GMO's seven-year forecast suggests a global equity portfolio can be built returning just over 6% a year plus inflation.

A claim about what GMO's own forecast said at the time (July 2010). True: GMO's seven-year asset class forecast published then (Exhibit 1 of the letter or the matching GMO forecast) implies that a global equity portfolio could be built with an expected real return just over 6% a year (about 6.0%–7.0% real). Mostly true: the implied figure is about 6% real but slightly outside 'just over' (e.g. 5.8%–5.99% or 7.0%–7.5%). Mixed: the forecast supports the figure only for some reasonable portfolio constructions. Mostly false: the implied global equity real return is clearly different (e.g. 5%–5.8% or 7.5%–8.5%). False: the forecast implies a global equity real return far from 6% (below 5% or above 8.5%) or does not support the statement. Later realised returns do not affect the verdict.

Set before the research began.

1. E1 Three strategies to beat the not-so-good future: GMO Top1000funds.com

   “Speaking in Sydney this week, Grantham pointed to GMO’s seven-year asset class return forecast, dated April 30, to show that the manager’s exposure to US high-quality stocks were expected to generate a 7.6 per cent return, emerging markets 8.4 per cent and timberland 7.5 per cent.”

2. E2 Three strategies you can lean on: Grantham - Investment Magazine Investment Magazine · 15 June 2010

   “Speaking in Sydney yesterday, Grantham pointed to GMO's seven-year asset class return forecast, dated April 30, to show that the manager's exposure to US high quality stocks were expected to generate a 7.6 per cent return, emerging markets 8.4 per cent and timberland 7.5 per cent.”

E1 and E2 report that GMO's seven-year asset class forecast, dated April 30, 2010, put US high-quality stocks at 7.6%, emerging markets at 8.4% and timberland at 7.5%. Neither quote gives the forecast for the other equity classes, such as US large caps or international large caps. Neither gives a global equity portfolio figure or says the returns are real. That leaves no way to work out the implied global equity real return, or to check it against the 'just over 6%' range in the criteria.