The GMO Systematic Global Macro Major Markets Strategy’s investment objective is long-term total return. Over a complete market cycle, the Strategy seeks an annualized rate of return of 5% (gross of fees) above its benchmark, 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, forward non-U.S. currency contracts, swaps on commodity 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. Using sentiment helps us avoid buying inexpensive assets too early and closing winning positions too quickly.