Thu, 09/09/2010 - 11:11
GAM has launched its first market neutral credit fund with credit manager DCI.
GAM Star Diversified Market Neutral Credit aims to produce absolute returns with low correlation to fixed income markets through investing in a diversified long and short portfolio of mispriced, predominately investment grade credit.
The strategy adds to the growing Ucits III universe.
DCI uses quantitative systems to determine corporate default probabilities and to value corporate credit instruments. It then constructs risk-matched and diversified long and short portfolios to exploit the revealed mispricings.
DCI’s managing partner and chief investment officer Stephen Kealhofer, who is well-known for his credit modelling work over the last 20 years, has developed the fund’s proprietary models.
“There is different information in equity and credit prices. We capture and interpret an extremely broad set of information from both equity and credit markets so that we can determine credit risks accurately and frequently. We use this information to identify and exploit mispricings in the market,” he says.
The team seeks to minimise the portfolios’ sensitivity to aggregate credit market moves. This market neutral style aims to minimise the impact on the portfolio if overall credit market spreads change, the impact on the portfolio will be minimal. As a result, the fund seeks to produce returns that have a low correlation to overall fixed income and equity markets, as well as low volatility in general.
Craig Wallis, group head of institutional and fund distribution at GAM said: “GAM is increasingly being recognised for its extensive range of Ucits III absolute return funds. Many investors from around the world increasingly want regulated, tax-efficient strategies that are run by proven, high-calibre managers and that offer liquidity and transparency. GAM is in a unique position to match this demand from a broad spectrum of clients with access to carefully-selected, talented investment managers, such as DCI.”
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