Overview

The GMO Risk Premium Fund seeks to generate a total return over the long term commensurate with that of global equity markets primarily by writing put options on U.S. and non-U.S. stock indices. 

GMO’s Global Equity team believes that put selling enables investors to generate equity-like returns in a manner that is relatively insensitive to equity market valuations and also that allocating across global markets increases the opportunity for adding value. Put sellers are compensated by collecting what amounts to an insurance premium. In contrast, equity owners are compensated by the earnings yield of the market. Since both activities take equity risk, utilizing both put selling and owning equities can achieve diversification via an increased opportunity set. Furthermore, the relative attractiveness of the approaches varies – selling puts is an attractive proposition when insurance premiums are high, while owning equities is attractive when earnings yields are high, and these do not have to be coincident.

The team believes the use of the CBOE S&P 500 PutWrite Index is appropriate for measuring the Fund’s ability to generate returns by gaining exposure to the global variance risk premium; however, we also consider performance against the MSCI World Index over long time horizons to evaluate the Fund’s ability to harvest the global equity risk premium.

Facts

Doc Table
Fund Inception Date November 15, 2012
Fund Total Assets as of 6/30/2020 $17mm USD
Benchmark CBOE S&P 500 PutWrite Index

Share Class III

Inception Date December 14, 2012
Ticker Symbol GMRPX
CUSIP 362014839
NAV as of 7/10/2020 24.65
Net Expense Ratio 1 0.40
Gross Expense Ratio 2 0.44
Minimum Investment Size $5mm in GMO

1 Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. 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, 2020.

Performance

Quarter-End as of June 30, 2020(USD, %) | Risk Premium Fund-III

Table Caption
1-Year 3-Year 5-Year ITD
Risk Premium Fund -7.28 -0.41 3.36 4.21
CBOE S&P 500 PutWrite Index -7.47 -0.69 3.01 4.91
MSCI World 2.84 6.70 6.90 9.07
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2020(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 10.89 -11.13 -7.28 -0.41 3.36 4.21
CBOE S&P 500 PutWrite Index 11.05 -11.91 -7.47 -0.69 3.01 4.91
MSCI World 19.36 -5.77 2.84 6.70 6.90 9.07
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2020(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 11.00 -10.94 -6.90 0.07 3.92 4.79
CBOE S&P 500 PutWrite Index 11.05 -11.91 -7.47 -0.69 3.01 4.91
MSCI World 19.36 -5.77 2.84 6.70 6.90 9.07
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2020(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 1.17 10.89 -11.13 -7.28 -0.41 3.36 4.21
CBOE S&P 500 PutWrite Index 1.04 11.05 -11.91 -7.47 -0.69 3.01 4.91
MSCI World 2.65 19.36 -5.77 2.84 6.70 6.90 9.07
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2020(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 1.20 11.00 -10.94 -6.90 0.07 3.92 4.79
CBOE S&P 500 PutWrite Index 1.04 11.05 -11.91 -7.47 -0.69 3.01 4.91
MSCI World 2.65 19.36 -5.77 2.84 6.70 6.90 9.07
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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.

Year Ending December 31 (USD, %) | Risk Premium Fund-III

Calendar
Risk Premium Fund CBOE S&P 500 PutWrite Index MSCI World
2019 14.60 13.51 27.67
2018 -7.41 -5.93 -8.71
2017 12.85 10.85 22.40
2016 11.12 7.77 7.51
2015 6.48 6.40 -0.87
2014 -0.19 6.38 4.94
2013 7.75 12.28 26.68
2012 0.78 0.55 1.04
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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.

Year Ending December 31 (USD, %) | Risk Premium Fund-III

Calendar
Risk Premium Fund CBOE S&P 500 PutWrite Index MSCI World
2019 15.06 13.51 27.67
2018 -6.89 -5.93 -8.71
2017 13.53 10.85 22.40
2016 11.79 7.77 7.51
2015 7.12 6.40 -0.87
2014 0.42 6.38 4.94
2013 8.40 12.28 26.68
2012 0.81 0.55 1.04
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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.

Documents

Literature

Fact Sheet Download
Prospectus Download
Summary Prospectus Download
Statement of Additional Information Download
Download All Download

Downloads

Performance Download
Portfolio Composition Download
Holdings Download
Download All Download

Commentary & Attribution

Investor Information

Annual Report Download
Semiannual Report Download
NAVs and Distributions Download
Distribution Dates Download
Tax-Related Distribution Information Download
Download All Download

Risks

Risks associated with investing in the Fund may include: (1) Market Risk - Equities: Because the Fund writes put options on stock indices, GMO generally expects the Fund's net asset value to decline when the value of those indices declines. The value of an index depends on the value of the equity securities in the index, and the market price of an equity security may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. (2) Illiquidity Risk: Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from closing its option positions at desirable prices. (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. 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.