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SGM Major Markets Series Fund

  • Vehicle Mutual Fund
  • Asset Class Alternatives

Overview

The GMO SGM Major Markets Series 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 January 7, 2019
Fund Total Assets as of 8/31/2019 $11mm USD
Benchmark FTSE 3-Mo. TBill+++

Share Class R6

CUSIP 380131326
Net Expense Ratio 1 1.05
Gross Expense Ratio 2 1.47

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 June 30, 2019(USD, %) | GMO SGM Major Markets Series Fund Class R6

Table Caption
1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Series Fund -0.86 0.84 2.01 3.87 2.51
FTSE 3-Mo. TBill+++ 2.30 1.36 0.84 1.28 1.32
  • SGM Major Markets Series 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 The inception date above refers to the inception date of the GMO SGM Major Markets Fund. Class R6 shares were first offered on October 4, 2016. GMO SGM Major Markets Series Fund is a feeder fund investing substantially all of its assets in shares of a corresponding master fund (i.e., a corresponding GMO Trust fund). Performance data quoted for GMO SGM Major Markets Series Fund reflects the performance data of the corresponding GMO Trust master fund re-stated to reflect the fees and expenses associated with GMO SGM Major Markets Series Fund.

Quarter-End as of June 30, 2019(USD, %) | GMO SGM Major Markets Series Fund Class R6

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Series Fund -0.67 2.85 -0.86 0.84 2.01 3.87 2.51
FTSE 3-Mo. TBill+++ 0.61 1.21 2.30 1.36 0.84 1.28 1.32
  • SGM Major Markets Series 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 The inception date above refers to the inception date of the GMO SGM Major Markets Fund. Class R6 shares were first offered on October 4, 2016. GMO SGM Major Markets Series Fund is a feeder fund investing substantially all of its assets in shares of a corresponding master fund (i.e., a corresponding GMO Trust fund). Performance data quoted for GMO SGM Major Markets Series Fund reflects the performance data of the corresponding GMO Trust master fund re-stated to reflect the fees and expenses associated with GMO SGM Major Markets Series Fund.

Month-End as of August 31, 2019(USD, %) | GMO SGM Major Markets Series Fund Class R6

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
SGM Major Markets Series Fund -1.67 -2.19 0.60 -1.72 -0.42 1.35 3.12 2.33
FTSE 3-Mo. TBill+++ 0.19 0.39 1.61 2.36 1.47 0.92 1.17 1.33
  • SGM Major Markets Series 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 The inception date above refers to the inception date of the GMO SGM Major Markets Fund. Class R6 shares were first offered on October 4, 2016. GMO SGM Major Markets Series Fund is a feeder fund investing substantially all of its assets in shares of a corresponding master fund (i.e., a corresponding GMO Trust fund). Performance data quoted for GMO SGM Major Markets Series Fund reflects the performance data of the corresponding GMO Trust master fund re-stated to reflect the fees and expenses associated with GMO SGM Major Markets Series Fund.

Year Ending December 31 (USD, %) | GMO SGM Major Markets Series Fund Class R6

Calendar
SGM Major Markets Series Fund FTSE 3-Mo. TBill+++
2018 -2.19 1.86
2017 3.82 0.84
2016 4.00 0.27
2015 0.31 0.03
2014 3.60 0.03
2013 6.10 0.05
2012 -1.05 0.07
2011 -5.72 -6.50
2010 15.56 8.81
2009 23.87 10.18
  • SGM Major Markets Series 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 The inception date above refers to the inception date of the GMO SGM Major Markets Fund. Class R6 shares were first offered on October 4, 2016. GMO SGM Major Markets Series Fund is a feeder fund investing substantially all of its assets in shares of a corresponding master fund (i.e., a corresponding GMO Trust fund). Performance data quoted for GMO SGM Major Markets Series Fund reflects the performance data of the corresponding GMO Trust master fund re-stated to reflect the fees and expenses associated with GMO SGM Major Markets Series Fund.

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

Literature

Fact Sheet - Class PS
Fact Sheet - Class R6
Prospectus
Summary Prospectus
Statement of Additional Information
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Downloads

Performance
Portfolio Composition
Exposures - Detailed
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Commentary & Attribution

Commentary - Quarterly
Attribution - Monthly
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Investor Information

Annual Report
Semiannual Report
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 GMO's investment techniques will fail to produce desired results including the annualized returns and annualized volatility. (2) Market Risk - Equities: The market price of an equity may decline due to factors affecting the issuer or its industry 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. 

Each GMO Series Trust Fund is a feeder fund investing substantially all of its assets in shares of a corresponding GMO Trust Fund (i.e., a master fund). Under the master-feeder structure, each GMO Series Trust Fund's sole portfolio holding, other than cash, is shares of the corresponding GMO Trust Fund.

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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