Multi-Asset
Class Funds | ||||
◼ |
Benchmark-Free
Allocation Fund | |||
|
Class
III: |
GBMFX |
Class
IV: |
GBMBX |
|
Class
R6: |
GBMSX |
Class
I: |
GBMIX |
◼ |
Global
Asset Allocation Fund | |||
|
Class
III: |
GMWAX |
Class
R6: |
GMWRX |
|
Class
I: |
GMOOX |
|
|
Equity
Funds | ||||
◼ |
Climate
Change Fund | |||
|
Class
III: |
GCCHX |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
— |
|
Class
R6: |
GCCAX |
Class
I: |
GCCLX |
◼ |
Emerging
Markets Fund | |||
|
Class
II: |
GMEMX |
Class
III: |
GMOEX |
|
Class
IV: |
GMEFX |
Class
V: |
GEMVX |
|
Class
VI: |
GEMMX |
Class
R6: |
GEMNX |
|
Class
I: |
GEMEX |
|
|
◼ |
Emerging
Markets ex-China Fund | |||
|
Class
II: |
— |
Class
III: |
GMAUX |
|
Class
IV: |
— |
Class
V: |
— |
|
Class
VI: |
GMAQX |
Class
R6: |
— |
|
Class
I:
|
GMAVX |
|
|
◼ |
Global
Developed Equity Allocation Fund | |||
|
Class
III: |
GWOAX |
Class
R6: |
— |
|
Class
I: |
— |
|
|
◼ |
Global
Equity Allocation Fund | |||
|
Class
III: |
GMGEX |
Class
R6: |
GMADX |
|
Class
I: |
GAAUX |
|
|
◼ |
International
Developed Equity Allocation Fund | |||
|
Class
III: |
GIOTX |
Class
R6: |
GAAWX |
|
Class
I: |
— |
|
|
◼ |
International
Equity Allocation Fund | |||
|
Class
III: |
GIEAX |
Class
R6: |
GSXMX |
|
Class
I: |
— |
|
|
◼ |
International
Equity Fund | |||
|
Class
II |
GMICX |
Class
III: |
GMOIX |
|
Class
IV: |
GMCFX |
Class
R6: |
— |
|
Class
I: |
GMOUX |
|
|
◼ |
International
Opportunistic Value Fund | |||
|
Class
III: |
GTMIX |
Class
IV: |
GMAZX |
|
Class
R6: |
GMBCX |
Class
I: |
IOVFX |
◼ |
Japan
Value Creation Fund | |||
|
Class
III: |
GMAKX |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GMAHX |
|
Class
R6: |
— |
Class
I: |
GMIIX |
◼ |
Quality
Fund | |||
|
Class
III: |
GQETX |
Class
IV: |
GQEFX |
|
Class
V: |
GQLFX |
Class
VI: |
GQLOX |
|
Class
R6: |
GQESX |
Class
I: |
GQLIX |
◼ |
Quality
Cyclicals Fund | |||
|
Class
III: |
GMANX |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GMAEX |
|
Class
R6: |
— |
Class
I: |
GMAOX |
◼ |
Resources
Fund | |||
|
Class
III: |
GOFIX |
Class
IV: |
GOVIX |
|
Class
V: |
— |
Class
VI: |
GMOWX |
|
Class
R6 |
GAAHX |
Class
I: |
GEACX |
◼ |
Resource
Transition Fund | |||
|
Class
III: |
— |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GMOYX |
|
Class
R6 |
— |
Class
I: |
GMOCX |
◼ |
Small
Cap Quality Fund | |||
|
Class
III: |
GMAWX |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GSBGX |
|
Class
R6: |
— |
Class
I: |
GMAYX |
◼ |
U.S.
Equity Fund | |||
|
Class
III: |
GMUEX |
Class
IV: |
GMRTX |
|
Class
V: |
GMEQX |
Class
VI: |
GMCQX |
|
Class
R6: |
— |
Class
I: |
— |
|
Equity
Funds continued | ||||
◼ |
U.S.
Opportunistic Value Fund | |||
|
Class
III: |
PPADX |
Class
IV: |
GUSOX |
|
Class
V: |
— |
Class
VI: |
UUOAX |
|
Class
R6: |
PPAJX |
Class
I: |
PPAEX |
◼ |
U.S.
Small Cap Value Fund | |||
|
Class
III: |
— |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GCAVX |
|
Class
R6: |
— |
Class
I: |
— |
Fixed
Income Funds | ||||
◼ |
Emerging
Country Debt Fund | |||
|
Class
III: |
GMCDX |
Class
IV: |
GMDFX |
|
Class
VI: |
GMOQX |
|
|
◼ |
Emerging
Country Debt Shares Fund | |||
|
Class
R6: |
GMAFX |
Class
I: |
GMAJX |
◼ |
High
Yield Fund |
|
| |
|
Class
III: |
— |
Class
IV: |
— |
|
Class
V: |
— |
Class
VI: |
GHVIX |
|
Class
R6: |
— |
Class
I: |
GMOZX |
◼ |
Multi-Sector
Fixed Income Fund | |||
|
Class
III: |
GUGAX |
Class
IV: |
GPBFX |
|
Class
R6: |
— |
Class
I: |
— |
◼ |
Opportunistic
Income Fund | |||
|
Class
III: |
GMOHX |
Class
VI: |
GMODX |
|
Class
R6: |
GAAAX |
Class
I: |
GMOLX |
Alternative
Funds | ||||
◼ |
Alternative
Allocation Fund | |||
|
Class
II: |
— |
Class
III: |
— |
|
Class
IV: |
— |
Class
V: |
— |
|
Class
VI: |
GAAVX |
Class
R6: |
GAAKX |
|
Class
I: |
GAAGX |
|
|
Implementation
Funds | ||||
◼ |
Asset
Allocation Bond Fund | |||
|
Class
III: |
GMOBX |
Class
VI: |
GABFX |
◼ |
Benchmark-Free
Fund | |||
|
Class
III: |
GBFFX |
|
|
◼ |
Implementation
Fund | |||
|
Ticker: |
GIMFX |
|
|
◼ |
Strategic
Opportunities Allocation Fund | |||
|
Class
III: |
GBATX |
|
|
◼ |
U.S.
Treasury Fund | |||
|
Class
VI: |
GUSTX |
Class
R6: |
— |
|
Class
I: |
— |
|
|
|
Page |
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| |
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| |
58
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| |
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| |
72
| |
78
| |
83
| |
88
| |
92
| |
97
| |
102
| |
102
| |
107
| |
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| |
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| |
124
| |
130
| |
130
| |
137
| |
137
| |
142
| |
147
| |
152
| |
157
| |
161
| |
163
| |
167
| |
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| |
184
| |
186
| |
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| |
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| |
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| |
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| |
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| |
204
| |
283
| |
inside
back cover
| |
back
cover
| |
back
cover
| |
back
cover |
GMO
BENCHMARK-FREE ALLOCATION
FUND |
|
Class
III |
Class
IV |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
Other
expenses |
|
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying fund expenses) |
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
BENCHMARK-FREE ALLOCATION
FUND |
GMO
BENCHMARK-FREE ALLOCATION
FUND |
GMO
BENCHMARK-FREE ALLOCATION
FUND |
GMO
BENCHMARK-FREE ALLOCATION
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III1 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury
Inflation
Notes: 1-10 Year
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury
Inflation
Notes: 1-10 Year
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury
Inflation
Notes: 1-10 Year
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury
Inflation
Notes: 1-10 Year
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
GMO
BENCHMARK-FREE ALLOCATION
FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2003) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
GLOBAL ASSET ALLOCATION FUND |
|
Class
III |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying
fund expenses) |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
GLOBAL ASSET ALLOCATION FUND |
GMO
GLOBAL ASSET ALLOCATION FUND |
GMO
GLOBAL ASSET ALLOCATION FUND |
GMO
GLOBAL ASSET ALLOCATION FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
GMO
Global Asset Allocation
Index2 (Fund
benchmark) |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (reflects
no deduction for
fees,
expenses, or taxes) |
|
|
|
|
MSCI
ACWI3
|
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
GMO
Global Asset Allocation
Index2 (Fund
benchmark) |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (reflects
no deduction for
fees,
expenses, or taxes) |
|
|
|
- |
MSCI
ACWI3
|
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
GMO
Global Asset Allocation
Index2 (Fund
benchmark) |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (reflects
no deduction for
fees,
expenses, or taxes) |
|
|
|
- |
MSCI
ACWI3
|
|
|
|
|
GMO
GLOBAL ASSET ALLOCATION FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 1996) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
CLIMATE CHANGE FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
CLIMATE CHANGE FUND |
GMO
CLIMATE CHANGE FUND |
GMO
CLIMATE CHANGE FUND |
|
|
| |
|
- |
| |
|
- |
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
Return
After Taxes on
Distributions |
- |
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
- |
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
MSCI
ACWI1
|
|
|
|
|
GMO
CLIMATE CHANGE FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Lucas
White (since the Fund’s inception in 2017) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
Thomas
Hancock (since the Fund’s inception in 2017) |
Head,
Focused Equity Team, GMO. |
GMO
EMERGING MARKETS FUND |
|
Class
II |
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
|
Acquired
fund fees and expenses (underlying
fund
expenses) |
|
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after
expense
reimbursement/waiver |
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
II |
$ |
$ |
$ |
$ |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
EMERGING MARKETS FUND |
GMO
EMERGING MARKETS FUND |
GMO
EMERGING MARKETS FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
II1
|
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
Emerging Markets Index2
(Fund
benchmark) (reflects no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestment)
|
|
|
|
|
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
- |
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
Emerging Markets Index2
(Fund
benchmark) (reflects no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestment) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
Emerging Markets Index2
(Fund
benchmark) (reflects no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestment) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
Emerging Markets Index2
(Fund
benchmark) (reflects no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestment) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
- |
MSCI
Emerging Markets Index2
(Fund
benchmark) (reflects no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestment) |
|
|
|
- |
GMO
EMERGING MARKETS FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since 2015) |
Portfolio
Manager, Systematic Equity Team,
GMO. |
GMO
EMERGING MARKETS EX-CHINA
FUND |
|
Class
II |
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after
expense
reimbursement/waiver |
|
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
II |
$ |
$ |
$ |
$ |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
EMERGING MARKETS EX-CHINA
FUND |
GMO
EMERGING MARKETS EX-CHINA
FUND |
GMO
EMERGING MARKETS EX-CHINA
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
- |
Return
After Taxes on
Distributions |
|
|
|
- |
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
- |
MSCI
Emerging Markets ex-
China
Index1 (Fund
benchmark)
(returns
reflect no deduction for
fees
or expenses, but are net of
withholding
tax on dividend
reinvestment) |
|
|
|
- |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
- |
MSCI
Emerging Markets ex-
China
Index1 (Fund
benchmark)
(returns
reflect no deduction for
fees
or expenses, but are net of
withholding
tax on dividend
reinvestment) |
|
|
|
- |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since the Fund’s inception in 2021) |
Portfolio
Manager, Systematic Equity Team,
GMO. |
GMO
EMERGING MARKETS EX-CHINA
FUND |
GMO
GLOBAL DEVELOPED EQUITY ALLOCATION
FUND |
|
Class
III |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying
fund expenses) |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
GLOBAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
GLOBAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
GLOBAL DEVELOPED EQUITY ALLOCATION
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
World Index1 (Fund
benchmark)
(returns reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2005) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
GLOBAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
GLOBAL EQUITY ALLOCATION FUND |
|
Class
III |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying
fund expenses) |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
GLOBAL EQUITY ALLOCATION FUND |
GMO
GLOBAL EQUITY ALLOCATION FUND |
GMO
GLOBAL EQUITY ALLOCATION FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
ACWI +1 (Composite
index) |
|
|
|
|
MSCI
ACWI1 (Fund
benchmark)
|
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
ACWI +1 (Composite
index) |
|
|
|
|
MSCI
ACWI1 (Fund
benchmark)
|
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
ACWI +1 (Composite
index) |
|
|
|
|
MSCI
ACWI1 (Fund
benchmark)
|
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 1996) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
GLOBAL EQUITY ALLOCATION FUND |
GMO
INTERNATIONAL DEVELOPED EQUITY ALLOCATION
FUND |
|
Class
III |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying
fund expenses) |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
INTERNATIONAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL DEVELOPED EQUITY ALLOCATION
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
EAFE Index1 (Fund
benchmark)
(returns reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
EAFE Index1 (Fund
benchmark)
(returns reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2006) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
INTERNATIONAL DEVELOPED EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL EQUITY ALLOCATION
FUND |
|
Class
III |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying
fund expenses) |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
INTERNATIONAL EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL EQUITY ALLOCATION
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
ACWI ex USA1 (Fund
benchmark)
(returns reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
ACWI ex USA1 (Fund
benchmark)
(returns reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 1996) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
INTERNATIONAL EQUITY ALLOCATION
FUND |
GMO
INTERNATIONAL EQUITY FUND |
|
Class
II |
Class
III |
Class
IV |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
Other
expenses |
|
|
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
II |
$ |
$ |
$ |
$ |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
INTERNATIONAL EQUITY FUND |
GMO
INTERNATIONAL EQUITY FUND |
GMO
INTERNATIONAL EQUITY FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
EAFE Index1 (returns
reflect
no
deduction for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
EAFE Index1 (returns
reflect
no
deduction for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
EAFE Index1 (returns
reflect
no
deduction for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since March 2024) |
Portfolio
Manager, Systematic Equity Team,
GMO. |
GMO
INTERNATIONAL EQUITY FUND |
GMO
INTERNATIONAL OPPORTUNISTIC VALUE
FUND |
|
Class
III |
Class
IV |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
Other
expenses |
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
INTERNATIONAL OPPORTUNISTIC VALUE
FUND |
GMO
INTERNATIONAL OPPORTUNISTIC VALUE
FUND |
GMO
INTERNATIONAL OPPORTUNISTIC VALUE
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
World ex USA Value
Index2 (returns
reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
MSCI
World ex USA
Index2 (returns
reflect no
deduction
for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since May 2023) |
Portfolio
Manager, Systematic Equity Team, GMO. |
Systematic
Equity |
Tara
Oliver (since May 2023) |
Portfolio
Manager, Systematic Equity Team, GMO. |
Asset
Allocation |
John
Thorndike (since May 2023) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
INTERNATIONAL OPPORTUNISTIC VALUE
FUND |
GMO-USONIAN
JAPAN VALUE CREATION FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO-USONIAN
JAPAN VALUE CREATION FUND |
GMO-USONIAN
JAPAN VALUE CREATION FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Tokyo
Stock Price Index (Total
Return)
(returns reflect no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Tokyo
Stock Price Index (Total
Return)
(returns reflect no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
- |
Tokyo
Stock Price Index (Total
Return)
(returns reflect no
deduction
for fees or expenses, but
are
net of withholding tax on
dividend
reinvestments) |
|
|
|
- |
GMO-USONIAN
JAPAN VALUE CREATION FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Usonian
Japan
Equity
Team |
Drew
Edwards (since the Fund’s inception in 2020) |
Head,
Usonian Japan Equity Team, GMO. |
Usonian
Japan
Equity
Team |
Colin
Bekemeyer (since June 2024) |
Portfolio
Manager, Usonian Japan Equity Team,
GMO. |
GMO
QUALITY FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
QUALITY FUND |
GMO
QUALITY FUND |
GMO
QUALITY FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
S&P
500 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
500 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
500 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
500 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
500 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Thomas
Hancock (since 2009) |
Head,
Focused Equity Team, GMO. |
Focused
Equity |
Ty
Cobb (since 2019) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
Anthony
Hene (since 2015) |
Portfolio
Manager, Focused Equity Team,
GMO. |
GMO
QUALITY FUND |
GMO
QUALITY CYCLICALS FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
QUALITY CYCLICALS FUND |
GMO
QUALITY CYCLICALS FUND |
GMO
QUALITY CYCLICALS FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Anthony
Hene (since the Fund’s inception in 2020) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
Thomas
Hancock (since the Fund’s inception in 2020) |
Head,
Focused Equity Team, GMO. |
Focused
Equity |
Ty
Cobb (since the Fund’s inception in 2020) |
Portfolio
Manager, Focused Equity Team,
GMO. |
GMO
QUALITY CYCLICALS FUND |
GMO
RESOURCES FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
RESOURCES FUND |
GMO
RESOURCES FUND |
GMO
RESOURCES FUND |
GMO
RESOURCES FUND |
|
|
| |
|
- |
| |
|
- |
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
Return
After Taxes on
Distributions |
- |
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
- |
|
|
|
MSCI
ACWI Commodity
Producers
Index1 (returns
reflect
no deduction for fees or
expenses,
but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
MSCI
ACWI Commodity
Producers
Index1 (returns
reflect
no deduction for fees or
expenses,
but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
- |
|
|
- |
MSCI
ACWI Commodity
Producers
Index (returns
reflect
no
deduction for fees or
expenses,
but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
MSCI
ACWI
|
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
MSCI
ACWI Commodity
Producers
Index1 (returns
reflect
no deduction for fees or
expenses,
but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
- |
|
|
|
MSCI
ACWI Commodity
Producers
Index1 (returns
reflect
no deduction for fees or
expenses,
but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
MSCI
ACWI1
|
|
|
|
|
GMO
RESOURCES FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Lucas
White (since 2015) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
Thomas
Hancock (since the Fund’s inception in 2011) |
Head,
Focused Equity Team, GMO. |
GMO
RESOURCE TRANSITION FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
RESOURCE TRANSITION FUND |
GMO
RESOURCE TRANSITION FUND |
GMO
RESOURCE TRANSITION FUND |
GMO
RESOURCE TRANSITION FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Lucas
White (since the Fund’s inception in 2022) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
Thomas
Hancock (since the Fund’s inception in 2022) |
Head,
Focused Equity Team, GMO. |
GMO
SMALL CAP QUALITY FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
SMALL CAP QUALITY FUND |
GMO
SMALL CAP QUALITY FUND |
GMO
SMALL CAP QUALITY FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
S&P
600 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
600 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
600 Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Focused
Equity |
Thomas
Hancock (since the Fund’s inception in 2022) |
Head,
Focused Equity Team, GMO. |
Focused
Equity |
Hassan
Chowdhry (since the Fund’s inception in
2022) |
Portfolio
Manager, Focused Equity Team, GMO. |
Focused
Equity |
James
Mendelson (since the Fund’s inception in 2022) |
Portfolio
Manager, Focused Equity Team,
GMO. |
GMO
SMALL CAP QUALITY FUND |
GMO
U.S. EQUITY FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
U.S. EQUITY FUND |
GMO
U.S. EQUITY FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
S&P
Composite 1500
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
S&P
Composite 1500
Index (returns
reflect no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
GMO
U.S. EQUITY FUND |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since March 2024) |
Portfolio
Manager, Systematic Equity Team,
GMO. |
GMO
U.S. OPPORTUNISTIC VALUE FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
U.S. OPPORTUNISTIC VALUE FUND |
GMO
U.S. OPPORTUNISTIC VALUE FUND |
GMO
U.S. OPPORTUNISTIC VALUE FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
MSCI
US Value Index1 (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since the Fund’s inception in 2022) |
Portfolio
Manager, Systematic Equity Team, GMO. |
Systematic
Equity |
Tara
Oliver (since the Fund’s inception in 2022) |
Portfolio
Manager, Systematic Equity Team, GMO. |
Asset
Allocation |
John
Thorndike (since the Fund’s inception in 2022) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
U.S. OPPORTUNISTIC VALUE FUND |
GMO
U.S. SMALL CAP VALUE FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
U.S. SMALL CAP VALUE FUND |
GMO
U.S. SMALL CAP VALUE FUND |
GMO
U.S. SMALL CAP VALUE FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on Distributions |
|
|
|
|
Return
After Taxes on Distributions
and
Sale of Fund Shares |
|
|
|
|
S&P
SmallCap 600 Value
Index (Fund
benchmark) (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Systematic
Equity |
George
Sakoulis (since March 2024) |
Head,
Systematic Equity Team, GMO. |
Systematic
Equity |
Warren
Chiang (since March 2024) |
Portfolio
Manager, Systematic Equity Team,
GMO. |
GMO
U.S. SMALL CAP VALUE FUND |
GMO EMERGING
COUNTRY DEBT FUND |
|
Class
III |
Class
IV |
Class
VI |
Purchase
premium (as a percentage of amount invested) |
|
|
|
Redemption
fee (as a percentage of amount redeemed) |
|
|
|
|
Class
III |
Class
IV |
Class
VI |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
waiver |
( |
( |
( |
Total
annual fund operating expenses after expense waiver |
|
|
|
|
If
you sell your shares |
If
you do not sell your shares | ||||||
|
1
Year |
3
Years |
5
Years |
10
Years |
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
$ |
GMO EMERGING
COUNTRY DEBT FUND |
GMO EMERGING
COUNTRY DEBT FUND |
GMO EMERGING
COUNTRY DEBT FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
- |
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
J.P.
Morgan EMBI Global
Diversified
+1 (Composite
index)
(Fund
benchmark) |
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
|
|
|
|
J.P.
Morgan EMBI Global
Diversified
+1 (Composite
index)
(Fund
benchmark) |
|
|
|
|
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
- |
J.P.
Morgan EMBI Global
Diversified
+1 (Composite
index)
(Fund
benchmark) |
|
|
|
- |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Emerging
Country
Debt |
Tina
Vandersteel (since 2015) |
Head,
Emerging Country Debt Team,
GMO. |
GMO EMERGING
COUNTRY DEBT FUND |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
|
Fees
paid directly
from
your investment |
Fees
paid
by
the Fund |
Purchase
premium (as a percentage of amount invested) |
|
|
Redemption
fee (as a percentage of amount redeemed) |
|
|
|
Class
R6 |
Class
I |
Management
fee |
|
|
Other
expenses |
|
|
Acquired
fund fees and expenses (underlying fund expenses)
|
|
|
Total
annual fund operating expenses |
|
|
Expense
reimbursement/waiver |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver
(Fund
and underlying fund expenses)
|
|
|
|
|
| ||
|
1
Year |
3
Years |
1
Year |
3
Years |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
|
|
| |
|
|
| |
|
|
|
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
- |
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
J.P.
Morgan EMBI Global
Diversified
+2
(Composite index)
(Fund
benchmark) (reflects no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
J.P.
