GAM has launched its third systematic UCITS fund, GAM Systematic Diversified Macro. The fund invests using the same rigorous quantitative trading models and proven investment strategies developed by the Cantab investment team for use within the established offshore version of this fund – CCP CoreMacro, which has delivered an annualised 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, within a cost-effective, daily dealing UCITS framework. The fund aims to deliver strong systematic macro returns with annualised volatility of about 10%.

The fund combines multiple investment strategies grouped around two uncorrelated return sources: relative value positioning in value and carry, and directional positioning in trend. 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.

Anthony Lawler, Co-Head of GAM Systematic, said: “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. 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.”

Adam Glinsman, Co-Head of GAM Systematic, said: “Our Diversified Macro strategy combines a fully-integrated approach to risk management with innovative machine learning and big data techniques, under a liquid, cost-effective framework. These attributes make it a compelling diversifier to any portfolio.”