The GMO Systematic Global Macro Major Markets Strategy’s investment objective is long-term total return. The Strategy takes both long and short positions in a range of global equity, bond, currency, commodity, and over-the-counter (OTC) markets using exchange-traded OTC futures, forward non-U.S. currency contracts, swaps on commodity and equity indices, and index options.
The Systematic Global Macro team’s investment process systematically applies value and sentiment strategies across global markets. We believe that markets are inefficient but, in the long term, that economic reality will prevail and markets will revert toward fair value; however, the timing of this is uncertain. We aim to profit from mean reversion by buying markets that we believe are depressed in price and shorting markets that we believe are trading at inflated values. To deal with the uncertainty of timing, we model investor sentiment.
Risks associated with investing in the Strategy may include Management and Operational Risk, Market Risk - Equities, Currency Risk, Commodities Risk, and Futures Contracts Risk.