SGM Major Markets Investment Fund

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Management

Jason Halliwell

Head of Systematic Global Macro

Mr. Halliwell is the head of GMO’s Systematic Global Macro team and a partner of the firm. He joined GMO 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.

Overview

The GMO SGM Major Markets Investment Fund’s investment objective is long-term total return. The Fund takes both long and short positions in a range of global equity, bond, currency, commodity markets, and over-the-counter (OTC) markets using exchange-traded OTC 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.

Facts

Doc Table
Fund Inception Date	February 1, 2017
Benchmark	Barclays GBP Cash Index
Fund Total Assets as of 31/03/2024	$13mm USD

GBP Class A

Inception Date	February 21, 2017
SEDOL	BDS6C59
ISIN	IE00BDS6C592
NAV as of 15/04/2024	20.21

Performance

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	ITD
SGM Major Markets Investment Fund	1.90	1.90	5.97	1.08	0.50	0.29
Barclays GBP Cash Index	1.29	1.29	5.05	2.46	1.62	1.27

Inception Date: February 21, 2017

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

Net of all fees and expenses after reimbursement by the Manager, but not transaction costs, if any. If certain expenses were not reimbursed, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	ITD
SGM Major Markets Investment Fund	2.16	2.16	7.07	2.12	1.52	1.31
Barclays GBP Cash Index	1.29	1.29	5.05	2.46	1.62	1.27

Inception Date: February 21, 2017

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

Gross of fees, expenses and transaction costs, if any. If these fees, expenses and costs were included, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	ITD
SGM Major Markets Investment Fund	0.39	1.90	1.90	5.97	1.08	0.50	0.29
Barclays GBP Cash Index	0.40	1.29	1.29	5.05	2.46	1.62	1.27

Inception Date: February 21, 2017

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

Net of all fees and expenses after reimbursement by the Manager, but not transaction costs, if any. If certain expenses were not reimbursed, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	ITD
SGM Major Markets Investment Fund	0.48	2.16	2.16	7.07	2.12	1.52	1.31
Barclays GBP Cash Index	0.40	1.29	1.29	5.05	2.46	1.62	1.27

Inception Date: February 21, 2017

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

Gross of fees, expenses and transaction costs, if any. If these fees, expenses and costs were included, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Calendar
	SGM Major Markets Investment Fund	Barclays GBP Cash Index
2023	4.11	4.69
2022	-0.16	1.40
2021	-5.77	0.05
2020	4.39	0.19
2019	0.62	0.71
2018	-2.80	0.56
2017	0.15	0.22

Inception Date: February 21, 2017

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

Net of all fees and expenses after reimbursement by the Manager, but not transaction costs, if any. If certain expenses were not reimbursed, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Calendar
	SGM Major Markets Investment Fund	Barclays GBP Cash Index
2023	5.18	4.69
2022	0.86	1.40
2021	-4.81	0.05
2020	5.44	0.19
2019	1.63	0.71
2018	-1.81	0.56
2017	1.05	0.22

Inception Date: February 21, 2017

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

Gross of fees, expenses and transaction costs, if any. If these fees, expenses and costs were included, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Documents

Literature

Fact Sheet		Download
Prospectus - Austrian Supplement		Download
Prospectus – Singapore Wrapper		Download
PRIIP - EUR		Download
PRIIP - GBP		Download
PRIIP - USD		Download
Download All		Download

Downloads

Performance		Download
Portfolio Composition		Download
Holdings		Download
Exposures - Detailed		Download
Download All		Download

Commentary & Attribution

Commentary Quarterly		Download
Attribution - Monthly		Download
Download All		Download

Investor Information

Annual Report		Download
Semiannual Report		Download
NAVs and Distributions		Download
Fair Value Hierarchy - As of 31/03/23		Download
Download All		Download

Document Library

Risks

Risks associated with investing in the Fund may include Management and Operational Risk, Market Risk - Equity Securities, Currency Risk, Commodities Risk, and Futures Contracts Risk. For a more complete discussion of these risks and others, please consult the Fund's prospectus.

Disclosures

The making available of any document on this website does not constitute a promotion, offer or sale of any securities, financial instruments, or other financial products to the public in or into any jurisdiction where such promotion, offer or sale is prohibited or to any person or class of person to whom such securities or financial instruments may not be lawfully promoted, offered or sold. You should not rely on any document on this website in making any decision to engage in investment activity without seeking further information from GMO to enable GMO to determine whether you may be eligible to receive such further information or purchase or subscribe for any securities or other financial instruments.