Benchmark-Free Allocation Fund | Americas | GMO

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Management

Ben Inker

Co-Head of Asset Allocation, Portfolio Manager

Mr. Inker is Co-Head of GMO’s Asset Allocation team and a portfolio manager for the team’s products. Mr. Inker is a member of the GMO Board of Directors and a partner of the firm. He joined GMO in 1992 following the completion of his bachelor's degree 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.

John Thorndike

Co-Head of Asset Allocation, Portfolio Manager

Mr. Thorndike is Co-Head of GMO’s Asset Allocation team and a portfolio manager for the team’s products. Mr. Thorndike is a partner of the firm. Mr. Thorndike currently oversees asset selection and portfolio construction decisions, as well as team management responsibilities. Prior to joining GMO in 2015, he was a managing director and Deputy CIO at The Investment Fund for Foundations. Previously, he was an analyst with TIFF. Mr. Thorndike earned his bachelor's degree in Physics from Bowdoin College.

Overview

The GMO Benchmark-Free Allocation Fund seeks to generate positive total 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
CUSIP	362008310
Fund Total Assets as of 11/30/2024	$2.4bn USD

Share Class III

Inception Date	July 23, 2003
Ticker Symbol	GBMFX
CUSIP	362008310
NAV as of 12/24/2024	25.62
Net Expense Ratio ¹	1.23
Gross Expense Ratio ²	1.29
Adjusted Expense Ratio ³	0.86
Minimum Investment Size	$1mm in GMO

¹ Net Expense Ratio reflects the reduction of expenses from fee reimbursements. The fee reimbursements will continue until at least June 30, 2025. 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, 2024.

³ Adjusted Expense Ratio excludes certain investment-related costs, such as dividend and interest expense on short sales and interest expense incurred through entering into reverse repurchase agreements. The total of these costs, where applicable, can be found in the most recent prospectus.

Performance

Table Caption
	1-Year	3-Year	5-Year	10-Year	ITD
Benchmark-Free Allocation Fund	13.88	5.76	4.70	3.42	7.02
CPI Index	2.34	4.70	4.18	2.85	2.57

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Benchmark-Free Allocation Fund	3.66	7.25	13.88	5.76	4.70	3.42	7.02
CPI Index	0.52	1.89	2.34	4.70	4.18	2.85	2.57

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Table Caption
	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Benchmark-Free Allocation Fund	3.87	7.92	14.82	6.63	5.56	4.26	7.73
CPI Index	0.52	1.89	2.34	4.70	4.18	2.85	2.57

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Benchmark-Free Allocation Fund	-0.11	-3.49	3.51	8.14	5.77	3.51	2.96	6.78
CPI Index	0.31	0.56	2.46	2.77	4.30	4.17	2.93	2.58

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	5-Year	10-Year	ITD
Benchmark-Free Allocation Fund	-0.04	-3.36	4.30	9.04	6.64	4.36	3.80	7.50
CPI Index	0.31	0.56	2.46	2.77	4.30	4.17	2.93	2.58

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Calendar
	Benchmark-Free Allocation Fund	CPI Index
2023	13.40	3.60
2022	-2.26	6.40
2021	2.96	7.04
2020	-2.49	1.27
2019	11.62	2.28
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

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Calendar
	Benchmark-Free Allocation Fund	CPI Index
2023	14.33	3.60
2022	-1.45	6.40
2021	3.80	7.04
2020	-1.69	1.27
2019	12.53	2.28
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

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.

¹ 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. The portfolio is not managed relative to a benchmark. References to an index are for informational purposes only. 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.

Documents

Literature

Fact Sheet		Download
Prospectus		Download
Summary Prospectus		Download
Statement of Additional Information		Download
Download All		Download

Downloads

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

Commentary Quarterly		Download
Market Review		Download
Attribution - Monthly		Download
Attribution - Quarterly		Download
Attribution - YTD		Download
Download All		Download

Investor Information

Annual Report		Download
Semi-Annual Financial Statements and Other Information		Download
Semi-Annual Report		Download
NAVs and Distributions		Download
Distribution Dates		Download
Distribution Estimates		Download
Tax-Related Distribution Information		Download
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Document Library

Risks

Risks associated with investing in the Fund may include: (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 equities may decline due to factors affecting the issuer, its 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 (particularly of companies tied economically to emerging countries) fluctuate more than those of U.S. securities. Many non-U.S. markets (particularly emerging 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.