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Liquid Equity Market Neutral Strategy

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Overview

The GMO Liquid Equity Market Neutral Strategy is a systematic long/short strategy that seeks to generate high total return by investing primarily in developed market equities. The Strategy aims to be beta neutral with an annualized volatility of 6-10% and seeks to achieve a Sharpe ratio of 0.7 over a complete market cycle.

The Strategy’s investment approach is grounded in the Global Equity team’s belief that, in the short term, equity markets exhibit exploitable inefficiencies as a result of irrational investor actions, the imperfect flow of information, and the participation of non-economic actors, while in the long term returns are ultimately driven by economic reality. The Strategy aims to take advantage of this inefficiency by utilizing a multi-factor valuation model in conjunction with other methods, such as cross-asset signals and corporate alerts, to identify mispriced equity securities.

Facts

Performance

Management

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Simon Harris

Head of Global Equity (interim)

Mr. Harris is the interim head of GMO’s Global Equity team. In his decades at GMO, Simon has had extensive portfolio management, quantitative research, and team leadership experience including as the head of the UK Equity team prior to its merger with Global Equity. Previously, he also served as co-CEO of GMO UK Ltd. Prior to joining GMO in 1989, he earned his BSc in Mathematics from The City University (London). Mr. Harris is a Fellow of The Chartered Institute for Securities & Investment.

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Josh White

Portfolio Manager

Dr. White is a quantitative analyst for GMO’s Global Equity team. Prior to joining GMO in 2015, he worked at Acadian Asset Management as a senior vice president working on quantitative research and portfolio management across much of their product line. Previously, he worked at the SEC where, in addition to other responsibilities, he was involved with disclosure and governance issues. Dr. White earned his A.B. in Economics from Harvard University and his Ph.D. in Business Economics from Harvard University.

Risks

Risks associated with investing in the Strategy may include Investment Risk, Management and Operational Risk, Market Risk - Equities, Currency Risk, and Small Company Risk.