GMO's Global Asset Allocation Strategy returned 5.4% net of fees with volatility of ±9.2% a year, 20% less than its benchmark.

The test is GMO's published performance for the Global Asset Allocation Strategy over the 10 years to the most recent quarter-end before the April 2012 letter (presumably 31 March 2012). TRUE if GMO's records show an annualised net-of-fees return of 5.4% (5.35–5.44% rounds to it), annualised volatility of about 9.2%, and volatility roughly 20% below the benchmark's (benchmark volatility about 11.5%, give or take a percentage point). MOSTLY TRUE if the return and volatility match but the percentage reduction against the benchmark is somewhat off (say 15–25%), or if one figure is off by a few tenths of a percentage point. MIXED if only one of the two headline figures (return or volatility) is roughly right. MOSTLY FALSE if the strategy did have lower volatility than its benchmark with a positive return, but the stated figures are materially wrong (more than about 1 percentage point). FALSE if the figures bear no relation to the record, or if the strategy's volatility was not lower than its benchmark's. A later formal restatement of these figures by GMO governs.

Set before the research began.

1. E1 GMO Quarterly Letter-My Sister's Pension Assets 0412 GMO-Grantham Scribd (copy of GMO Quarterly Letter, April 2012, by Jeremy Grantham) · April 2012 Own record

   “The Global Asset Allocation Strategy, in contrast to its benchmark, returned +5.4% net of fees, with a volatility that was 20% less, or 9.2% a year.”

2. E2 GMO Quarterly Letter-My Sister's Pension Assets 0412 GMO-Grantham Scribd (copy of GMO Quarterly Letter, April 2012, by Jeremy Grantham) · April 2012 Own record

   “Exhibit 3 shows that the benchmark for our Global Asset Allocation Strategy, which is 65% global equities and 35% U.S. bonds, delivered a net real return for the last 10 years of 2.7% per year and had a volatility of 11.6% (at 1 standard deviation or two-thirds of the time).”

Both evidence items (E1, E2) are quotes from the April 2012 GMO Quarterly Letter, which is where the claim itself was made. E1 repeats the figures of +5.4% net of fees and 9.2% volatility, 20% below the benchmark. E2 gives the benchmark's volatility as 11.6%, and that matches the 20% reduction. But both are the subject's own commentary, not GMO's published performance record or an independent source. Nothing given checks the figures against the record for the 10 years to 31 March 2012.