Overview

The GMO Alternative Allocation Strategy seeks to generate positive total return by investing in a diversified portfolio of underlying alternative strategies, all run by GMO teams.

Underlying strategies will include but are not be limited to: merger arbitrage/event-driven, global macro, fixed income absolute return, asset allocation long/short, long/short and market neutral equities, high yield, and systematic put writing strategies. The Strategy’s success will be linked to the following differentiated features:

  • Dynamic allocation on two levels:
    • Top-down. The GMO Asset Allocation team will calibrate the aggregate level of portfolio risk, especially at valuation extremes, when investors need risk management the most.
    • Bottom-up. The underlying investment strategies will dynamically alter exposures and risk levels in an alpha-proportional manner.
  • Diversity of risk and return.
    • Portfolio construction and risk management will incorporate both low statistical and intrinsic correlations.
    • The team will diversify by return source, combining strategies that are more skill-based, i.e. true alpha strategies, with those that harvest alternative risk premia.
  • Efficient use of Capital. The team will employ overlays that enable exposures greater than 100%, when appropriate, but without borrowing or financing from a prime broker.
  • Transparency. All strategies are run in-house. The portfolio management team has transparency, not just of positions but of the rationale and conviction levels of the underlying teams.
  • Experience. GMO has over 20 years of experience in managing individual alternative strategies and packaging them together into multi-strategy solutions.

Facts

Performance

Documents

Literature

Commentary - 1-Year Anniversary Download
Fact Sheet Download
Product Primer Download
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Downloads

Performance Download
Portfolio Composition Download
Data Pack Download
Portfolio Allocations as of June 12, 2020 Download
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Commentary & Attribution

Commentary - Monthly Download
Commentary - Quarterly Download
Annual Letter Download
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Risks

Risks associated with investing in the Strategy may include: Management and Operational Risk, Leveraging Risk, Derivatives and Short Sales Risk, Market Risk - Equities, and Market Risk - Fixed Income.