GAM Systematic Core Macro

Overview

Fund Strategy Macro
Fund Geography Global
Investment Advisor GAM Fund Management
Portfolio Manager GAM Systematic Investment Team / Cantab Capital
Fund Currency USD
Fund AUM $153m
Fund AUM (GBP) £110m
Fund AUM as of 29 March 2018
Fund Inception 02 December 2016
Fund Indices AH Macro UCITS Index
Sub Index - Systematic Macro

Fund Objective

The programme combines multiple investment strategies grouped around two uncorrelated sources. Value and Carry strategies capture relative value and carry macro returns. The strategies employ machine-learning techniques to identify market opportunities and to manage risk. The low correlation between component strategies delivers strong risk-adjusted returns over the cycle. Trend strategies seek to profit from trend-following behaviour on all portfolio assets across varying time frames. Diverse and sophisticated statistical tools and methods ensure that the multiple strategies are well-diversified by implementation. Risk allocation between asset classes and strategies is systematically determined and can be very dynamic as the opportunity set changes. The programme delivers 10-12% annual volatility over time.

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