Morgan EMBI Global
Diversified
+2
(Composite index)
(Fund
benchmark) (reflects no
deduction
for fees, expenses, or
taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Emerging
Country
Debt |
Tina
Vandersteel (since the Fund’s inception in 2020) |
Head,
Emerging Country Debt Team,
GMO. |
GMO EMERGING
COUNTRY DEBT SHARES FUND |
GMO HIGH
YIELD FUND |
|
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
Other
expenses |
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO HIGH
YIELD FUND |
GMO HIGH
YIELD FUND |
GMO HIGH
YIELD FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Markit
iBoxx USD Liquid High
Yield
Index (Fund
benchmark)
(returns
reflect no deduction for
fees,
expenses, or taxes, but are
net
of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Structured
Products |
Joe
Auth (since the Fund’s inception in 2018) |
Head,
Developed Fixed Income, GMO. |
Structured
Products |
Rachna
Ramachandran (since February 2023) |
Portfolio
Manager, Structured Products Team,
GMO. |
GMO HIGH
YIELD FUND |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
|
Class
III |
Class
IV |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
Other
expenses |
|
|
|
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and
underlying fund expenses) |
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
|
|
| |
|
- |
| |
|
- |
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
- |
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (Fund
benchmark) (reflects
no
deduction for fees, expenses, or
taxes) |
|
|
|
|
Class
IV |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (Fund
benchmark) (reflects
no
deduction for fees, expenses, or
taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Developed
Rates
and
FX |
Jason
Hotra (since 2016) |
Head,
Developed Rates and FX Team, GMO. |
Developed
Rates
and
FX |
James
Donaldson (since 2023) |
Portfolio
Manager, Developed Rates and FX Team,
GMO. |
GMO
MULTI-SECTOR FIXED INCOME
FUND |
GMO OPPORTUNISTIC
INCOME FUND |
|
Class
III |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
Other
expenses |
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO OPPORTUNISTIC
INCOME FUND |
GMO OPPORTUNISTIC
INCOME FUND |
GMO OPPORTUNISTIC
INCOME FUND |
GMO OPPORTUNISTIC
INCOME FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Bloomberg
U.S. Securitized
Index (returns
reflect no deduction
for
fees, expenses, or taxes) |
|
|
|
- |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on Distributions |
|
|
|
|
Return
After Taxes on Distributions
and
Sale of Fund Shares |
|
|
|
|
Bloomberg
U.S. Securitized
Index (returns
reflect no deduction
for
fees, expenses, or taxes) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Bloomberg
U.S. Securitized
Index (returns
reflect no deduction
for
fees, expenses, or taxes) |
|
|
|
- |
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Bloomberg
U.S. Securitized
Index (returns
reflect no deduction
for
fees, expenses, or taxes) |
|
|
|
- |
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Structured
Products |
Joe
Auth (since 2015) |
Head,
Developed Fixed Income, GMO. |
Structured
Products |
Ben
Nabet (since February 2023) |
Portfolio
Manager, Structured Products Team,
GMO. |
GMO OPPORTUNISTIC
INCOME FUND |
GMO
ALTERNATIVE ALLOCATION FUND |
|
Class
II |
Class
III |
Class
IV |
Class
V |
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
|
|
|
|
Total
other expenses |
|
|
|
|
|
|
|
Dividend
and interest expense on short
sales |
|
|
|
|
|
|
|
All
other expenses |
|
|
|
|
|
|
|
Acquired
fund fees and expenses (underlying
fund
expenses) |
|
|
|
|
|
|
|
Total
annual fund operating expenses |
|
|
|
|
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
( |
( |
( |
( |
Total
annual fund operating expenses after
expense
reimbursement/waiver (Fund and
underlying
fund expenses) |
|
|
|
|
|
|
|
GMO
ALTERNATIVE ALLOCATION FUND |
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
II |
$ |
$ |
$ |
$ |
Class
III |
$ |
$ |
$ |
$ |
Class
IV |
$ |
$ |
$ |
$ |
Class
V |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO
ALTERNATIVE ALLOCATION FUND |
GMO
ALTERNATIVE ALLOCATION FUND |
GMO
ALTERNATIVE ALLOCATION FUND |
GMO
ALTERNATIVE ALLOCATION FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
FTSE
3-Month Treasury Bill
Index (returns
reflect no deduction
for
fees or expenses, but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
Class
R6 |
|
|
|
|
Return
Before Taxes |
|
|
|
|
FTSE
3-Month Treasury Bill
Index (returns
reflect no deduction
for
fees or expenses, but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
Class
I |
|
|
|
|
Return
Before Taxes |
|
|
|
|
FTSE
3-Month Treasury Bill
Index (returns
reflect no deduction
for
fees or expenses, but are net of
withholding
tax on dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2019) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since October 2021) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
B.J.
Brannan (since the Fund’s inception in 2019) |
Portfolio
Manager, Asset Allocation Team,
GMO. |
GMO
ALTERNATIVE ALLOCATION FUND |
GMO
ASSET ALLOCATION BOND FUND |
|
Class
III |
Class
VI |
Management
fee |
|
|
Other
expenses |
|
|
Total
annual fund operating expenses |
|
|
Expense
reimbursement/waiver |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
Class
VI |
$ |
$ |
$ |
$ |
GMO
ASSET ALLOCATION BOND FUND |
GMO
ASSET ALLOCATION BOND FUND |
GMO
ASSET ALLOCATION BOND FUND |
GMO
ASSET ALLOCATION BOND FUND |
|
|
| |
|
- |
| |
|
- |
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
FTSE
3-Month Treasury Bill
Index (Fund
benchmark) (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since 2014) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
BENCHMARK-FREE FUND |
|
Class
III |
Management
fee |
|
Total
other expenses |
|
Dividend
and interest expense on short sales |
|
All
other expenses |
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
Total
annual fund operating expenses |
|
Expense
reimbursement/waiver |
( |
Total
annual fund operating expenses after expense reimbursement/waiver (Fund
and underlying fund expenses) |
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
GMO
BENCHMARK-FREE FUND |
GMO
BENCHMARK-FREE FUND |
GMO
BENCHMARK-FREE FUND |
GMO
BENCHMARK-FREE FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury Inflation
Notes:
1-10 Year Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2011) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
IMPLEMENTATION FUND |
|
|
Management
fee |
|
Total
other expenses |
|
Dividend
and interest expense on short sales |
|
All
other expenses |
|
Total
annual fund operating expenses |
|
Expense
reimbursement |
( |
Total
annual fund operating expenses after expense
reimbursement |
|
|
1
Year |
3
Years |
5
Years |
10
Years |
GMO
Implementation Fund |
$ |
$ |
$ |
$ |
GMO
IMPLEMENTATION FUND |
GMO
IMPLEMENTATION FUND |
GMO
IMPLEMENTATION FUND |
GMO
IMPLEMENTATION FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
|
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
Consumer
Price Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Bloomberg
U.S. Treasury Inflation
Notes:
1-10 Year Index (returns
reflect
no deduction for fees,
expenses,
or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2012) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO
STRATEGIC OPPORTUNITIES ALLOCATION
FUND |
|
Class
III |
Management
fee |
|
Total
other expenses |
|
Dividend
and interest expense on short sales |
|
All
other expenses |
|
Acquired
fund fees and expenses (underlying fund expenses) |
|
Total
annual fund operating expenses |
|
Expense
reimbursement |
( |
Total
annual fund operating expenses after expense reimbursement (Fund and
underlying fund expenses) |
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
III |
$ |
$ |
$ |
$ |
GMO
STRATEGIC OPPORTUNITIES ALLOCATION
FUND |
GMO
STRATEGIC OPPORTUNITIES ALLOCATION
FUND |
GMO
STRATEGIC OPPORTUNITIES ALLOCATION
FUND |
GMO
STRATEGIC OPPORTUNITIES ALLOCATION
FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
III |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
GMO
Strategic Opportunities
Allocation
Index1 (Fund
benchmark) |
|
|
|
|
Bloomberg
U.S. Aggregate
Index (reflects
no deduction for
fees,
expenses, or taxes) |
|
|
|
|
MSCI
World Index2 (returns
reflect
no
deduction for fees or expenses,
but
are net of withholding tax on
dividend
reinvestments) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Asset
Allocation |
Ben
Inker (since the Fund’s inception in 2005) |
Co-Head,
Asset Allocation Team, GMO. |
Asset
Allocation |
John
Thorndike (since 2019) |
Co-Head,
Asset Allocation Team, GMO. |
GMO U.S.
TREASURY FUND |
|
Class
VI |
Class
R6 |
Class
I |
Management
fee |
|
|
|
Other
expenses |
|
|
|
Total
annual fund operating expenses |
|
|
|
Expense
reimbursement/waiver |
( |
( |
( |
Total
annual fund operating expenses after expense
reimbursement/waiver |
|
|
|
|
1
Year |
3
Years |
5
Years |
10
Years |
Class
VI |
$ |
$ |
$ |
$ |
Class
R6 |
$ |
$ |
$ |
$ |
Class
I |
$ |
$ |
$ |
$ |
GMO U.S.
TREASURY FUND |
GMO U.S.
TREASURY FUND |
|
|
| |
|
- |
| |
|
|
As
of |
|
|
1
Year |
5
Years |
10
Years |
Incept. |
Class
VI |
|
|
|
|
Return
Before Taxes |
|
|
|
|
Return
After Taxes on
Distributions |
|
|
|
|
Return
After Taxes on
Distributions
and Sale of Fund
Shares |
|
|
|
|
FTSE
3-Month Treasury Bill
Index (returns
reflect no deduction
for
fees, expenses, or taxes) |
|
|
|
|
Investment
Team |
Senior
Member (Length of Service with Fund) |
Title |
Short
Duration
Strategies |
Tracey
Keenan (since 2017) |
Portfolio
Manager, Short Duration Strategies Team,
GMO. |
GMO U.S.
TREASURY FUND |
|
|
Minimum
Total Fund
Investment |
Minimum
Total GMO
Investment |
Class
II Shares |
All
Funds Offering Class II Shares |
N/A |
$1
million |
Class
III Shares |
International
Equity Fund |
N/A |
$35
million |
Alternative
Allocation Fund
Emerging
Markets Fund
Emerging
Markets ex-China Fund |
$50
million |
N/A | |
All
Other Funds Offering Class III Shares |
N/A |
$1
million | |
Class
IV Shares |
All
Funds Offering Class IV Shares |
$125
million |
$250
million |
Class
V Shares |
All
Funds Offering Class V Shares |
$250
million |
$500
million |
Class
VI Shares |
U.S.
Treasury Fund |
N/A |
$1
million |
All
Other Funds Offering Class VI Shares |
$300
million |
$750
million |
|
|
Minimum
Total Fund
Investment |
Minimum
Total GMO
Investment |
|
Implementation
Fund |
N/A |
$1
million |
|
Multi-
Asset
Class
Funds |
Equity
Funds | ||||||||||||||||||
|
Benchmark-Free
Allocation Fund |
Global
Asset Allocation Fund |
Climate
Change Fund |
Emerging
Markets Fund |
Emerging
Markets ex-China Fund |
Global
Developed Equity Allocation Fund |
Global
Equity Allocation Fund |
International
Developed Equity Allocation Fund |
International
Equity Allocation Fund |
International
Equity Fund |
International
Opportunistic Value Fund |
Japan
Value Creation Fund |
Quality
Fund |
Quality
Cyclicals Fund |
Resources
Fund |
Resource
Transition Fund |
Small
Cap Quality Fund |
U.S.
Equity Fund |
U.S.
Opportunistic Value Fund |
U.S.
Small Cap Value Fund |
Commodities
Risk |
• |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
• |
• |
|
|
|
|
Counterparty
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
• |
Credit
Risk |
• |
• |
|
|
|
• |
• |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
Currency
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
|
|
|
Derivatives
and Short Sales Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
• |
Event-Driven
Risk |
• |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Focused
Investment Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Fund
of Funds Risk |
• |
• |
|
• |
• |
• |
• |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
Futures
Contracts Risk |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Illiquidity
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
Large
Shareholder Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
Leveraging
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
• |
Management
and Operational Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Market
Disruption and Geopolitical Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Market
Risk – Asset-Backed Securities |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Market
Risk – Equities |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Market
Risk – Fixed Income |
• |
• |
|
|
|
• |
• |
• |
• |
|
|
|
|
|
|
|
|
|
|
|
Non-Diversified
Funds |
• |
• |
|
|
• |
• |
• |
• |
• |
|
|
|
|
|
|
• |
|
|
|
|
Non-U.S.
Investment Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
|
|
|
Smaller
Company Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
• |
• |
• |
• |
• |
• |
• |
|
Fixed
Income Funds |
Alternative
Funds |
Implementation
Funds | ||||||||
|
Emerging
Country Debt Fund |
Emerging
Country Debt Shares Fund |
High
Yield Fund |
Multi-Sector
Fixed Income Fund |
Opportunistic
Income Fund |
Alternative
Allocation Fund |
Asset
Allocation Bond Fund |
Benchmark-Free
Fund |
Implementation
Fund |
Strategic
Opportunities Allocation Fund |
U.S.
Treasury Fund |
Commodities
Risk |
|
|
|
|
|
• |
• |
• |
• |
• |
|
Counterparty
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Credit
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Currency
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Derivatives
and Short Sales Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Event-Driven
Risk |
|
|
|
|
|
• |
|
|
• |
• |
|
Focused
Investment Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Fund
of Funds Risk |
|
• |
• |
• |
|
• |
• |
• |
• |
• |
|
Futures
Contracts Risk |
|
|
• |
• |
• |
• |
|
• |
|
• |
|
Illiquidity
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Large
Shareholder Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Leveraging
Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Management
and Operational Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Market
Disruption and Geopolitical Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Market
Risk – Asset-Backed Securities |
|
|
|
• |
• |
|
• |
• |
• |
• |
|
Market
Risk – Equities |
|
|
|
|
|
• |
• |
• |
• |
• |
|
Market
Risk – Fixed Income |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
Non-Diversified
Funds |
|
|
• |
• |
|
• |
|
• |
|
• |
|
Non-U.S.
Investment Risk |
• |
• |
• |
• |
• |
• |
• |
• |
• |
• |
|
Smaller
Company Risk |
|
|
|
• |
• |
• |
• |
• |
• |
• |
|
• Resource
Transition Fund |
• Multi-Sector
Fixed Income Fund |
• Emerging
Markets ex-China Fund |
• High
Yield Fund |
• Alternative
Allocation Fund |
|
|
|
Fund |
%
of
Average
Net
Assets |
Alternative
Allocation Fund |
0.39
% |
Asset
Allocation Bond Fund |
0.00
% |
Benchmark-Free
Fund |
0.00
%* |
Benchmark-Free
Allocation Fund |
0.59
% |
Climate
Change Fund |
0.56
% |
Emerging
Country Debt Fund |
0.35
% |
Emerging
Markets ex-China Fund |
0.40
% |
Emerging
Markets Fund |
0.58
% |
Global
Asset Allocation Fund |
0.00
%* |
Global
Equity Allocation Fund |
0.00
%* |
Global
Developed Equity Allocation Fund |
0.00
%* |
High
Yield Fund |
0.29
% |
International
Developed Equity Allocation Fund |
0.00
%* |
International
Equity Allocation Fund |
0.00
%* |
International
Equity Fund |
0.46
% |
Fund |
%
of
Average
Net
Assets |
International
Opportunistic Value Fund |
0.39
% |
Japan
Value Creation Fund |
0.34
% |
Multi-Sector
Fixed Income Fund |
0.00
% |
Opportunistic
Income Fund |
0.36
% |
Quality
Fund |
0.32
% |
Quality
Cyclicals Fund |
0.16
% |
Resources
Fund |
0.50
% |
Resource
Transition Fund |
0.72
% |
Small
Cap Quality Fund |
0.39
% |
Strategic
Opportunities Allocation Fund |
0.00
%* |
U.S.
Equity Fund |
0.26
% |
U.S.
Opportunistic Value Fund |
0.27
% |
U.S.
Small Cap Value Fund |
0.14
% |
U.S.
Treasury Fund |
0.04
% |
Investment
Team |
Primary
Responsibilities |
Asset
Allocation1
|
Asset
Allocation Funds, Alternative Allocation Fund, Asset Allocation Bond Fund,
and
Implementation
Fund
|
Developed
Rates and FX |
Multi-Sector
Fixed Income Fund |
Emerging
Country Debt |
Emerging
Country Debt Fund and Emerging Country Debt Shares
Fund |
Focused
Equity |
Climate
Change Fund, Quality Fund, Quality Cyclicals Fund, Resources Fund,
Resource
Transition
Fund, and Small Cap Quality Fund |
Short
Duration Strategies |
U.S.
Treasury Fund |
Structured
Products |
High
Yield Fund and Opportunistic Income Fund |
Systematic
Equity |
Emerging
Markets Fund, Emerging Markets ex-China Fund, International Equity Fund,
International
Opportunistic Value Fund, U.S. Equity Fund, U.S. Opportunistic Value Fund,
and
U.S.
Small Cap Value Fund |
Usonian
Japan Equity
|
Japan
Value Creation Fund |
Funds |
Senior
Member |
Title;
Business Experience During Past 5 Years |
Asset
Allocation Funds, Implementation
Fund,
and Asset Allocation Bond Fund |
Ben
Inker |
Co-Head,
Asset Allocation Team, GMO. Mr. Inker has been
responsible
for overseeing the portfolio management of GMO’s
asset
allocation portfolios since 1996. |
John
Thorndike |
Co-Head,
Asset Allocation Team, GMO. Mr. Thorndike has
been
responsible for overseeing the portfolio management of
asset
allocation portfolios since 2015. | |
Alternative
Allocation Fund |
Ben
Inker |
See
above. |
John
Thorndike |
See
above. | |
B.J.
Brannan |
Portfolio
Manager, Asset Allocation Team, GMO. Mr. Brannan
has
been responsible for overseeing the portfolio management
of
Alternative Allocation Fund since 2019. | |
Multi-Sector
Fixed Income Fund |
Jason
Hotra |
Head,
Developed Rates and FX Team, GMO. Mr. Hotra has
been
responsible for providing portfolio management services
to
GMO’s developed rates and FX portfolios since June 2015.
Previously,
Mr. Hotra was a portfolio manager at Convexity
Capital
Management. |
James
Donaldson |
Portfolio
Manager, Developed Rates and FX Team,
GMO. Mr. Donaldson
has been responsible for providing
portfolio
management services to GMO’s fixed income
portfolios
since 2015. | |
High
Yield Fund
|
Joe
Auth |
Head,
Developed Fixed Income, GMO. Mr. Auth has been
responsible
for providing portfolio management services to
GMO’s
structured credit portfolios since 2014 and high yield
credit
portfolios since 2017. Previously, Mr. Auth was a
portfolio
manager at Harvard Management Company. |
Rachna
Ramachandran |
Portfolio
Manager, Structured Products Team, GMO. Ms.
Ramachandran
has been responsible for providing portfolio
management
services to GMO’s structured credit portfolios
since
2019. Prior to joining GMO, Ms. Ramachandran was a
Director
of Credit Trading at Bank of America Merrill
Lynch. |
Funds |
Senior
Member |
Title;
Business Experience During Past 5 Years |
Opportunistic
Income Fund |
Joe
Auth |
See
above. |
Ben
Nabet |
Portfolio
Manager, Structured Products Team, GMO. Mr. Nabet
has
been responsible for providing portfolio management
services
to GMO’s structured credit portfolios since 2015.
| |
Emerging
Markets Fund, Emerging
Markets
ex-China Fund, International
Equity
Fund, U.S. Equity Fund, and
U.S.
Small Cap Value Fund |
George
Sakoulis |
Head,
Systematic Equity Team and Head of Investment Teams,
GMO.
Dr. Sakoulis has been the Head of Investment Teams at
GMO
since 2020. From 2009 to 2014 Dr. Sakoulis led
quantitative
research for GMO’s Emerging Markets Equity
team.
Prior to rejoining GMO in 2020, Dr. Sakoulis was
Managing
Director and Head of Global Multi-Asset Solutions
for
PGIM Quantitative Solutions LLC (formerly, Quantitative
Management
Associates LLC). |
Warren
Chiang |
Portfolio
Manager, Systematic Equity Team, GMO. Mr. Chiang
has
been responsible for overseeing the portfolio management
of
emerging markets equity portfolios since June 2015 and
global
equity portfolios since 2022. Previously, Mr. Chiang was
Managing
Director, Head of Active Equity Strategies at Mellon
Capital
Management. | |
U.S.
Opportunistic Value Fund and
International
Opportunistic Value Fund |
George
Sakoulis |
See
above. |
Warren
Chiang |
See
above. | |
Tara
Oliver |
Portfolio
Manager, Systematic Equity Team, GMO. Ms. Oliver
has
been responsible for providing portfolio management and
research
services to global equity portfolios at GMO since
2000. | |
John
Thorndike |
See
above. | |
Emerging
Country Debt Fund and
Emerging
Country Debt Shares Fund |
Tina
Vandersteel |
Head,
Emerging Country Debt Team, GMO. Ms. Vandersteel
has
been in this role since October 2015. Ms. Vandersteel has
been
responsible for providing research and portfolio
management
services for this and other emerging country debt
portfolios
at GMO since 2004. |
Quality
Fund and Quality Cyclicals Fund |
Thomas
Hancock |
Head,
Focused Equity Team, GMO. Dr. Hancock was
responsible
for overseeing the portfolio management of GMO’s
international
developed market and global equity portfolios
beginning
in 1998. |
Ty
Cobb |
Portfolio
Manager, Focused Equity Team, GMO. Mr. Cobb has
been
responsible for providing portfolio management and
research
services for global equity portfolios at GMO since
2003. | |
Anthony
Hene |
Portfolio
Manager, Focused Equity Team, GMO. Mr. Hene has
been
in this role since September 2015. Mr. Hene has been
responsible
for providing portfolio management and research
services
for this and other global equity portfolios at GMO
since
1995. | |
Climate
Change Fund, Resources Fund and
Resource
Transition Fund |
Lucas
White |
Portfolio
Manager, Focused Equity Team, GMO. Mr. White has
been
responsible for providing portfolio management and
research
services for this and GMO’s other Focused Equity
portfolios
since September 2015. Mr. White previously served
in
other capacities at GMO, including providing portfolio
management
for the GMO Quality Strategy, since joining GMO
in
2006. |
Thomas
Hancock |
See
above. |
Funds |
Senior
Member |
Title;
Business Experience During Past 5 Years |
Small
Cap Quality Fund |
Thomas
Hancock |
See
above. |
Hassan
Chowdhry |
Portfolio
Manager, Focused Equity Team, GMO. Mr. Chowdhry
has
been responsible for providing research services for global
equity
portfolios at GMO since 2007. | |
James
Mendelson |
Portfolio
Manager, Focused Equity Team, GMO. Mr.
Mendelson
has been responsible for providing research services
for
global equity portfolios at GMO since 2019. Prior to
rejoining
GMO in 2019, he worked at D.E. Shaw & Co. as an
analyst. | |
Japan
Value Creation Fund |
Drew
Edwards |
Head,
Usonian Japan Equity Team, GMO. Mr. Edwards joined
GMO
in August, 2020. Prior to joining GMO, Mr. Edwards
was
the Chief Executive Officer, Chief Investment Officer and
Portfolio
Manager for Usonian Investments LLC. Prior to
founding
Usonian Investments LLC in August 2017, Mr.
Edwards
was Portfolio Manager at Advisory Research, Inc. |
Colin
Bekemeyer |
Portfolio
Manager, Usonian Japan Equity Team, GMO. Mr.
Bekemeyer
joined GMO in 2021. Prior to joining GMO, Mr.
Bekemeyer
was a Managing Director and Portfolio Manager at
Oaktree
Capital Management.
| |
U.S.
