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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
Director de Inversiones, GAM Cantab
Dr. Erk Subasi
Director de GAM Cantab
Chris Wilson
Científico principal, 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
Datos y dilemas: las preguntas más frecuentes sobre la inversión sistemática
04 octubre 2022

El interés por la inversión sistemática ha aumentado recientemente a raíz de las condiciones adversas en los mercados, que han puesto en cuestión muchos de los estilos de inversión tradicionales. Hablamos con la Dra. Silvia Stanescu y el Dr. Chris Longworth, directores de inversión de GAM Systematic, para analizar algunas de las preguntas más frecuentes sobre el funcionamiento de la inversión sistemática, ciertas ideas equivocadas y el papel que puede desempeñar el estilo de inversión sistemática como componente de una cartera diversificada.

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Fund Information

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Cláusula de exención de responsabilidad: Los rendimientos pasados no constituyen un indicador de rendimientos futuros o de tendencias actuales o futuras. Las indicaciones pueden estar basadas en cifras denominadas en una moneda distinta de la moneda de su país de residencia y, por lo tanto, el rendimiento puede aumentar o disminuir como consecuencia de las fluctuaciones monetarias. Capital a riesgo: Los instrumentos financieros conllevan un elemento de riesgo. Por lo tanto, el valor de la inversión y el rendimiento resultante pueden variar y no se puede garantizar el valor inicial  de la inversión. Toda referencia a un valor no constituye una recomendación de compra o venta de dicho valor.

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