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GAM Commodity

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GAM Commodity aims to offer an enhanced commodity exposure by combining cost efficient access to systematic macro strategies and long only commodities. Through its use of diversified commodities strategies, the portfolio seeks to outperform a long only commodity exposure whilst the overall portfolio targets Sharpe ratio improvement versus the benchmark. A systematic approach allows for a highly structured, repeatable process that minimises human trading or behavioural biases. Sophisticated proprietary tools and trading systems enable access to high-class quantitative technology.

The key role of commodities

We believe there are typically persistent and recurring sources of returns in commodity markets that can be identified, isolated and systematically harvested.
Danny Dhingra, Investment Manager

Our Edge

Diversified return drivers

Development of proprietary tools to visualise correlations and to highlight non-correlation over time.

Systematic, rules-based approach

A highly structured, repeatable process that minimises human trading or behavioural biases.

Sophisticated proprietary tools

To provide robust investment selection and portfolio construction methodologies.

Fully customisable

Designed to complement existing and alternative investment exposures.

Research

Creation of models that harvest systematic returns across commodities markets.

Investment Team

The management of the GAM Commodity strategy is led by Danny Dhingra, together with the wider GAM Cantab investment team.

The team is united in their belief in delivering value to investors through a rigorous scientific, systematic and predominantly rules-based approach that creates portfolios with limited correlation to traditional asset classes.  All investment decisions are made on a team basis.

An additional risk oversight function is performed independently by GAM’s risk teams.

The GAM Cantab team also manages a systematic macro strategy, led by Dr Erk Subasi, Head of GAM Cantab.

We constantly invest in our research and development to ensure our strategies and systems stay at the cutting edge.
Danny Dhingra
Investment Manager, GAM Cantab
Dr Erk Subasi
Head of GAM Systematic
Chris Wilson
Senior Scientist, GAM Cantab

Philosophy and Process

Investment philosophy

The team believes that persistent and recurring sources of excess return in the commodity markets can be harvested through a systematic, rules-based approach, to create a diversified portfolio targeting a Sharpe ratio improvement if compared to the long-only commodity asset class. The team’s approach is that of providing diversified commodity exposure with enhanced returns via a strategic systematic macro allocation across styles (value, momentum and carry). Systematic macro can be identified across asset classes, including commodities, and such strategies will be allocated to targeting a Sharpe ratio improvement if compared to a commodity long-only beta product. 

Investment process

The process uses clear and transparent investment methods. The majority of exposure is focused on long commodities. This exposure is complemented by systematic commodity investing, with commodity fundamentals at their base. The team uses original research to identify the highest quality systematic strategies across across the commodity universe, and structure and evaluate these strategies using robust models and a practitioner’s approach. It applies experience and tools to build optimised portfolios tailored to client-specific risk, correlation and drawdown targets. The team uses its trading expertise to manage total trading costs. Risk management is embedded throughout the process, as well as monitored by an independent team. The process results in a diversified portfolio that provides global exposure across core-satellite holdings and seeks to capture changing market dynamics. 

1

Research

  • Identify different rolling commodity contract windows
  • Create enhanced exposure to long commodities
2

Identification

  • Potential investment ideas
  • Monitor market opportunities
  • Use cluster maps to verify correlation profile
3

Structure & Evaluation

  • Optimal expected return to risk ratio
  • Parameterisation and signal options
  • Implementation for each premium
  • In-depth cost analysis
4

Creation

  • Portfolio optimisation tailored to individual needs
  • Focus on capital preservation
  • Active review & enhancement of exposures
5

Trading & Risk Management

  • Efficient execution & post-trade operations
  • Detailed risk reports
  • Focus on tail risk
  • Independent risk oversight

Reasons to Invest

Portfolio Diversifier

The intrinsic diversification inherent in systematic macro approaches via alternative sources of returns should mean less frequent substantial drawdowns than those seen in traditional investment styles.

Enhanced commodity exposure

Commodity strategies typically have low correlation to equity and fixed income market movements, and in a portfolio context, commodities exposure has traditionally proved a valuable hedge against inflation.

