Skip to main content

GAM Systematic Core Macro

View more Featured Strategies

GAM Systematic Core Macro seeks to provide a diversified stream of macro-style returns at a fraction of standard industry fees. The strategy can serve as a core liquid alternative to portfolios, by combining multiple strategies grouped around two uncorrelated return sources, Trend and Value/Carry. Sophisticated proprietary tools determine position weights, while risk allocation between asset classes and strategies is fully systematic and dynamic.

Active Thinking Video

GAM Systematic’s Dr Chris Longworth and Guglielmo Mazzola highlight bond sell offs and a commodities rally as significant market events, and note that systematic investment approaches can help provide investors with much-needed diversification for their portfolios.

As systematic investors, one of the things that we are very focused on is the amount of diversification that's available through the markets that we trade.

Our Edge

Superior quantitative technology

A long track record of developing sophisticated portfolio construction and risk algorithms allows the team to capture and combine sources of returns.

Multiple return sources

By optimally combining over a dozen complementary strategies, the portfolio seeks to generate an uncorrelated stream of macro returns, resulting in attractive, risk-adjusted returns.

Innovative research

A strong focus on research and development ensures changing market conditions are analysed so that strategies continue to evolve and remain at the cutting edge of systematic trading.

Liquidity

A disciplined and systematic process means the team invests in around 100 relatively liquid futures and forwards markets across asset classes, resulting in a daily dealing structure.

Investment Team

The management of the systematic macro strategy is led by Head of GAM Systematic Dr Chris Longworth, together with the wider GAM Systematic investment team.

Founded in 2006 and employing scientists fully dedicated to research, systems and trading, the GAM Systematic 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, statistics, computer science and economics.

The GAM Systematic team also manages a Commodity strategy, headed by Danny Dhingra. The team is united in their belief in delivering value to investors through a rigorous scientific, systematic and predominantly rules-based approach that creates portfolios with limited correlation to traditional asset classes.

 
We constantly invest in our research and development to ensure our strategies and systems stay at the cutting edge.
Chris Longworth (PhD)
Directeur de GAM Systematic
Danny Dhingra
Investment Manager, GAM Systematic
Farida Mustafazade
Senior Scientist, GAM Systematic
Dr Louie Cardone-Noott
Scientist, GAM Systematic
Chris Wilson
Senior Scientist, GAM Systematic

Philosophy and Process

Investment Philosophy

The team believes that there are persistent and recurring sources of return in markets which can be identified and harvested systematically. To capture these returns, they use rigorous scientific research to create proprietary systematic investment strategies. They believe that combining multiple strategies in a portfolio with tightly controlled risk creates better long-term results than relying on a single source of return. Two strategy clusters - Value & Carry and Trend – are 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. Strategies are classified as Value & Carry (seeking to capture multiple carry and ‘GTAA-style’ returns via several distinct strategies across four macro asset classes) and Trend (seeking to capture trending behaviour across assets on a medium-term basis). Portfolio construction relies on multiple risk tools to assess changing volatility, correlation and return forecasts. The portfolio optimisation process and trading run intraday, dynamically rebalancing position sizes. Risk management tools dynamically adjust risk in each market, strategy and the entire portfolio, as market conditions change, while the team’s risk management architecture comprises around 400 components that send around 200 million messages to each other daily.

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

Reasons to Invest

Systematic

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

Effective diversifier

A systematic macro approach can be a valuable diversifier, due to the potential lack of correlation to traditional asset classes, absence of directional bias and diversification across multiple asset classes.

Proven source of excess returns

Systematic alpha generation using trend-following and value and carry strategies have been academically recognised as stable sources of return for over 30 years.

Execution cost management

Trade execution algorithms reduce and manage execution costs by prioritising cost efficient, alpha-enhancing trades.

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.

Leverage Risk

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

Liquidity Risk

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

Equity

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

Currency Risk - Non Base Currency Share Class

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

Trading / Model Risk

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

Systems Risk

The portfolio 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 portfolio 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.

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.

Our Thinking

Nous Contacter

Si vous souhaitez que nous vous contactions, ou que nous vous envoyions des informations complémentaires par e-mail, veuillez remplir le formulaire de demande de renseignements ci-dessous.

DISCUTEZ AVEC L’UN DE NOS CLIENT DIRECTORS

Si votre demande est urgente ou si vous souhaitez discuter avec l’un des membres de l’équipe, veuillez cliquer sur le bouton ci-dessous pour obtenir ses coordonnées.

 

 

Parler à un membre de l’équipe

Contacts

Pour vos contacts locaux, veuillez sélectionner votre pays ou visitez notre page Contacts et Emplacements.

Mentions légales: Les performances passées ne sont pas un indicateur des performances futures ni des tendances actuelles ou futures. Les indications pourraient se fonder sur des chiffres libellés dans une devise pouvant différer de la devise de votre pays de résidence et le rendement peut de ce fait évoluer à la hausse comme à la baisse en conséquence de fluctuations de change. Capital sous risque: Les instruments financiers engendrent un facteur de risque. Par conséquent, la valeur de l’investissement et le rendement qui en résulte peuvent varier et la valeur initiale de l’investissement investi ne peut pas être garantie. Aucune référence à un titre financier ne saurait constituer une recommandation d'achat ou de vente de ce titre.

x
x

Choose Language

Cancel OK
x

Before we search

You could get more results if you let us know where you are and what type of investor you are - self-certify. Until you do this we cannot show you any fund information.

Self-certify Non merci
x

Watchlist

Veuillez vous ou enregistrer pour voir votre liste de suivi.

Inscription

Avant de poursuivre

Le contenu que vous avez demandé est soumis à des restrictions dans certaines juridictions.

Veuillez sélectionner votre profil d’investisseur pour continuer.

x

x

Fund Watchlist

Votre liste de suivi a été mise à jour.

Mes fonds
x

My Content

Your watchlist has been updated.

My Content
x

ds-dialog-title

Your watchlist has been updated.

x

You are now leaving the GAM Investments' website.

We are not responsible for the content or availability of linked sites.

Please click OK to continue or CANCEL to return.

OK Cancel