GMO Systematic Global Macro Major Markets

Investment Objective

The Fund’s investment objective is to seek long-term total return. It typically takes long and short positions in a range of global equity, bond, commodity and currency markets using exchange-traded futures and forward non-U.S. exchange contracts, as well as making other investments. It seeks annualized returns of 5% (gross of fees) above the benchmark, with annualized volatility of approximately 6-10%, each over a complete market cycle.

Reference Index

Citigroup 3M T-Bill Index

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.7 0.8 0.7 0.3 0.0 0.2 0.5 1.0 0.5 0.1 0.2 0.3 0.1
2019 0.4 0.4 0.5 0.5 0.6 0.5 0.9 0.1 0.1 0.9 0.6 0.9 0.1

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