. His research focus has been on quantitative equity on option as well as general momentum models. Daniele Lamponi holds a doctorate degree in mathematics from the Swiss Federal Institute of Technology, Zurich and a degree in physics from the University of Bologna. He is based in Zurich.

Dr Daniele Lamponi

My Insights

Investment Opinions 15 min read

ARP: there is no such thing as generic algorithms

3 December 2019

Alternative Risk Premia strategies are based on a system of clearly defined rules, but there is less commonality in how these are applied than investors often recognise. GAM Systematic’s Dr Daniele Lamponi and Dr Anke Schorr explain that model dispersion arises because of decisions taken during all phases of developing a systematic harvesting algorithm. They illustrate why a combination of carefully considered investment rationales and extensive experience are ultimately key drivers in developing systematic investment strategies.

15 min read
Investment Opinions 12 min read

Beyond the rear-view mirror

4 July 2019

In recent years, market behaviour has often deviated from historic norms. GAM Systematic’s Dr Daniele Lamponi outlines why it is important for quantitative investment professionals to continuously monitor and review their investment models to adapt them to changing market conditions. To illustrate this point, he considers the case of trend models in the bond market.

12 min read
Investment Opinions 15 min read

Alternative Risk Premia: A focus on the equity value premium

20 March 2019

The universe of Alternative Risk Premia (ARP) strategies is not nearly as generic as the concept would imply according to GAM Systematic’s Daniele Lamponi. He suggests that challenging existing models, as well as evaluating new opportunities and smarter implementation, has proved a differentiator in the ARP space across different timeframes.

15 min read