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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 1/31/2020 $879mm USD
Benchmark FTSE 3-Mo. TBill+++

Share Class IV

Ticker Symbol GSMJX
CUSIP 362014649
Net Expense Ratio 1 0.95
Gross Expense Ratio 2 0.99
Minimum Investment Size $125mm in Fund / $250mm in GMO

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

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 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
Prospectus
Summary Prospectus
Statement of Additional Information
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Downloads

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

Commentary - Quarterly
Attribution - Quarterly
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Investor Information

Annual Report
Semiannual Report
NAVs and Distributions
Distribution Dates
Tax-Related Distribution Information
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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 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.

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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