U.S. Small Cap Value Fund

Management

George Sakoulis

Head of Investment Teams, Head of Systematic Equity, Portfolio Manager

Dr. Sakoulis is the Head of Investment Teams at GMO, Head of GMO's Systematic Equity team, and a portfolio manager for GMO’s Systematic Equity products. Dr. Sakoulis is a partner of the firm. He previously worked at GMO from 2009 to 2014 leading quantitative research for GMO’s Emerging Markets Equity team. Prior to rejoining GMO in 2020, he was most recently a Managing Director and Head of Global Multi-Asset Solutions for QMA, where he focused on systematic total and absolute return investment solutions. Before that, he led QMA’s Global Portfolio Solutions group. Previously, Dr. Sakoulis also served as the Director of European Equity Strategies for Numeric Investors and as a Director for UBS O’Connor. He earned his bachelor's degree in Economics and Statistics from San Francisco State University and his MA in Economics and PhD in Financial Econometrics from the University of Washington.

Warren Chiang

Portfolio Manager, Systematic Equity

Mr. Chiang oversees portfolio management for GMO’s Systematic Equity team. He is a partner of the firm. Prior to joining GMO in 2015, he worked at Mellon Capital Management as a Managing Director of Active Equity Strategies. Previously, he worked at the Federal Reserve Bank of San Francisco as a research associate. Mr. Chiang earned his bachelor's degree in Economics and his MBA from the University of California Berkeley. He is a CFA charterholder.

Simon Harris

Portfolio Manager, Systematic Equity

Mr. Harris is engaged in portfolio management for GMO’s Systematic Equity team and is a partner of the firm. In his decades at GMO, Simon has had extensive portfolio management, quantitative research, and team leadership experience including as the head of the Systematic Equity and Global Equity teams, and 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.

Overview

The GMO U.S. Small Cap Value Fund seeks to generate total return in excess of its benchmark, the S&P Small Cap 600 Value Index, by investing primarily in equities of U.S. companies that are included in the S&P 600 Index or whose market capitalization at the time of investment is less than that of companies in the bottom decile of market capitalization of the MSCI U.S. IMI Index.

The Fund’s investment approach is grounded in the Systematic Equity team’s belief that, in the short term, equity markets exhibit exploitable inefficiencies as a result of irrational investor actions, the imperfect flow of information, and the participation of non-economic actors, while in the long-term returns are ultimately driven by economic reality. The Fund aims to take advantage of these inefficiencies by utilizing a multi-factor valuation model in conjunction with other methods, such as momentum and corporate alerts, to identify undervalued equity securities.

Facts

Doc Table
Fund Inception Date	July 2, 2019
CUSIP	36256V874
Benchmark	S&P SmallCap 600 Value
Fund Total Assets as of 31/10/2024	$40mm USD

Share Class VI

Inception Date	July 2, 2019
Ticker Symbol	GCAVX
CUSIP	36256V874
NAV as of 20/11/2024	21.98
Net Expense Ratio ¹	0.48
Gross Expense Ratio ²	0.65
Minimum Investment Size	$300mm in Fund / $750mm 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.