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Fixed Income Absolute Return Strategy

  • Asset Class Alternatives

Overview

The GMO Fixed Income Absolute Return Strategy seeks to generate positive absolute returns by exploiting opportunities in global fixed income and currency markets. Over a complete market cycle, the Strategy seeks annualized returns of 8% above the FTSE 3-Month Treasury Bill Index with annualized volatility of approximately 10%.

GMO employs quantitative models for forecasting and valuing rates and currency markets, as well as for allocation and trading strategies. Our models use market-based, macroeconomic, and fundamental inputs in conjunction with proprietary research to evaluate and identify investment opportunities.

Facts

Performance

Management

Hotra_Jason

Jason Hotra

Co-Head of Developed Rates & FX

Mr. Hotra is engaged in portfolio management for GMO’s Developed Rates & FX team. Prior to joining GMO in 2015, he was a Portfolio Manager at Convexity Capital Management. Previously, he was a Director at Sowood Capital Management. Mr. Hotra earned his B.S. in Management Science with an option in Finance from Massachusetts Institute of Technology.

Jones_Greg

Greg Jones

Co-Head of Developed Rates & FX

Dr. Jones is engaged in portfolio management and leads the quantitative research effort for GMO’s Developed Rates & FX team. He joined GMO in 2007 following the completion of his Ph.D. in Physics from Harvard University. Dr. Jones earned his B.S. in Mathematics and Physics from the University of Missouri, Columbia.

Documents

Literature

Product Primer
GIPS Compliant Presentation
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Downloads

Performance
Portfolio Composition
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Commentary & Attribution

Commentary - Monthly
Commentary - Quarterly
Commentary - Annual
Annual Letter
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Document Library

Risks

Risks associated with investing in this Strategy may include: Fixed Income Risks, Currency Risks, Forward Contracts Risks, Options Risks, and Futures Risks.

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