Following the completion of its acquisition of Cantab Capital Partners in October, GAM has launched its first purely quantitative equities UCITS fund, GAM Systematic Global Equity Market Neutral.
The fund was developed by the Cantab investment team, which now operates within GAM Systematic and uses a disciplined and systematic investment process. The new fund invests in the 2,500 most liquid equities globally, employing multiple proprietary models – both fundamental and behavioural – to identify the relative attractiveness of each stock. This results in a highly liquid, diversified equities portfolio with extremely low correlation to global equity markets and within a cost-effective, daily-dealing UCITS fund structure. The fund aims to deliver attractive returns with annualised volatility of 6 per cent to 8 per cent.
The fund invests using quantitative equity trading models that have been employed within Cantab’s Quantitative programme for close to three years. It comprises multiple strategies which identify and harvest persistent and recurring sources of return in equity markets. These are combined with innovative approaches to using big data and machine learning.
All strategies are rigorously tested using scientific methods before they are added into the portfolio. Multiple risk management tools dynamically adapt to changing signals and conditions in each market, strategy, and across the entire portfolio.
Anthony Lawler (pictured), Co-Head of GAM Systematic, says: “Our global equity market neutral product leverages many years of research and systems development. Its combination of diversification, performance, and excellent risk management framework makes it a very compelling equity product for our clients, especially in the current market environment.”
Adam Glinsman, Co-Head of GAM Systematic, says: “We are pleased to launch GAM Systematic’s first UCITS product. The GAM Systematic Global Equity Market Neutral fund underscores our commitment to providing cost-effective and liquid sources of alpha and upholds the scientific curiosity and rigour that Cantab has prided itself on for the past decade.”