Consistency

The ability to undertake thorough, repeatable analysis of statistical properties of large amounts of market data.

Full transparency

Management according to clear and transparent investment process and instrument restrictions.

Cost efficiency

Long-term experience in accessing exposures via multiple channels, minimising expected return erosion from factors such as trading and market impact.

Key Risks

Capital at risk

All financial investments involve an element of risk. Therefore, the value of the investment and the income from it will vary and the initial investment amount cannot be guaranteed.

Counterparty Risk / Derivatives

If a counterparty to a financial derivative contract were to default, the value of the contract, the cost to replace it and any cash or securities held by the counterparty to facilitate it, may be lost.

Credit Risk / Debt Securities

Bonds may be subject to significant fluctuations in value. Bonds are subject to credit risk and interest rate risk.

Commodity Risk

The portfolio invests in commodities which are considered alternative or non-traditional investments. In addition to the natural fluctuations of the market, they are subject in particular to liquidity and valuation risks.

Currency Risk

The value of investments in assets that are denominated in currencies other than the base currency will be affected by changes in the relevant exchange rates which may cause a decline.

Liquidity Risk

Some investments can be difficult to sell quickly which may affect the value of the portfolio and, in extreme market conditions, its ability to meet redemption requests.

Complex Financial Instruments

The portfolio invests in complex financial instruments (e.g. derivatives), the value of which is connected to underlying assets. Certain of these financial instruments may produce a leverage effect which may have a sharp impact on the portfolio's net asset value.

Leverage Risk

Derivatives may multiply the exposure to underlying assets and expose the portfolio to the risk of substantial losses.

Our Thinking

GAM Systematic
Was kann ein LLM dem systematischen Manager bieten?
21. Dezember 2023

L-L-M-entary, mein lieber Watson - Chris Longworth von GAM Systematic erörtert den Aufstieg der grossen Sprachmodelle in der Investmentwelt, ihre Stärken und Grenzen und bewertet, wie systematische Manager die Chancen, die sie bieten, maximieren können.

GAM Systematic
Why small data is the new big data
07. Dezember 2022

Chris Longworth und Silvia Stanescu von GAM Systematic erörtern die zahlreichen Probleme kleiner Datenmengen im Finanzbereich, wie diese erkannt werden können und welche Ansätze es gibt, sie zu lösen.

GAM Systematic
Quants und ihre Dilemmas: Die am häufigsten gestellten Fragen zum Thema systematisches Investieren
04. Oktober 2022

Systematisches Investieren erhielt in jüngster Zeit verstärkt Interesse, da die klassischen Anlagestile aufgrund negativer Marktbedingungen erheblich unter Druck geraten sind. Wir haben uns mit Dr. Silvia Stanescu und Dr. Chris Longworth, den Investment Directors bei GAM Systematic, zusammengesetzt und mit Ihnen über einige der am häufigsten gestellten Fragen diskutiert, über die Funktionsweise systematischen Investierens, über weit verbreitete Missverständnisse und über die Rolle, die systematisches Investieren als Komponente eines gut diversifizierten Portfolios spielen kann.

Unser Denkansatz

Fund Information

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Haftungsausschluss: Die Wertentwicklung in der Vergangenheit ist kein Hinweis für zukünftige Wertentwicklung bzw. aktuelle oder zukünftige Trends. Den Angaben könnten Zahlen zugrunde liegen, die in einer anderen Währung als der Ihres Wohnsitzlandes denominiert sind, daher kann der Ertrag infolge von Wechselkursschwankungen steigen oder sinken. Risikokapital. Alle Finanzinvestitionen beinhalten ein gewisses Risiko. Daher variieren der Wert der Anlage und die Erträge daraus, und der ursprüngliche Anlagebetrag kann nicht garantiert werden. Jede Bezugnahme auf ein Wertpapier stellt keine Empfehlung zum Kauf oder Verkauf dieses Wertpapiers dar.

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