Fact sheet: GAM Systm Alt Rsk Prma

Fund information

Fund name
GAM Systematic Alternative Risk Premia USD
Fund company manager
GAM Fund Management Ltd
Fund type
SIB
Fund manager
Chi Lee
since 09/03/2012
Fund objective
To provide consistent absolute returns with a low long-term correlation to traditional asset classes such as equities and bonds.
Benchmark
3 Month Libor in EUR
Investment style
Multi Strategy
Investment method
Mixed

Quick stats

1 Year return

0.86 %

1 Year rank in sector

77/146

Sector

FO Hedge/Stru Prod - Mixed

Yield
-
Fund size

£ 282.4 m

FE Risk score

89

NAV
-
Discount/Premium
-
Gearing
-

Top in sector

Holdings snapshot

  • Foreign Exchange
    27.8%
  • International Equities
    26.6%
  • Global Fixed Interest
    22.4%
  • Others
    15.3%
  • Commodity & Energy
    7.9%

Performance vs. Sector

Cumulative performance

1m6m1y3y5y
Fund-0.46 %-0.11 %0.86 %11.65 %16.41 %
Sector0.07 %0.88 %1.05 %2.04 %7.32 %
Rank within sector110 / 15299 / 16377 / 14626 / 10025 / 75
Quartile th3 rd3 rd3 rd2 nd2 nd

Calendar performance

YTD-20172016201520142013
Fund1.38 %4.79 %0.46 %3.3 %7.29 %
Sector1.82 %-0.53 %-0.64 %5.08 %1.38 %
Rank within sector94 / 16025 / 12744 / 10450 / 8928 / 79
Quartile th3 rd1 st2 nd3 rd2 nd

Risk statistics

Alpha3
Beta1.18
Sharpe0.06
Volatility3.85
Tracking error3.1
Information ratio0.99
R-Squared0.36

Price movement

52 week high11.6014
52 week low11.1895
Current bid price0
Current offer price0
Current mid price11.4807

Holdings by region

-

Holdings by sector

-

Holdings by asset type

  • 27.8% Foreign Exchange
  • 26.6% International Equities
  • 22.4% Global Fixed Interest
  • 15.3% Others
  • 7.9% Commodity & Energy

Individual holdings

  • 20.6% GAM GLOBAL TACTICAL ASSET ALLOCATION BASKET
  • 14.3% CURRENCY VALUE - PPP CONVERGENCE
  • 13.5% FX TREND - GAM FX TREND
  • 12% JPM GAM MERGER ARBITRAGE BASKET
  • 11.7% BOND MOMENTUM – DEVELOPED MARKET BOND TREND
  • 10.7% EQUITY VALUE - LOW VOLATILITY US VALUE STOCKS HEDGED
  • 10.5% GAM DEVELOPED MARKETS MINIMUM VARIANCE
  • 10% MACQUARIE COMMODITY TREND (1X)
  • 7.8% SGI BOSS USD 10% INDEX
  • 7.6% MARKIT CDY NA.HY 5YEAR EXCESS RETURN SWAP