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Systematic Global Macro Major Markets Strategy

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Overview

The GMO Systematic Global Macro Major Markets Strategy’s investment objective is long-term total return. Over a complete market cycle, the Strategy seeks annualized returns of 5% (gross of fees) above the FTSE 3-Month Treasury Bill Index with annualized volatility (standard deviation) of approximately 6-10%. The Strategy takes both long and short positions in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward foreign exchange contracts, as well as by making other investments.

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. Using sentiment helps us avoid buying inexpensive assets too early and closing winning positions too quickly.

Facts

Performance

Management

Halliwell_Jason

Jason Halliwell

Head of Systematic Global Macro

Mr. Halliwell is the head of GMO’s Systematic Global Macro team. He joined GMO Australia in September 1999 from Westpac Investment Management where he spent three years in research and development of quantitative tactical asset allocation methods. Mr. Halliwell has an honours degree in Commerce/Law from Queensland University and has completed postgraduate studies in Financial Mathematics at the University of Technology in Sydney. He is a CFA charterholder.

Documents

Literature

Fact Sheet
Product Primer
GIPS Compliant Presentation
GIPS Composite Descriptions
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Downloads

Performance
Portfolio Composition
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Commentary & Attribution

Commentary - Monthly
Commentary - Quarterly
Annual Letter
Attribution - Monthly
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Risks

Risks associated with investing in the Strategy may include Management and Operational Risk, Market Risk - Equities, Currency Risk, Commodities Risk, and Futures Contracts Risk.