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Liquid Equity Market Neutral Strategy

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Overview

The GMO Liquid Equity Market Neutral Strategy is a systematic long/short strategy that seeks to generate high total return by investing primarily in developed market equities. The Strategy aims to be beta neutral with an annualized volatility of 6-10% and seeks to achieve a Sharpe ratio of 0.7 over a complete market cycle.

The Strategy’s investment approach is grounded in the Global Equity team’s belief that, in the short term, equity markets exhibit exploitable inefficiencies as a result of irrational investor actions, the imperfect flow of information, and the participation of non-economic actors, while in the long term returns are ultimately driven by economic reality. The Strategy aims to take advantage of this inefficiency by utilizing a multi-factor valuation model in conjunction with other methods, such as cross-asset signals and corporate alerts, to identify mispriced equity securities.

Facts

Performance

Management

Constable_Neil

Neil Constable

Head of Global Equity

Dr. Constable is the head of GMO’s Global Equity team. Previously at GMO, he was the head of quantitative research and engaged in portfolio management for the Global Equity team’s quantitative products. Prior to joining GMO in 2006, he was a quantitative researcher for State Street Global Markets and a post-doctoral fellow at MIT. Dr. Constable earned his B.S. in Physics from the University of Calgary, his Master’s in Mathematics from Cambridge University, and his Ph.D. in Physics from McGill University.

Risks

Risks associated with investing in the Strategy may include Investment Risk, Management and Operational Risk, Market Risk - Equities, Currency Risk, and Small Company Risk.