GAM Investments has been awarded an initial $135 million risk-premia mandate by AMP Capital for its systematic alternative risk premia portfolios, which typically target around 15 risk premia strategies, it said.
The GAM team said it used a disciplined research process which aimed to implement and trade the various risk premia.
Following this, it would run a new higher volatility version of the same strategy which AMP Capital would seed.
According to AMP Capital portfolio manager, Celine Kabashima, the strategy would complement its existing suite of absolute return and risk premia strategies.
“GAM Systematic Alternative Risk Premia plays an important part of our absolute return program by providing our portfolios with diversification benefits against traditional asset classes and attractive risk-adjusted returns in a liquid and cost-efficient manner,” she added.