Treasury Fund |
Tracey
Keenan |
Portfolio
Manager, Short Duration Strategies Team and Fixed
Income
Trading Team Lead, GMO. Ms. Keenan has been
responsible
for overseeing the portfolio management of GMO’s
short
duration strategies since 2017. Ms. Keenan has been a
member
of the Fixed Income Trading Team since joining GMO
in
2002. |
By
U.S. Postal Service:
State
Street Bank and Trust Company
Attn:
GMO Transfer Agent
Box
5493
Boston,
Massachusetts 02206 |
By
Overnight Courier:
State
Street Bank and Trust Company
Attn:
GMO Transfer Agent
1776
Heritage Drive
North
Quincy, Massachusetts 02171 |
|
|
Minimum
Total
Fund
Investment |
Minimum
Total GMO
Investment1
|
Shareholder
Service
Fee
(as
a % of
average
daily
net assets) |
Class
II Shares |
All
Funds Offering Class II Shares |
N/A |
$1
million |
0.22% |
Class
III Shares |
Global
Asset Allocation Fund
Global
Equity Allocation Fund
Global
Developed Equity Allocation Fund
International
Equity Allocation Fund
International
Developed Equity Allocation Fund
Benchmark-Free
Fund
Strategic
Opportunities Allocation Fund |
N/A |
$1
million |
0.00%2
|
International
Equity Fund |
N/A |
$35
million |
0.15% | |
Alternative
Allocation Fund
Emerging
Markets Fund
Emerging
Markets ex-China Fund |
$50
million |
N/A |
0.15% | |
All
Other Funds Offering Class III Shares |
N/A |
$1
million |
0.15% | |
Class
IV Shares |
Benchmark-Free
Allocation Fund
Climate
Change Fund
Japan
Value Creation Fund
Resources
Fund U.S. Equity Fund
U.S.
Small Cap Value Fund
High
Yield Fund
Multi-Sector
Fixed Income Fund
Emerging
Country Debt Fund
Small
Cap Quality Fund
Resource
Transition Fund
U.S.
Opportunistic Value Fund |
$125
million |
$250
million |
0.10% |
International
Equity Fund
International
Opportunistic Value Fund |
$125
million |
$250
million |
0.09% | |
Alternative
Allocation Fund
Quality
Fund
Quality
Cyclicals Fund
Emerging
Markets Fund
Emerging
Markets ex-China Fund |
$125
million |
$250
million |
0.105% | |
Class
V Shares |
All
Funds Offering Class V Shares |
$250
million |
$500
million |
0.085% |
Class
VI Shares |
All
Funds Offering Class VI Shares |
$300
million |
$750
million |
0.055% |
U.S.
Treasury Fund |
N/A |
$1
million |
N/A |
|
|
Minimum
Total
Fund
Investment |
Minimum
Total GMO
Investment1 |
Shareholder
Service
Fee
(as
a % of
average
daily
net assets) |
|
Implementation
Fund |
N/A |
$1
million |
N/A |
Benchmark/Comparative
Index |
Description |
Bloomberg
U.S. Aggregate Index |
The
Bloomberg U.S. Aggregate Index is an independently maintained and widely
published
index comprised of U.S. fixed rate debt issues having a maturity of at
least
one year and rated investment grade or higher. |
Bloomberg
U.S. Securitized Index |
The
Bloomberg U.S. Securitized Index is comprised of the securitized credit
portion
of the Bloomberg U.S. Aggregate Index. |
Bloomberg
U.S. Treasury Inflation Notes: 1-10
Year
Index |
The
Bloomberg U.S. Treasury Inflation Notes: 1-10 Year Index is an
independently
maintained and widely published index comprised of inflation-
protected
securities issued by the U.S. Treasury (TIPS) having a maturity of at
least
one year and less than ten years. |
Consumer
Price Index |
The
Consumer Price Index for All Urban Consumers U.S. All Items is published
monthly
by the U.S. government as an indicator of changes in price levels (or
inflation)
paid by urban consumers for a representative basket of goods and
services. |
FTSE
3-Month Treasury Bill Index |
The
FTSE 3-Month Treasury Bill Index is an independently maintained and
widely
published index comprised of short-term U.S. Treasury
bills. |
GMO
Global Asset Allocation Index |
The
GMO Global Asset Allocation Index is an internally maintained composite
benchmark
computed by GMO, comprised of (i) the MSCI ACWI (All Country
World
Index) (MSCI Standard Index Series, net of withholding tax) through
6/30/2002,
(ii) 48.75% S&P 500 Index, 16.25% MSCI ACWI ex USA (MSCI
Standard
Index Series, net of withholding tax), and 35% Bloomberg
U.S.
Aggregate Index from 6/30/2002 through 3/31/2007, and (iii) 65% MSCI
ACWI
(All Country World Index) (MSCI Standard Index Series, net of
withholding
tax) and 35% Bloomberg U.S. Aggregate Index thereafter. MSCI
data
may not be reproduced or used for any other purpose. MSCI provides no
warranties,
has not prepared or approved this report, and has no liability
hereunder.
S&P does not guarantee the accuracy, adequacy, completeness or
availability
of any data or information and is not responsible for any errors or
omissions
from the use of such data or information. Reproduction of the data or
information
in any form is prohibited except with the prior written permission of
S&P
or its third-party licensors. |
GMO
Strategic Opportunities Allocation Index |
The
GMO Strategic Opportunities Allocation Index is an internally maintained
composite
benchmark computed by GMO, comprised of 75% MSCI World Index
(MSCI
Standard Index Series, net of withholding tax) and 25% Bloomberg
U.S.
Aggregate Index. MSCI data may not be reproduced or used for any other
purpose.
MSCI provides no warranties, has not prepared or approved this report,
and
has no liability hereunder. |
J.P.
Morgan EMBI Global |
The
J.P. Morgan EMBI (Emerging Markets Bond Index) Global is an
independently
maintained and widely published index comprised of U.S.
dollar-
denominated
Eurobonds, traded loans, and legacy Brady bonds issued by
sovereign
and quasi-sovereign entities. |
J.P.
Morgan EMBI Global Diversified |
The
J.P. Morgan EMBI (Emerging Markets Bond Index) Global Diversified is a
uniquely
weighted version of the J.P. Morgan EMBI Global that limits the
weights
of those index countries with larger debt stocks by only including
specified
portions of these countries’ eligible current face amounts of debt
outstanding. |
J.P.
Morgan EMBI Global Diversified + |
The
J.P. Morgan EMBI (Emerging Markets Bond Index) Global Diversified + is
an
internally maintained composite benchmark computed by GMO, comprised of
(i)
the J.P. Morgan EMBI through 8/31/1995, (ii) the J.P. Morgan EMBI Plus
through
12/31/1999, (iii) the J.P. Morgan EMBI Global through 2/29/20 and (iv)
the
J.P. Morgan EMBI Global Diversified thereafter. |
Markit
iBoxx USD Liquid High Yield Index |
The
Markit iBoxx USD Liquid High Yield Index consists of liquid USD high
yield
bonds, selected to provide a balanced representation of the broad USD high
yield
corporate bond
universe. |
Benchmark/Comparative
Index |
Description |
MSCI
ACWI |
The
MSCI ACWI (All Country World Index) (MSCI Standard Index Series, net
of
withholding tax) is an independently maintained and widely published index
comprised
of global developed and emerging markets. MSCI data may not be
reproduced
or used for any other purpose. MSCI provides no warranties, has not
prepared
or approved this report, and has no liability
hereunder. |
MSCI
ACWI + |
The
MSCI ACWI (All Country World Index) + is an internally maintained
composite
benchmark computed by GMO, comprised of (i) the GMO Global
Equity
Index, an internally maintained composite benchmark computed by GMO,
comprised
of 75% S&P 500 Index and 25% MSCI ACWI ex USA (MSCI
Standard
Index Series, net of withholding tax) through 5/31/2008 and (ii) the
MSCI
ACWI (MSCI Standard Index Series, net of withholding tax) thereafter.
MSCI
data may not be reproduced or used for any other purpose. MSCI provides
no
warranties, has not prepared or approved this report, and has no liability
hereunder.
S&P does not guarantee the accuracy, adequacy, completeness or
availability
of any data or information and is not responsible for any errors or
omissions
from the use of such data or information. Reproduction of the data or
information
in any form is prohibited except with the prior written permission of
S&P
or its third-party licensors. |
MSCI
ACWI Commodity Producers Index |
The
MSCI ACWI (All Country World Index) Commodity Producers Index
(MSCI
Standard Index Series, net of withholding tax) is an independently
maintained
and widely published index comprised of listed large and mid-
capitalization
commodity producers within the global developed and emerging
markets.
MSCI data may not be reproduced or used for any other purpose. MSCI
provides
no warranties, has not prepared or approved this report, and has no
liability
hereunder. |
MSCI
ACWI ex USA |
The
MSCI ACWI (All Country World Index) ex USA (MSCI Standard Index
Series,
net of withholding tax) is an independently maintained and widely
published
index comprised of international (excluding U.S. and including
emerging)
large and mid-capitalization stocks. MSCI data may not be reproduced
or
used for any other purpose. MSCI provides no warranties, has not prepared
or
approved
this report, and has no liability hereunder. |
MSCI
EAFE Index |
The
MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard
Index
Series, net of withholding tax) is an independently maintained and widely
published
index comprised of international large and mid-capitalization stocks.
MSCI
data may not be reproduced or used for any other purpose. MSCI provides
no
warranties, has not prepared or approved this report, and has no liability
hereunder. |
MSCI
Emerging Markets Index |
The
MSCI Emerging Markets Index (MSCI Standard Index Series, net of
withholding
tax) is an independently maintained and widely published index
comprised
of global emerging markets large and mid-capitalization stocks. MSCI
data
may not be reproduced or used for any other purpose. MSCI provides no
warranties,
has not prepared or approved this report, and has no liability
hereunder. |
MSCI
Emerging Markets ex-China Index |
The
MSCI Emerging Markets ex-China Index (MSCI Standard Index Series, net
of
withholding tax) is an independently maintained and widely published index
comprised
of global emerging markets (excluding China) large and mid-
capitalization
stocks. MSCI data may not be reproduced or used for any other
purpose.
MSCI provides no warranties, has not prepared or approved this report,
and
has no liability hereunder. |
MSCI
World ex USA Index |
The
MSCI World ex USA Index (MSCI Standard Index Series, net of
withholding
tax) is an independently maintained and widely published index
comprised
of global developed markets, excluding the United States. MSCI data
may
not be reproduced or used for any other purpose. MSCI provides no
warranties,
has not prepared or approved this report, and has no liability
hereunder. |
MSCI
World ex USA Value Index |
The
MSCI World ex USA Index (MSCI Standard Index Series, net of
withholding
tax) is an independently maintained and widely published index
comprised
of global developed markets, excluding the United States. The value
investment
style characteristics for index construction are defined using three
variables:
book value to price, 12-month forward earnings to price and dividend
yield. |
Benchmark/Comparative
Index |
Description |
MSCI
US Value Index |
The
MSCI USA Value Index captures large and mid cap US securities exhibiting
overall
value style characteristics. The value investment style characteristics
for
index
construction are defined using three variables: book value to price,
12-month
forward earnings to price and dividend yield. |
MSCI
World Index |
The
MSCI World Index (MSCI Standard Index Series, net of withholding tax) is
an
independently maintained and widely published index comprised of global
developed
markets. MSCI data may not be reproduced or used for any other
purpose.
MSCI provides no warranties, has not prepared or approved this report,
and
has no liability hereunder. |
S&P
500 Index |
The
S&P 500 Index is an independently maintained and widely published
index
comprised
of U.S. large capitalization stocks. S&P does not guarantee the
accuracy,
adequacy, completeness or availability of any data or information and
is
not responsible for any errors or omissions from the use of such data or
information.
Reproduction of the data or information in any form is prohibited
except
with the prior written permission of S&P or its third-party
licensors. |
S&P
600 Index |
The
S&P SmallCap 600 seeks to measure the small-cap segment of the U.S.
equity
market. The index is designed to track companies that meet specific
inclusion
criteria to ensure that they are liquid and financially viable. S&P
does
not
guarantee the accuracy, adequacy, completeness or availability of any data
or
information
and is not responsible for any errors or omissions from the use of
such
data or information. |
S&P
SmallCap 600 Value Index |
The
S&P SmallCap 600 Value Index is an independently maintained and widely
published
index comprised of value stocks within the S&P SmallCap 600 Index.
The
S&P SmallCap 600 seeks to measure the small-cap segment of the U.S.
equity
market. Value stocks are measured using three factors: the ratios of book
value,
earnings, and sales to price. S&P does not guarantee the accuracy,
adequacy,
completeness or availability of any data or information and is not
responsible
for any errors or omissions from the use of such data or information.
Reproduction
of the data or information in any form is prohibited except with the
prior
written permission of S&P or its third-party
licensors. |
S&P
Composite 1500 Index |
The
S&P Composite 1500 Index is an independently maintained and widely
published
index covering approximately 90% of the market capitalization of U.S.
stocks.
S&P does not guarantee the accuracy, adequacy, completeness or
availability
of any data or information and is not responsible for any errors or
omissions
from the use of such data or information. Reproduction of the data or
information
in any form is prohibited except with the prior written permission of
S&P
or its third-party licensors. |
Tokyo
Stock Price Index (Total Return) |
The
Tokyo Stock Price Index is a capitalization-weighted index of all
companies
listed
on the First Section of the Tokyo Stock Exchange. The index is calculated
and
published by the Tokyo Stock
Exchange. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.89 |
$25.56 |
$25.97 |
$25.53 |
$26.36 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.21 |
0.73 |
0.57 |
0.40 |
0.83 |
Net
realized and unrealized gain (loss) |
1.37 |
(0.63
) |
(0.35
) |
0.98 |
(0.75
) |
Total
from investment operations |
2.58 |
0.10 |
0.22 |
1.38 |
0.08 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.46
) |
(0.77
) |
(0.63
) |
(0.78
) |
(0.90
) |
From
net realized gains |
— |
— |
— |
(0.16
) |
(0.01
) |
Total
distributions |
(1.46
) |
(0.77
) |
(0.63
) |
(0.94
) |
(0.91
) |
Net
asset value, end of period |
$26.01 |
$24.89 |
$25.56 |
$25.97 |
$25.53 |
Total
Return(b)
|
10.46
% |
0.50
% |
0.86
% |
5.60
% |
0.11
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,072,341 |
$1,546,717 |
$1,726,440 |
$2,227,712 |
$3,785,568 |
Net
expenses to average daily net assets(c)
|
0.75
% |
0.74
% |
0.75
% |
0.70
% |
0.66
% |
Net
investment income (loss) to average daily net assets(a)
|
4.77
% |
3.00
% |
2.15
% |
1.59
% |
3.12
% |
Portfolio
turnover rate |
15
% |
19
% |
7
% |
20
% |
10
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(d)
|
0.06
% |
0.08
% |
0.06
% |
0.11
% |
0.15
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.89 |
$25.56 |
$25.96 |
$25.53 |
$26.35 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.36 |
0.80 |
0.49 |
0.43 |
0.83 |
Net
realized and unrealized gain (loss) |
1.25 |
(0.68
) |
(0.25
) |
0.96 |
(0.73
) |
Total
from investment operations |
2.61 |
0.12 |
0.24 |
1.39 |
0.10 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.48
) |
(0.79
) |
(0.64
) |
(0.80
) |
(0.91
) |
From
net realized gains |
— |
— |
— |
(0.16
) |
(0.01
) |
Total
distributions |
(1.48
) |
(0.79
) |
(0.64
) |
(0.96
) |
(0.92
) |
Net
asset value, end of period |
$26.02 |
$24.89 |
$25.56 |
$25.96 |
$25.53 |
Total
Return(b)
|
10.57
% |
0.55
% |
0.93
% |
5.61
% |
0.21
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$892,278 |
$1,182,069 |
$1,388,080 |
$1,965,528 |
$2,085,324 |
Net
expenses to average daily net assets(c)
|
0.70
% |
0.69
% |
0.70
% |
0.66
% |
0.61
% |
Net
investment income (loss) to average daily net assets(a)
|
5.33
% |
3.26
% |
1.85
% |
1.73
% |
3.12
% |
Portfolio
turnover rate |
15
% |
19
% |
7
% |
20
% |
10
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(d)
|
0.06
% |
0.08
% |
0.06
% |
0.10
% |
0.15
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
MF Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.91 |
$25.58 |
$25.99 |
$25.55 |
$26.38 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.33 |
0.75 |
0.60 |
0.38 |
0.83 |
Net
realized and unrealized gain (loss) |
1.28 |
(0.64
) |
(0.37
) |
1.01 |
(0.74
) |
Total
from investment operations |
2.61 |
0.11 |
0.23 |
1.39 |
0.09 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.48
) |
(0.78
) |
(0.64
) |
(0.79
) |
(0.91
) |
From
net realized gains |
— |
— |
— |
(0.16
) |
(0.01
) |
Total
distributions |
(1.48
) |
(0.78
) |
(0.64
) |
(0.95
) |
(0.92
) |
Net
asset value, end of period |
$26.04 |
$24.91 |
$25.58 |
$25.99 |
$25.55 |
Total
Return(b)
|
10.56
% |
0.54
% |
0.91
% |
5.64
% |
0.16
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$787,902 |
$1,079,756 |
$1,370,527 |
$1,716,252 |
$2,827,442 |
Net
expenses to average daily net assets(c)
|
0.70
% |
0.69
% |
0.70
% |
0.65
% |
0.61
% |
Net
investment income (loss) to average daily net assets(a)
|
5.21
% |
3.05
% |
2.25
% |
1.54
% |
3.12
% |
Portfolio
turnover rate |
15
% |
19
% |
7
% |
20
% |
10
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(d)
|
0.06
% |
0.08
% |
0.06
% |
0.11
% |
0.15
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
May
1, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$24.87 |
$25.54 |
$25.95 |
$23.95 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.40 |
0.77 |
0.55 |
0.24 |
Net
realized and unrealized gain (loss) |
1.19 |
(0.66
) |
(0.33
) |
2.72 |
Total
from investment operations |
2.59 |
0.11 |
0.22 |
2.96 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.47
) |
(0.78
) |
(0.63
) |
(0.80
) |
From
net realized gains |
— |
— |
— |
(0.16
) |
Total
distributions |
(1.47
) |
(0.78
) |
(0.63
) |
(0.96
) |
Net
asset value, end of period |
$25.99 |
$24.87 |
$25.54 |
$25.95 |
Total
Return(b)
|
10.50
% |
0.51
% |
0.86
% |
12.55
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$300,343 |
$281,802 |
$273,491 |
$310,687 |
Net
expenses to average daily net assets(c)
|
0.75
% |
0.74
% |
0.75
% |
0.74
%* |
Net
investment income (loss) to average daily net assets(a)
|
5.48
% |
3.16
% |
2.06
% |
1.16
%* |
Portfolio
turnover rate |
15
% |
19
% |
7
% |
20
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(d)
|
0.06
% |
0.08
% |
0.06
% |
0.08
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
August
8, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.86 |
$25.53 |
$25.95 |
$25.52 |
$26.24 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.31 |
0.70 |
0.63 |
0.33 |
1.10 |
Net
realized and unrealized gain (loss) |
1.26 |
(0.62
) |
(0.44
) |
1.02 |
(0.93
) |
Total
from investment operations |
2.57 |
0.08 |
0.19 |
1.35 |
0.17 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.44
) |
(0.75
) |
(0.61
) |
(0.76
) |
(0.89
) |
From
net realized gains |
— |
— |
— |
(0.16
) |
— |
Total
distributions |
(1.44
) |
(0.75
) |
(0.61
) |
(0.92
) |
(0.89
) |
Net
asset value, end of period |
$25.99 |
$24.86 |
$25.53 |
$25.95 |
$25.52 |
Total
Return(b)
|
10.43
% |
0.38
% |
0.77
% |
5.47
% |
0.48
%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$364,292 |
$313,322 |
$365,107 |
$324,819 |
$98,453 |
Net
expenses to average daily net assets(c)
|
0.85
% |
0.84
% |
0.85
% |
0.81
% |
0.74
%* |
Net
investment income (loss) to average daily net assets(a)
|
5.14
% |
2.85
% |
2.38
% |
1.30
% |
7.22
%* |
Portfolio
turnover rate |
15
% |
19
% |
7
% |
20
% |
10
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(d)
|
0.07
% |
0.09
% |
0.07
% |
0.10
% |
0.15
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$29.92 |
$32.86 |
$34.92 |
$31.50 |
$31.47 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.35
(b) |
0.82 |
0.96 |
0.88 |
1.08 |
Net
realized and unrealized gain (loss) |
2.64 |
(2.67
) |
(0.90
) |
3.91 |
0.29 |
Total
from investment operations |
3.99 |
(1.85
) |
0.06 |
4.79 |
1.37 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.74
) |
(1.09
) |
(2.12
) |
(1.37
) |
(1.34
) |
Total
distributions |
(1.74
) |
(1.09
) |
(2.12
) |
(1.37
) |
(1.34
) |
Net
asset value, end of period |
$32.17 |
$29.92 |
$32.86 |
$34.92 |
$31.50 |
Total
Return(c)
|
13.44
%(d) |
(5.48
)% |
(0.10
)% |
15.39
% |
4.12
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$333,837 |
$306,276 |
$585,212 |
$692,580 |
$1,539,522 |
Net
expenses to average daily net assets(e)
|
0.01
% |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
Net
investment income (loss) to average daily net assets(a)
|
4.36
%(b) |
2.72
% |
2.68
% |
2.78
% |
3.32
% |
Portfolio
turnover rate(g)
|
16
% |
31
% |
27
% |
30
% |
27
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
% |
0.05
% |
0.03
% |
0.01
% |
0.01
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$277,099 |
4.27
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.08
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
Rounds
to less than 0.01%. |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
16
% |
32
% |
31
% |
41
% |
28
% |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | ||||
|
Year
Ended February 28/29, |
Period
from
September
30, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$29.90 |
$32.84 |
$34.93 |
$31.50 |
$32.56 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.49
(b) |
0.84 |
0.51 |
0.93 |
