Events | 17 June 2025

GMO Multi-Asset Credit

Maximizing Alpha Potential Through the Credit Cycle

Overview

GMO’s Multi-Asset Credit Strategy launched on May 21, 2025, and builds on the strengths of GMO’s longstanding core credit capabilities, benefits from GMO’s investment style diversification, and enables a more agile and comprehensive approach to investing in credit.  Anchored by our valuation-driven philosophy, the GMO Multi-Asset Credit Strategy dynamically allocates across fixed income markets including emerging debt, structured products, high yield and investment grade credit, loans, and mortgages.

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Why Dynamic Allocation in Credit Matters  

  • Allocators increasingly seek flexible credit strategies that can adapt quickly to an environment of shorter and more frequent market dislocations.
  • Many investors lack the infrastructure to underwrite each credit sector or react quickly to market changes.
  • GMO’s nimbleness and focus on margin of safety allow us to capitalize on short-lived dislocations.

Distinctive Attributes  

  • GMO’s investment philosophy emphasizes agility, high conviction, and an unconventional value-driven approach to investing in core credit asset classes.
  • GMO’s 30-year track record in emerging debt investing adds diversification beyond typical U.S.-centric credit risks.
  • A top-down, bottom-up allocation framework integrates proprietary models, with both quantitative and fundamental analysis to guide portfolio construction.

Multi-Asset Credit’s Core Alpha Engines

As of 5/30/2025

Alpha Diversification

Low to negative correlation between alpha engines

 

GMO
Emerging
Country Debt

GMO
Opportunistic Income

GMO
High Yield

GMO
Systematic
IG Credit

GMO Emerging Country Debt 1.0 0.3 -0.1 0.6
GMO Opportunistic Income 0.3 1.0 -0.1 -0.3
GMO High Yield -0.1 -0.1 1.0 0.1
GMO Systematic IG Credit 0.6 -0.3 0.1 1.0
Data from inception to 5/30/2025
Net of fees alpha vs respective strategy benchmarks: GMO Emerging Country Debt vs JPM EMBI Global Diversified +; GMO Opportunistic Income vs Bloomberg US Securitized; GMO High Yield vs Markit iBoxx USD Liquid High Yield; GMO Systematic Investment Grade Credit vs. Bloomberg US Corporate.

 

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Disclaimer: The views expressed are the views of Joe Auth through the period ending June 17, 2025, and are subject to change at any time based on market and other conditions. This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such. References to specific securities and issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities.
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