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SGM Major Markets Trust

  • Vehicle Australian Trust
  • Asset Class Alternatives

Overview

The GMO SGM Major Markets Trust’s investment objective is long-term total return. Over a complete market cycle, the Fund seeks annualized returns of 5% (gross of fees) above the Bloomberg Ausbond Bank Bill Index with annualized volatility (standard deviation) of approximately 6-10%. The Fund 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

Doc Table
Fund Inception Date December 2, 2014
Fund Total Assets as of 8/31/2019 $682mm USD
Benchmark Bloomberg AusBond Bank Bill
NAV as of 9/16/2019 1.0176

Performance

Quarter-End as of June 30, 2019(AUD, %)

Table Caption
QTD YTD 1-Year 3-Year ITD
SGM Major Markets Trust -0.67 2.63 -1.25 1.24 2.92
Bloomberg AusBond Bank Bill 0.45 0.97 1.97 1.86 2.03
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Net returns are presented after the deduction of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Quarter-End as of June 30, 2019(AUD, %)

Table Caption
QTD YTD 1-Year 3-Year ITD
SGM Major Markets Trust -0.42 3.14 -0.25 2.27 3.96
Bloomberg AusBond Bank Bill 0.45 0.97 1.97 1.86 2.03
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Gross returns are presented gross of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Month-End as of August 31, 2019(AUD, %)

Table Caption
MTD QTD YTD 1-Year 3-Year ITD
SGM Major Markets Trust -1.93 -2.42 0.14 -2.04 -0.16 2.28
Bloomberg AusBond Bank Bill 0.08 0.20 1.18 1.82 1.81 2.00
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Net returns are presented after the deduction of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Month-End as of August 31, 2019(AUD, %)

Table Caption
MTD QTD YTD 1-Year 3-Year ITD
SGM Major Markets Trust -1.84 -2.25 0.82 -1.04 0.85 3.32
Bloomberg AusBond Bank Bill 0.08 0.20 1.18 1.82 1.81 2.00
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Gross returns are presented gross of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Year Ending December 31 (AUD, %)

Calendar
SGM Major Markets Trust Bloomberg AusBond Bank Bill
2018 -2.31 1.92
2017 4.89 1.75
2016 5.56 2.07
2015 2.64 2.33
2014 0.12 0.22
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Net returns are presented after the deduction of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Year Ending December 31 (AUD, %)

Calendar
SGM Major Markets Trust Bloomberg AusBond Bank Bill
2018 -1.32 1.92
2017 5.95 1.75
2016 6.63 2.07
2015 3.68 2.33
2014 0.20 0.22
  • SGM Major Markets Trust 1
  • Bloomberg AusBond Bank Bill

Inception Date: December 02, 2014

Returns shown for periods greater than one year are on an annualized basis.

Gross returns are presented gross of management fees and incentive fees if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable.

Performance data quoted represents past performance and is not predictive of future performance.

1 The GMO SGM Major Markets Trust ARSN 600 141 535 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

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
Information Memorandum for Wholesale Investors
Product Disclosure Statements for Non-Wholesale Investors
Statement of Additional Information
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Downloads

Performance
Portfolio Composition
Exposures - Detailed
Holdings
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Commentary & Attribution

Commentary - Monthly
Commentary - Quarterly
Attribution - Monthly
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Investor Information

Annual Report
NAVs and Distributions
Distribution Estimates - 28 Jun 2019
Distribution Estimates - 29 Jun 2018
Distribution Estimates - 30 Jun 2015
Distribution Estimates - 30 Jun 2016
Distribution Estimates - 30 Jun 2017
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Risks

Risks associated with investing in the Trust may include Market Risk - Equity Securities, Market Risk - Fixed Income, Credit Risk, Small Company Risk, and Commodities Risk. For a more complete discussion of these risks and others, please consult the Trusts Information Memorandum or Product Disclosure Statement.

Disclosures

The GMO Australia Trusts (the "Trusts") are issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656. The Trusts accept investments from wholesale investors only. Retail investors are not able to directly invest in the Trusts but may be able to gain exposure to some of the Trusts by investing with certain investor directed portfolio services, master trusts, wrap accounts or custodians ("Services"). GMO Australia Limited, GMO LLC, and their affiliates, do not guarantee the performance of any Trust or the repayment of an investor's capital.

This information is of a general nature only and is not advice. It does not take into account the objectives, financial situation or needs of any specific investor. The offer to invest in a Trust for wholesale investors is contained in the current Information Memorandum. A Product Disclosure Statement ("PDS") may be available for some of the Trusts and is solely for use by retail investors gaining exposure to a Trust through a Service. The Information Memorandum and PDS (if available) may be accessed from this website. Investors should read the Information Memorandum or PDS, consider their own circumstances, and obtain their own advice before making an investment decision.

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