Alternative Allocation Mutual Fund | Americas

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 are expected to include but are not limited to: merger arbitrage/event-driven, global macro, fixed income absolute return, asset allocation 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 8/31/2023	$193mm USD

Share Class I

Inception Date	September 4, 2019
Ticker Symbol	GAAGX
CUSIP	36256V502
NAV as of 9/27/2023	19.02
Net Expense Ratio ¹	1.70
Gross Expense Ratio ²	2.07

¹ Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2024. Elimination of this reimbursement will result in higher fees and lower performance.

The adjusted expense ratios, which reflects the net and gross expense ratios excluding dividend and interest expense on short sales, are as follows: Net Expense Ratio: 1.10 and Gross Expense Ratio: 1.47. Dividends paid on borrowed securities are an expense of short sales. Such expenses are required to be treated as a Fund expense for accounting purposes and are not payable to GMO. The Fund also receives income in connection with short sales, which is reflected in the Fund's net income but is not reflected as an offset to dividend expenses on short sales in the Fund’s annual fund operating expenses table. Any interest expense amount or dividends paid on securities sold short will vary based on the extent of Fund’s use of those investments.

² Gross Expense Ratio is equal to the Funds Total Annual Operating Expenses set forth in the Funds most recent prospectus dated June 30, 2023.