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Risk Premium Fund

  • Vehicle Mutual Fund
  • Asset Class Alternatives

Overview

The GMO Risk Premium Fund seeks to generate a total return over the long term commensurate with that of global equity markets primarily by writing put options on U.S. and non-U.S. stock indices. 

GMO’s Global Equity team believes that put selling enables investors to generate equity-like returns in a manner that is relatively insensitive to equity market valuations and also that allocating across global markets increases the opportunity for adding value. Put sellers are compensated by collecting what amounts to an insurance premium. In contrast, equity owners are compensated by the earnings yield of the market. Since both activities take equity risk, utilizing both put selling and owning equities can achieve diversification via an increased opportunity set. Furthermore, the relative attractiveness of the approaches varies – selling puts is an attractive proposition when insurance premiums are high, while owning equities is attractive when earnings yields are high, and these do not have to be coincident.

The team believes the use of the CBOE S&P 500 PutWrite Index is appropriate for measuring the Fund’s ability to generate returns by gaining exposure to the global variance risk premium; however, we also consider performance against the MSCI World Index over long time horizons to evaluate the Fund’s ability to harvest the global equity risk premium.

Facts

Doc Table
Fund Inception Date November 15, 2012
Fund Total Assets as of 8/31/2019 $366mm USD
Benchmark CBOE S&P 500 PutWrite Index

Share Class III

Inception Date December 14, 2012
Ticker Symbol GMRPX
CUSIP 362014839
NAV as of 9/20/2019 27.68
Net Expense Ratio 1 0.40
Gross Expense Ratio 2 0.44

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

Quarter-End as of June 30, 2019(USD, %) | Risk Premium Fund-III

Table Caption
1-Year 3-Year 5-Year ITD
Risk Premium Fund 2.82 7.95 5.35 6.09
CBOE S&P 500 PutWrite Index 0.11 5.94 5.36 6.95
MSCI World 6.33 11.77 6.60 10.05
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2019(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 2.26 9.85 2.82 7.95 5.35 6.09
CBOE S&P 500 PutWrite Index 2.44 8.06 0.11 5.94 5.36 6.95
MSCI World 4.00 16.98 6.33 11.77 6.60 10.05
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 June 30, 2019(USD, %) | Risk Premium Fund-III

Table Caption
QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund 2.36 10.07 3.28 8.55 5.95 6.70
CBOE S&P 500 PutWrite Index 2.44 8.06 0.11 5.94 5.36 6.95
MSCI World 4.00 16.98 6.33 11.77 6.60 10.05
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 August 31, 2019(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund -1.51 -0.62 9.16 -1.48 6.20 5.02 5.83
CBOE S&P 500 PutWrite Index -1.74 -0.33 7.70 -4.23 5.10 4.68 6.71
MSCI World -2.05 -1.56 15.15 0.26 9.63 6.15 9.53
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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 August 31, 2019(USD, %) | Risk Premium Fund-III

Table Caption
MTD QTD YTD 1-Year 3-Year 5-Year ITD
Risk Premium Fund -1.48 -0.55 9.45 -1.07 6.78 5.61 6.44
CBOE S&P 500 PutWrite Index -1.74 -0.33 7.70 -4.23 5.10 4.68 6.71
MSCI World -2.05 -1.56 15.15 0.26 9.63 6.15 9.53
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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, %) | Risk Premium Fund-III

Calendar
Risk Premium Fund CBOE S&P 500 PutWrite Index MSCI World
2018 -7.41 -5.93 -8.71
2017 12.85 10.85 22.40
2016 11.12 7.77 7.51
2015 6.48 6.40 -0.87
2014 -0.19 6.38 4.94
2013 7.75 12.28 26.68
2012 0.78 0.55 1.04
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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, %) | Risk Premium Fund-III

Calendar
Risk Premium Fund CBOE S&P 500 PutWrite Index MSCI World
2018 -6.89 -5.93 -8.71
2017 13.53 10.85 22.40
2016 11.79 7.77 7.51
2015 7.12 6.40 -0.87
2014 0.42 6.38 4.94
2013 8.40 12.28 26.68
2012 0.81 0.55 1.04
  • Risk Premium Fund
  • CBOE S&P 500 PutWrite Index
  • MSCI World

Inception Date: December 14, 2012

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.

Management

Harris_Simon

Simon Harris

Head of Global Equity (interim)

Mr. Harris is the interim head of GMO’s Global Equity team. In his decades at GMO, Simon has had extensive portfolio management, quantitative research, and team leadership experience including as the head of the UK Equity team prior to its merger with Global Equity. Previously, he also served as co-CEO of GMO UK Ltd. Prior to joining GMO in 1989, he earned his BSc in Mathematics from The City University (London). Mr. Harris is a Fellow of The Chartered Institute for Securities & Investment.

Le_Van

Van Le

Mr. Le is a portfolio manager for GMO’s Risk Premium Strategy. He is a member of GMO’s Global Equity team and was previously a member of GMO’s Asset Allocation team. Prior to joining GMO in 2015, he worked at JP Morgan most recently as an Associate for Global Asset Allocation Investments and prior to that as a FICC Options Associate. Mr. Le earned his MS and undergraduate degree in Econometrics and Mathematical Economics from the London School of Economics and Political Science, his Master’s in Mathematics from Cambridge University, and his Master of Finance from Princeton University.

Documents

Literature

Fact Sheet
Prospectus
Summary Prospectus
Statement of Additional Information
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Downloads

Performance
Portfolio Composition
Holdings
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Commentary & Attribution

Commentary - Quarterly
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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: (1) Market Risk - Equities: Because the Fund writes put options on stock indices, GMO generally expects the Fund's net asset value to decline when the value of those indices declines. The value of an index depends on the value of the equity securities in the index, and the market price of an equity security may decline due to factors affecting the issuer or its industry or the economy and equity markets generally. (2) Illiquidity Risk: Low trading volume, lack of a market maker, large position size, or legal restrictions may limit or prevent the Fund from closing its option positions at desirable prices. (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. 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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