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Benchmark-Free Allocation Fund

  • Vehicle Mutual Fund
  • Asset Class Multi-Asset Class

Overview

The GMO Benchmark-Free Allocation Fund seeks to generate positive total return, rather than "relative" return, by allocating dynamically across asset classes, free from the constraints of traditional benchmarks. Over a complete market cycle, the Fund seeks annualized returns of 5% (net of fees) above the Consumer Price Index and annualized volatility (standard deviation) of 5-10%.

The philosophy that underlies all of GMO’s Asset Allocation investment strategies is the belief that, at times and in the short term, the pricing of asset classes can deviate from true intrinsic value, but mean reverts to appropriate valuation levels over the long term. GMO’s proprietary 7-Year Asset Class Forecasts form the foundation of our investment process, providing a framework to assess the return opportunity embedded in different asset classes. We use that insight to allocate to what we believe are the most attractively priced asset classes. GMO’s Asset Allocation approach is flexible, not pre-determined by static allocations or benchmark-related ranges, constrained only by our unwillingness to overpay for an asset. We also seek to add value through security selection within both traditional and alternative asset classes.

Facts

Doc Table
Fund Inception Date July 23, 2003
Fund Total Assets as of 4/30/2019 $11.2bn USD
Benchmark CPI Index

Share Class III

Inception Date July 23, 2003
Ticker Symbol GBMFX
CUSIP 362008310
NAV as of 5/20/2019 26.08
Net Expense Ratio 1 0.87
Gross Expense Ratio 2 1.03
Minimum Investment Size $5mm in GMO

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, %) | Benchmark-Free Allocation Fund-III

Table Caption
1-Year 3-Year 5-Year 10-Year ITD
Benchmark-Free Allocation Fund -0.90 5.24 2.23 6.34 7.98
CPI Index 1.88 2.23 1.52 1.80 2.09
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Quarter-End as of March 31, 2019(USD, %) | Benchmark-Free Allocation Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Benchmark-Free Allocation Fund 5.51 5.51 -0.90 5.24 2.23 6.34 7.98
CPI Index 0.56 0.56 1.88 2.23 1.52 1.80 2.09
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Quarter-End as of March 31, 2019(USD, %) | Benchmark-Free Allocation Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Benchmark-Free Allocation Fund 5.72 5.72 -0.09 6.09 3.06 7.07 8.64
CPI Index 0.56 0.56 1.88 2.23 1.52 1.80 2.09
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Month-End as of April 30, 2019(USD, %) | Benchmark-Free Allocation Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Benchmark-Free Allocation Fund 1.44 1.44 7.03 1.04 5.39 2.26 6.27 8.03
CPI Index 0.32 0.32 0.88 1.98 2.20 1.54 1.83 2.10
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Month-End as of April 30, 2019(USD, %) | Benchmark-Free Allocation Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year 10-Year ITD
Benchmark-Free Allocation Fund 1.51 1.51 7.31 1.87 6.25 3.09 7.00 8.70
CPI Index 0.32 0.32 0.88 1.98 2.20 1.54 1.83 2.10
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Year Ending December 31 (USD, %) | Benchmark-Free Allocation Fund-III

Calendar
Benchmark-Free Allocation Fund CPI Index
2018 -5.35 1.92
2017 13.04 2.03
2016 3.40 2.18
2015 -4.28 0.72
2014 1.21 0.67
2013 10.73 1.56
2012 10.01 1.87
2011 3.86 2.95
2010 4.91 1.25
2009 20.65 2.86
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Year Ending December 31 (USD, %) | Benchmark-Free Allocation Fund-III

Calendar
Benchmark-Free Allocation Fund CPI Index
2018 -4.58 1.92
2017 13.95 2.03
2016 4.24 2.18
2015 -3.50 0.72
2014 2.03 0.67
2013 11.53 1.56
2012 10.84 1.87
2011 4.31 2.95
2010 5.34 1.25
2009 21.11 2.86
  • Benchmark-Free Allocation Fund 1
  • CPI Index

Inception Date: July 23, 2003

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 Prior to January 1, 2012, BFAF served as the principal component of a broader GMO real return strategy. Beginning on January 1, 2012, BFAF has been managed as a standalone investment.

Management

Inker_Ben

Ben Inker

Head of Asset Allocation

Mr. Inker is head of GMO’s Asset Allocation team and a member of the GMO Board of Directors. He joined GMO in 1992 following the completion of his B.A. in Economics from Yale University.  In his years at GMO, Mr. Inker has served as an analyst for the Quantitative Equity and Asset Allocation teams, as a portfolio manager of several equity and asset allocation portfolios, as co-head of International Quantitative Equities, and as CIO of Quantitative Developed Equities.  He is a CFA charterholder.

Documents

Downloads

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

Commentary - Quarterly
Commentary - Annual
Market Review
Attribution - Monthly
Attribution - Quarterly
Attribution - YTD
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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) Non-U.S. Investment Risk: The market prices of many non-U.S. securities fluctuate more than those of U.S. securities. Many non-U.S. markets are less stable, smaller, less liquid, and less regulated than U.S. markets, and the cost of trading in those markets often is higher than it is in U.S. markets. 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.