0.86 |
Net
realized and unrealized gain (loss) |
2.50 |
(2.69
) |
(0.48
) |
3.87 |
(0.71
) |
Total
from investment operations |
3.99 |
(1.85
) |
0.03 |
4.80 |
0.15 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.74
) |
(1.09
) |
(2.12
) |
(1.37
) |
(1.21
) |
Total
distributions |
(1.74
) |
(1.09
) |
(2.12
) |
(1.37
) |
(1.21
) |
Net
asset value, end of period |
$32.15 |
$29.90 |
$32.84 |
$34.93 |
$31.50 |
Total
Return(c)
|
13.44
%(d) |
(5.48
)% |
(0.19
)% |
15.42
% |
0.22
%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$9,387 |
$20,440 |
$26,148 |
$183,052 |
$17,888 |
Net
expenses to average daily net assets(e)
|
0.01
% |
0.00
%(f) |
0.00
%(f) |
0.01
% |
0.00
%(f) |
Net
investment income (loss) to average daily net assets(a)
|
4.81
%(b) |
2.80
% |
1.44
% |
2.78
% |
6.23
%* |
Portfolio
turnover rate(g)
|
16
% |
31
% |
27
% |
30
% |
27
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
% |
0.05
% |
0.02
% |
0.02
% |
0.01
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$16,162 |
4.72
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.08
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
Rounds
to less than 0.01%. |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
16
% |
32
% |
31
% |
41
% |
28
% |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | |||
|
Year
Ended February 28/29, |
Period
from
January
6, 2021
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$29.92 |
$32.87 |
$34.92 |
$34.71 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.32
(b) |
1.07 |
0.87 |
(0.01
) |
Net
realized and unrealized gain (loss) |
2.64 |
(2.96
) |
(0.84
) |
0.22 |
Total
from investment operations |
3.96 |
(1.89
) |
0.03 |
0.21 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.71
) |
(1.06
) |
(2.08
) |
— |
Total
distributions |
(1.71
) |
(1.06
) |
(2.08
) |
— |
Net
asset value, end of period |
$32.17 |
$29.92 |
$32.87 |
$34.92 |
Total
Return(c)
|
13.32
%(d) |
(5.60
)% |
(0.18
)% |
0.61
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$12,171 |
$13,403 |
$12,621 |
$20,497 |
Net
expenses to average daily net assets(e)
|
0.11
% |
0.10
% |
0.10
% |
0.11
% |
Net
investment income (loss) to average daily net assets(a)
|
4.28
%(b) |
3.59
% |
2.41
% |
(0.10
)%* |
Portfolio
turnover rate(f)
|
16
% |
31
% |
27
% |
30
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.06
% |
0.08
% |
0.03
% |
0.02
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$11,720 |
4.19
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.08
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
16
% |
32
% |
31
% |
41
% |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.57 |
$28.45 |
$29.91 |
$24.37 |
$24.63 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.09 |
0.87 |
1.18 |
0.88 |
0.83 |
Net
realized and unrealized gain (loss) |
3.65 |
(2.92
) |
(0.28
) |
5.75 |
(0.16
) |
Total
from investment operations |
4.74 |
(2.05
) |
0.90 |
6.63 |
0.67 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.52
) |
(1.01
) |
(2.35
) |
(1.09
) |
(0.93
) |
From
net realized gains |
— |
(0.82
) |
(0.01
) |
— |
— |
Total
distributions |
(1.52
) |
(1.83
) |
(2.36
) |
(1.09
) |
(0.93
) |
Net
asset value, end of period |
$27.79 |
$24.57 |
$28.45 |
$29.91 |
$24.37 |
Total
Return(b)
|
19.52
% |
(6.66
)% |
2.49
% |
27.51
% |
2.36
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$682,157 |
$560,287 |
$1,571,153 |
$1,638,868 |
$1,456,064 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.01
% |
0.00
%(d) |
0.00
%(d) |
0.00
%(d) |
Net
investment income (loss) to average daily net assets(a)
|
4.19
% |
3.51
% |
3.69
% |
3.44
% |
3.26
% |
Portfolio
turnover rate |
25
% |
35
% |
20
% |
20
% |
20
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
% |
0.02
% |
0.01
% |
0.01
% |
0.01
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
July
15, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$24.57 |
$28.46 |
$29.91 |
$25.19 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.13 |
0.69 |
1.19 |
0.81 |
Net
realized and unrealized gain (loss) |
3.60 |
(2.75
) |
(0.28
) |
4.96 |
Total
from investment operations |
4.73 |
(2.06
) |
0.91 |
5.77 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.52
) |
(1.01
) |
(2.35
) |
(1.05
) |
From
net realized gains |
— |
(0.82
) |
(0.01
) |
— |
Total
distributions |
(1.52
) |
(1.83
) |
(2.36
) |
(1.05
) |
Net
asset value, end of period |
$27.78 |
$24.57 |
$28.46 |
$29.91 |
Total
Return(b)
|
19.48
% |
(6.69
)% |
2.52
% |
23.14
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$41,403 |
$34,289 |
$7,065 |
$6,781 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.01
% |
0.00
%(d) |
0.00
%(d),* |
Net
investment income (loss) to average daily net assets(a)
|
4.35
% |
2.77
% |
3.74
% |
4.70
%* |
Portfolio
turnover rate |
25
% |
35
% |
20
% |
20
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
% |
0.03
% |
0.01
% |
0.01
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | |||
|
Year
Ended February 28/29, |
Period
from
August
17, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$24.56 |
$28.44 |
$29.91 |
$26.14 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.69 |
0.90 |
1.17 |
0.90 |
Net
realized and unrealized gain (loss) |
3.02 |
(2.97
) |
(0.31
) |
3.91 |
Total
from investment operations |
4.71 |
(2.07
) |
0.86 |
4.81 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.51
) |
(0.99
) |
(2.32
) |
(1.04
) |
From
net realized gains |
— |
(0.82
) |
(0.01
) |
— |
Total
distributions |
(1.51
) |
(1.81
) |
(2.33
) |
(1.04
) |
Net
asset value, end of period |
$27.76 |
$24.56 |
$28.44 |
$29.91 |
Total
Return(b)
|
19.37
% |
(6.74
)% |
2.37
% |
18.64
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$11,755 |
$4,992 |
$2,615 |
$2,233 |
Net
expenses to average daily net assets(c)
|
0.11
% |
0.11
% |
0.10
% |
0.10
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.43
% |
3.66
% |
3.67
% |
5.95
%* |
Portfolio
turnover rate |
25
% |
35
% |
20
% |
20
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
% |
0.02
% |
0.01
% |
0.01
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.80 |
$24.43 |
$25.79 |
$20.87 |
$21.20 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.85 |
0.65 |
1.00 |
0.75 |
0.25 |
Net
realized and unrealized gain (loss) |
3.39 |
(1.78
) |
0.94 |
5.12 |
0.42 |
Total
from investment operations |
4.24 |
(1.13
) |
1.94 |
5.87 |
0.67 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.46
) |
(0.66
) |
(2.08
) |
(0.95
) |
(0.74
) |
From
net realized gains |
— |
(0.84
) |
(1.22
) |
— |
(0.26
) |
Total
distributions |
(1.46
) |
(1.50
) |
(3.30
) |
(0.95
) |
(1.00
) |
Net
asset value, end of period |
$24.58 |
$21.80 |
$24.43 |
$25.79 |
$20.87 |
Total
Return(b)
|
19.71
% |
(3.94
)% |
6.80
% |
28.41
% |
2.87
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$70,655 |
$66,992 |
$86,810 |
$88,154 |
$73,383 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.01
% |
0.00
%(d) |
0.00
%(d) |
0.00
%(d) |
Net
investment income (loss) to average daily net assets(a)
|
3.71
% |
3.00
% |
3.61
% |
3.39
% |
1.16
% |
Portfolio
turnover rate |
20
% |
37
% |
19
% |
25
% |
21
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.07
% |
0.10
% |
0.05
% |
0.06
% |
0.03
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$23.76 |
$28.05 |
$25.98 |
$22.77 |
$22.28 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.29 |
0.29 |
0.33
(b) |
0.32 |
0.35 |
Net
realized and unrealized gain (loss) |
8.17 |
(1.80
) |
3.56 |
6.37 |
2.15 |
Total
from investment operations |
8.46 |
(1.51
) |
3.89 |
6.69 |
2.50 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.28
) |
(0.30
) |
(0.32
) |
(0.35
) |
(0.36
) |
From
net realized gains |
(0.94
) |
(2.48
) |
(1.50
) |
(3.13
) |
(1.65
) |
Total
distributions |
(1.22
) |
(2.78
) |
(1.82
) |
(3.48
) |
(2.01
) |
Net
asset value, end of period |
$31.00 |
$23.76 |
$28.05 |
$25.98 |
$22.77 |
Total
Return(c)
|
36.15
% |
(5.30
)% |
14.71
%(d) |
30.83
% |
10.64
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$3,211,663 |
$2,885,807 |
$2,996,330 |
$3,519,473 |
$3,195,240 |
Net
expenses to average daily net assets(e)
|
0.50
% |
0.49
% |
0.48
% |
0.48
% |
0.48
% |
Net
investment income (loss) to average daily net assets(a)
|
1.06
% |
1.14
% |
1.12
%(b) |
1.33
% |
1.44
% |
Portfolio
turnover rate(f)
|
19
% |
15
% |
18
% |
28
% |
17
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.01
%(g) |
0.02
% |
0.02
%(g) |
0.02
%(g) |
0.02
%(g) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$6,233,641 |
0.94
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.20
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
31
% |
24
% |
18
% |
28
% |
17
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$23.84 |
$28.13 |
$26.04 |
$22.82 |
$22.32 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.31 |
0.30 |
0.32
(b) |
0.34 |
0.37 |
Net
realized and unrealized gain (loss) |
8.18 |
(1.80
) |
3.60 |
6.37 |
2.14 |
Total
from investment operations |
8.49 |
(1.50
) |
3.92 |
6.71 |
2.51 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.29
) |
(0.31
) |
(0.33
) |
(0.36
) |
(0.36
) |
From
net realized gains |
(0.94
) |
(2.48
) |
(1.50
) |
(3.13
) |
(1.65
) |
Total
distributions |
(1.23
) |
(2.79
) |
(1.83
) |
(3.49
) |
(2.01
) |
Net
asset value, end of period |
$31.10 |
$23.84 |
$28.13 |
$26.04 |
$22.82 |
Total
Return(c)
|
36.17
% |
(5.23
)% |
14.79
%(d) |
30.86
% |
10.70
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,028,173 |
$418,403 |
$912,163 |
$750,632 |
$852,866 |
Net
expenses to average daily net assets(e)
|
0.46
% |
0.45
% |
0.44
% |
0.44
% |
0.44
% |
Net
investment income (loss) to average daily net assets(a)
|
1.10
% |
1.19
% |
1.08
%(b) |
1.37
% |
1.52
% |
Portfolio
turnover rate(f)
|
19
% |
15
% |
18
% |
28
% |
17
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.01
%(g) |
0.02
% |
0.02
%(g) |
0.02
%(g) |
0.02
%(g) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income
to average daily
net
assets ratio would have been: |
February
28,
2022 |
$1,577,219 |
0.91
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.20
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
31
% |
24
% |
18
% |
28
% |
17
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$23.76 |
$28.06 |
$25.98 |
$22.77 |
$22.28 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.32 |
0.32 |
0.34
(b) |
0.35 |
0.37 |
Net
realized and unrealized gain (loss) |
8.18 |
(1.82
) |
3.60 |
6.37 |
2.15 |
Total
from investment operations |
8.50 |
(1.50
) |
3.94 |
6.72 |
2.52 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.31
) |
(0.32
) |
(0.36
) |
(0.38
) |
(0.38
) |
From
net realized gains |
(0.94
) |
(2.48
) |
(1.50
) |
(3.13
) |
(1.65
) |
Total
distributions |
(1.25
) |
(2.80
) |
(1.86
) |
(3.51
) |
(2.03
) |
Net
asset value, end of period |
$31.01 |
$23.76 |
$28.06 |
$25.98 |
$22.77 |
Total
Return(c)
|
36.32
% |
(5.24
)% |
14.86
%(d) |
30.95
% |
10.73
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$2,875,207 |
$2,224,691 |
$3,461,580 |
$2,465,066 |
$2,077,277 |
Net
expenses to average daily net assets(e)
|
0.41
% |
0.40
% |
0.39
% |
0.39
% |
0.39
% |
Net
investment income (loss) to average daily net assets(a)
|
1.16
% |
1.24
% |
1.16
%(b) |
1.41
% |
1.55
% |
Portfolio
turnover rate(f)
|
19
% |
15
% |
18
% |
28
% |
17
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.01
%(g) |
0.02
% |
0.02
%(g) |
0.02
%(g) |
0.02
%(g) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$5,862,655 |
0.99
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.20
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
31
% |
24
% |
18
% |
28
% |
17
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | ||||
|
Year
Ended February 28/29, |
Period
from
November
12, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$23.73 |
$28.02 |
$25.96 |
$22.76 |
$25.21 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.29 |
0.28 |
0.32
(b) |
0.30 |
0.10 |
Net
realized and unrealized gain (loss) |
8.16 |
(1.79
) |
3.57 |
6.39 |
(0.83
) |
Total
from investment operations |
8.45 |
(1.51
) |
3.89 |
6.69 |
(0.73
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.29
) |
(0.30
) |
(0.33
) |
(0.36
) |
(0.32
) |
From
net realized gains |
(0.94
) |
(2.48
) |
(1.50
) |
(3.13
) |
(1.40
) |
Total
distributions |
(1.23
) |
(2.78
) |
(1.83
) |
(3.49
) |
(1.72
) |
Net
asset value, end of period |
$30.95 |
$23.73 |
$28.02 |
$25.96 |
$22.76 |
Total
Return(c)
|
36.14
% |
(5.29
)% |
14.71
%(d) |
30.81
% |
(3.39
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,142,543 |
$769,960 |
$507,232 |
$330,287 |
$77,375 |
Net
expenses to average daily net assets(e)
|
0.49
% |
0.48
% |
0.48
% |
0.48
% |
0.49
%* |
Net
investment income (loss) to average daily net assets(a)
|
1.07
% |
1.12
% |
1.07
%(b) |
1.22
% |
1.31
%* |
Portfolio
turnover rate(f)
|
19
% |
15
% |
18
% |
28
% |
17
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.02
%(g) |
0.03
% |
0.02
%(g) |
0.02
%(g) |
0.02
%(g),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$822,832 |
0.89
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.20
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
31
% |
24
% |
18
% |
28
% |
17
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
September
26, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$23.70 |
$27.99 |
$25.93 |
$22.75 |
$23.95 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.27 |
0.26 |
0.28
(b) |
0.28 |
0.12 |
Net
realized and unrealized gain (loss) |
8.14 |
(1.80
) |
3.58 |
6.37 |
0.39 |
Total
from investment operations |
8.41 |
(1.54
) |
3.86 |
6.65 |
0.51 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.27
) |
(0.27
) |
(0.30
) |
(0.34
) |
(0.31
) |
From
net realized gains |
(0.94
) |
(2.48
) |
(1.50
) |
(3.13
) |
(1.40
) |
Total
distributions |
(1.21
) |
(2.75
) |
(1.80
) |
(3.47
) |
(1.71
) |
Net
asset value, end of period |
$30.90 |
$23.70 |
$27.99 |
$25.93 |
$22.75 |
Total
Return(c)
|
36.02
% |
(5.40
)% |
14.62
%(d) |
30.66
% |
1.62
%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,263,793 |
$486,544 |
$481,865 |
$303,447 |
$80,110 |
Net
expenses to average daily net assets(e)
|
0.59
% |
0.58
% |
0.58
% |
0.58
% |
0.57
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.96
% |
1.04
% |
0.96
%(b) |
1.12
% |
1.13
%* |
Portfolio
turnover rate(f)
|
19
% |
15
% |
18
% |
28
% |
17
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(g) |
0.04
% |
0.04
%(g) |
0.02
%(g) |
0.02
%(g),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$779,657 |
0.79
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.20
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
31
% |
24
% |
18
% |
28
% |
17
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$28.91 |
$30.23 |
$34.39 |
$22.36 |
$22.04 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.17 |
0.25 |
0.28 |
0.35 |
0.41 |
Net
realized and unrealized gain (loss) |
(6.86
) |
(0.93
) |
0.72 |
13.43 |
0.87 |
Total
from investment operations |
(6.69
) |
(0.68
) |
1.00 |
13.78 |
1.28 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.24
) |
(0.16
) |
(0.57
) |
(0.30
) |
(0.45
) |
From
net realized gains |
— |
(0.48
) |
(4.59
) |
(1.45
) |
(0.51
) |
Total
distributions |
(0.24
) |
(0.64
) |
(5.16
) |
(1.75
) |
(0.96
) |
Net
asset value, end of period |
$21.98 |
$28.91 |
$30.23 |
$34.39 |
$22.36 |
Total
Return(b)
|
(23.16
)% |
(1.92
)% |
2.91
% |
63.84
% |
5.66
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$308,163 |
$330,218 |
$306,996 |
$178,223 |
$121,062 |
Net
expenses to average daily net assets(c)
|
0.77
% |
0.77
% |
0.77
% |
0.77
% |
0.77
% |
Net
investment income (loss) to average daily net assets(a)
|
0.69
% |
0.90
% |
0.84
% |
1.39
% |
1.84
% |
Portfolio
turnover rate(d)
|
57
% |
57
% |
63
% |
84
% |
62
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
%(e) |
0.05
% |
0.04
%(e) |
0.13
%(e) |
0.16
%(e) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
119
% |
124
% |
140
% |
145
% |
173
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | ||||
|
Year
Ended February 28/29, |
Period
from
January
16, 2020
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$28.85 |
$30.17 |
$34.33 |
$22.36 |
$24.55 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.18 |
0.25 |
0.28 |
0.31 |
0.01 |
Net
realized and unrealized gain (loss) |
(6.87
) |
(0.92
) |
0.72 |
13.43 |
(2.20
) |
Total
from investment operations |
(6.69
) |
(0.67
) |
1.00 |
13.74 |
(2.19
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.23
) |
(0.17
) |
(0.57
) |
(0.32
) |
— |
From
net realized gains |
— |
(0.48
) |
(4.59
) |
(1.45
) |
— |
Total
distributions |
(0.23
) |
(0.65
) |
(5.16
) |
(1.77
) |
— |
Net
asset value, end of period |
$21.93 |
$28.85 |
$30.17 |
$34.33 |
$22.36 |
Total
Return(b)
|
(23.18
)% |
(1.90
)% |
2.90
% |
63.71
% |
(8.92
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$182,235 |
$183,089 |
$115,014 |
$74,961 |
$1,129 |
Net
expenses to average daily net assets(c)
|
0.77
% |
0.77
% |
0.77
% |
0.77
% |
0.77
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.73
% |
0.90
% |
0.84
% |
1.04
% |
0.40
%* |
Portfolio
turnover rate(d)
|
57
% |
57
% |
63
% |
84
% |
62
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
%(e) |
0.05
% |
0.04
%(e) |
0.11
%(e) |
0.23
%(e),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
119
% |
124
% |
140
% |
145
% |
173
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
February
25, 2020
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$28.83 |
$30.16 |
$34.33 |
$22.36 |
$23.37 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.17 |
0.22 |
0.24 |
0.21 |
0.01 |
Net
realized and unrealized gain (loss) |
(6.87
) |
(0.93
) |
0.73 |
13.53 |
(1.02
) |
Total
from investment operations |
(6.70
) |
(0.71
) |
0.97 |
13.74 |
(1.01
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.19
) |
(0.14
) |
(0.55
) |
(0.32
) |
— |
From
net realized gains |
— |
(0.48
) |
(4.59
) |
(1.45
) |
— |
Total
distributions |
(0.19
) |
(0.62
) |
(5.14
) |
(1.77
) |
— |
Net
asset value, end of period |
$21.94 |
$28.83 |
$30.16 |
$34.33 |
$22.36 |
Total
Return(b)
|
(23.25
)% |
(2.03
)% |
2.81
% |
63.67
% |
(4.32
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$252,363 |
$419,552 |
$308,143 |
$98,697 |
$962 |
Net
expenses to average daily net assets(c)
|
0.87
% |
0.87
% |
0.87
% |
0.87
% |
0.87
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.65
% |
0.79
% |
0.72
% |
0.66
% |
1.93
%* |
Portfolio
turnover rate(d)
|
57
% |
57
% |
63
% |
84
% |
62
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(e) |
0.05
% |
0.04
%(e) |
0.11
%(e) |
0.43
%(e),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any. |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
119
% |
124
% |
140
% |
145
% |
173
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$25.06 |
$28.39 |
$27.81 |
$18.11 |
$20.31 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.91 |
1.13 |
1.54 |
0.48 |
0.65 |
Net
realized and unrealized gain (loss) |
(3.95
) |
(1.74
) |
2.00 |
10.13 |
(2.22
) |
Total
from investment operations |
(3.04
) |
(0.61
) |
3.54 |
10.61 |
(1.57
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.87
) |
(1.10
) |
(1.35
) |
(0.47
) |
(0.63
) |
From
net realized gains |
(0.48
) |
(1.62
) |
(1.61
) |
(0.44
) |
— |
Total
distributions |
(1.35
) |
(2.72
) |
(2.96
) |
(0.91
) |
(0.63
) |
Net
asset value, end of period |
$20.67 |
$25.06 |
$28.39 |
$27.81 |
$18.11 |
Total
Return(b)
|
(12.67
)% |
(1.47
)% |
13.29
% |
59.36
% |
(8.14
)% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$223,995 |
$322,035 |
$239,225 |
$96,091 |
$201,320 |
Net
expenses to average daily net assets(c)
|
0.72
% |
0.72
% |
0.71
% |
0.72
% |
0.73
% |
Net
investment income (loss) to average daily net assets(a)
|
3.94
% |
4.26
% |
5.32
% |
2.44
% |
3.24
% |
Portfolio
turnover rate(d)
|
60
% |
65
% |
60
% |
86
% |
37
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(f) |
— |
— |
0.00
%(e),(f) |
0.00
%(e),(f) |
Purchase
premiums and redemption fees consisted of the following per share amounts
:†
|
$— |
$— |
$— |
$— |
$0.01 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
105
% |
72
% |
60
% |
89
% |
101
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
(f) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.98 |
$28.30 |
$27.73 |
$18.06 |
$20.24 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.87 |
1.13 |
1.79 |
0.47 |
0.68 |
Net
realized and unrealized gain (loss) |
(3.89
) |
(1.72
) |
1.76 |
10.12 |
(2.22
) |
Total
from investment operations |
(3.02
) |
(0.59
) |
3.55 |
10.59 |
(1.54
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.89
) |
(1.11
) |
(1.37
) |
(0.48
) |
(0.64
) |
From
net realized gains |
(0.48
) |
(1.62
) |
(1.61
) |
(0.44
) |
— |
Total
distributions |
(1.37
) |
(2.73
) |
(2.98
) |
(0.92
) |
(0.64
) |
Net
asset value, end of period |
$20.59 |
$24.98 |
$28.30 |
$27.73 |
$18.06 |
Total
Return(b)
|
(12.64
)% |
(1.40
)% |
13.34
% |
59.42
% |
(8.03
)% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$403,197 |
$344,000 |
$383,353 |
$531,006 |
$311,515 |
Net
expenses to average daily net assets(c)
|
0.67
% |
0.67
% |
0.65
% |
0.67
% |
0.68
% |
Net
investment income (loss) to average daily net assets(a)
|
3.81
% |
4.32
% |
6.21
% |
2.33
% |
3.40
% |
Portfolio
turnover rate(d)
|
60
% |
65
% |
60
% |
86
% |
37
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(f) |
— |
— |
0.00
%(e),(f) |
0.00
%(e),(f) |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$— |
$— |
$— |
$— |
$0.01 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
105
% |
72
% |
60
% |
89
% |
101
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
(f) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
VI Shares | ||
|
Year
Ended February 28/29, |
Period
from
February
8, 2022
