Overview

The GMO Systematic Global Macro Trust’s investment objective is long-term total return. Over a complete market cycle, the Trust seeks annualized returns of 10% (gross of fees) above the Bloomberg Ausbond Bank Bill Index with annualized volatility (standard deviation) of approximately 10-15%. The Trust 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, 2002
Fund Total Assets as of 30/06/2020 $1.3bn USD
Benchmark Bloomberg AusBond Bank Bill +

Class B

Inception Date February 9, 2006
NAV as of 30/07/2020 1.0232

Performance

Quarter-End as of June 30, 2020(AUD, %) | Systematic Global Macro Trust - Class B

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Systematic Global Macro Trust -1.22 2.03 0.21 1.57 2.60 5.40 7.57
Bloomberg AusBond Bank Bill + 0.06 0.32 0.85 1.53 1.73 2.68 3.62
  • Systematic Global Macro Trust 1
  • Bloomberg AusBond Bank Bill +

Inception Date: February 09, 2006

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 Systematic Global Macro Trust ARSN 090 799 385 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Month-End as of June 30, 2020(AUD, %) | Systematic Global Macro Trust - Class B

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Systematic Global Macro Trust -0.26 -1.22 2.03 0.21 1.57 2.60 5.40 7.57
Bloomberg AusBond Bank Bill + 0.01 0.06 0.32 0.85 1.53 1.73 2.68 3.62
  • Systematic Global Macro Trust 1
  • Bloomberg AusBond Bank Bill +

Inception Date: February 09, 2006

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 Systematic Global Macro Trust ARSN 090 799 385 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Year Ending December 31 (AUD, %) | Systematic Global Macro Trust - Class B

Calendar
Systematic Global Macro Trust Bloomberg AusBond Bank Bill +
2019 -0.92 1.50
2018 -1.16 1.92
2017 9.79 1.75
2016 6.63 2.07
2015 -0.14 2.33
2014 7.08 2.69
2013 12.09 2.87
2012 4.65 3.98
2011 11.37 4.99
2010 13.99 4.66
  • Systematic Global Macro Trust 1
  • Bloomberg AusBond Bank Bill +

Inception Date: February 09, 2006

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 Systematic Global Macro Trust ARSN 090 799 385 (“the Trust”) is issued by GMO Australia Limited ABN 30 071 502 639, AFS Licence No. 236 656.

Documents

Literature

Fact Sheet Download
GMO Trust Additional Investment Form Download
GMO Trust Redemption Form Download
Information Memorandum & Application Form for Wholesale Investors Download
Product Disclosure Statements for Non-Wholesale Investors Download
CRS Self Certification Form for Entities Download
CRS Self Certification Form for Individuals Download
Statement of Additional Information Download
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Downloads

Performance Download
Portfolio Composition Download
Holdings Download
Exposures - Detailed Download
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Commentary & Attribution

Commentary - Monthly Download
Commentary - Quarterly Download
Annual Letter Download
COVID-19 Commentary Download
Attribution - Monthly Download
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Investor Information

Annual Report Download
NAVs and Distributions Download
Distribution Estimates Class A - 28 Jun 2019 Download
Distribution Estimates Class A - 29 Jun 2018 Download
Distribution Estimates Class A & B - 19 Sep 2013 Download
Distribution Estimates Class A & B - 28 Mar 2013 Download
Distribution Estimates Class A & B - 30 Jun 2015 Download
Distribution Estimates Class B - 28 Jun 2019 Download
Distribution Estimates Class B - 29 Jun 2018 Download
Distribution Estimates Class B - 30 Jun 2017 Download
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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 Trust's 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.