GAM Launches Third Systematic UCITS Fund

Jan 10 2017 | 10:51pm ET

Swiss money manager GAM has announced launched a UCITS-compliant version of an existing quantitative macro fund within its recently acquired Cantab unit. 

The new fund, named GAM Systematic Diversified Macro, invests using the same rigorous quantitative trading models and investment strategies developed by the Cantab investment team for use within the established offshore version of the fund, according to a statement. The offshore version has delivered an annualized return since inception of 5.2%.

GAM Systematic Diversified Macro offers a liquid, diversified portfolio with low correlation to traditional asset classes by investing in over 100 global markets across all the major asset classes including currencies, fixed income and equity indices, GAM said. It fund aims to deliver strong systematic macro returns with annualised volatility of about 10% within a cost-effective, daily dealing UCITS framework. 

The fund combines multiple investment strategies grouped around two uncorrelated return sources: relative value positioning in value and carry, and directional positioning in trend, GAM explained in the statement. Proprietary state-of-the-art infrastructure, machine learning and big data techniques allow for the generation of highly diversified returns by capturing persistent signals across a variety of asset classes.

Robust risk management underpins GAM Systematic’s investment process and all strategies are rigorously and scientifically tested before they are introduced to the portfolio. Multiple risk management tools dynamically adjust risk in each market, strategy, and the entire portfolio, as market conditions change.

“We are pleased to launch GAM Systematic’s third quantitative UCITS fund, the Diversified Macro strategy, to complement the alternative risk premia and equity market neutral products,” said Anthony Lawler, Co-Head of GAM Systematic, in the statement. “This product provides our clients with access to a stream of uncorrelated, macro returns from multiple strategies across different asset classes. 

GAM is already one of the largest providers of UCITS products in Europe, and this offering further broadens that suite,” he added.

GAM acquired $4 billion systematic manager Cantab in June 2016 for $217 million. Founded in 2006 by Dr. Ewan Kirk, Cantab manages three programs within the GAM Systematic unit - Quantitative, Macro and Global Equity Market Neutral - for some of the most sophisticated institutional investors worldwide. 

Headquartered in Zürich, GAM is an independent asset manager providing active investment solutions and products for institutions, financial intermediaries and private investors under two brands: GAM and Julius Baer Funds. The group has assets under management of $122.9 billion as at 30 September 2016.

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