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$24.96 |
$28.30 |
$29.11 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.78 |
1.10 |
(0.57
) |
Net
realized and unrealized gain (loss) |
(3.78
) |
(1.69
) |
(0.24
)(b) |
Total
from investment operations |
(3.00
) |
(0.59
) |
(0.81
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(0.88
) |
(1.13
) |
— |
From
net realized gains |
(0.48
) |
(1.62
) |
— |
Total
distributions |
(1.36
) |
(2.75
) |
— |
Net
asset value, end of period |
$20.60 |
$24.96 |
$28.30 |
Total
Return(c)
|
(12.57
)% |
(1.39
)% |
(2.78
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$109,235 |
$65,869 |
$842,698 |
Net
expenses to average daily net assets(d)
|
0.62
% |
0.62
% |
0.74
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.46
% |
4.21
% |
(35.65
)%* |
Portfolio
turnover rate(e)
|
60
% |
65
% |
60
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(f),(g) |
— |
— |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
105
% |
72
% |
60
% |
(f) |
Ratio
includes indirect fees waived or borne by GMO. |
(g) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
January
22, 2021
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$25.04 |
$28.37 |
$27.82 |
$27.44 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
0.79 |
1.10 |
(0.06
) |
0.03 |
Net
realized and unrealized gain (loss) |
(3.82
) |
(1.71
) |
3.59 |
0.35 |
Total
from investment operations |
(3.03
) |
(0.61
) |
3.53 |
0.38 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(0.89
) |
(1.10
) |
(1.37
) |
— |
From
net realized gains |
(0.48
) |
(1.62
) |
(1.61
) |
— |
Total
distributions |
(1.37
) |
(2.72
) |
(2.98
) |
— |
Net
asset value, end of period |
$20.64 |
$25.04 |
$28.37 |
$27.82 |
Total
Return(b)
|
(12.67
)% |
(1.43
)% |
13.25
% |
1.38
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$497,523 |
$315,904 |
$105,086 |
$2,617 |
Net
expenses to average daily net assets(c)
|
0.72
% |
0.72
% |
0.74
% |
0.71
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.47
% |
4.21
% |
(0.20
)% |
0.98
%* |
Portfolio
turnover rate(d)
|
60
% |
65
% |
60
% |
86
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(f) |
— |
— |
— |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
105
% |
72
% |
60
% |
89
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
(f) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | |||
|
Year
Ended February 28/29, |
Period
from
January
22, 2021
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$25.06 |
$28.39 |
$27.81 |
$27.44 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
0.86 |
1.08 |
1.25 |
0.02 |
Net
realized and unrealized gain (loss) |
(3.91
) |
(1.72
) |
2.27 |
0.35 |
Total
from investment operations |
(3.05
) |
(0.64
) |
3.52 |
0.37 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(0.86
) |
(1.07
) |
(1.33
) |
— |
From
net realized gains |
(0.48
) |
(1.62
) |
(1.61
) |
— |
Total
distributions |
(1.34
) |
(2.69
) |
(2.94
) |
— |
Net
asset value, end of period |
$20.67 |
$25.06 |
$28.39 |
$27.81 |
Total
Return(b)
|
(12.73
)% |
(1.55
)% |
13.19
% |
1.35
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$763,309 |
$736,470 |
$633,189 |
$369,102 |
Net
expenses to average daily net assets(c)
|
0.82
% |
0.82
% |
0.81
% |
0.81
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.76
% |
4.11
% |
4.32
% |
0.74
%* |
Portfolio
turnover rate(d)
|
60
% |
65
% |
60
% |
86
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
%(e) |
0.03
% |
— |
— |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
105
% |
72
% |
60
% |
89
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | |
|
Year
Ended
February
29, |
Period
from
February
15, 2023
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$18.98 |
$20.00 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.45 |
0.01 |
Net
realized and unrealized gain (loss) |
(5.21
) |
(1.03
) |
Total
from investment operations |
(4.76
) |
(1.02
) |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.79
) |
— |
Total
distributions |
(0.79
) |
— |
Net
asset value, end of period |
$13.43 |
$18.98 |
Total
Return(b)
|
(25.58
)% |
(5.10
)%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$118,417 |
$460,209 |
Net
expenses to average daily net assets(c)
|
0.86
% |
0.86
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.70
% |
1.39
%* |
Portfolio
turnover rate(d)
|
84
% |
0
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.08
%(e) |
0.73
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
98
% |
2
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | |||
|
Year
Ended February 28/29, |
Period
from
May
12, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$21.99 |
$25.77 |
$29.06 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
0.35 |
0.42 |
0.64 |
0.38 |
Net
realized and unrealized gain (loss) |
2.59 |
(1.61
) |
2.24 |
10.23 |
Total
from investment operations |
2.94 |
(1.19
) |
2.88 |
10.61 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(0.41
) |
(0.59
) |
(0.84
) |
(0.60
) |
From
net realized gains |
(1.67
) |
(2.00
) |
(5.33
) |
(0.95
) |
Total
distributions |
(2.08
) |
(2.59
) |
(6.17
) |
(1.55
) |
Net
asset value, end of period |
$22.85 |
$21.99 |
$25.77 |
$29.06 |
Total
Return(b)
|
14.05
% |
(3.67
)% |
10.22
% |
53.56
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$80,235 |
$69,605 |
$141,465 |
$141,989 |
Net
expenses to average daily net assets(c)
|
0.41
% |
0.40
% |
0.40
% |
0.40
%* |
Net
investment income (loss) to average daily net assets(a)
|
1.57
% |
1.90
% |
2.20
% |
1.92
%* |
Portfolio
turnover rate(d)
|
19
% |
17
% |
22
% |
65
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.17
%(e) |
0.15
% |
0.08
% |
0.20
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
33
% |
29
% |
27
% |
70
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||
|
Year
Ended February 28/29, |
Period
from
July
16, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$21.99 |
$25.76 |
$28.45 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.32 |
0.38 |
0.34 |
Net
realized and unrealized gain (loss) |
2.57 |
(1.60
) |
(0.05
)(b) |
Total
from investment operations |
2.89 |
(1.22
) |
0.29 |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(0.39
) |
(0.55
) |
(0.47
) |
From
net realized gains |
(1.67
) |
(2.00
) |
(2.51
) |
Total
distributions |
(2.06
) |
(2.55
) |
(2.98
) |
Net
asset value, end of period |
$22.82 |
$21.99 |
$25.76 |
Total
Return(c)
|
13.80
% |
(3.84
)% |
1.42
%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$327 |
$70 |
$81 |
Net
expenses to average daily net assets(d)
|
0.61
% |
0.60
% |
0.59
%* |
Net
investment income (loss) to average daily net assets(a)
|
1.44
% |
1.70
% |
1.92
%* |
Portfolio
turnover rate(e)
|
19
% |
17
% |
22
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.18
%(f) |
0.15
% |
0.08
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of the Fund shares in relation to fluctuating market
values of the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
33
% |
29
% |
27
% |
(f) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$25.48 |
$29.43 |
$32.31 |
$27.45 |
$28.09 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.33 |
1.24 |
1.64 |
1.24 |
1.02 |
Net
realized and unrealized gain (loss) |
3.08 |
(3.96
) |
(2.59
) |
4.91 |
(0.46
) |
Total
from investment operations |
4.41 |
(2.72
) |
(0.95
) |
6.15 |
0.56 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.96
) |
(1.23
) |
(1.93
) |
(1.29
) |
(1.20
) |
Total
distributions |
(1.96
) |
(1.23
) |
(1.93
) |
(1.29
) |
(1.20
) |
Net
asset value, end of period |
$27.93 |
$25.48 |
$29.43 |
$32.31 |
$27.45 |
Total
Return(b)
|
17.53
% |
(9.05
)% |
(3.37
)% |
22.67
% |
1.62
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$84,238 |
$286,725 |
$437,139 |
$598,701 |
$646,622 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.01
% |
0.00
%(d) |
0.00
%(d) |
0.00
%(d) |
Net
investment income (loss) to average daily net assets(a)
|
5.01
% |
4.81
% |
4.90
% |
4.40
% |
3.55
% |
Portfolio
turnover rate |
21
% |
11
% |
18
% |
16
% |
7
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
% |
0.03
% |
0.02
% |
0.02
% |
0.01
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | ||||
|
Year
Ended February 28/29, |
Period
from
August
30, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$25.47 |
$29.42 |
$32.30 |
$27.44 |
$27.07 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.80 |
1.30 |
1.74 |
1.29 |
1.14 |
Net
realized and unrealized gain (loss) |
2.60 |
(4.02
) |
(2.69
) |
4.86 |
0.33 |
Total
from investment operations |
4.40 |
(2.72
) |
(0.95
) |
6.15 |
1.47 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.96
) |
(1.23
) |
(1.93
) |
(1.29
) |
(1.10
) |
Total
distributions |
(1.96
) |
(1.23
) |
(1.93
) |
(1.29
) |
(1.10
) |
Net
asset value, end of period |
$27.91 |
$25.47 |
$29.42 |
$32.30 |
$27.44 |
Total
Return(b)
|
17.49
% |
(9.05
)% |
(3.37
)% |
22.68
% |
5.04
%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$221,289 |
$205,417 |
$242,178 |
$262,853 |
$210,223 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.01
% |
0.00
%(d) |
0.00
%(d) |
0.00
%(d),* |
Net
investment income (loss) to average daily net assets(a)
|
6.74
% |
5.08
% |
5.20
% |
4.56
% |
7.83
%* |
Portfolio
turnover rate |
21
% |
11
% |
18
% |
16
% |
7
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
% |
0.03
% |
0.02
% |
0.02
% |
0.02
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$15.14 |
$16.35 |
$16.95 |
$14.52 |
$14.75 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.06 |
0.61 |
1.05 |
0.61 |
0.49 |
Net
realized and unrealized gain (loss) |
1.51 |
(1.18
) |
(0.51
) |
2.56 |
(0.12
) |
Total
from investment operations |
2.57 |
(0.57
) |
0.54 |
3.17 |
0.37 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.07
) |
(0.60
) |
(1.09
) |
(0.74
) |
(0.60
) |
From
net realized gains |
— |
(0.04
) |
(0.05
) |
0.00 |
0.00 |
Total
distributions |
(1.07
) |
(0.64
) |
(1.14
) |
(0.74
) |
(0.60
) |
Net
asset value, end of period |
$16.64 |
$15.14 |
$16.35 |
$16.95 |
$14.52 |
Total
Return(b)
|
17.08
% |
(3.23
)% |
2.88
% |
22.02
% |
2.14
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$257,184 |
$219,167 |
$222,308 |
$217,129 |
$297,463 |
Net
expenses to average daily net assets(c)
|
0.01
% |
0.00
%(d) |
0.00
%(d) |
0.00
%(d) |
0.00
%(d) |
Net
investment income (loss) to average daily net assets(a)
|
6.65
% |
4.14
% |
5.82
% |
4.20
% |
3.25
% |
Portfolio
turnover rate |
21
% |
9
% |
18
% |
17
% |
11
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
% |
0.08
% |
0.05
% |
0.03
% |
0.02
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
January
22, 2021
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$15.14 |
$16.35 |
$16.95 |
$17.08 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.02 |
0.61 |
1.02 |
(0.00
)(b) |
Net
realized and unrealized gain (loss) |
1.54 |
(1.18
) |
(0.48
) |
(0.13
) |
Total
from investment operations |
2.56 |
(0.57
) |
0.54 |
(0.13
) |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.07
) |
(0.60
) |
(1.09
) |
— |
From
net realized gains |
— |
(0.04
) |
(0.05
) |
— |
Total
distributions |
(1.07
) |
(0.64
) |
(1.14
) |
— |
Net
asset value, end of period |
$16.63 |
$15.14 |
$16.35 |
$16.95 |
Total
Return(c)
|
17.01
% |
(3.23
)% |
2.88
% |
(0.76
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$8,319 |
$8,033 |
$8,268 |
$8,254 |
Net
expenses to average daily net assets(d)
|
0.01
% |
0.00
%(e) |
0.00
%(e) |
0.01
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.38
% |
4.13
% |
5.66
% |
(0.01
)%* |
Portfolio
turnover rate |
21
% |
9
% |
18
% |
17
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
% |
0.08
% |
0.05
% |
0.05
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Rounds
to less than $0.01. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.64 |
$23.00 |
$23.32 |
$20.09 |
$20.33 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.78 |
0.89 |
0.96
(b) |
0.75
(b) |
0.70 |
Net
realized and unrealized gain (loss) |
2.78 |
(1.36
) |
0.25 |
3.51 |
(0.17
) |
Total
from investment operations |
3.56 |
(0.47
) |
1.21 |
4.26 |
0.53 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.73
) |
(0.89
) |
(1.53
) |
(1.03
) |
(0.77
) |
Total
distributions |
(1.73
) |
(0.89
) |
(1.53
) |
(1.03
) |
(0.77
) |
Net
asset value, end of period |
$23.47 |
$21.64 |
$23.00 |
$23.32 |
$20.09 |
Total
Return(c)
|
16.98
% |
(1.87
)% |
5.08
%(d) |
21.60
%(e) |
2.29
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$362,473 |
$366,630 |
$358,775 |
$423,332 |
$452,165 |
Net
expenses to average daily net assets(f)
|
0.67
% |
0.66
% |
0.67
% |
0.66
% |
0.66
% |
Net
investment income (loss) to average daily net assets(a)
|
3.47
% |
4.28
% |
3.84
%(b) |
3.70
%(b) |
3.36
% |
Portfolio
turnover rate(g)
|
63
% |
51
% |
64
% |
48
% |
46
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(h) |
0.04
% |
0.03
% |
0.03
% |
0.03
%(h) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
February
28,
2021 |
$861,919 |
$6,194,610 |
3.63
% |
2.30
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.21
% |
(e) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees, had a positive impact to total return, adding
1.58% to
each
class’s total return. |
(f) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
83
% |
60
% |
N/A |
N/A |
65
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.60 |
$22.96 |
$23.28 |
$20.05 |
$20.29 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.85 |
0.92 |
0.96
(b) |
0.77
(b) |
0.74 |
Net
realized and unrealized gain (loss) |
2.72 |
(1.38
) |
0.26 |
3.50 |
(0.20
) |
Total
from investment operations |
3.57 |
(0.46
) |
1.22 |
4.27 |
0.54 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.73
) |
(0.90
) |
(1.54
) |
(1.04
) |
(0.78
) |
Total
distributions |
(1.73
) |
(0.90
) |
(1.54
) |
(1.04
) |
(0.78
) |
Net
asset value, end of period |
$23.44 |
$21.60 |
$22.96 |
$23.28 |
$20.05 |
Total
Return(c)
|
17.10
% |
(1.82
)% |
5.16
%(d) |
21.71
%(e) |
2.34
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$577,804 |
$921,486 |
$1,534,339 |
$1,765,686 |
$2,584,648 |
Net
expenses to average daily net assets(f)
|
0.61
% |
0.60
% |
0.61
% |
0.60
% |
0.60
% |
Net
investment income (loss) to average daily net assets(a)
|
3.80
% |
4.42
% |
3.88
%(b) |
3.81
%(b) |
3.53
% |
Portfolio
turnover rate(g)
|
63
% |
51
% |
64
% |
48
% |
46
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(h) |
0.04
% |
0.03
% |
0.03
% |
0.03
%(h) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income
to average daily
net
assets ratio would have been: |
February
28,
2022 |
February
28,
2021 |
$3,699,861 |
$27,980,578 |
3.67
% |
2.49
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.21
% |
(e) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees, had a positive impact to total return, adding
1.58% to
each
class’s total return. |
(f) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
83
% |
60
% |
N/A |
N/A |
65
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
I Shares | ||
|
Year
Ended February 28/29, |
Period
from
May
24, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$21.72 |
$23.08 |
$25.79 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.68 |
0.85 |
0.44
(b) |
Net
realized and unrealized gain (loss) |
2.85 |
(1.36
) |
(2.05
) |
Total
from investment operations |
3.53 |
(0.51
) |
(1.61
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(1.70
) |
(0.85
) |
(1.10
) |
Total
distributions |
(1.70
) |
(0.85
) |
(1.10
) |
Net
asset value, end of period |
$23.55 |
$21.72 |
$23.08 |
Total
Return(c)
|
16.78
% |
(2.03
)% |
(6.27
)%(d),** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$4,774 |
$2,804 |
$3,021 |
Net
expenses to average daily net assets(e)
|
0.84
% |
0.83
% |
0.89
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.01
% |
4.08
% |
2.35
%(b),* |
Portfolio
turnover rate(f)
|
63
% |
51
% |
64
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(g) |
0.04
% |
0.03
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$2,264 |
1.63
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the period, net
of IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding 0.16% to
Class I’s total return (Note 2). Class I commenced operations on
May
24, 2021. |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
83
% |
60
% |
N/A |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$13.17 |
$14.30 |
$15.98 |
$13.57 |
$13.82 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.40 |
0.52 |
0.63
(b) |
0.34 |
0.46 |
Net
realized and unrealized gain (loss) |
1.18 |
(0.93
) |
0.14 |
2.42 |
(0.10
) |
Total
from investment operations |
1.58 |
(0.41
) |
0.77 |
2.76 |
0.36 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.28
) |
(0.48
) |
(0.76
) |
(0.35
) |
(0.61
) |
From
net realized gains |
(0.13
) |
(0.24
) |
(1.69
) |
— |
— |
Total
distributions |
(0.41
) |
(0.72
) |
(2.45
) |
(0.35
) |
(0.61
) |
Net
asset value, end of period |
$14.34 |
$13.17 |
$14.30 |
$15.98 |
$13.57 |
Total
Return(c)
|
12.08
% |
(2.42
)% |
4.77
%(d) |
20.53
% |
2.31
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$54,986 |
$30,686 |
$31,781 |
$38,960 |
$36,228 |
Net
expenses to average daily net assets(e)
|
0.68
% |
0.68
% |
0.84
%(f) |
0.73
% |
0.80
% |
Net
investment income (loss) to average daily net assets(a)
|
2.86
% |
4.06
% |
3.78
%(b) |
2.47
% |
3.28
% |
Portfolio
turnover rate(g)
|
57
% |
93
% |
86
% |
75
% |
52
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.12
%(h) |
0.70
% |
0.60
%(h) |
0.54
%(h) |
0.54
%(h) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
28,
2022 |
$61,519 |
3.62
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
28,
2022 |
0.14
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
Net
expenses include non-recurring contingent legal fees attributed to EU tax
reclaims. The net expense ratio excluding these legal fees is 0.73% (Note
2). |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
91
% |
134
% |
107
% |
77
% |
65
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares |
|
Period
from
September
25, 2023
(commencement
of
operations)
through
February
29, |
|
2024 |
Net
asset value, beginning of period |
$13.92 |
Income
(loss) from investment operations: |
|
Net
investment income (loss)(a),†
|
0.13 |
Net
realized and unrealized gain (loss) |
0.68 |
Total
from investment operations |
0.81 |
Less
distributions to shareholders: |
|
From
net investment income |
(0.29
) |
From
net realized gains |
(0.13
) |
Total
distributions |
(0.42
) |
Net
asset value, end of period |
$14.31 |
Total
Return(b)
|
5.85
%** |
Ratios/Supplemental
Data: |
|
Net
assets, end of period (000's) |
$308,786 |
Net
expenses to average daily net assets(c)
|
0.64
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.12
%* |
Portfolio
turnover rate(d)
|
57
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.10
%(e),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
Portfolio
turnover rate including transactions in USTF |
91
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares |
|
Period
from
August
14, 2023
(commencement
of
operations)
through
February
29, |
|
2024 |
Net
asset value, beginning of period |
$13.92 |
Income
(loss) from investment operations: |
|
Net
investment income (loss)(a),†
|
0.15 |
Net
realized and unrealized gain (loss) |
0.64 |
Total
from investment operations |
0.79 |
Less
distributions to shareholders: |
|
From
net investment income |
(0.27
) |
From
net realized gains |
(0.13
) |
Total
distributions |
(0.40
) |
Net
asset value, end of period |
$14.31 |
Total
Return(b)
|
5.72
%** |
Ratios/Supplemental
Data: |
|
Net
assets, end of period (000's) |
$54 |
Net
expenses to average daily net assets(c)
|
0.78
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.02
%* |
Portfolio
turnover rate(d)
|
57
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.10
%(e),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
Portfolio
turnover rate including transactions in USTF |
91
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||
|
Year
Ended February 28/29, |
Period
from
December
30, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$16.86 |
$19.71 |
$19.81 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.37 |
0.39 |
(0.03
) |
Net
realized and unrealized gain (loss) |
3.30 |
(2.27
) |
(0.07
) |
Total
from investment operations |
3.67 |
(1.88
) |
(0.10
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(0.86
) |
(0.16
) |
— |
From
net realized gains |
— |
(0.81
) |
— |
Total
distributions |
(0.86
) |
(0.97
) |
— |
Net
asset value, end of period |
$19.67 |
$16.86 |
$19.71 |
Total
Return(b)
|
22.17
% |
(9.21
)% |
(0.50
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$29,049 |
$24,808 |
$23,673 |
Net
expenses to average daily net assets(c)
|
0.67
% |
0.67
% |
0.66
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.03
% |
2.37
% |
(0.55
)%* |
Portfolio
turnover rate |
33
% |
39
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.16
% |
0.15
% |
0.15
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | |||
|
Year
Ended February 28/29, |
Period
from
September
14, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$16.87 |
$19.71 |
$23.47 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
0.42 |
0.41 |
0.43 |
0.17 |
Net
realized and unrealized gain (loss) |
3.26 |
(2.27
) |
(0.71
) |
3.59 |
Total
from investment operations |
3.68 |
(1.86
) |
(0.28
) |
3.76 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(0.88
) |
(0.17
) |
(1.50
) |
(0.28
) |
From
net realized gains |
— |
(0.81
) |
(1.98
) |
(0.01
) |
Total
distributions |
(0.88
) |
(0.98
) |
(3.48
) |
(0.29
) |
Net
asset value, end of period |
$19.67 |
$16.87 |
$19.71 |
$23.47 |
Total
Return(b)
|
22.21
% |
(9.11
)% |
(1.45
)% |
18.82
