ClaimsJeremy Grantham

“GMO has a strategy called Equity Dislocation, which goes long the very cheapest U.S. stocks and short an equal amount of the most overpriced, and which delivered a respectable double-digit positive return last year.”

Jeremy Grantham, GMO co-founder, writing in GMO viewpoint January 2023 After a Timeout, Back to the Meat Grinder! (GMO)

Factual Economics and markets

GMO's Equity Dislocation strategy, long the cheapest U.S. stocks and short an equal amount of the most overpriced, delivered a double-digit positive return in 2022.

Mostly true True in substance, wrong in a detail.

Factual: Statements about the present or the past, checked against the record: did they hold up?

The evidence is the person's or their organisation's own records.

Said for an organisation they lead or work for; it counts on both records.

What would count as true or false

The claim is about calendar year 2022 ('last year' as said in January 2023). TRUE: GMO's official performance records (fact sheet, quarterly letter or fund report for the Equity Dislocation strategy or fund) show a positive 2022 return of at least 10%, and the strategy is in substance long the cheapest U.S. stocks and short a roughly equal amount of the most expensive. MOSTLY TRUE: the 2022 return is at least 10%, but a minor detail of the description is off (for example the book is not exactly dollar-neutral, or it holds some non-U.S. names), or the figure reaches 10% gross but falls just short net of fees. MOSTLY FALSE: the 2022 return was positive but single-digit on every reported basis. FALSE: the 2022 return was zero or negative, or GMO had no such strategy running in 2022. A restated figure published by GMO governs.

Set before the research began.

Evidence (7)

  1. E1 [PDF] 2022: THE JOY OF MISSING OUT - GMO GMO Own record

    “its double-digit returns last year.”

  2. E2 [PDF] 2022: THE JOY OF MISSING OUT - GMO GMO Own record

    “our Equity Dislocation Strategy – remains our favorite investment idea, despite”

  3. E3 [PDF] 2022: THE JOY OF MISSING OUT - GMO GMO Own record

    “But in 2022, deep value lost to shallow value by almost 5%, against an expected win of 10%.”

  4. E4 GMO_TG_Spoilt for Choice_1-24 GMO LLC · 3 April 2025 Own record

    “ANNUAL RETURNS Equity Dislocation Strategy Equity Dislocation Strategy Alternate Net FTSE 3-Mo. T-Bill Value Add vs. FTSE 3-Mo. T-Bill Alternate Net Value Add vs. FTSE 3-Mo. T-Bill MTD 3.78 3.67 0.45 +3.33 +3.22 2022 14.18 13.08 1.50 +12.68 +11.58”

  5. E5 VALUE VS. GROWTH GMO Asset Allocation Insights · October 2022 Own record

    “The Strategy is long the cheapest Value stocks and short the most expensive Growth stocks, and it is approximately beta neutral.”

  6. E6 VALUE VS. GROWTH GMO Asset Allocation Insights · October 2022 Own record

    “Preliminary performance for GMO’S Equity Dislocation Strategy was up 13.7% gross (11.9% net) over the same period.”

  7. E7 GMO_TG_Spoilt for Choice_1-24 GMO LLC · 3 April 2025 Own record

    “Portfolio includes U.S., EAFE, and EM names”

Reasoning

GMO's annual-returns table for the Equity Dislocation Strategy shows a 2022 return of 14.18%, or 13.08% on the alternate net series, both above 10% (E4). GMO's own quarterly letter also refers to the strategy's double-digit returns last year (E1, E2). The description is slightly off. GMO says the strategy is long the cheapest value stocks and short the most expensive growth stocks, and is approximately beta neutral (E5). A GMO slide also says the portfolio holds U.S., EAFE and emerging-market names, not only U.S. stocks (E7), which fits the 'mostly true' case in the criteria.

Cite this claim

Jeremy Grantham, “GMO's Equity Dislocation strategy, long the cheapest U.S. stocks and short an equal amount of the most overpriced, delivered a double-digit positive return in 2022.” (said January 2023). Verdict: mostly true. Reliability API, claim c_35eb5843be81, method 0.1.0+28da144b, dataset release v1.1.2. https://epistacklabs.com/claims/c_35eb5843be81

This claim is in dataset release v1.1.2, with the same verdict.

Reply to this claim

For Jeremy Grantham, or someone speaking for them: a correction or counter-evidence. Replies are read before anything is shown; an approved reply shows your name, role, date, statement and link. Your email address is never shown and is deleted 30 days after the decision (privacy).

More factual claims by Jeremy Grantham

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  2. Mostly true Factual 28 July 2025
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    Thirty-one years after Japan's 1989 bubbles, Japanese land prices and stocks had not returned to their 1989 levels.

  3. Mostly true Factual 28 July 2025
    “one of the two or three lowest relative points in history”

    Emerging markets and value stocks trade at one of the two or three lowest relative valuation points in history compared to the U.S.

  4. Mostly true Factual 5 July 2023
    “Now we have, since ChatGPT and October and November last year, we have a new little flurry of interest that is very concentrated.”

    Since ChatGPT and October-November 2022, there has been a new little flurry of market interest in AI that is very concentrated.

  5. Mixed Factual January 2023
    “in 1974 the market did turn up, after a horrific 62% real decline in two years, exactly”

    In 1974 the US market turned up, after a 62% real decline over two years, exactly as the first Fed rate cut took place.

All of them

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