Person looking at computer screen

Risk Premium Fund

  • Vehicle Mutual Fund
  • Asset Class Alternatives

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 4/30/2019 $434mm USD
Benchmark CBOE S&P 500 PutWrite Index

Share Class III

Inception Date December 14, 2012
Ticker Symbol GMRPX
CUSIP 362014839
NAV as of 5/24/2019 27.25
Net Expense Ratio 1 0.40
Gross Expense Ratio 2 0.48

1 Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2019. 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, 2018.

Performance

Quarter-End as of March 31, 2019(USD, %) | Risk Premium Fund-III

Table Caption
1-Year 3-Year 5-Year ITD
Risk Premium Fund 5.35 8.55 5.48 5.96
CBOE S&P 500 PutWrite Index 1.87 6.27 5.44 6.82
MSCI World 4.08 10.69 6.78 9.78
  • 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 March 31, 2019(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 7.43 7.43 5.35 8.55 5.48 5.96
CBOE S&P 500 PutWrite Index 5.48 5.48 1.87 6.27 5.44 6.82
MSCI World 12.48 12.48 4.08 10.69 6.78 9.78
  • 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 March 31, 2019(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 7.53 7.53 5.88 9.16 6.10 6.58
CBOE S&P 500 PutWrite Index 5.48 5.48 1.87 6.27 5.44 6.82
MSCI World 12.48 12.48 4.08 10.69 6.78 9.78
  • 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 April 30, 2019(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 1.96 1.96 9.53 4.84 8.50 5.68 6.21
CBOE S&P 500 PutWrite Index 1.58 1.58 7.15 1.40 6.66 5.61 6.99
MSCI World 3.55 3.55 16.47 6.48 11.40 7.31 10.25
  • 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 April 30, 2019(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 1.99 1.99 9.67 5.35 9.11 6.29 6.83
CBOE S&P 500 PutWrite Index 1.58 1.58 7.15 1.40 6.66 5.61 6.99
MSCI World 3.55 3.55 16.47 6.48 11.40 7.31 10.25
  • 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
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
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.

Management

Constable_Neil

Neil Constable

Head of Global Equity

Dr. Constable is the head of GMO’s Global Equity team. Previously at GMO, he was the head of quantitative research and engaged in portfolio management for the Global Equity team’s quantitative products. Prior to joining GMO in 2006, he was a quantitative researcher for State Street Global Markets and a post-doctoral fellow at MIT. Dr. Constable earned his B.S. in Physics from the University of Calgary, his Master’s in Mathematics from Cambridge University, and his Ph.D. in Physics from McGill University.

Documents

Downloads

Performance
Portfolio Composition
Holdings
Download All

Commentary & Attribution

Commentary - Quarterly
Commentary - Annual
Download All

Investor Information

Annual Report
Semiannual Report
NAVs and Distributions
Distribution Dates
Summary Distribution (Prior Year) GMO Trust
Download All

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.