A Lamarckian evolution framework of ARP
22 January 2021GAM Systematic’s Dr Daniele Lamponi and Dr Lars Jaeger highlight the importance of alternative risk premia (ARP) models evolving over time and adapting to changing conditions.
About Systematic
2.9
CHF 2.9 billion¹ assets under management
25+
Scientists
1 million +
lines of our proprietary code
45,000 +
stocks in our historical models
400 +
components that make up our proprietary unified risk management and trading system
Strategies and Solutions
Multi Strategy
GAM Systematic Multi Strategy is a systematic multi-strategy investment programme launched in 2007. The portfolio combines multiple investment strategies grouped around five uncorrelated return sources: Trend Following, Value/Carry, Short Term, Diversifiers and Equity Market Neutral Cash Equities. It is built upon diverse investment research, risk management processes as well as a trading and execution infrastructure developed and tested by GAM Systematic’s own team of scientists.
Offshore and Managed Account versions are available for this programme.
Core Macro
GAM Systematic Core Macro delivers a multi-strategy and cross-asset class portfolio that seeks to generate returns uncorrelated to traditional asset classes. It uses proprietary, state-of-the-art research and trading systems to identify persistent and recurring sources of return in markets. These can be identified and harvested systematically via liquid instruments across currencies, fixed income, equities and commodities. Offering high liquidity, the strategy can act as a cost-effective diversifier to any portfolio over the course of a market cycle. Offshore, UCITS, Australian Trust and Managed Account versions are available for this programme.
Alternative Risk Premia
GAM Systematic Alternative Risk Premia delivers portfolios that target absolute returns with a low correlation to traditional assets over the long term. The programme has been live since 2012, with the team having run alternative risk premia since 2004. The team analyses, structures, and implements a diverse range of liquid alternative return sources – or ‘alternative risk premia’ – from across global markets. The most attractive premia are combined and risk-sized in portfolios using the team’s proprietary Expected Drawdown Analysis methodology, an innovative approach focused on capital preservation. Offered with fully customisable investment objectives, the strategy is designed to complement investors’ existing traditional and alternative investment exposures, and features daily liquidity, high transparency and fee simplicity.
Offshore, UCITS, Australian Trust and Managed Account versions are available for this programme.
Dynamic Credit
GAM Systematic Dynamic Credit is a systematic credit strategy, designed to outperform credit indices on an absolute and risk-adjusted basis over the cycle. It targets full upside participation combined with downside protection, namely in prolonged bear markets. The strategy benefits from highly active and reactive positioning and provides daily liquidity for subscriptions and redemptions.
Global Equities
GAM Systematic Global Equities is a long-only strategy investing in global equity markets, seeking to create a diversified portfolio across geographies, sectors and factors. The strategy benefits from proprietary, computer-based models and rigorous scientific research to create fully systematic strategies that offer cost-effective, diversified equity exposure with high active share.
Core strategies aim to outperform simple factor implementations while satellite strategies, often with shorter holding periods, aim to add diversification and deliver high quality alpha. The goal of GAM Systematic's sophisticated portfolio construction techniques is to optimise position sizes to efficiently manage risk and maximise the capture of alpha while taking into account market conditions to control trading cost.
Cambridge Connection
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Leadership
GAM Systematic Cambridge Senior Investment Team
Alternative Risk Premia Senior Investment Team
The Scientists
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The Success
Our technology, innovation and team have earned us a fantastic reputation across the industry, and we now have some of the most sophisticated and prestigious investors as clients.
Getting Involved
We have a flat hierarchy, and have a weekly research meeting where we discuss ideas and hear what everyone has been working on. Our collegial structure means that you can be involved across the board and will have a chance to experience all markets and strategies, work with colleagues from different parts of the globe and develop your own skillset.
Your Future
Our approach, and the way we think about things, means that we need people with strong statistical and programming skills. We hire people from a range of scientific disciplines, and they don't need to have previous financial experience.
If you think you'd be a good fit, please have a look at our current vacancies. We look forward to hearing from you.