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Alternative Allocation Fund

  • Vehicle Mutual Fund
  • Asset Class Alternatives

Overview

The GMO Alternative Allocation Fund seeks to generate positive total return by investing in a diversified portfolio of underlying alternative strategies, all run by GMO teams.

Underlying strategies will include but are not be limited to: merger arbitrage/event-driven, global macro, fixed income absolute return, asset allocation long/short, long/short and market neutral equities, high yield, and systematic put writing strategies. The Fund’s success will be linked to the following differentiated features:

  • Dynamic allocation on two levels:
    • Top-down. The GMO Asset Allocation team will calibrate the aggregate level of portfolio risk, especially at valuation extremes, when investors need risk management the most.
    • Bottom-up. The underlying investment strategies will dynamically alter exposures and risk levels in an alpha-proportional manner.
  • Diversity of risk and return. 
    • Portfolio construction and risk management will incorporate both low statistical and intrinsic correlations.
    • The team will diversify by return source, combining strategies that are more skill-based, i.e. true alpha strategies, with those that harvest alternative risk premia.
  • Efficient use of Capital. The team will employ overlays that enable exposures greater than 100%, when appropriate, but without borrowing or financing from a prime broker.
  • Transparency and Liquidity. All strategies are run in-house. The portfolio management team has transparency, not just of positions but of the rationale and conviction levels of the underlying teams. Investors have daily liquidity.
  • Experience. GMO has over 20 years of experience in managing individual alternative strategies and packaging them together into multi-strategy solutions.

Facts

Doc Table
Fund Inception Date May 1, 2019
Fund Total Assets as of 10/31/2019 $203mm USD

Share Class VI

Inception Date May 1, 2019
Ticker Symbol GAAVX
CUSIP 362014466
NAV as of 11/18/2019 20.32
Net Expense Ratio 1 0.83
Gross Expense Ratio 2 1.39

1 Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2020. Elimination of this reimbursement will result in higher fees and lower performance.

2 Gross Expense Ratio is equal to the Funds Total Annual Operating Expenses set forth in the Funds most recent prospectus dated June 30, 2019.

Performance

Quarter-End as of September 30, 2019(USD, %) | Alternative Allocation Fund-VI

Table Caption
ITD
Alternative Allocation Fund 1.15
FTSE 3-Mo. TBill 0.97
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

Returns shown for periods greater than one year are on an annualized basis.

If certain expenses were not reimbursed, performance would be lower. Transaction costs, if any, are paid to the fund to offset the cost of portfolio transactions to invest or raise cash.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.

Quarter-End as of September 30, 2019(USD, %) | Alternative Allocation Fund-VI

Table Caption
QTD YTD ITD
Alternative Allocation Fund 0.70 1.15 1.15
FTSE 3-Mo. TBill 0.56 0.97 0.97
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

Returns shown for periods greater than one year are on an annualized basis.

Net of all fees and expenses after reimbursement by the Manager, but not transaction costs, if any. If certain expenses were not reimbursed, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.

Quarter-End as of September 30, 2019(USD, %) | Alternative Allocation Fund-VI

Table Caption
QTD YTD ITD
Alternative Allocation Fund 0.91 1.50 1.50
FTSE 3-Mo. TBill 0.56 0.97 0.97
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

Returns shown for periods greater than one year are on an annualized basis.

Gross of fees, expenses and transaction costs, if any. If these fees, expenses and costs were included, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.

Month-End as of October 31, 2019(USD, %) | Alternative Allocation Fund-VI

Table Caption
MTD QTD YTD ITD
Alternative Allocation Fund -0.05 -0.05 1.10 1.10
FTSE 3-Mo. TBill 0.17 0.17 1.14 1.14
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

Returns shown for periods greater than one year are on an annualized basis.

Net of all fees and expenses after reimbursement by the Manager, but not transaction costs, if any. If certain expenses were not reimbursed, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.

Month-End as of October 31, 2019(USD, %) | Alternative Allocation Fund-VI

Table Caption
MTD QTD YTD ITD
Alternative Allocation Fund 0.02 0.02 1.52 1.52
FTSE 3-Mo. TBill 0.17 0.17 1.14 1.14
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

Returns shown for periods greater than one year are on an annualized basis.

Gross of fees, expenses and transaction costs, if any. If these fees, expenses and costs were included, performance would be lower.

Performance data quoted represents past performance and is not indicative of future results. The investment return and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Current performance data may be lower or higher than the performance data provided herein.

Management

Inker_Ben

Ben Inker

Head of Asset Allocation

Mr. Inker is head of GMO’s Asset Allocation team and a member of the GMO Board of Directors. He joined GMO in 1992 following the completion of his B.A. in Economics from Yale University.  In his years at GMO, Mr. Inker has served as an analyst for the Quantitative Equity and Asset Allocation teams, as a portfolio manager of several equity and asset allocation portfolios, as co-head of International Quantitative Equities, and as CIO of Quantitative Developed Equities.  He is a CFA charterholder.

Brannan_BJ

B.J. Brannan

Mr. Brannan is a member of GMO’s Asset Allocation team. Previously, he was a member of GMO’s investments control group. Prior to joining GMO in 2006, Mr. Brannan worked at Investors Bank & Trust as an account manager for fund accounting. Mr. Brannan earned his BA in Business Management from University of Massachusetts Amherst and MBA from Boston University. He is a CFA charterholder.

Kadnar_Matt

Matt Kadnar

Mr. Kadnar is a member of GMO’s Asset Allocation team. Prior to joining GMO in 2004, he was an investment specialist and consultant relations manager at Putnam Investments. Previously, he served as in-house counsel for LPL Financial Services and as a senior associate at Melick & Porter, LLP. Mr. Kadnar has a B.S. from Boston College majoring in Finance and Philosophy and a J.D. from St. Louis University School of Law. He is a CFA charterholder.

Documents

Literature

Prospectus
Summary Prospectus
Statement of Additional Information
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Downloads

Performance
Portfolio Composition
Holdings
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Commentary & Attribution

Commentary - Quarterly
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Investor Information

NAVs and Distributions
Distribution Dates
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Risks

Risks associated with investing in the Fund may include those as follows. (1) Management and Operational Risk: The risk that GMOs investment techniques will fail to produce desired results. (2) Leveraging Risk: The use derivatives and securities lending creates leverage. Leverage increases the Funds losses when the value of its investments (including derivatives) declines. (3) Derivatives and Short Sales Risk: The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. For a more complete discussion of these risks and others, please consult the Fund's prospectus.

Disclosures

An investor should consider the fund’s investment objectives, risks, charges and expenses before investing. This and other important information can be found in the fund’s prospectus. Read the prospectus carefully before investing. Please see prospectus above.

The GMO Trust funds are distributed in the United States by Funds Distributor LLC. GMO and Funds Distributor LLC are not affiliated.

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