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$82,521 |
$81,148 |
$133,035 |
$163,872 |
Net
expenses to average daily net assets(c)
|
0.58
% |
0.57
% |
0.57
% |
0.56
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.28
% |
2.48
% |
1.90
% |
1.68
%* |
Portfolio
turnover rate |
33
% |
39
% |
47
% |
28
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.16
% |
0.14
% |
0.08
% |
0.23
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||
|
Year
Ended February 28/29, |
Period
from
June
7, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$16.85 |
$19.69 |
$24.95 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.24 |
0.42 |
0.12 |
Net
realized and unrealized gain (loss) |
3.41 |
(2.32
) |
(1.91
)(b) |
Total
from investment operations |
3.65 |
(1.90
) |
(1.79
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(0.86
) |
(0.13
) |
(1.49
) |
From
net realized gains |
— |
(0.81
) |
(1.98
) |
Total
distributions |
(0.86
) |
(0.94
) |
(3.47
) |
Net
asset value, end of period |
$19.64 |
$16.85 |
$19.69 |
Total
Return(c)
|
22.03
% |
(9.32
)% |
(7.43
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$6,402 |
$1,549 |
$3,107 |
Net
expenses to average daily net assets(d)
|
0.78
% |
0.77
% |
0.77
%* |
Net
investment income (loss) to average daily net assets(a)
|
1.33
% |
2.54
% |
0.79
%* |
Portfolio
turnover rate |
33
% |
39
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.18
% |
0.19
% |
0.12
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of the Fund shares in relation to fluctuating market
values of the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$12.54 |
$13.69 |
$14.39 |
$11.89 |
$13.07 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.18 |
0.17 |
0.21 |
0.18 |
0.22 |
Net
realized and unrealized gain (loss) |
2.69 |
(0.45
) |
2.13 |
3.56 |
0.21 |
Total
from investment operations |
2.87 |
(0.28
) |
2.34 |
3.74 |
0.43 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.17
) |
(0.17
) |
(0.19
) |
(0.21
) |
(0.32
) |
From
net realized gains |
(1.40
) |
(0.70
) |
(2.85
) |
(1.03
) |
(1.29
) |
Total
distributions |
(1.57
) |
(0.87
) |
(3.04
) |
(1.24
) |
(1.61
) |
Net
asset value, end of period |
$13.84 |
$12.54 |
$13.69 |
$14.39 |
$11.89 |
Total
Return(b)
|
24.56
% |
(1.63
)% |
15.80
% |
33.74
% |
2.51
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$60,657 |
$50,114 |
$80,646 |
$105,656 |
$83,738 |
Net
expenses to average daily net assets(c)
|
0.48
% |
0.47
% |
0.46
% |
0.47
% |
0.46
% |
Net
investment income (loss) to average daily net assets(a)
|
1.44
% |
1.38
% |
1.34
% |
1.47
% |
1.64
% |
Portfolio
turnover rate(d)
|
88
% |
81
% |
94
% |
66
% |
72
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
%(e) |
0.05
% |
0.04
%(e) |
0.04
%(e) |
0.03
%(e) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
91
% |
91
% |
115
% |
81
% |
88
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$12.38 |
$13.52 |
$14.25 |
$11.78 |
$12.97 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.20 |
0.18 |
0.22 |
0.19 |
0.23 |
Net
realized and unrealized gain (loss) |
2.63 |
(0.44
) |
2.11 |
3.53 |
0.20 |
Total
from investment operations |
2.83 |
(0.26
) |
2.33 |
3.72 |
0.43 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.18
) |
(0.18
) |
(0.21
) |
(0.22
) |
(0.33
) |
From
net realized gains |
(1.40
) |
(0.70
) |
(2.85
) |
(1.03
) |
(1.29
) |
Total
distributions |
(1.58
) |
(0.88
) |
(3.06
) |
(1.25
) |
(1.62
) |
Net
asset value, end of period |
$13.63 |
$12.38 |
$13.52 |
$14.25 |
$11.78 |
Total
Return(b)
|
24.59
% |
(1.47
)% |
15.89
% |
33.92
% |
2.53
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$74,670 |
$194,846 |
$384,832 |
$245,547 |
$365,693 |
Net
expenses to average daily net assets(c)
|
0.39
% |
0.38
% |
0.37
% |
0.37
% |
0.37
% |
Net
investment income (loss) to average daily net assets(a)
|
1.56
% |
1.47
% |
1.42
% |
1.56
% |
1.75
% |
Portfolio
turnover rate(d)
|
88
% |
81
% |
94
% |
66
% |
72
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.05
%(e) |
0.05
% |
0.04
%(e) |
0.04
%(e) |
0.03
%(e) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
91
% |
91
% |
115
% |
81
% |
88
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
III Shares | |
|
Year
Ended
February
29, |
Period
from
February
15, 2023
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$20.20 |
$21.07 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
2.38 |
0.02 |
Net
realized and unrealized gain (loss) |
0.58 |
(0.89
)(b) |
Total
from investment operations |
2.96 |
(0.87
) |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.41
) |
— |
From
net realized gains |
(0.65
) |
— |
Total
distributions |
(1.06
) |
— |
Net
asset value, end of period |
$22.10 |
$20.20 |
Total
Return(c)
|
15.20
% |
(4.13
)%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$36,989 |
$10 |
Net
expenses to average daily net assets(d)
|
0.49
% |
0.47
%* |
Net
investment income (loss) to average daily net assets(a)
|
10.90
% |
2.30
%* |
Portfolio
turnover rate(e)
|
71
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(f) |
0.48
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
100
% |
77
% |
(f) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
IV Shares | |
|
Year
Ended
February
29, |
Period
from
February
15, 2023
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$20.20 |
$21.07 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.54 |
0.01 |
Net
realized and unrealized gain (loss) |
2.43 |
(0.88
)(b) |
Total
from investment operations |
2.97 |
(0.87
) |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.47
) |
— |
From
net realized gains |
(0.65
) |
— |
Total
distributions |
(1.12
) |
— |
Net
asset value, end of period |
$22.05 |
$20.20 |
Total
Return(c)
|
15.26
% |
(4.13
)%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$285,242 |
$62,784 |
Net
expenses to average daily net assets(d)
|
0.43
% |
0.42
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.63
% |
1.94
%* |
Portfolio
turnover rate(e)
|
71
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(f) |
0.49
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
100
% |
77
% |
(f) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | |
|
Year
Ended
February
29, |
Period
from
December
13, 2022
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$20.19 |
$20.00 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.54 |
0.12 |
Net
realized and unrealized gain (loss) |
2.46 |
0.10 |
Total
from investment operations |
3.00 |
0.22 |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.48
) |
(0.03
) |
From
net realized gains |
(0.65
) |
— |
Total
distributions |
(1.13
) |
(0.03
) |
Net
asset value, end of period |
$22.06 |
$20.19 |
Total
Return(b)
|
15.39
% |
1.10
%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$143,697 |
$215,668 |
Net
expenses to average daily net assets(c)
|
0.39
% |
0.38
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.67
% |
2.79
%* |
Portfolio
turnover rate(d)
|
71
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(e) |
0.28
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
100
% |
77
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
R6 Shares |
|
Period
from
August
28, 2023
(commencement
of
operations)
through
February
29, |
|
2024 |
Net
asset value, beginning of period |
$20.22 |
Income
(loss) from investment operations: |
|
Net
investment income (loss)(a),†
|
0.28 |
Net
realized and unrealized gain (loss) |
2.25 |
Total
from investment operations |
2.53 |
Less
distributions to shareholders: |
|
From
net investment income |
(0.39
) |
From
net realized gains |
(0.33
) |
Total
distributions |
(0.72
) |
Net
asset value, end of period |
$22.03 |
Total
Return(b)
|
12.85
%** |
Ratios/Supplemental
Data: |
|
Net
assets, end of period (000's) |
$1,733 |
Net
expenses to average daily net assets(c)
|
0.48
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.66
%* |
Portfolio
turnover rate(d)
|
71
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(e),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
Portfolio
turnover rate including transactions in USTF |
100
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | |
|
Year
Ended
February
29, |
Period
from
February
15, 2023
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$20.20 |
$21.07 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.51 |
0.01 |
Net
realized and unrealized gain (loss) |
2.44 |
(0.88
)(b) |
Total
from investment operations |
2.95 |
(0.87
) |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.47
) |
— |
From
net realized gains |
(0.65
) |
— |
Total
distributions |
(1.12
) |
— |
Net
asset value, end of period |
$22.03 |
$20.20 |
Total
Return(c)
|
15.14
% |
(4.13
)%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$74,100 |
$5 |
Net
expenses to average daily net assets(d)
|
0.59
% |
0.57
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.50
% |
1.73
%* |
Portfolio
turnover rate(e)
|
71
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
%(f) |
0.47
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
100
% |
77
% |
(f) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, |
Period
from
July
2, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$17.19 |
$19.74 |
$24.99 |
$18.06 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.34 |
0.30 |
0.33 |
0.30 |
0.23 |
Net
realized and unrealized gain (loss) |
1.91 |
(1.08
) |
2.89 |
6.96 |
(1.99
) |
Total
from investment operations |
2.25 |
(0.78
) |
3.22 |
7.26 |
(1.76
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.35
) |
(0.45
) |
(0.39
) |
(0.33
) |
(0.18
) |
From
net realized gains |
— |
(1.32
) |
(8.08
) |
— |
— |
Total
distributions |
(0.35
) |
(1.77
) |
(8.47
) |
(0.33
) |
(0.18
) |
Net
asset value, end of period |
$19.09 |
$17.19 |
$19.74 |
$24.99 |
$18.06 |
Total
Return(b)
|
13.27
% |
(2.86
)% |
13.21
% |
40.64
% |
(8.95
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$34,842 |
$29,428 |
$253,810 |
$372,498 |
$415,508 |
Net
expenses to average daily net assets(c)
|
0.48
% |
0.45
% |
0.42
% |
0.41
% |
0.44
%* |
Net
investment income (loss) to average daily net assets(a)
|
1.96
% |
1.71
% |
1.32
% |
1.67
% |
1.69
%* |
Portfolio
turnover rate(d)
|
81
% |
60
% |
62
% |
86
% |
56
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.17
%(e) |
— |
0.00
%(e),(f) |
0.00
%(e),(f) |
0.00
%(e),(f),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
89
% |
69
% |
71
% |
98
% |
69
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
(f) |
Rounds
to less than 0.01%. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | |
|
Year
Ended
February
29, |
Period
from
November
15, 2022
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$22.12 |
$22.96 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.06 |
0.01 |
Net
realized and unrealized gain (loss) |
5.14 |
1.03 |
Total
from investment operations |
5.20 |
1.04 |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.06
) |
(0.01
) |
From
net realized gains |
(2.87
) |
(1.87
) |
Total
distributions |
(2.93
) |
(1.88
) |
Net
asset value, end of period |
$24.39 |
$22.12 |
Total
Return(b)
|
24.95
% |
4.57
%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$17,315 |
$13,391 |
Net
expenses to average daily net assets(c)
|
0.75
% |
0.75
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.25
% |
0.19
%* |
Portfolio
turnover rate(d)
|
37
% |
77
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.21
%(e) |
0.85
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
61
% |
78
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | |
|
Year
Ended
February
29, |
Period
from
September
20, 2022
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$22.13 |
$20.00 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.08 |
0.02 |
Net
realized and unrealized gain (loss) |
5.15 |
4.00 |
Total
from investment operations |
5.23 |
4.02 |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.07
) |
(0.02
) |
From
net realized gains |
(2.88
) |
(1.87
) |
Total
distributions |
(2.95
) |
(1.89
) |
Net
asset value, end of period |
$24.41 |
$22.13 |
Total
Return(b)
|
25.06
% |
20.10
%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$64,312 |
$51,566 |
Net
expenses to average daily net assets(c)
|
0.66
% |
0.66
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.34
% |
0.25
%* |
Portfolio
turnover rate(d)
|
37
% |
77
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.21
%(e) |
0.39
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
61
% |
78
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | |
|
Year
Ended
February
29, |
Period
from
November
15, 2022
(commencement
of
operations)
through
February
28, |
|
2024 |
2023 |
Net
asset value, beginning of period |
$22.11 |
$22.96 |
Income
(loss) from investment operations: |
|
|
Net
investment income (loss)(a),†
|
0.08 |
0.01 |
Net
realized and unrealized gain (loss) |
5.12 |
1.02 |
Total
from investment operations |
5.20 |
1.03 |
Less
distributions to shareholders: |
|
|
From
net investment income |
(0.05
) |
(0.01
) |
From
net realized gains |
(2.88
) |
(1.87
) |
Total
distributions |
(2.93
) |
(1.88
) |
Net
asset value, end of period |
$24.38 |
$22.11 |
Total
Return(b)
|
24.93
% |
4.51
%** |
Ratios/Supplemental
Data: |
|
|
Net
assets, end of period (000's) |
$122,328 |
$21 |
Net
expenses to average daily net assets(c)
|
0.75
% |
0.75
%* |
Net
investment income (loss) to average daily net assets(a)
|
0.35
% |
0.09
%* |
Portfolio
turnover rate(d)
|
37
% |
77
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.31
%(e) |
0.61
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
Portfolio
turnover rate including transactions in USTF |
61
% |
78
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
II Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.87 |
$29.81 |
$36.70 |
$30.75 |
$32.23 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.31
(b) |
1.04 |
1.21 |
0.86 |
1.13 |
Net
realized and unrealized gain (loss) |
2.31 |
(7.23
) |
(6.58
) |
6.36 |
(1.02
) |
Total
from investment operations |
3.62 |
(6.19
) |
(5.37
) |
7.22 |
0.11 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.68
) |
(1.75
) |
(1.52
) |
(1.27
) |
(1.59
) |
Total
distributions |
(1.68
) |
(1.75
) |
(1.52
) |
(1.27
) |
(1.59
) |
Net
asset value, end of period |
$23.81 |
$21.87 |
$29.81 |
$36.70 |
$30.75 |
Total
Return(c)
|
17.55
%(d) |
(20.78
)% |
(15.13
)% |
23.89
% |
(0.11
)% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$129,497 |
$151,666 |
$262,449 |
$291,833 |
$397,798 |
Net
expenses to average daily net assets(e)
|
0.96
% |
0.95
% |
0.92
% |
0.93
% |
0.93
% |
Net
investment income (loss) to average daily net assets(a)
|
5.82
%(b) |
4.32
% |
3.34
% |
2.73
% |
3.44
% |
Portfolio
turnover rate |
109
%(f) |
128
%(f) |
102
% |
102
% |
100
%(f) |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.10
%(g) |
0.05
% |
0.03
% |
0.07
%(g) |
0.13
%(g) |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$— |
$— |
$— |
$— |
$0.02 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment
income to average daily
net
assets ratio would have been: |
February
29,
2024 |
$456,929 |
5.47
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
29,
2024 |
0.67
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year
ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
138
% |
138
% |
N/A |
N/A |
123
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.96 |
$29.91 |
$36.81 |
$30.84 |
$32.32 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.45
(b) |
1.22 |
1.27 |
0.76 |
1.21 |
Net
realized and unrealized gain (loss) |
2.23 |
(7.42
) |
(6.64
) |
6.51 |
(1.09
) |
Total
from investment operations |
3.68 |
(6.20
) |
(5.37
) |
7.27 |
0.12 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.43
) |
(1.75
) |
(1.53
) |
(1.30
) |
(1.60
) |
Total
distributions |
(1.43
) |
(1.75
) |
(1.53
) |
(1.30
) |
(1.60
) |
Net
asset value, end of period |
$24.21 |
$21.96 |
$29.91 |
$36.81 |
$30.84 |
Total
Return(c)
|
17.63
%(d) |
(20.73
)% |
(15.08
)% |
23.99
% |
(0.08
)% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$40 |
$72 |
$267,177 |
$501,907 |
$333,779 |
Net
expenses to average daily net assets(e)
|
0.91
% |
0.90
% |
0.87
% |
0.88
% |
0.88
% |
Net
investment income (loss) to average daily net assets(a)
|
6.40
%(b) |
5.01
% |
3.47
% |
2.36
% |
3.68
% |
Portfolio
turnover rate |
109
%(f) |
128
%(f) |
102
% |
102
% |
100
%(f) |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.07
%(g) |
0.02
% |
0.01
% |
0.04
%(g) |
0.11
%(g) |
Purchase
premiums and redemption fees consisted of the following per share amounts
:†
|
$— |
$— |
$— |
$— |
$0.02 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
29,
2024 |
$210 |
6.05
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
29,
2024 |
0.67
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
138
% |
138
% |
N/A |
N/A |
123
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.67 |
$29.56 |
$36.41 |
$30.52 |
$32.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.41
(b) |
1.14 |
1.33 |
0.87 |
1.23 |
Net
realized and unrealized gain (loss) |
2.22 |
(7.24
) |
(6.59
) |
6.36 |
(1.07
) |
Total
from investment operations |
3.63 |
(6.10
) |
(5.26
) |
7.23 |
0.16 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.73
) |
(1.79
) |
(1.59
) |
(1.34
) |
(1.64
) |
Total
distributions |
(1.73
) |
(1.79
) |
(1.59
) |
(1.34
) |
(1.64
) |
Net
asset value, end of period |
$23.57 |
$21.67 |
$29.56 |
$36.41 |
$30.52 |
Total
Return(c)
|
17.77
%(d) |
(20.62
)% |
(14.98
)% |
24.11
% |
0.05
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$250,903 |
$598,337 |
$1,244,914 |
$1,787,607 |
$2,182,893 |
Net
expenses to average daily net assets(e)
|
0.78
% |
0.77
% |
0.74
% |
0.75
% |
0.75
% |
Net
investment income (loss) to average daily net assets(a)
|
6.33
%(b) |
4.77
% |
3.69
% |
2.75
% |
3.76
% |
Portfolio
turnover rate |
109
%(f) |
128
%(f) |
102
% |
102
% |
100
%(f) |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.11
%(g) |
0.06
% |
0.05
% |
0.08
%(g) |
0.15
%(g) |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$— |
$— |
$— |
$— |
$0.02 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
29,
2024 |
$1,540,135 |
5.99
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
29,
2024 |
0.67
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
138
% |
138
% |
N/A |
N/A |
123
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
March
31, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$21.88 |
$29.78 |
$36.67 |
$26.05 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.31
(b) |
1.14 |
1.15 |
0.72 |
Net
realized and unrealized gain (loss) |
2.31 |
(7.32
) |
(6.51
) |
11.20 |
Total
from investment operations |
3.62 |
(6.18
) |
(5.36
) |
11.92 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.69
) |
(1.72
) |
(1.53
) |
(1.30
) |
Total
distributions |
(1.69
) |
(1.72
) |
(1.53
) |
(1.30
) |
Net
asset value, end of period |
$23.81 |
$21.88 |
$29.78 |
$36.67 |
Total
Return(c)
|
17.54
%(d) |
(20.76
)% |
(15.13
)% |
46.24
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$12,317 |
$11,042 |
$40,197 |
$43,664 |
Net
expenses to average daily net assets(e)
|
0.96
% |
0.95
% |
0.93
% |
0.93
%* |
Net
investment income (loss) to average daily net assets(a)
|
5.80
%(b) |
4.74
% |
3.18
% |
2.39
%* |
Portfolio
turnover rate |
109
%(f) |
128
%(f) |
102
% |
102
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.11
%(g) |
0.04
% |
0.03
% |
0.05
%(g),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
29,
2024 |
$38,968 |
5.45
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
29,
2024 |
0.67
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
138
% |
138
% |
N/A |
N/A |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
January
14, 2020
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$21.83 |
$29.75 |
$36.66 |
$30.75 |
$35.29 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.35
(b) |
1.06 |
1.13 |
0.52 |
0.00
(c) |
Net
realized and unrealized gain (loss) |
2.25 |
(7.24
) |
(6.52
) |
6.68 |
(4.54
) |
Total
from investment operations |
3.60 |
(6.18
) |
(5.39
) |
7.20 |
(4.54
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.67
) |
(1.74
) |
(1.52
) |
(1.29
) |
— |
Total
distributions |
(1.67
) |
(1.74
) |
(1.52
) |
(1.29
) |
— |
Net
asset value, end of period |
$23.76 |
$21.83 |
$29.75 |
$36.66 |
$30.75 |
Total
Return(d)
|
17.48
%(e) |
(20.80
)% |
(15.20
)% |
23.83
% |
(12.86
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$65,537 |
$86,689 |
$119,995 |
$79,824 |
$16,158 |
Net
expenses to average daily net assets(f)
|
1.03
% |
1.00
% |
0.98
% |
0.98
% |
0.94
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.02
%(b) |
4.42
% |
3.14
% |
1.55
% |
(0.05
)%* |
Portfolio
turnover rate |
109
%(g) |
128
%(g) |
102
% |
102
% |
100
%(g),** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.17
%(h) |
0.12
% |
0.10
% |
0.10
%(h) |
0.19
%(h),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income to
average daily
net
assets ratio would have been: |
February
29,
2024 |
$256,866 |
5.68
% |
(c) |
Rounds
to less than $0.01. |
(d) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(e) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees, if
any,
attributed
to EU tax reclaims, had a positive impact to total return, adding below
respectively, to each class’s total
return: |
February
29,
2024 |
0.67
% |
(f) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
138
% |
138
% |
N/A |
N/A |
123
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||
|
Year
Ended February 28/29, |
Period
from
November
17, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$13.33 |
$16.65 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.72 |
0.72 |
0.15 |
Net
realized and unrealized gain (loss) |
2.44 |
(3.42
) |
(3.37
) |
Total
from investment operations |
