GMO's seven-year forecast return for the S&P 500 is well below 3%, while the high-quality subset is still handsome.

Judged at about October 2016, using realized annualized real total returns from October 2009 to October 2016, with 'well below 3%' taken as below about 2% real a year and 'handsome' as clearly high, at least about 6% real a year. Two parts: (a) the S&P 500 and (b) the high-quality subset (GMO's quality definition or a comparable US high-quality index). True: both hold. Mostly true: both broadly hold but one misses its threshold narrowly (for example S&P between 2% and 3%, or quality between 5% and 6%). Mixed: one part holds and the other clearly fails. Mostly false: the S&P 500 returned 3% or more real while quality was handsome only marginally, or both parts miss narrowly. False: the S&P 500 returned well above 3% real and/or the quality subset did not clearly beat it.

Set before the research began.

1. E1 Jeremy Grantham: Predictions & Track Record predictionscorecard.com · 20 October 2009

   “This places today's market (October 19) at almost 25% overpriced, and on a seven-year horizon would move our normal forecast of 5.7% real down by more than 3% a year.”

2. E2 Jeremy Grantham: Predictions & Track Record predictionscorecard.com · July 2010

   “This is reflected in our seven-year forecasted difference of 7.3% for high quality and 1.1% for the rest of the S&P 500, compounded over seven years as of June 30.”

3. E3 S&P 500 Historical Prices by Month multpl.com (monthly S&P 500 price table; sources credited as Standard & Poor's and Robert Shiller) · 5 November 2026

   “| Oct 1, 2009 | 1,067.66 |”

4. E4 S&P 500 Historical Prices by Month multpl.com (monthly S&P 500 price table; sources credited as Standard & Poor's and Robert Shiller) · 5 November 2026

   “| Oct 1, 2016 | 2,143.02 |”

5. E5 Consumer Price Index News Release U.S. Bureau of Labor Statistics · 18 October 2016

   “Over the last 12 months, the all items index rose 1.5 percent”

6. E6 S&P 500 Returns by Year: Annual Total Return Table (1928–2026) | ChartRow ChartRow · 4 November 2026

   “| 2016 | $203.87 | $223.53 | chart → | 2.4% | +12.0% |”

E2 records GMO's October 2009 statement that overpricing would move its normal 5.7% real seven-year forecast down by more than 3% a year, and E3 records a July 2010 forecast, as of June 30, of 1.1% for the non-quality S&P 500 and 7.3% for high quality. The multpl monthly S&P 500 price table shows the index at 1,067.66 in October 2009 (E7) and 2,143.02 in October 2016 (E8), roughly a doubling, or about 10.5% a year in price alone before dividends. The S&P 500 price index rose from 1,067.66 in October 2009 to 2,143.02 in October 2016 (E7, E8), about 10.5% a year before dividends, and CPI rose 1.5% over the 12 months to September 2016 (E9). E9 covers only one year of the window, but on this evidence the S&P 500's real annualized return appears to have been well above 3%, so the claim fails under the criteria regardless of how the quality subset performed.