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GMO North America | Europe | Asia-Pacific Fresno County Employees - PowerPoint PPT Presentation

Nov 14, 2022 •227 likes •727 views

GMO North America | Europe | Asia-Pacific Fresno County Employees Retirement Association September 6, 2006 Wendy Malaspina Presentation Tina Vandersteel GMO 0 WM_Fresno County ERA_9-06 Presenters Wendy Malaspina Ms. Malaspina is

  1. GMO North America | Europe | Asia-Pacific Fresno County Employees’ Retirement Association September 6, 2006 Wendy Malaspina Presentation Tina Vandersteel GMO 0 WM_Fresno County ERA_9-06

  2. Presenters Wendy Malaspina Ms. Malaspina is engaged in client relations. Prior to joining GMO in 2003, she worked at Montgomery Asset Management / Wells Capital Management, most recently as a director in institutional client service and marketing. Previously, she worked as a director of client service, marketing and investor relations at Draper Advisers. Ms. Malaspina received her B.A. in International Trade from Clemson University. Tina Vandersteel Ms. Vandersteel is a member of the global fixed income group, focusing on product management and research. Prior to joining GMO in 2004, she worked at J.P. Morgan Chase & Co. in fixed income research, developing quantitative arbitrage strategies for emerging markets and high yield bonds. Ms. Vandersteel earned her B.A. from Washington & Lee University. She is a CFA charterholder. GMO 1 WM_Fresno County ERA_9-06

  3. GMO Overview Distinctive Approach London London Zurich Zurich � We apply a blend of proven Boston Boston San San traditional judgments and innovative Francisco Francisco quantitative methods to find Singapore Singapore undervalued securities. � Our success is based on a disciplined, value-oriented, risk- Sydney Sydney controlled investment philosophy Rotorua Rotorua and a commitment to investment research. Experience People GMO has successfully managed � 86 investment professionals money since our founding in 1977. � More than 300 employees worldwide Defining Characteristics Assets of $121 Billion* � $106 billion in global equities Motivation We are a private partnership ($78 billion non-U.S.) Focus Investment management is our only business � $15 billion in fixed income Discipline We carefully manage risk, seeking long-term capital appreciation � $36 billion in asset allocation** � $7 billion in absolute return Stability We have exceptionally low turnover of investment professionals strategies** * As of 6/30/2006 ** Asset allocation and absolute return assets are accounted for within underlying strategies and should not be double-counted. GMO 2 WM_Fresno County ERA_9-06

  4. GMO Investment Strategies Global Equities North America Offices Absolute Return Fixed Income Sydney Office Long/Short U.S. Equities International Equities Foreign Market Neutral 2 U.S. Core Australian Equities 1 Domestic Bond (Int’l Active Strategy) 1 International Intrinsic Core Plus Bond Tobacco-Free Core Australian Core Equities U.S. Aggressive 2 Value Australian Small Inflation Indexed Plus Global Equity Earnings Outlook 2 U.S. Value Companies* Bond Australian Market Neutral Inflation Indexed Emerging Country Debt Global Intrinsic Value Trust* Bond* Long/Short* 2 (Int’l Active Strategy) 1 Australian Long/Short Currency Hedged U.S. Quality Short-Duration Investment Global Tactical 2 Equity* International Equity International Disciplined Growth International Bond Mean Reversion* 2 Equity Currency Hedged Pan-European London Office Small/Mid Cap Value International Growth International Bond Long/Short 1,2 Small/Mid Cap Growth Global Bond UK Equities Currency Hedge 2 Global Growth Real Estate Foreign Small Companies World ex-UK Equities Strategic Fixed Income U.S. Tactical Opportunities 1,2 Investment Trusts (Int’l Active Strategy)* Emerging Country Tax-Managed International Fixed Income Hedge 2 Debt 1, 3 U.S. Equities Small Companies 1 Tax-Managed Emerging Currency Hedge 2 Europe ex-UK Small/Mid Cap Short Term Market Emerging Markets* Opportunities 1,2 Alternative Assets Multi-Strategy 1,2 Emerging Countries* (combination of Forestry* Emerging Markets strategies above) Alternative Asset Quality 1 Opportunity 1 Tax-Managed Tax-Managed Absolute Return 2 International Equities Asset Allocation Global Balanced Real Return Global Balanced Global Allocation Tax-Managed U.S. International Allocation Asset Allocation Absolute Return* 2 Global Equity Alpha Global Broad Equity Allocation 1, 4 vs. benchmark of vs. benchmark of vs. benchmark of Only Balanced 2 Allocation 1 Market 65% stocks, 35% bonds 60% stocks, 20% bonds, 20% cash +5% real return per year * Strategy is currently closed to new clients and additional cash flows 1 Strategy currently capacity constrained 2 Privately offered and available only to qualified purchasers. Call GMO for further information. GMO 3 New clients and additional cash flows through Emerging Country Debt Investment Fund only. 4 New clients and additional cash flows through World Opportunities Equity Allocation Fund only. Note: Does not include all GMO products. 3 WM_Fresno County ERA_9-06

