Overview

The GMO Alternative Allocation Fund seeks to generate positive total return by investing in a diversified portfolio of underlying alternative strategies, all run by GMO teams.

Underlying strategies will include but are not be limited to: merger arbitrage/event-driven, global macro, fixed income absolute return, asset allocation long/short, and market neutral equities, high yield, and systematic put writing strategies. The Fund’s success will be linked to the following differentiated features:

  • Dynamic allocation on two levels:
    • Top-down. The GMO Asset Allocation team will calibrate the aggregate level of portfolio risk, especially at valuation extremes, when investors need risk management the most.
    • Bottom-up. The underlying investment strategies will dynamically alter exposures and risk levels in an alpha-proportional manner.
  • Diversity of risk and return. 
    • Portfolio construction and risk management will incorporate both low statistical and intrinsic correlations.
    • The team will diversify by return source, combining strategies that are more skill-based, i.e. true alpha strategies, with those that harvest alternative risk premia.
  • Efficient use of Capital. The team will employ overlays that enable exposures greater than 100%, when appropriate, but without borrowing or financing from a prime broker.
  • Transparency and Liquidity. All strategies are run in-house. The portfolio management team has transparency, not just of positions but of the rationale and conviction levels of the underlying teams. Investors have daily liquidity.
  • Experience. GMO has over 20 years of experience in managing individual alternative strategies and packaging them together into multi-strategy solutions.

Facts

Doc Table
Fund Inception Date May 1, 2019
Fund Total Assets as of 31/10/2020 $354mm USD

Share Class VI

Inception Date May 1, 2019
Ticker Symbol GAAVX
CUSIP 362014466
NAV as of 25/11/2020 19.84
Net Expense Ratio 1 1.16
Gross Expense Ratio 2 1.43
Minimum Investment Size $300mm in Fund / $750mm in GMO

1 Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2021. Elimination of this reimbursement will result in higher fees and lower performance.

The adjusted expense ratios, which reflects the net and gross expense ratios excluding dividend and interest expense on short sales, are as follows: Net Expense Ratio: 0.87 and Gross Expense Ratio: 1.14. Dividends paid on borrowed securities are an expense of short sales. Such expenses are required to be treated as a Fund expense for accounting purposes and are not payable to GMO. The Fund also receives income in connection with short sales, which is reflected in the Fund's net income but is not reflected as an offset to dividend expenses on short sales in the Fund’s annual fund operating expenses table. Any interest expense amount or dividends paid on securities sold short will vary based on the extent of Fund’s use of those investments.

2 Gross Expense Ratio is equal to the Funds Total Annual Operating Expenses set forth in the Funds most recent prospectus dated June 30, 2020.

Performance

Quarter-End as of September 30, 2020(USD, %) | Alternative Allocation Fund-VI

Table Caption
1-Year ITD
Alternative Allocation Fund -1.54 -0.29
FTSE 3-Mo. TBill 1.02 1.40
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Quarter-End as of September 30, 2020(USD, %) | Alternative Allocation Fund-VI

Table Caption
QTD YTD 1-Year ITD
Alternative Allocation Fund 2.05 -3.09 -1.54 -0.29
FTSE 3-Mo. TBill 0.03 0.56 1.02 1.40
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Quarter-End as of September 30, 2020(USD, %) | Alternative Allocation Fund-VI

Table Caption
QTD YTD 1-Year ITD
Alternative Allocation Fund 2.27 -2.49 -0.72 0.54
FTSE 3-Mo. TBill 0.03 0.56 1.02 1.40
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Month-End as of October 31, 2020(USD, %) | Alternative Allocation Fund-VI

Table Caption
MTD QTD YTD 1-Year ITD
Alternative Allocation Fund 0.52 0.52 -2.59 -0.99 0.07
FTSE 3-Mo. TBill 0.01 0.01 0.56 0.86 1.33
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Month-End as of October 31, 2020(USD, %) | Alternative Allocation Fund-VI

Table Caption
MTD QTD YTD 1-Year ITD
Alternative Allocation Fund 0.59 0.59 -1.92 -0.16 0.90
FTSE 3-Mo. TBill 0.01 0.01 0.56 0.86 1.33
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Year Ending December 31 (USD, %) | Alternative Allocation Fund-VI

Calendar
Alternative Allocation Fund FTSE 3-Mo. TBill
2019 2.76 1.43
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Year Ending December 31 (USD, %) | Alternative Allocation Fund-VI

Calendar
Alternative Allocation Fund FTSE 3-Mo. TBill
2019 3.34 1.43
  • Alternative Allocation Fund
  • FTSE 3-Mo. TBill

Inception Date: May 01, 2019

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.

Documents

Literature

Fact Sheet Download
Prospectus Download
Summary Prospectus Download
Statement of Additional Information Download
XBRL 485(b) Download
Download All Download

Downloads

Performance Download
Portfolio Composition Download
Holdings Download
Download All Download

Commentary & Attribution

Investor Information

Semiannual Report Download
NAVs and Distributions Download
Distribution Dates Download
Download All Download

Risks

Risks associated with investing in the Fund may include those as follows. (1) Management and Operational Risk: The risk that GMOs investment techniques will fail to produce desired results. (2) Leveraging Risk: The use derivatives and securities lending creates leverage. Leverage increases the Funds losses when the value of its investments (including derivatives) declines. (3) Derivatives and Short Sales Risk: The use of derivatives involves the risk that their value may not change as expected relative to changes in the value of the underlying assets, pools of assets, rates, currencies or indices. Derivatives also present other risks, including market risk, illiquidity risk, currency risk, credit risk, and counterparty risk. 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.