GMO's The Evolution and Edge of Systematic Equity explains how its quantitative investment process combines fundamental analysis with systematic research to identify market mispricing beyond traditional factor investing.
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Rather than relying on standard valuation metrics, GMO adjusts company accounts to estimate economic book value, arguing reported financial statements often understate the value of intangible assets and long-term investments.
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The firm's investment process combines bottom-up company analysis with top-down country and industry research, giving every portfolio position an explicit investment thesis instead of a purely statistical signal.
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Current research focuses on improving portfolio resilience through lifecycle modelling, transaction-cost analysis, uncertainty optimisation and the integration of generative AI into its research framework.
Read the full paper for a detailed explanation of how GMO combines fundamental investing with systematic portfolio construction.
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