Emerging Country Debt Fund

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Management

Tina Vandersteel

Head of Emerging Country Debt

Ms. Vandersteel is the head of GMO’s Emerging Country Debt team. Prior to joining GMO in 2004, she worked at J.P. Morgan in fixed income research developing quantitative arbitrage strategies for emerging debt and high yield bonds. She began her career at Morgan Guaranty Trust, attending Morgan Finance Program #18, before establishing her career in emerging debt. Ms. Vandersteel earned her B.A. in Economics from Washington & Lee University. She is a CFA charterholder.

Overview

The GMO Emerging Country Debt Fund’s objective is total return in excess of that of its benchmark, the J.P. Morgan Emerging Markets Bond Index Global Diversified (EMBIG-D). The Fund invests primarily in external debt of sovereigns and quasi-sovereigns.

GMO’s Emerging Country Debt team focuses on bottom-up issue selection, seeking to find issues with similar default characteristics but better long-term total return potential than the issues in EMBIG-D. We believe that our approach provides long-term, value-oriented clients with the best chance for total return in this asset class and differentiates us from other emerging debt managers who focus on economic forecasting, market timing, and other macro/top-down approaches.

Facts

Doc Table
Fund Inception Date	April 19, 1994
Fund Total Assets as of 28/02/2023	$2.8bn USD
Benchmark	J.P. Morgan EMBI Global Diversified +

Share Class III

Inception Date	April 19, 1994
Ticker Symbol	GMCDX
CUSIP	362007270
NAV as of 28/03/2023	17.52
Net Expense Ratio ¹	0.53
Gross Expense Ratio ²	0.53
Purchase Premium	0.75%
Redemption Fee	0.75%
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, 2023. 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, 2022.

Performance

Table Caption
	1-Year	3-Year	5-Year	10-Year	ITD
Emerging Country Debt Fund	-17.57	-4.45	-1.27	2.33	11.69
J.P. Morgan EMBI Global Diversified +	-17.78	-5.16	-1.42	1.13	8.17

Inception Date: April 19, 1994

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.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Emerging Country Debt Fund	10.37	-16.32	-16.32	-3.96	-0.97	2.48	11.75
J.P. Morgan EMBI Global Diversified +	8.11	-17.78	-17.78	-5.16	-1.42	1.13	8.17

Inception Date: April 19, 1994

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.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Emerging Country Debt Fund	10.51	-15.87	-15.87	-3.45	-0.44	3.04	12.36
J.P. Morgan EMBI Global Diversified +	8.11	-17.78	-17.78	-5.16	-1.42	1.13	8.17

Inception Date: April 19, 1994

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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Emerging Country Debt Fund	-2.32	1.84	1.84	-5.52	-3.67	-0.33	2.65	11.75
J.P. Morgan EMBI Global Diversified +	-2.21	0.89	0.89	-8.64	-5.17	-0.81	1.38	8.16

Inception Date: April 19, 1994

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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Emerging Country Debt Fund	-2.27	1.93	1.93	-5.01	-3.15	0.21	3.20	12.37
J.P. Morgan EMBI Global Diversified +	-2.21	0.89	0.89	-8.64	-5.17	-0.81	1.38	8.16

Inception Date: April 19, 1994

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.

Calendar
	Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified +
2022	-16.32	-17.78
2021	-1.29	-1.80
2020	7.23	5.65
2019	14.28	14.42
2018	-5.91	-4.61
2017	12.48	9.32
2016	13.86	10.19
2015	0.02	1.23
2014	5.98	5.53
2013	-1.18	-6.58

Inception Date: April 19, 1994

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.

Calendar
	Emerging Country Debt Fund	J.P. Morgan EMBI Global Diversified +
2022	-15.87	-17.78
2021	-0.76	-1.80
2020	7.81	5.65
2019	14.88	14.42
2018	-5.41	-4.61
2017	13.08	9.32
2016	14.47	10.19
2015	0.58	1.23
2014	6.56	5.53
2013	-0.61	-6.58

Inception Date: April 19, 1994

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
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Downloads

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

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

NAVs and Distributions		Download
Tax-Related Distribution Information		Download
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Document Library

Risks

Risks associated with investing in the Fund may include: (1) 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. (2) Market Risk - Fixed Income: The market price of a fixed income investment can decline due to market-related factors, including rising interest rates and widening credit spreads, or decreased liquidity due to market uncertainty about the value of a fixed income investment (or class of fixed income investments). In addition, the market prices of emerging country sovereign and quasi-sovereign debt instruments can decline due to uncertainty about their credit quality and the reliability of their payment streams. (3) Illiquidity Risk: Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from selling particular securities or closing derivative positions at desirable prices. 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.