Overview

The GMO Systematic Global Macro Strategy’s investment objective is long-term total return. Over a complete market cycle, the Strategy seeks annualized returns of 10% (gross of fees) above the FTSE 3-Month Treasury Bill Index with annualized volatility (standard deviation) of approximately 10-15%. The Strategy takes both long and short positions in a range of global equity, bond, currency, and commodity markets using exchange-traded and over-the-counter (OTC) futures and forward foreign exchange contracts, as well as swaps on commodity indices and 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

Documents

Literature

Fact Sheet Download
Product Primer Download
GIPS Compliant Presentation Download
GIPS Composite Descriptions Download
Download All Download

Downloads

Performance Download
Portfolio Composition Download
Download All Download

Commentary & Attribution

Commentary - Monthly Download
Commentary - Quarterly Download
Annual Letter Download
COVID-19 Commentary Download
Attribution - Monthly Download
Download All Download

Risks

Risks associated with investing in the Strategy may include Derivative Instruments Risks, Equities Risks, Currency Risks, Commodities Risks, and Fixed Income Risks.