3.16 |
(2.70
) |
(3.22
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(1.02
) |
(0.56
) |
(0.13
) |
From
net realized gains |
— |
(0.06
) |
— |
Total
distributions |
(1.02
) |
(0.62
) |
(0.13
) |
Net
asset value, end of period |
$15.47 |
$13.33 |
$16.65 |
Total
Return(b)
|
24.10
% |
(16.04
)% |
(16.20
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$41,481 |
$28,548 |
$14,810 |
Net
expenses to average daily net assets(c)
|
0.80
% |
0.80
% |
0.80
%* |
Net
investment income (loss) to average daily net assets(a)
|
5.02
% |
5.26
% |
2.52
%* |
Portfolio
turnover rate(d)
|
84
% |
126
% |
43
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.11
%(e) |
0.08
% |
0.16
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
123
% |
140
% |
43
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | ||
|
Year
Ended February 28/29, |
Period
from
October
18, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$13.34 |
$16.66 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
0.78 |
0.74 |
0.17 |
Net
realized and unrealized gain (loss) |
2.39 |
(3.43
) |
(3.38
) |
Total
from investment operations |
3.17 |
(2.69
) |
(3.21
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(1.03
) |
(0.57
) |
(0.13
) |
From
net realized gains |
— |
(0.06
) |
— |
Total
distributions |
(1.03
) |
(0.63
) |
(0.13
) |
Net
asset value, end of period |
$15.48 |
$13.34 |
$16.66 |
Total
Return(b)
|
24.22
% |
(15.97
)% |
(16.15
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$195,810 |
$226,245 |
$282,287 |
Net
expenses to average daily net assets(c)
|
0.67
% |
0.67
% |
0.67
%* |
Net
investment income (loss) to average daily net assets(a)
|
5.46
% |
5.39
% |
2.36
%* |
Portfolio
turnover rate(d)
|
84
% |
126
% |
43
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.15
%(e) |
0.12
% |
0.20
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
123
% |
140
% |
43
% |
(e) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$16.73 |
$18.61 |
$20.90 |
$19.94 |
$20.21 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.64 |
0.32 |
0.21 |
0.64 |
0.48 |
Net
realized and unrealized gain (loss) |
1.20 |
(0.87
) |
0.13 |
0.77 |
0.82 |
Total
from investment operations |
1.84 |
(0.55
) |
0.34 |
1.41 |
1.30 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.78
) |
(1.30
) |
(0.68
) |
(0.40
) |
(1.57
) |
From
net realized gains |
— |
(0.03
) |
(1.95
) |
(0.05
) |
— |
Total
distributions |
(0.78
) |
(1.33
) |
(2.63
) |
(0.45
) |
(1.57
) |
Net
asset value, end of period |
$17.79 |
$16.73 |
$18.61 |
$20.90 |
$19.94 |
Total
Return(b)
|
11.03
% |
(2.90
)% |
1.35
% |
7.21
% |
6.40
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$159,413 |
$257,215 |
$84,586 |
$94,545 |
$161,449 |
Net
operating expenses to average daily net assets(c)
|
0.46
% |
0.46
% |
0.51
% |
0.52
%(d) |
0.52
%(d) |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(e)
|
— |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
0.03
% |
Total
net expenses to average daily net assets(c)
|
0.46
% |
0.46
% |
0.51
% |
0.52
%(d) |
0.55
%(d) |
Net
investment income (loss) to average daily net assets(a)
|
3.70
% |
1.86
% |
1.05
% |
3.23
% |
2.34
% |
Portfolio
turnover rate(g)
|
94
% |
31
% |
98
% |
288
% |
105
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.06
% |
0.01
% |
0.03
% |
0.00
%(f),(h) |
0.00
%(f),(h) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Includes
recoupment of past reimbursed and/or waived fees (Note
). |
(e) |
Interest
expense incurred as a result of entering into reverse repurchase
agreements, securities sold short or margin on cleared swap contracts, if
any, is included
in
the Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase agreements, if any, is included in interest
income. |
(f) |
Rounds
to less than 0.01%. |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
N/A |
N/A |
317
% |
214
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
I Shares |
|
Period
from
April
13, 2023
(commencement
of
operations)
through
February
29, |
|
2024 |
Net
asset value, beginning of period |
$17.15 |
Income
(loss) from investment operations: |
|
Net
investment income (loss)(a),†
|
0.54 |
Net
realized and unrealized gain (loss) |
0.86 |
Total
from investment operations |
1.40 |
Less
distributions to shareholders: |
|
From
net investment income |
(0.77
) |
Total
distributions |
(0.77
) |
Net
asset value, end of period |
$17.78 |
Total
Return(b)
|
8.20
%** |
Ratios/Supplemental
Data: |
|
Net
assets, end of period (000's) |
$92 |
Net
expenses to average daily net assets(c)
|
0.60
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.47
%* |
Portfolio
turnover rate |
94
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.47
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$16.54 |
$18.84 |
$20.13 |
$22.19 |
$20.88 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.69 |
0.47 |
0.27 |
0.43 |
0.53 |
Net
realized and unrealized gain (loss) |
(0.06
) |
(2.45
) |
(0.99
) |
(0.24
)(b) |
2.01 |
Total
from investment operations |
0.63 |
(1.98
) |
(0.72
) |
0.19 |
2.54 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
— |
(0.32
) |
— |
(0.93
) |
(0.64
) |
From
net realized gains |
— |
— |
(0.57
) |
(1.32
) |
(0.59
) |
Total
distributions |
— |
(0.32
) |
(0.57
) |
(2.25
) |
(1.23
) |
Net
asset value, end of period |
$17.17 |
$16.54 |
$18.84 |
$20.13 |
$22.19 |
Total
Return(c)
|
3.81
% |
(10.54
)% |
(3.74
)% |
0.59
% |
12.38
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$12,166 |
$14,757 |
$8,803 |
$31,602 |
$80,639 |
Net
operating expenses to average daily net assets(d)
|
0.32
% |
0.29
% |
0.31
% |
0.30
% |
0.29
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(e)
|
— |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
Total
net expenses to average daily net assets(d)
|
0.32
% |
0.29
% |
0.31
% |
0.30
% |
0.29
% |
Net
investment income (loss) to average daily net assets(a)
|
4.12
% |
2.70
% |
1.33
% |
1.98
% |
2.43
% |
Portfolio
turnover rate(g)
|
419
% |
326
% |
256
% |
262
% |
215
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(h)
|
0.30
% |
0.33
% |
0.24
% |
0.19
% |
0.16
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
Interest
expense incurred as a result of entering into reverse repurchase
agreements, securities sold short or margin on cleared swap contracts, if
any, is included
in
the Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase agreements, if any, is included in interest
income. |
(f) |
Rounds
to less than 0.01%. |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
329
% |
263
% |
335
% |
285
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$16.61 |
$18.93 |
$20.20 |
$22.26 |
$20.94 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.70 |
0.47 |
0.28 |
0.35 |
0.54 |
Net
realized and unrealized gain (loss) |
(0.05
) |
(2.46
) |
(0.98
) |
(0.16
)(b) |
2.02 |
Total
from investment operations |
0.65 |
(1.99
) |
(0.70
) |
0.19 |
2.56 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
— |
(0.33
) |
— |
(0.93
) |
(0.65
) |
From
net realized gains |
— |
— |
(0.57
) |
(1.32
) |
(0.59
) |
Total
distributions |
— |
(0.33
) |
(0.57
) |
(2.25
) |
(1.24
) |
Net
asset value, end of period |
$17.26 |
$16.61 |
$18.93 |
$20.20 |
$22.26 |
Total
Return(c)
|
3.91
% |
(10.56
)% |
(3.63
)% |
0.59
% |
12.44
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$63,853 |
$89,113 |
$116,178 |
$133,862 |
$449,655 |
Net
operating expenses to average daily net assets(d)
|
0.27
% |
0.24
% |
0.25
% |
0.24
% |
0.24
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(e)
|
— |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
0.00
%(f) |
Total
net expenses to average daily net assets(d)
|
0.27
% |
0.24
% |
0.25
% |
0.24
% |
0.24
% |
Net
investment income (loss) to average daily net assets(a)
|
4.13
% |
2.70
% |
1.39
% |
1.57
% |
2.47
% |
Portfolio
turnover rate(g)
|
419
% |
326
% |
256
% |
262
% |
215
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(h)
|
0.30
% |
0.33
% |
0.25
% |
0.19
% |
0.16
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of Fund shares in relation to fluctuating market values of
the investments of the Fund. |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(e) |
Interest
expense incurred as a result of entering into reverse repurchase
agreements, securities sold short or margin on cleared swap contracts, if
any, is included
in
the Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase agreements, if any, is included in interest
income. |
(f) |
Rounds
to less than 0.01%. |
(g) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
329
% |
263
% |
335
% |
285
% |
(h) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$17.71 |
$21.34 |
$25.54 |
$27.38 |
$26.82 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.27 |
1.28 |
1.42 |
1.56 |
1.44 |
Net
realized and unrealized gain (loss) |
1.82 |
(2.52
) |
(3.16
) |
(0.85
) |
0.91 |
Total
from investment operations |
3.09 |
(1.24
) |
(1.74
) |
0.71 |
2.35 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.90
) |
(2.39
) |
(1.82
) |
(1.93
) |
(1.79
) |
From
net realized gains |
— |
— |
(0.64
) |
(0.62
) |
— |
Total
distributions |
(1.90
) |
(2.39
) |
(2.46
) |
(2.55
) |
(1.79
) |
Net
asset value, end of period |
$18.90 |
$17.71 |
$21.34 |
$25.54 |
$27.38 |
Total
Return(b)
|
18.14
% |
(5.52
)% |
(7.83
)% |
2.67
% |
8.97
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,085,552 |
$1,222,989 |
$942,565 |
$1,010,106 |
$1,133,945 |
Net
operating expenses to average daily net assets(c)
|
0.54
% |
0.54
% |
0.53
% |
0.54
% |
0.53
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.04
% |
0.00
%(e) |
— |
0.00
%(e) |
0.01
% |
Total
net expenses to average daily net assets(c)
|
0.58
% |
0.54
% |
0.53
% |
0.54
% |
0.54
% |
Net
investment income (loss) to average daily net assets(a)
|
6.96
% |
6.75
% |
5.62
% |
6.02
% |
5.23
% |
Portfolio
turnover rate(f)
|
20
% |
32
% |
34
% |
56
% |
41
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(g) |
— |
0.00
%(e),(g) |
0.00
%(e),(g) |
0.00
%(e),(g) |
Purchase
premiums and redemption fees consisted of the following per share
amounts
:†
|
$0.04 |
$0.02 |
$0.02 |
$0.03 |
$0.03 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
20
% |
32
% |
33
% |
55
% |
40
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
IV Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$17.67 |
$21.30 |
$25.50 |
$27.34 |
$26.77 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.27 |
1.28 |
1.41 |
1.39 |
1.43 |
Net
realized and unrealized gain (loss) |
1.82 |
(2.51
) |
(3.14
) |
(0.66
) |
0.94 |
Total
from investment operations |
3.09 |
(1.23
) |
(1.73
) |
0.73 |
2.37 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.90
) |
(2.40
) |
(1.83
) |
(1.95
) |
(1.80
) |
From
net realized gains |
— |
— |
(0.64
) |
(0.62
) |
— |
Total
distributions |
(1.90
) |
(2.40
) |
(2.47
) |
(2.57
) |
(1.80
) |
Net
asset value, end of period |
$18.86 |
$17.67 |
$21.30 |
$25.50 |
$27.34 |
Total
Return(b)
|
18.22
% |
(5.48
)% |
(7.82
)% |
2.73
% |
9.08
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$955,908 |
$1,170,559 |
$1,531,528 |
$3,218,116 |
$3,219,098 |
Net
operating expenses to average daily net assets(c)
|
0.49
% |
0.49
% |
0.48
% |
0.49
% |
0.48
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.04
% |
0.00
%(e) |
— |
0.00
%(e) |
0.01
% |
Total
net expenses to average daily net assets(c)
|
0.53
% |
0.49
% |
0.48
% |
0.49
% |
0.49
% |
Net
investment income (loss) to average daily net assets(a)
|
7.02
% |
6.78
% |
5.56
% |
5.38
% |
5.22
% |
Portfolio
turnover rate(f)
|
20
% |
32
% |
34
% |
56
% |
41
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(g) |
— |
0.00
%(e),(g) |
0.00
%(e),(g) |
0.00
%(e),(g) |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$0.03 |
$0.02 |
$0.02 |
$0.03 |
$0.03 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
20
% |
32
% |
33
% |
55
% |
40
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
VI Shares | ||
|
Year
Ended February 28/29, |
Period
from
July
29, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$17.66 |
$21.30 |
$25.89 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
1.28 |
1.27 |
0.77 |
Net
realized and unrealized gain (loss) |
1.82 |
(2.51
) |
(3.60
) |
Total
from investment operations |
3.10 |
(1.24
) |
(2.83
) |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(1.91
) |
(2.40
) |
(1.55
) |
From
net realized gains |
— |
— |
(0.21
) |
Total
distributions |
(1.91
) |
(2.40
) |
(1.76
) |
Net
asset value, end of period |
$18.85 |
$17.66 |
$21.30 |
Total
Return(b)
|
18.27
% |
(5.49
)% |
(11.63
)%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$236,087 |
$392,813 |
$1,255,123 |
Net
operating expenses to average daily net assets(c)
|
0.44
% |
0.44
% |
0.43
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.04
% |
0.00
%(e) |
— |
Total
net expenses to average daily net assets(c)
|
0.48
% |
0.44
% |
0.43
%* |
Net
investment income (loss) to average daily net assets(a)
|
7.06
% |
6.68
% |
5.35
%* |
Portfolio
turnover rate(f)
|
20
% |
32
% |
34
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.00
%(e),(g) |
— |
0.00
%(e),(g),* |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$0.04 |
$0.02 |
$0.01 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
20
% |
32
% |
33
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
III Shares | |||
|
Year
Ended February 28/29, |
Period from
February 1, 2022
(commencement
of operations
through
February 28, |
Period
from
July
21, 2021
(commencement
of
operations)
through
December
28, | |
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$24.11 |
$25.56 |
$25.66 |
$25.88 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
1.51 |
1.05 |
0.07 |
0.44 |
Net
realized and unrealized gain (loss) |
0.01 |
(1.23
) |
(0.17
) |
(0.33
) |
Total
from investment operations |
1.52 |
(0.18
) |
(0.10
) |
0.11 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(1.63
) |
(0.90
) |
— |
(0.42
) |
From
net realized gains |
— |
(0.37
) |
— |
— |
Total
distributions |
(1.63
) |
(1.27
) |
— |
(0.42
) |
Net
asset value, end of period |
$24.00 |
$24.11 |
$25.56 |
$25.57 |
Total
Return(b)
|
6.44
% |
(0.66
)% |
(0.39
)%** |
0.43
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$69,589 |
$48,101 |
$12,281 |
$13,847 |
Net
operating expenses to average daily net assets(c)
|
0.57
% |
0.56
% |
0.70
%* |
0.56
%* |
Interest
and/or dividend expenses to average daily net assets(d)
|
0.00
%(e) |
0.00
%(e) |
0.00
%(e),* |
0.00
%(e),* |
Total
net expenses to average daily net assets(c)
|
0.57
% |
0.56
% |
0.70
%* |
0.56
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.19
% |
4.19
% |
3.92
%* |
3.84
%* |
Portfolio
turnover rate(f)
|
160
% |
73
% |
95
%** |
95
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(g) |
0.06
% |
0.08
%* |
0.04
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
159
% |
72
% |
94
% |
45
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.10 |
$25.56 |
$25.84 |
$26.15 |
$26.21 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.52 |
1.11 |
0.81 |
1.06 |
1.46 |
Net
realized and unrealized gain (loss) |
0.03 |
(1.27
) |
(0.55
) |
(0.31
) |
(0.06
) |
Total
from investment operations |
1.55 |
(0.16
) |
0.26 |
0.75 |
1.40 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.65
) |
(0.93
) |
(0.54
) |
(1.06
) |
(1.46
) |
From
net realized gains |
— |
(0.37
) |
— |
— |
— |
Total
distributions |
(1.65
) |
(1.30
) |
(0.54
) |
(1.06
) |
(1.46
) |
Net
asset value, end of period |
$24.00 |
$24.10 |
$25.56 |
$25.84 |
$26.15 |
Total
Return(b)
|
6.56
% |
(0.58
)% |
1.00
% |
2.95
% |
5.45
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$246,187 |
$389,295 |
$375,117 |
$477,457 |
$825,876 |
Net
operating expenses to average daily net assets(c)
|
0.48
% |
0.47
% |
0.47
% |
0.47
% |
0.47
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.00
%(e) |
0.00
%(e) |
0.00
%(e) |
0.00
%(e) |
0.00
%(e) |
Total
net expenses to average daily net assets(c)
|
0.48
% |
0.47
% |
0.47
% |
0.47
% |
0.47
% |
Net
investment income (loss) to average daily net assets(a)
|
6.24
% |
4.52
% |
3.13
% |
4.12
% |
5.50
% |
Portfolio
turnover rate(f)
|
160
% |
73
% |
95
% |
43
% |
47
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.03
%(g) |
0.05
% |
0.05
%(g) |
0.05
%(g) |
0.04
%(g) |
Purchase
premiums and redemption fees consisted of the following per share
amounts:†
|
$— |
$— |
$— |
$— |
$0.01 |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
159
% |
72
% |
94
% |
45
% |
48
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
R6 Shares | ||
|
Year
Ended February 28/29, |
Period
from
May
19, 2021
(commencement
of
operations)
through
February
28, | |
|
2024 |
2023 |
2022 |
Net
asset value, beginning of period |
$24.02 |
$25.48 |
$25.86 |
Income
(loss) from investment operations: |
|
|
|
Net
investment income (loss)(a),†
|
1.50 |
1.08 |
0.67 |
Net
realized and unrealized gain (loss) |
0.01 |
(1.27
) |
(0.51
) |
Total
from investment operations |
1.51 |
(0.19
) |
0.16 |
Less
distributions to shareholders: |
|
|
|
From
net investment income |
(1.62
) |
(0.90
) |
(0.54
) |
From
net realized gains |
— |
(0.37
) |
— |
Total
distributions |
(1.62
) |
(1.27
) |
(0.54
) |
Net
asset value, end of period |
$23.91 |
$24.02 |
$25.48 |
Total
Return(b)
|
6.43
% |
(0.68
)% |
0.62
%** |
Ratios/Supplemental
Data: |
|
|
|
Net
assets, end of period (000's) |
$178,391 |
$186,230 |
$152,877 |
Net
operating expenses to average daily net assets(c)
|
0.57
% |
0.56
% |
0.58
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.00
%(e) |
0.00
%(e) |
0.00
%(e),* |
Total
net expenses to average daily net assets(c)
|
0.57
% |
0.56
% |
0.58
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.16
% |
4.42
% |
3.29
%* |
Portfolio
turnover rate(f)
|
160
% |
73
% |
95
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(g) |
0.05
% |
0.05
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
Portfolio
turnover rate including transactions in USTF |
159
% |
72
% |
94
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
November
5, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$24.06 |
$25.51 |
$25.80 |
$26.12 |
$26.85 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
1.48 |
1.06 |
0.77 |
0.89 |
0.54 |
Net
realized and unrealized gain (loss) |
0.01 |
(1.26
) |
(0.57
) |
(0.18
) |
(0.08
) |
Total
from investment operations |
1.49 |
(0.20
) |
0.20 |
0.71 |
0.46 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.60
) |
(0.88
) |
(0.49
) |
(1.03
) |
(1.19
) |
From
net realized gains |
— |
(0.37
) |
— |
— |
— |
Total
distributions |
(1.60
) |
(1.25
) |
(0.49
) |
(1.03
) |
(1.19
) |
Net
asset value, end of period |
$23.95 |
$24.06 |
$25.51 |
$25.80 |
$26.12 |
Total
Return(b)
|
6.33
% |
(0.73
)% |
0.77
% |
2.79
% |
1.80
%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$936,022 |
$503,531 |
$443,602 |
$417,150 |
$22,684 |
Net
operating expenses to average daily net assets(c)
|
0.67
% |
0.66
% |
0.67
% |
0.68
% |
0.66
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.00
%(e) |
0.00
%(e) |
0.00
%(e) |
0.00
%(e) |
0.00
%(e),* |
Total
net expenses to average daily net assets(c)
|
0.67
% |
0.66
% |
0.67
% |
0.68
% |
0.66
%* |
Net
investment income (loss) to average daily net assets(a)
|
6.09
% |
4.33
% |
2.97
% |
3.47
% |
6.55
%* |
Portfolio
turnover rate(f)
|
160
% |
73
% |
95
% |
43
% |
47
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(g) |
0.05
% |
0.05
%(g) |
0.07
%(g) |
0.07
%(g),* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
159
% |
72
% |
94
% |
45
% |
48
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, |
Period
from
May
1, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$18.49 |
$18.08 |
$18.99 |
$19.45 |
$20.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.58
(b) |
0.26 |
0.05 |
(0.02
) |
0.15 |
Net
realized and unrealized gain (loss) |
0.28 |
0.32 |
(0.23
) |
0.03
(c) |
(0.18
) |
Total
from investment operations |
0.86 |
0.58 |
(0.18
) |
0.01 |
(0.03
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.95
) |
— |
— |
(0.47
) |
(0.06
) |
From
net realized gains |
— |
(0.17
) |
(0.73
) |
— |
(0.46
) |
Total
distributions |
(0.95
) |
(0.17
) |
(0.73
) |
(0.47
) |
(0.52
) |
Net
asset value, end of period |
$18.40 |
$18.49 |
$18.08 |
$18.99 |
$19.45 |
Total
Return(d)
|
4.68
%(e) |
3.25
% |
(0.99
)% |
0.01
% |
(0.21
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$45,347 |
$49,257 |
$130,896 |
$230,386 |
$200,812 |
Net
operating expenses to average daily net assets(f)
|
0.82
% |
0.81
% |
0.80
% |
0.76
% |
0.77
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(g)
|
0.85
% |
0.61
% |
0.51
% |
0.49
% |
0.29
%* |
Total
net expenses to average daily net assets(f)
|
1.67
% |
1.42
% |
1.31
% |
1.25
% |
1.05
%* |
Net
investment income (loss) to average daily net assets(a)
|
3.15
%(b) |
1.44
% |
0.29
% |
(0.10
)% |
0.88
%* |
Portfolio
turnover rate(h)
|
514
% |
337
% |
572
% |
410
% |
243
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(i)
|
0.34
% |
0.35
% |
0.17
% |
0.15
% |
0.27
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$115,562 |
2.90
% |
(c) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of the Fund shares in relation to fluctuating market
values of the investments of the Fund. |
(d) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(e) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.24
% |
(f) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(g) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(h) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
N/A |
572
% |
411
% |
250
% |
(i) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
π |
GMO
Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative
Allocation Fund. As such, the amounts presented for Alternative Allocation
