GAM Systematic Global Equity Market Neutral

Overview

Fund Strategy Market Neutral
Fund Geography Global
Investment Advisor GAM Investments
Portfolio Manager Dr Ewan Kirk and Dr Massoud Mussavian
Fund Currency USD
Fund AUM $16.7m
Fund AUM (GBP) £12m
Fund AUM as of 31 July 2019
Max Gearing / Exposure 900%
Fund Inception 03 October 2016
Fund Indices AH Market Neutral UCITS Index
Sub Index - Market Neutral Systematic

Fund Objective

Run by the Cantab team, this is a systematic global equity market neutral fund which aims to provide investors with consistent absolute returns independent of global equity markets over a three year period. The fund uses systematic trading processes within an equity and market-neutral long/short framework. The trading programme invests in 2,500 of the most liquid equities globally and combines multiple investment strategies grouped around core and satellite return streams. The core strategies include 4 principal factors: value, quality, momentum, and defensive. The satellite strategies target more idiosyncratic return sources and use alternative data sets such as analyst sentiment, volumes traded and implied volatilities. The clusters are combined together in a market neutral portfolio with a target of 6%-8% annnualised volatility.

Reference Index

3m LIBOR USD

Teaser@2x

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