Overview
The GMO Alternative Allocation Strategy aims to generate positive total return while enhancing portfolio diversification through low correlation to traditional risk assets. The Strategy offers broad exposure across multiple asset classes and liquid alternative categories , including merger arbitrage/event-driven, equity market neutral, global macro, relative value quality, and volatility. We believe the Strategy’s success will be driven by the following key features:
Dynamic Allocation on Two Levels
- Top-down. The GMO Asset Allocation team allocates capital based on risk and opportunity at the portfolio level. This is especially true at valuation extremes, when investors need risk management the most.
- Bottom-up. The underlying investment strategies dynamically alter exposures and risk levels in an alpha-proportional manner.
Diversity of Risk and Return
- The Strategy accesses a broad set of risk factors including carry, momentum, quality, value, and volatility.
- The team combines skill-based alpha strategies with those designed to capture alternative risk premia.
Efficient use of Capital - The team employs overlays that enable exposures greater than 100%, enabling a concentration of alpha not possible in a traditional fund-of-fund model.
Transparency and Liquidity - The portfolio management team has complete transparency, not just of positions but of the rationale and conviction levels of the underlying teams. Investors benefit from daily liquidity.
Experience - GMO has over 25 years of experience in both managing individual alternative strategies and integrating them into multi-strategy solutions.
Facts
Performance
Documents
Literature
| Fact Sheet | Download | |
| GIPS® Composite Report | Download | |
| Download All | Download |
Commentary & Attribution
| Commentary Quarterly | Download | |
| Download All | Download |
Risks
Risks associated with investing in the Strategy may include: (1) Management and Operational Risk: the risk that GMO's investment techniques will fail to produce desired results, including annualized returns and annualized volatility; (2) Leveraging Risk: the use derivatives and securities lending creates leverage. Leverage increases the Funds losses when the value of its investments (including derivatives) declines; and (3) Derivatives and Short Sales Risk: the use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. This is not a complete list of risks associated with investing in the Strategy. Please contact GMO for more information.