Multi-Sector Fixed Income Fund

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Management

Jason Hotra

Head of Developed Rates & FX

Mr. Hotra is the Head of GMO's Developed Rates & FX team and is a Portfolio Manager of the team's strategies. Prior to joining GMO in 2015, he was a Portfolio Manager at Convexity Capital Management. Previously, he was a Director at Sowood Capital Management. Mr. Hotra earned his bachelor's degree in Management Science with focus in Finance from the Massachusetts Institute of Technology.

James Donaldson

Portfolio Manager

Mr. Donaldson is engaged in portfolio management and research for GMO’s Developed Rates & FX team. Previously at GMO, he was a member of the investment analysis group. Prior to joining GMO full time in 2010, he was an accounting intern for Standish Mellon Asset Management. Previously, he held co-op positions with GMO’s investment analysis group and the investments control group. Mr. Donaldson earned his bachelor's degree in Business Administration from Northeastern University. He is a CFA charterholder.

Overview

The GMO Multi-Sector Fixed Income Fund seeks to achieve total return in excess of that of its benchmark, the Bloomberg U.S. Aggregate Index, by extracting alpha opportunities without taking any secular bias in duration, maturity, rating, and overall aggregate composition. The Fund’s investment program has two principal components. One component seeks to achieve a return commensurate with that of the Fund’s benchmark. The second component seeks to add value relative to the Fund’s benchmark by making investments that often will not track its benchmark.

Representing the “best of” GMO’s public fixed income markets capabilities, the Fund employs a suite of alpha and systematic credit strategies to integrate investment-grade and high yield credit, emerging market debt, structured products, and a quantitative relative value rates and currency overlay into a robust portfolio.

Facts

Doc Table
Fund Inception Date	April 30, 1997
CUSIP	362008609
Benchmark	Bloomberg U.S. Aggregate
Fund Total Assets as of 3/31/2024	$79mm USD

Share Class III

Inception Date	April 30, 1997
Ticker Symbol	GUGAX
CUSIP	362008609
NAV as of 4/18/2024	16.92
Net Expense Ratio ¹	0.42
Gross Expense Ratio ²	0.74
Minimum Investment Size	$1mm in GMO

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.

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.

Performance

Table Caption
	1-Year	3-Year	5-Year	10-Year	ITD
Multi-Sector Fixed Income Fund	2.48	-2.90	-0.02	1.55	4.24
Bloomberg U.S. Aggregate	1.70	-2.45	0.36	1.54	4.18

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Multi-Sector Fixed Income Fund	-0.52	-0.52	2.48	-2.90	-0.02	1.55	4.24
Bloomberg U.S. Aggregate	-0.78	-0.78	1.70	-2.45	0.36	1.54	4.18

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Multi-Sector Fixed Income Fund	-0.41	-0.41	2.92	-2.49	0.40	1.97	4.66
Bloomberg U.S. Aggregate	-0.78	-0.78	1.70	-2.45	0.36	1.54	4.18

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Multi-Sector Fixed Income Fund	1.05	-0.52	-0.52	2.48	-2.90	-0.02	1.55	4.24
Bloomberg U.S. Aggregate	0.92	-0.78	-0.78	1.70	-2.45	0.36	1.54	4.18

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Multi-Sector Fixed Income Fund	1.09	-0.41	-0.41	2.92	-2.49	0.40	1.97	4.66
Bloomberg U.S. Aggregate	0.92	-0.78	-0.78	1.70	-2.45	0.36	1.54	4.18

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Calendar
	Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate
2023	6.02	5.53
2022	-14.52	-13.01
2021	-3.17	-1.54
2020	7.88	7.51
2019	9.64	8.72
2018	2.11	0.01
2017	4.45	3.54
2016	1.37	2.65
2015	-1.55	0.55
2014	9.54	5.97

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Calendar
	Multi-Sector Fixed Income Fund	Bloomberg U.S. Aggregate
2023	6.46	5.53
2022	-14.16	-13.01
2021	-2.78	-1.54
2020	8.32	7.51
2019	10.08	8.72
2018	2.53	0.01
2017	4.87	3.54
2016	1.80	2.65
2015	-1.14	0.55
2014	9.98	5.97

Inception Date: April 30, 1997

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. The local market in which the Fund is priced was closed for Good Friday on March 29, 2024. Therefore, the performance for the fund and corresponding benchmark will utilize March 28 for purposes of the ending valuation for the March return and the starting valuation for the April return.

Documents

Literature

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

Performance		Download
Portfolio Composition		Download
Holdings		Download
Holdings - Enhanced		Download
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Commentary & Attribution

Commentary Quarterly		Download
Attribution - Monthly		Download
Attribution - Quarterly		Download
Attribution - YTD		Download
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Investor Information

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

Risks

Risks associated with investing in the Fund may include those as follows. (1) Market Risk - Fixed Income Investments: The market price of a fixed income investment can decline due to a number of market-related factors, including rising interest rates and widening credit spreads or decreased liquidity stemming from the market's uncertainty about the value of a fixed income investment (or class of fixed income investments). (2) Credit Risk: The risk that the issuer or guarantor of a fixed income investment or the obligor of an obligation underlying an asset-backed security will be unable or unwilling to satisfy its obligation to pay principal and interest or otherwise to honor its obligations in a timely manner. (3) Management and Operational Risk: The risk that GMO's investment techniques will fail to produce desired results.

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.