  5. Fresno County Employees’ Retirement Association Periods ending July 31, 2006 Performance Gross of Management, Operating, Incentive Fees ($U.S.) Annualized 1 3 5 Since Market Value Year Month YTD Year Year Inception * (000) 0.60 4.37 3.57 8.18 9.64 6.68 70,512 Global Bond (3/12/99) 0.80 3.41 1.30 5.52 8.03 5.22 JPMorgan Global Gov't. Bond -0.20 0.96 2.27 2.66 1.61 1.46 Value Added Performance Net of Fees and Expenses ($U.S.) Annualized 1 3 5 Since Market Value Year Month YTD Year Year Inception * (000) 0.57 4.13 3.15 7.79 9.25 6.31 70,512 Global Bond (3/12/99) 0.80 3.41 1.30 5.52 8.03 5.22 JPMorgan Global Gov't. Bond -0.23 0.72 1.85 2.27 1.22 1.09 Value Added * Periods of less than a year are not annualized GMO 4 WM_Fresno County ERA_9-06

  6. Fixed Income at GMO

  7. GMO Fixed Income Strategies (with Benchmarks) Assets as of August 1, 2006 totaled $14,803 million Developed Market Fixed Income $8,494 million Core U.S. Fixed Income $1,852 million JPMorgan U.S. 3-Month Lehman Brothers Government Cash Index ($544 Million) Bond Index ($492 million) Lehman Brothers Emerging Country Debt Treasury Inflation Notes Index $3,754 million ($816 million) J.P. Morgan: Core EMBI Global Portable Alpha Strategies EMBI Global Diversified $4,599 million TIPS Plus : Lehman Treasury Inflation Notes Index ($792 million) Short Duration Plus : Lehman U.S. Treasury 1-3 Year Index ($591 million) U.S. Core Plus : Lehman Brothers U.S. Aggregate Index ($3,216 million) Absolute Return and Alternative Assets* $2,218million Emerging Country Debt Global Fixed Income Alternative Asset Opportunity (Commodities) $2,042 million J.P. Morgan: Emerging Currency Hedge Global Government Bond Index Currency Hedge Non-U.S. Government Bond Index Fixed Income Hedge Non-U.S. Government Bond Index (Hedged)—ex Japan Lehman Brothers Global Aggregate Bond Index *We trade, on behalf of GMO Sydney, the Global Tactical Strategy GMO (assets $518 million). Global Fixed Income 6 WM_Fresno County ERA_9-06

  8. GMO Fixed Income Team of 16 has years of collective investment management industry experience 224 Years At GMO Industry Investment Strategy Focus Asset-Backed Portfolio Management Bonds and Emerging Country Securities and Commodities and Currencies Debt Corporate Credit Alternatives Bill Nemerever, Partner, Group Co-Manager 13 32 Tom Cooper, Partner, Group Co-Manager 13 26 Steve Edelstein, Partner 11 24 Allan Berliant 3 21 Justin Klosek 4 9 Research/Product Management/Technology Tina Vandersteel 3 16 Mark Mueller, Partner 10 14 George Estes, Partner 10 10 Kim Sullivan 6 8 Max Golts 1 2 Andy Gossard 1 1 Trading/Support Madelyn Tucker 9 16 Tracey Keenan 4 16 Bill O'Connell 7 8 Kyle Ciano 2 3 Investment Control Mark Puorro 13 18 GMO 7 WM_Fresno County ERA_9-06

  9. GMO Core Beliefs and Competitive Advantages Relative value is best exploited from the top down Global bond markets are less There are five times as many managers benchmarked to aggregate-style efficient domestic indices than benchmarked to global government bond indices. Currency markets have relatively few dedicated currency managers. Major Currency markets are particularly market participants – hedgers and Central Banks – are not primarily inefficient motivated by currency profits. Currencies and bonds should GMO evaluates currencies and bonds separately, generating independent be evaluated separately sources of alpha. Liking a country’s bonds does not mean we like the currency. GMO’s disciplined approach is a consistent, thorough, adaptable way of Systematic methods effectively capturing our investment ideas. Our approach avoids the pitfalls caused by deal with complex issues emotion. Cheap implementation maximizes GMO implements using instruments with low transactions costs both for alpha, including when benchmark replication and active management, which allows the portfolios replicating the benchmark to respond quickly to changing markets but precludes investments in illiquid securities, like corporate bonds. GMO Global Fixed Income 8 WM_Fresno County ERA_9-06

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