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SGM Major Markets Fund

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Overview

The GMO SGM Major Markets Fund’s investment objective is long-term total return. Over a complete market cycle, the Fund seeks annualized returns of 5% (gross of fees) above the FTSE 3-Month Treasury Bill Index with annualized volatility (standard deviation) of approximately 6-10%. The Fund takes both long and short positions in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward foreign exchange contracts, as well as by making other investments.

The Systematic Global Macro team’s investment process systematically applies value and sentiment strategies across global markets. We believe that markets are inefficient but, in the long term, that economic reality will prevail and markets will revert toward fair value; however, the timing of this is uncertain. We aim to profit from mean reversion by buying markets that we believe are depressed in price and shorting markets that we believe are trading at inflated values. To deal with the uncertainty of timing, we model investor sentiment. Using sentiment helps us avoid buying inexpensive assets too early and closing winning positions too quickly.

Facts

Doc Table
Fund Inception Date April 11, 2005
Fund Total Assets as of 4/30/2019 $1.2bn USD
Benchmark FTSE 3-Mo. TBill+++

Share Class III

Inception Date 1 October 3, 2011
Ticker Symbol GSMFX
CUSIP 362014656
NAV as of 5/24/2019 32.42
Net Expense Ratio 2 1.00
Gross Expense Ratio 3 1.03
Minimum Investment Size $5mm in GMO

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

2 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.

3 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, %) | SGM Major Markets Fund-III*

Table Caption
1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Fund 1.44 2.92 2.52 4.96 2.67
FTSE 3-Mo. TBill+++ 2.12 1.17 0.72 1.82 1.30
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Quarter-End as of March 31, 2019(USD, %) | SGM Major Markets Fund-III*

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Fund 3.59 3.59 1.44 2.92 2.52 4.96 2.67
FTSE 3-Mo. TBill+++ 0.60 0.60 2.12 1.17 0.72 1.82 1.30
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Quarter-End as of March 31, 2019(USD, %) | SGM Major Markets Fund-III*

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Fund 3.84 3.84 2.46 3.95 3.50 5.81 3.44
FTSE 3-Mo. TBill+++ 0.60 0.60 2.12 1.17 0.72 1.82 1.30
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Month-End as of April 30, 2019(USD, %) | SGM Major Markets Fund-III*

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Fund 2.19 2.19 5.86 1.60 3.43 2.70 5.03 2.82
FTSE 3-Mo. TBill+++ 0.20 0.20 0.80 2.18 1.23 0.76 1.79 1.30
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Month-End as of April 30, 2019(USD, %) | SGM Major Markets Fund-III*

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Fund 2.28 2.28 6.20 2.63 4.47 3.67 5.89 3.59
FTSE 3-Mo. TBill+++ 0.20 0.20 0.80 2.18 1.23 0.76 1.79 1.30
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Year Ending December 31 (USD, %) | SGM Major Markets Fund-III*

Calendar
SGM Major Markets Fund FTSE 3-Mo. TBill+++
2018 -2.13 1.86
2017 3.89 0.84
2016 4.07 0.27
2015 0.37 0.03
2014 3.66 0.03
2013 6.16 0.05
2012 -1.00 0.07
2011 -5.66 -6.50
2010 15.63 8.81
2009 23.95 10.18
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Year Ending December 31 (USD, %) | SGM Major Markets Fund-III*

Calendar
SGM Major Markets Fund FTSE 3-Mo. TBill+++
2018 -1.14 1.86
2017 4.93 0.84
2016 5.11 0.27
2015 1.24 0.03
2014 4.48 0.03
2013 6.96 0.05
2012 -0.25 0.07
2011 -5.05 -6.50
2010 16.32 8.81
2009 24.68 10.18
  • SGM Major Markets Fund 1
  • FTSE 3-Mo. TBill+++

Inception Date: April 11, 2005

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.

1 *Effective October 3, 2011, the fund implemented a new investment strategy and performance from periods prior to that date represents a different investment strategy than the one that the fund is currently pursuing.

Management

Halliwell_Jason

Jason Halliwell

Head of Systematic Global Macro

Mr. Halliwell is the head of GMO’s Systematic Global Macro team. He joined GMO Australia in September 1999 from Westpac Investment Management where he spent three years in research and development of quantitative tactical asset allocation methods. Mr. Halliwell has an honours degree in Commerce/Law from Queensland University and has completed postgraduate studies in Financial Mathematics at the University of Technology in Sydney. He is a CFA charterholder.

Documents

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Performance
Portfolio Composition
Exposures - Detailed
Volatility by Asset Class
Holdings
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Commentary & Attribution

Commentary - Quarterly
Commentary - Annual
Attribution - Quarterly
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Investor Information

Annual Report
Semiannual Report
NAVs and Distributions
Distribution Dates
Summary Distribution (Prior Year) GMO Trust
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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 GMO's investment techniques will fail to produce desired results. (2) Market Risk - Equities: The market price of equities may decline due to factors affecting the issuing companies, their industries, or the economy and equity markets generally. Declines in stock market prices generally are likely to reduce the net asset value of the Fund's shares. (3) Currency Risk: Fluctuations in exchange rates can adversely affect the market value of the Fund's foreign currency holdings and investments denominated in foreign currencies. 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.