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
Latest Meeting Note
Meeting Note 19 Apr 2017
A systematic global macro strategy seeking absolute returns through value and sentiment based long and short exposures in equity, fixed income, currency and commodity markets. Aiming to deliver gross annualised returns of 5% above the Ci...
A systematic global macro strategy seeking absolute returns through value and sentiment based long and short exposures in equity, fixed income, currency and commodity markets. Aiming to deliver gross annualised returns of 5% above the Citigroup 3M T-Bill Index, with a volatility of 6-10% per annum and low correlation to all asset classes over a market cycle. Given the vast experience of value investing that is inherent at GMO, a systematic approach to applying this philosophy seems logical. With conservative leverage limits and a relatively low volatility target, coupled with the success of the US mutual and Australian Trust products, we expect this fund will prove popular with UCITS investors and scale significantly.
Performance
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.5 | 0.5 | 0.5 | 0.3 | 0.9 | 0.6 | 0.3 | 0.6 | 0.5 | 0.8 | 0.8 | 0.8 | 0.4 | |
| 2022 | 0.0 | 0.9 | 0.8 | 0.8 | 0.9 | 0.4 | 0.1 | 1.0 | 0.5 | 0.5 | 0.1 | 0.7 | 0.7 |
