The Fund is not a money market fund and is not subject to the duration, quality, diversification and other requirements applicable to money market funds. Risks associated with investing in the Fund may include: (1) Market Risk – Fixed Income – The market price of a fixed income security can decline due to market-related factors, primarily rising interest rates. (2) Credit Risk – Securities issued by the U.S. Treasury historically have presented minimal credit risk. However, events in 2011 led to a downgrade in the long-term credit rating of U.S. bonds by several major rating agencies and introduced greater uncertainty about the repayment by the United States of its obligations. (3) Large Shareholder Risk – To the extent that a large number of shares of the Fund is held by a single shareholder (e.g., an institutional investor or another GMO Fund) or a group of shareholders with a common investment strategy (e.g., GMO asset allocation accounts), the Fund is subject to the risk that a redemption by those shareholders of all or a large portion of their Fund shares will require the Fund to sell securities at disadvantageous prices or otherwise disrupt the Fund’s operations. For a more complete discussion of these risks and others, please consult the Fund's prospectus.