Opportunistic Income Fund

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Management

Joe Auth

Head of Developed Fixed Income, Portfolio Manager

Mr. Auth is the Head of GMO's Developed Fixed Income team and a portfolio manager for the team’s products. Mr. Auth is a partner of the firm. He is the lead portfolio manager for the Opportunistic Income and High Yield strategies and heads the Structured Products team as well. Prior to joining GMO in 2014, he was a portfolio manager for the Harvard Management Company. He was also a Research Director at Standish Mellon Asset Management. Mr. Auth earned his bachelor's degree in Government and History from Connecticut College and his MBA from the University of Connecticut. He is a CFA charterholder.

Ben Nabet

Portfolio Manager

Mr. Nabet is a portfolio manager for GMO's Opportunistic Income Strategy. He is a member of GMO’s Structured Products team, also contributing research focused on commercial mortgage-backed securities. Prior to joining GMO in 2015, he was Director of Global Arbitrage Trading and previously the Vice President of Global Arbitrage and Trading at RBC Capital Markets. Mr. Nabet earned his engineering degree in Control and Dynamical Systems from Ecole Nationale de l'Aviation Civile (ENAC), in Toulouse, France. He received his PhD and MA in Mechanical and Aerospace Engineering from Princeton University.

Overview

The GMO Opportunistic Income Fund seeks capital appreciation and current income by investing in what we believe are the most attractively priced sectors and securities in the structured finance marketplace. The Structured Products team utilizes both top-down and bottom-up security selection methods to identify what we believe are the best opportunities from a pure risk/return perspective.

The structured finance asset class offers a range of opportunities due to both its inherently fragmented nature and the inefficiencies caused by market segmentation and structural anomalies. We believe that the marketplace’s complexity, volatile historical performance, and very high number of discrete investment opportunities create considerable potential for alpha generation. Our relatively unconstrained approach to risk diversification, sub-sector allocation and security selection is designed to identify and benefit from those opportunities.

Facts

Doc Table
Fund Inception Date	October 3, 2011
CUSIP	362013112
Fund Total Assets as of 30/11/2024	$1.6bn USD

Share Class I

Inception Date	November 5, 2019
Ticker Symbol	GMOLX
CUSIP	362014219
NAV as of 20/12/2024	24.15
Net Expense Ratio ¹	0.67
Gross Expense Ratio ²	0.71

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.

Performance

Table Caption
	1-Year	3-Year	ITD
Opportunistic Income Fund	8.87	3.41	3.23
Bloomberg U.S. Securitized	12.22	-1.11	0.14

Inception Date: November 05, 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.

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
Opportunistic Income Fund	2.90	5.71	8.87	3.41	3.23
Bloomberg U.S. Securitized	5.44	4.61	12.22	-1.11	0.14

Inception Date: November 05, 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.

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
Opportunistic Income Fund	3.08	6.25	9.61	4.10	3.92
Bloomberg U.S. Securitized	5.44	4.61	12.22	-1.11	0.14

Inception Date: November 05, 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.

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	5-Year	ITD
Opportunistic Income Fund	0.61	0.11	5.83	7.49	3.38	3.16	3.15
Bloomberg U.S. Securitized	1.30	-1.48	3.06	7.39	-1.50	-0.23	-0.16

Inception Date: November 05, 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.

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	5-Year	ITD
Opportunistic Income Fund	0.66	0.22	6.49	8.22	4.07	3.85	3.83
Bloomberg U.S. Securitized	1.30	-1.48	3.06	7.39	-1.50	-0.23	-0.16

Inception Date: November 05, 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.

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
	Opportunistic Income Fund	Bloomberg U.S. Securitized
2023	6.93	5.08
2022	-2.28	-11.67
2021	2.64	-1.04
2020	3.10	4.18
2019	0.01	0.59

Inception Date: November 05, 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.

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
	Opportunistic Income Fund	Bloomberg U.S. Securitized
2023	7.63	5.08
2022	-1.63	-11.67
2021	3.32	-1.04
2020	3.77	4.18
2019	0.11	0.59

Inception Date: November 05, 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.

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

Fact Sheet		Download
Product Profile		Download
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Downloads

Performance		Download
Portfolio Composition		Download
Holdings		Download
Semi-Annual Financial Statements and Other Information		Download
Holdings - Public		Download
Holdings - Enhanced		Download
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Commentary & Attribution

Commentary Quarterly		Download
Contribution - Monthly		Download
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Investor Information

Semi-Annual Report		Download
NAVs and Distributions		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) 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-Asset-Backed Securities Risk: The market price of asset-backed securities, like that of other fixed income investments with complex structures, can decline for a variety of reasons, including investor uncertainty about their credit quality and the reliability of their payment streams. Payment streams associated with asset-backed securities held by the Fund depend on many factors (e.g., the cash flow generated by the assets backing the securities, deal structure, and creditworthiness of any credit-support provider), and a problem in any of these factors can lead to a reduction in the payment stream GMO expected the Fund to receive when the Fund purchased the asset-backed security. (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.