GMO
Website:
www.gmo.com
AGEST and GMO
In October 2002, AGEST employed GMO to manage part of the fund's Australian shares portfolio.
In May 2006, AGEST employed GMO to manage part of the fund's allocation to "absolute return strategies", by investing in GMO's Multi-Strategy Fund.
Objective and strategy (Australian shares)
The objective of the portfolio managed by GMO is to outperform the S&P/ASX 300 Accumulation Index* (adjusted for tax) by 2.5% pa over rolling 5 year periods.
*This index measures the performance of the largest 300 stocks on the Australian Stock Exchange (ASX). Dividends paid by companies are included in this calculation of performance.
AGEST has an individually tailored investment agreement ("mandate") with GMO. This means that AGEST assets are not invested in a trust structure along with other investors. The mandate has rules in relation to how GMO can invest AGEST assets. For example, there are limitations on the types of investment that can be held within the portfolio.
An individual mandate enables AGEST to set its own rules and guidelines, with the agreement of GMO, rather than being bound by the rules of a trust structure.
Since 1 July 2004, the AGEST portfolio has been managed by GMO with a focus on after-tax returns. This recognises that it is after-tax returns which matter to members, not before tax returns. At that time, few superannuation funds in Australia had an after-tax investment focus. This is because investment managers are generally measured against a before-tax benchmark.
Objective and strategy (Multi-Strategy Fund)
The objective of GMO's Multi-Strategy Fund is to outperform the cash rate plus 5% per annum over the medium term (5 years +).
In this fund, GMO uses a range of different underlying strategies (currently 12), each aiming to make money in different ways. This "fund of funds" approach means that the Multi-Strategy Fund is well diversified.
As GMO uses a quantitative approach to investment management, each strategy is quite technical, as indicated by the following list of the 12 strategies currently used:
- Market Neutral
- US Aggressive Long / Short
- Earnings Outlook
- Mean Reversion
- Global Tactical
- Emerging Country Debt Long / Short
- Pan-European Long / Short
- Currency Hedge
- US Tactical Opportunities
- Fixed Income Hedge
- Short-Term Market Opportunities
- Emerging Currency Hedge
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