Maximizing Alpha Potential Through the Credit Cycle

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.

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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.

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

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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