Alternative Allocation Mutual Fund | Australia | 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.

B.J. Brannan

Portfolio Manager, Asset Allocation

Mr. Brannan is a member of GMO’s Asset Allocation team and a partner of the firm. Previously, he was a member of GMO’s investments control group. Prior to joining GMO in 2006, Mr. Brannan worked at Investors Bank & Trust as an account manager for fund accounting. Mr. Brannan earned his bachelor's degree in Business Management from the the University of Massachusetts, Amherst and an MBA from Boston University. He is a CFA charterholder.

Overview

The GMO Alternative Allocation Fund seeks to generate annualized returns of 4% (net of fees) above the FTSE 3-Month Treasury Bill Index over a complete market cycle by investing in a diversified portfolio of underlying alternative strategies, all run by GMO teams.

Underlying strategies are expected to include but are not limited to: merger arbitrage/event-driven, global macro, fixed income absolute return, asset allocation long/short, 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
CUSIP	362014466
Fund Total Assets as of 31/10/2024	$179mm USD

Share Class R6

Inception Date	July 31, 2020
Ticker Symbol	GAAKX
CUSIP	36256V601
NAV as of 22/11/2024	17.78
Net Expense Ratio ¹	1.85
Gross Expense Ratio ²	2.17
Adjusted Expense Ratio ³	1.00

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	ITD
Alternative Allocation Fund	0.08	2.61	1.69
FTSE 3-Mo. TBill	5.63	3.63	2.62

Inception Date: July 31, 2020

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.

Table Caption
	QTD	YTD	1-Year	3-Year	ITD
Alternative Allocation Fund	-1.36	-0.62	0.08	2.61	1.69
FTSE 3-Mo. TBill	1.37	4.17	5.63	3.63	2.62

Inception Date: July 31, 2020

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.

Table Caption
	QTD	YTD	1-Year	3-Year	ITD
Alternative Allocation Fund	-1.11	0.13	1.08	3.63	2.71
FTSE 3-Mo. TBill	1.37	4.17	5.63	3.63	2.62

Inception Date: July 31, 2020

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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	ITD
Alternative Allocation Fund	-1.53	-1.53	-2.14	-0.26	3.17	1.29
FTSE 3-Mo. TBill	0.43	0.43	4.62	5.59	3.78	2.67

Inception Date: July 31, 2020

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.

Table Caption
	MTD	QTD	YTD	1-Year	3-Year	ITD
Alternative Allocation Fund	-1.44	-1.44	-1.32	0.74	4.20	2.30
FTSE 3-Mo. TBill	0.43	0.43	4.62	5.59	3.78	2.67

Inception Date: July 31, 2020

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.

Calendar
	Alternative Allocation Fund	FTSE 3-Mo. TBill
2023	5.91	5.26
2022	3.61	1.50
2021	-4.44	0.05
2020	2.91	0.05

Inception Date: July 31, 2020

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.

Calendar
	Alternative Allocation Fund	FTSE 3-Mo. TBill
2023	6.96	5.26
2022	4.64	1.50
2021	-3.48	0.05
2020	3.33	0.05

Inception Date: July 31, 2020

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.

Documents

Literature

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Performance		Download
Portfolio Composition		Download
Holdings		Download
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Commentary & Attribution

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Investor Information

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Semi-Annual Financial Statements and Other Information		Download
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NAVs and Distributions		Download
Tax-Related Distribution Information		Download
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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) 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. (3) Leveraging Risk: The use derivatives and securities lending creates leverage. Leverage increases the Funds losses when the value of its investments (including derivatives) declines.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.