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Mean Reversion Strategy

  • Asset Class Alternatives

Overview

The GMO Mean Reversion Strategy seeks high total return by taking advantage of the tendency of assets around the world to diverge from and revert to fair pricing over time. The Strategy takes both long and short positions when relative valuation spreads are attractive.

GMO’s proprietary 7-Year Asset Class Forecasts form the foundation of our investment process, providing a framework to assess the return opportunity embedded in different asset classes. Our Asset Allocation approach is flexible, not pre-determined by static allocations or benchmark-related ranges, constrained only by our unwillingness to overpay for an asset. The Strategy primarily invests in equities, but may invest in fixed income and currency securities as well. We expect annualized volatility of approximately 10%.

Facts

Performance

Management

Inker_Ben

Ben Inker

Head of Asset Allocation

Mr. Inker is head of GMO’s Asset Allocation team and a member of the GMO Board of Directors. He joined GMO in 1992 following the completion of his B.A. in Economics from Yale University.  In his years at GMO, Mr. Inker has served as an analyst for the Quantitative Equity and Asset Allocation teams, as a portfolio manager of several equity and asset allocation portfolios, as co-head of International Quantitative Equities, and as CIO of Quantitative Developed Equities.  He is a CFA charterholder.

Thorndike_John

John Thorndike

Portfolio Manager

Mr. Thorndike is a member of GMO’s Asset Allocation team. Prior to joining GMO in 2015, he was a managing director and Deputy CIO at The Investment Fund for Foundations. Previously, he was an analyst with TIFF. Mr. Thorndike earned his AB in Physics from Bowdoin College.

Documents

Literature

Fact Sheet
GIPS Compliant Presentation
GIPS Composite Descriptions
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Downloads

Performance
Portfolio Composition
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Commentary & Attribution

Commentary - Quarterly
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Risks

Risks associated with investing in this Strategy may include: Lack of Correlation Risks, Hedging Risks, Equities Risks, Currency Risks, and Fixed Income Risks.