GMO Australia Ltd

(Systematic Global Macro Fund (USD ))

Fund Investment Objectives

The SYSTEMATIC GLOBAL MACRO STRATEGY invests in over 50 global equity, bond, currency and commodity markets primarily using liquid futures and forward foreign exchange contracts. The Strategy takes long and short positions in multiple asset classes using value and sentiment strategies. These value and sentiment strategies are applied systematically, using asset class forecasting models that are built using value factors (which captures both yield and the impact of market price returning to fair value) and sentiment factors (including momentum and growth expectations). Factor weightings are constant within each asset class and are determined from regression analysis but adjusted for consistency in light of our investment philosophies and experience. Multi-asset class portfolios are then created using an optimization and risk management process, which we have developed and used over the past 10 years. Our optimization and risk management process accounts for a range of factors, including our forecasting skill, overall risk targets, market risk, transaction costs, and explicit position ranges. The investment process is updated each week.