Fund
are consolidated with its
subsidiary. |
|
Class
R6 Shares | |||
|
Year
Ended February 28/29, |
Period
from
July
31, 2020
(commencement
of
operations)
through
February
28, | ||
|
2024 |
2023 |
2022 |
2021 |
Net
asset value, beginning of period |
$18.58 |
$18.18 |
$18.95 |
$19.33 |
Income
(loss) from investment operations: |
|
|
|
|
Net
investment income (loss)(a),†
|
0.56
(b) |
0.23 |
(0.00
)(c) |
(0.03
) |
Net
realized and unrealized gain (loss) |
0.29 |
0.34 |
(0.04
) |
0.07
(d) |
Total
from investment operations |
0.85 |
0.57 |
(0.04
) |
0.04 |
Less
distributions to shareholders: |
|
|
|
|
From
net investment income |
(0.93
) |
— |
— |
(0.42
) |
From
net realized gains |
— |
(0.17
) |
(0.73
) |
— |
Total
distributions |
(0.93
) |
(0.17
) |
(0.73
) |
(0.42
) |
Net
asset value, end of period |
$18.50 |
$18.58 |
$18.18 |
$18.95 |
Total
Return(e)
|
4.60
%(f) |
3.17
% |
(0.23
)% |
0.16
%** |
Ratios/Supplemental
Data: |
|
|
|
|
Net
assets, end of period (000's) |
$6 |
$4 |
$22 |
$478 |
Net
operating expenses to average daily net assets(g)
|
0.98
% |
0.98
% |
0.97
% |
0.93
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(h)
|
0.85
% |
0.61
% |
0.58
% |
0.53
%* |
Total
net expenses to average daily net assets(g)
|
1.83
% |
1.59
% |
1.55
% |
1.46
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.98
%(b) |
1.27
% |
0.01
% |
(0.26
)%* |
Portfolio
turnover rate(i)
|
514
% |
337
% |
572
% |
410
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(j)
|
0.32
% |
0.35
% |
0.13
% |
0.16
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$13 |
2.71
% |
(c) |
Rounds
to less than $0.01. |
(d) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of the Fund shares in relation to fluctuating market
values of the investments of the Fund. |
(e) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(f) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.24
% |
(g) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(h) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(i) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
Portfolio
turnover rate including transactions in USTF |
N/A |
N/A |
572
% |
411
% |
(j) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
π |
GMO
Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative
Allocation Fund. As such, the amounts presented for Alternative Allocation
Fund
are consolidated with its
subsidiary. |
|
Class
I Shares | ||||
|
Year
Ended February 28/29, |
Period
from
September
4, 2019
(commencement
of
operations)
through
February
29, | |||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$18.37 |
$18.01 |
$18.96 |
$19.44 |
$20.18 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.53
(b) |
0.23 |
0.01 |
(0.09
) |
0.10 |
Net
realized and unrealized gain (loss) |
0.27 |
0.30 |
(0.23
) |
0.04
(c) |
(0.33
) |
Total
from investment operations |
0.80 |
0.53 |
(0.22
) |
(0.05
) |
(0.23
) |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.91
) |
— |
— |
(0.43
) |
(0.05
) |
From
net realized gains |
— |
(0.17
) |
(0.73
) |
— |
(0.46
) |
Total
distributions |
(0.91
) |
(0.17
) |
(0.73
) |
(0.43
) |
(0.51
) |
Net
asset value, end of period |
$18.26 |
$18.37 |
$18.01 |
$18.96 |
$19.44 |
Total
Return(d)
|
4.38
%(e) |
2.98
% |
(1.21
)% |
(0.30
)% |
(1.20
)%** |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$143,397 |
$146,410 |
$148,247 |
$268,473 |
$34,229 |
Net
operating expenses to average daily net assets(f)
|
1.10
% |
1.08
% |
1.07
% |
1.02
% |
1.02
%* |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(g)
|
0.85
% |
0.60
% |
0.50
% |
0.51
% |
0.23
%* |
Total
net expenses to average daily net assets(f)
|
1.95
% |
1.68
% |
1.57
% |
1.53
% |
1.25
%* |
Net
investment income (loss) to average daily net assets(a)
|
2.87
%(b) |
1.31
% |
0.06
% |
(0.44
)% |
0.98
%* |
Portfolio
turnover rate(h)
|
514
% |
337
% |
572
% |
410
% |
243
%** |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets:(i)
|
0.35
% |
0.37
% |
0.19
% |
0.15
% |
0.24
%* |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaim
receivables attributed to liquidated underlying funds. Excluding the
net EU reclaim
amount
below, the net investment income to average daily net assets ratio would
have been: |
February
29,
2024 |
$352,330 |
2.62
% |
(c) |
The
amount shown for a share outstanding does not correspond with the
aggregate net realized and unrealized gain (loss) on investments due to
the timing of
purchases
and redemptions of the Fund shares in relation to fluctuating market
values of the investments of the Fund. |
(d) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(e) |
EU
tax reclaim payment receivable attributed to liquidated underlying
funds during the year had a positive impact to total return, adding below
respectively, to
each
class’s total return: |
February
29,
2024 |
0.24
% |
(f) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(g) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(h) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
N/A |
572
% |
411
% |
250
% |
(i) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
* |
Annualized. |
** |
Not
annualized. |
π |
GMO
Alternative Allocation SPC Ltd. is a 100% owned subsidiary of Alternative
Allocation Fund. As such, the amounts presented for Alternative Allocation
Fund
are consolidated with its
subsidiary. |
|
Class
VI Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$20.37 |
$23.52 |
$23.88 |
$22.72 |
$21.67 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.92 |
0.40 |
0.39 |
0.27 |
0.56 |
Net
realized and unrealized gain (loss) |
(0.71
) |
(3.40
) |
(0.31
) |
1.18 |
1.53 |
Total
from investment operations |
0.21 |
(3.00
) |
0.08 |
1.45 |
2.09 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.06
) |
(0.15
) |
(0.44
) |
(0.29
) |
(1.04
) |
Total
distributions |
(1.06
) |
(0.15
) |
(0.44
) |
(0.29
) |
(1.04
) |
Net
asset value, end of period |
$19.52 |
$20.37 |
$23.52 |
$23.88 |
$22.72 |
Total
Return(b)
|
0.88
% |
(12.81
)% |
0.26
% |
6.39
% |
9.83
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$40,227 |
$20,131 |
$37,997 |
$58,621 |
$192,410 |
Net
operating expenses to average daily net assets |
0.35
%(c) |
0.32
%(c) |
0.31
%(c) |
0.31
%(c) |
0.31
%(c) |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
— |
— |
— |
— |
0.00
%(e) |
Total
net expenses to average daily net assets |
0.35
%(c) |
0.32
%(c) |
0.31
%(c) |
0.31
%(c) |
0.31
%(c) |
Net
investment income (loss) to average daily net assets(a)
|
4.61
% |
1.88
% |
1.60
% |
1.15
% |
2.49
% |
Portfolio
turnover rate(f)
|
0
% |
95
% |
209
% |
30
% |
16
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.39
% |
0.61
% |
0.17
%(g) |
0.08
%(g) |
0.06
%(g) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund's net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
Rounds
to less than 0.01%. |
(f) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
N/A |
96
% |
206
% |
39
% |
37
% |
(g) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$17.79 |
$18.85 |
$19.48 |
$18.88 |
$19.56 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.88 |
0.86 |
0.63 |
0.52 |
0.72 |
Net
realized and unrealized gain (loss) |
1.34 |
(0.98
) |
(0.39
) |
0.71 |
(0.59
) |
Total
from investment operations |
2.22 |
(0.12
) |
0.24 |
1.23 |
0.13 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.08
) |
(0.94
) |
(0.87
) |
(0.63
) |
(0.81
) |
Total
distributions |
(1.08
) |
(0.94
) |
(0.87
) |
(0.63
) |
(0.81
) |
Net
asset value, end of period |
$18.93 |
$17.79 |
$18.85 |
$19.48 |
$18.88 |
Total
Return(b)
|
12.54
% |
(0.40
)% |
1.21
% |
6.64
% |
0.41
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$1,091,522 |
$1,152,713 |
$1,613,854 |
$2,158,496 |
$2,583,930 |
Net
operating expenses to average daily net assets(c)
|
0.04
% |
0.06
% |
0.03
% |
0.04
% |
0.02
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.43
% |
0.35
% |
0.26
% |
0.08
% |
0.03
% |
Total
net expenses to average daily net assets(c)
|
0.47
% |
0.41
% |
0.29
% |
0.12
% |
0.05
% |
Net
investment income (loss) to average daily net assets(a)
|
4.79
% |
4.85
% |
3.19
% |
2.86
% |
3.64
% |
Portfolio
turnover rate(e)
|
100
% |
107
% |
138
% |
145
% |
50
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.07
% |
0.06
% |
0.07
% |
0.05
% |
0.04
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
110
% |
114
% |
145
% |
151
% |
52
% |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Core
Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$12.28 |
$12.54 |
$12.70 |
$12.74 |
$13.22 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.57 |
0.50
(b) |
0.38 |
0.35 |
0.49 |
Net
realized and unrealized gain (loss) |
0.81 |
(0.33
) |
(0.13
) |
(0.11
) |
(0.43
) |
Total
from investment operations |
1.38 |
0.17 |
0.25 |
0.24 |
0.06 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.76
) |
(0.43
) |
(0.41
) |
(0.28
) |
(0.54
) |
Total
distributions |
(0.76
) |
(0.43
) |
(0.41
) |
(0.28
) |
(0.54
) |
Net
asset value, end of period |
$12.90 |
$12.28 |
$12.54 |
$12.70 |
$12.74 |
Total
Return(c)
|
11.44
% |
1.52
%(d) |
2.02
% |
1.95
% |
0.25
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$3,229,426 |
$3,735,883 |
$4,681,226 |
$5,970,367 |
$7,114,306 |
Net
operating expenses to average daily net assets(e)
|
0.02
% |
0.02
% |
0.00
%(f) |
0.01
% |
0.00
%(f) |
Interest
and/or dividend expenses to average daily net assets(g)
|
0.42
% |
0.36
% |
0.32
% |
0.15
% |
0.06
% |
Total
net expenses to average daily net assets(e)
|
0.44
% |
0.38
% |
0.32
% |
0.16
% |
0.06
% |
Net
investment income (loss) to average daily net assets(a)
|
4.54
% |
4.15
%(b) |
2.95
% |
2.89
% |
3.65
% |
Portfolio
turnover rate(h)
|
127
% |
118
% |
194
% |
189
% |
97
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
%(i) |
0.06
% |
0.06
%(i) |
0.06
%(i) |
0.05
%(i) |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
Net
investment income per share includes income received for EU reclaims, net
of IRS closing agreement fees and non-recurring contingent legal fees
attributed
to
EU tax reclaims, if any, in connection with certain Fund holdings.
Excluding the net EU reclaim amount below, the net investment income
to average daily
net
assets ratio would have been: |
February
28,
2023 |
$15,309,005 |
3.77
% |
(c) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(d) |
EU
tax reclaim payments and related interest received during the year, net of
IRS closing agreement fees and non-recurring contingent legal fees
attributed to EU
tax
reclaims, had a positive impact to total return, adding the below to the
class’s total return: |
February
28,
2023 |
0.39
% |
(e) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(f) |
Rounds
to less than 0.01%. |
(g) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund's net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(h) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
134
% |
125
% |
200
% |
196
% |
100
% |
(i) |
Ratio
includes indirect fees waived or borne by GMO. |
†
|
Calculated
using average shares outstanding throughout the
period. |
β |
GMO
Implementation SPC Ltd. is a 100% owned subsidiary of Implementation Fund.
As such, the amounts presented for Implementation Fund are consolidated
with
its subsidiary. |
|
Class
III Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$15.57 |
$17.91 |
$21.56 |
$18.98 |
$19.48 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)(a),†
|
0.79 |
0.63 |
0.59 |
0.54 |
0.67 |
Net
realized and unrealized gain (loss) |
1.44 |
(1.46
) |
0.32 |
2.93 |
(0.11
) |
Total
from investment operations |
2.23 |
(0.83
) |
0.91 |
3.47 |
0.56 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(1.00
) |
(0.85
) |
(1.22
) |
(0.71
) |
(0.77
) |
From
net realized gains |
— |
(0.66
) |
(3.34
) |
(0.18
) |
(0.29
) |
Total
distributions |
(1.00
) |
(1.51
) |
(4.56
) |
(0.89
) |
(1.06
) |
Net
asset value, end of period |
$16.80 |
$15.57 |
$17.91 |
$21.56 |
$18.98 |
Total
Return(b)
|
14.44
% |
(4.08
)% |
3.57
% |
18.66
% |
2.57
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$218,034 |
$189,504 |
$236,452 |
$579,796 |
$773,438 |
Net
operating expenses to average daily net assets(c)
|
0.02
% |
0.02
% |
0.01
% |
0.01
% |
0.01
% |
Interest
and/or dividend expenses and/or borrowing costs to average daily net
assets(d)
|
0.37
% |
0.32
% |
0.26
% |
0.07
% |
0.03
% |
Total
net expenses to average daily net assets(c)
|
0.39
% |
0.34
% |
0.27
% |
0.08
% |
0.04
% |
Net
investment income (loss) to average daily net assets(a)
|
4.88
% |
3.91
% |
2.71
% |
2.85
% |
3.35
% |
Portfolio
turnover rate(e)
|
52
% |
74
% |
95
% |
61
% |
36
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.12
% |
0.15
% |
0.14
% |
0.07
% |
0.03
% |
(a) |
Net
investment income is affected by the timing of the declaration of
dividends by the other GMO Funds and/or other investment companies in
which the Fund
invests,
if any. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Net
expenses exclude expenses incurred indirectly through investment in the
underlying funds, if any (Note ). |
(d) |
Interest
and dividend expense and/or borrowing costs incurred as a result of cash
collateral on derivatives, entering into reverse repurchase
agreements, securities
sold
short or margin on cleared swap contracts, if any, is included in the
Fund’s net expenses. Income earned on investing proceeds from reverse
repurchase
agreements,
if any, is included in interest income. |
(e) |
The
portfolio turnover rate excludes investments in GMO U.S. Treasury Fund
("USTF") which is used as a short-term investment vehicle for cash
management.
The
Fund's portfolio turnover rate including transactions in USTF during the
period and/or year ended: |
|
February
29,
2024 |
February
28,
2023 |
February
28,
2022 |
February
28,
2021 |
February
29,
2020 |
Portfolio
turnover rate including transactions in USTF |
57
% |
72
% |
122
% |
80
% |
41
% |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
Core
Shares | ||||
|
Year
Ended February 28/29, | ||||
|
2024 |
2023 |
2022 |
2021 |
2020 |
Net
asset value, beginning of period |
$4.99 |
$5.01 |
$5.04 |
$5.02 |
$5.00 |
Income
(loss) from investment operations: |
|
|
|
|
|
Net
investment income (loss)†
|
0.26 |
0.13 |
0.01 |
0.01 |
0.10 |
Net
realized and unrealized gain (loss) |
0.01 |
(0.03
) |
(0.04
) |
0.02 |
0.02 |
Total
from investment operations |
0.27 |
0.10 |
(0.03
) |
0.03 |
0.12 |
Less
distributions to shareholders: |
|
|
|
|
|
From
net investment income |
(0.26
) |
(0.12
) |
(0.00
)(a) |
(0.01
) |
(0.10
) |
From
net realized gains |
— |
— |
(0.00
)(a) |
(0.00
)(a) |
— |
Total
distributions |
(0.26
) |
(0.12
) |
(0.00
)(a) |
(0.01
) |
(0.10
) |
Net
asset value, end of period |
$5.00 |
$4.99 |
$5.01 |
$5.04 |
$5.02 |
Total
Return(b)
|
5.54
% |
2.00
% |
(0.37
)% |
0.63
% |
2.47
% |
Ratios/Supplemental
Data: |
|
|
|
|
|
Net
assets, end of period (000's) |
$549,449 |
$408,457 |
$257,766 |
$382,455 |
$222,762 |
Net
expenses to average daily net assets |
0.08
% |
0.01
% |
0.02
% |
0.08
% |
0.06
% |
Net
investment income (loss) to average daily net assets |
5.22
% |
2.60
% |
0.13
% |
0.20
% |
2.03
% |
Portfolio
turnover rate(c)
|
0
% |
0
% |
0
% |
0
% |
0
% |
Fees
and expenses reimbursed and/or waived by GMO to average daily net
assets: |
0.04
% |
0.12
% |
0.10
% |
0.03
% |
0.05
% |
(a) |
Rounds
to less than $0.01. |
(b) |
The
total returns would have been lower had certain expenses not been
reimbursed and/or waived during the periods shown, if applicable, and
assumes the effect
of
reinvested distributions, if any. Calculation excludes purchase premiums
and redemption fees which are borne by the shareholder purchasing or
redeeming
Fund
shares, if any. |
(c) |
Portfolio
turnover rate calculation excludes short-term
investments. |
†
|
Calculated
using average shares outstanding throughout the
period. |
|
3
year Trailing |
Since
Strategy Inception (7/23/2003)* |
Fund
Net Return Before Taxes |
4.51% |
6.92% |
Consumer
Price Index |
5.67% |
2.57% |
Fund
Net Return Before Taxes less Consumer Price
Index |
-1.16% |
4.35% |
Fund
Net Standard Dev |
9.14% |
7.85% |
|
3
year Trailing |
Since
Strategy Inception
(5/1/2019) |
Fund
Net Return Before Taxes |
1.40% |
1.43% |
FTSE
3-Month Treasury Bill Index |
2.25% |
1.87% |
Fund
Net Return Before Taxes less FTSE 3-Month
Treasury
Bill Index |
-0.84% |
-0.44% |
Fund
Name
(and
page # in Prospectus) |
Share
Class |
Ticker |
Symbol |
CUSIP |
Multi-Asset
Class Funds |
|
|
|
|
Benchmark-Free
Allocation Fund (p. 1) |
Class
III |
GBMFX |
— |
362008
31 0 |
|
Class
IV |
GBMBX |
— |
362014
60 7 |
|
Class
R6 |
GBMSX |
— |
362014
44 1 |
|
Class
I |
GBMIX |
— |
362014
45 8 |
Global
Asset Allocation Fund (p. 7) |
Class
III |
GMWAX |
— |
362007
17 1 |
|
Class
R6 |
GMWRX |
— |
362014
35 9 |
|
Class
I |
GMOOX |
— |
362014
36 7 |
Equity
Funds |
|
|
|
|
Climate
Change Fund (p. 13) |
Class
III |
GCCHX |
— |
362014
61 5 |
|
Class
IV |
— |
— |
362014
59 9 |
|
Class
V |
— |
— |
362014
58 1 |
|
Class
VI |
— |
— |
362014
57 3 |
|
Class
R6 |
GCCAX |
— |
362014
42 5 |
|
Class
I |
GCCLX |
— |
362014
43 3 |
Emerging
Markets Fund (p. 18) |
Class
II |
GMEMX |
EmergMkt |
362007
50 2 |
|
Class
III |
GMOEX |
EmergMkt |
362007
60 1 |
|
Class
IV |
GMEFX |
EmergMkt |
362008
79 9 |
|
Class
V |
GEMVX |
GMOEmgMktsV |
362008
28 6 |
|
Class
VI |
GEMMX |
EmergMkt |
362008
27 8 |
|
Class
R6 |
GEMNX |
— |
36256V
83 3 |
|
Class
I |
GEMEX |
— |
36256V
82 5 |
Emerging
Markets ex-China Fund (p. 23) |
Class
II |
— |
— |
36256V
59 3 |
|
Class
III |
GMAUX |
— |
36256V
58 5 |
|
Class
IV |
— |
— |
36256V
57 7 |
|
Class
V |
— |
— |
36256V
56 9 |
|
Class
VI |
GMAQX |
— |
36256V
55 1 |
|
Class
R6 |
— |
— |
36256V
54 4 |
|
Class
I |
GMAVX |
— |
36256V
61 9 |
Global
Developed Equity Allocation Fund (p. 28) |
Class
III |
GWOAX |
— |
362008
15 3 |
|
Class
R6 |
— |
— |
362014
33 4 |
|
Class
I |
— |
— |
362014
34 2 |
Global
Equity Allocation Fund (p. 33) |
Class
III |
GMGEX |
— |
362007
14 8 |
|
Class
R6 |
GMADX |
— |
362014
31 8 |
|
Class
I |
GAAUX |
— |
362014
32 6 |
International
Developed Equity Allocation Fund (p. 38) |
Class
III |
GIOTX |
— |
362013
45 0 |
|
Class
R6 |
GAAWX |
— |
362014
26 8 |
|
Class
I |
— |
— |
362014
27 6 |
International
Equity Allocation Fund (p. 43) |
Class
III |
GIEAX |
— |
362007
21 3 |
|
Class
R6 |
GSXMX |
— |
362014
24 3 |
|
Class
I |
— |
— |
362014
25 0 |
International
Equity Fund (p. 48) |
Class
II |
GMICS |
IntlIntrVal |
362007
20 5 |
|
Class
III |
GMOIX |
IntlIntrVal |
362007
30 4 |
|
Class
IV |
GMCFX |
IntlIntrVal |
362008
83 1 |
|
Class
R6 |
— |
— |
362014
22 7 |
|
Class
I |
GMOUX |
— |
362014
23 5 |
International
Opportunistic Value Fund (p. 53) |
Class
III |
GTMIX |
TxMngIntEq |
362008
66 6 |
|
Class
IV |
GMAZX |
TxMngIntEq |
36262F
50 9 |
|
Class
R6 |
GMBCX |
— |
362014
11 0 |
|
Class
I |
IOVFX |
— |
362014
12 8 |
Japan
Value Creation Fund (p. 58) |
Class
III |
GMAKX |
— |
36256V
67 6 |
|
Class
IV |
— |
— |
36256V
66 8 |
|
Class
V |
— |
— |
36256V
65 0 |
|
Class
VI |
GMAHX |
— |
36256V
64 3 |
|
Class
R6 |
— |
— |
36256V
63 5 |
|
Class
I |
GMIIX |
— |
36256V
62 7 |
Quality
Fund (p. 62) |
Class
III |
GQETX |
Quality |
362008
26 0 |
|
Class
IV |
GQEFX |
Quality |
362008
24 5 |
|
Class
V |
GQLFX |
Quality |
362008
23 7 |
|
Class
VI |
GQLOX |
Quality |
362008
22 9 |
|
Class
R6 |
GQESX |
Quality |
362014
17 7 |
|
Class
I |
GQLIX |
Quality |
362014
18 5 |
Quality
Cyclicals Fund (p. 67) |
Class
III |
GMANX |
— |
36256V
76 7 |
|
Class
IV |
— |
— |
36256V
75 9 |
|
Class
V |
— |
— |
36256V
74 2 |
|
Class
VI |
GMAEX |
— |
36256V
73 4 |
|
Class
R6 |
— |
— |
36256V
69 2 |
|
Class
I |
GMAOX |
— |
36256V
68 4 |
Resources
Fund (p. 72) |
Class
III |
GOFIX |
— |
362014
10 2 |
|
Class
IV |
GOVIX |
— |
362014
20 1 |
|
Class
V |
— |
— |
362014
30 0 |
|
Class
VI |
GMOWX |
— |
362014
40 9 |
|
Class
R6 |
GAAHX |
— |
36256V
78 3 |
|
Class
I |
GEACX |
— |
36256V
77 5 |
Fund
Name
(and
page # in Prospectus) |
Share
Class |
Ticker |
Symbol |
CUSIP |
Resource
Transition Fund (p. 78) |
Class
III |
— |
— |
36256V
42 9 |
|
Class
IV |
— |
— |
36256V
41 1 |
|
Class
V |
— |
— |
36256V
39 5 |
|
Class
VI |
GMOYX |
— |
36256V
44 5 |
|
Class
R6 |
— |
— |
36256V
37 9 |
|
Class
I |
GMOCX |
— |
36256V
38 7 |
Small
Cap Quality Fund (p. 83) |
Class
III |
GMAWX |
— |
36256V
53 6 |
|
Class
IV |
— |
— |
36256V
52 8 |
|
Class
V |
— |
— |
36256V
51 0 |
|
Class
VI |
GSBGX |
— |
36256V
49 4 |
|
Class
R6 |
— |
— |
36256V
48 6 |
|
Class
I |
GMAYX |
— |
36256V
47 8 |
U.S.
Equity Fund (p. 88) |
Class
III |
GMUEX |
USCoreEq |
362013
65 8 |
|
Class
IV |
GMRTX |
USCoreEq |
362013
64 1 |
|
Class
V |
GMEQX |
USCoreEq |
362013
63 3 |
|
Class
VI |
GMCQX |
USCoreEq |
362013
62 5 |
|
Class
R6 |
— |
— |
36256V
20 5 |
|
Class
I |
— |
— |
36256V
10 6 |
U.S.
Opportunistic Value Fund (p. 92) |
Class
III |
PPADX |
— |
36256V
46 0 |
|
Class
IV |
GUSOX |
— |
36262F
20 2 |
|
Class
V |
— |
— |
36262F
30 1 |
|
Class
VI |
UUOAX |
— |
36256V
43 7 |
|
Class
R6 |
PPAJX |
— |
36262F
40 0 |
|
Class
I |
PPAEX |
— |
36256V
45 2 |
U.S.
Small Cap Value Fund (p. 97) |
Class
III |
— |
— |
36256V
70 0 |
|
Class
IV |
— |
— |
36256V
80 9 |
|
Class
V |
— |
— |
36256V
88 2 |
|
Class
VI |
GCAVX |
— |
36256V
87 4 |
|
Class
R6 |
— |
— |
36256V
85 8 |
|
Class
I |
— |
— |
36256V
86 6 |
Fixed
Income Funds |
|
|
|
|
Emerging
Country Debt Fund (p. 102) |
Class
III |
GMCDX |
EmgCntrDt |
362007
27 0 |
|
Class
IV |
GMDFX |
EmgCntrDt |
362008
78 1 |
|
Class
VI |
GMOQX |
EmgCntrDt |
36262F
10 3 |
Emerging
Country Debt Shares Fund (p. 107) |
Class
R6 |
GMAFX |
— |
36256V
72 6 |
|
Class
I |
GMAJX |
— |
36256V
71 8 |
High
Yield Fund (p. 113) |
Class
III |
— |
— |
362014
56 5 |
|
Class
IV |
— |
— |
362014
55 7 |
|
Class
V |
— |
— |
362014
54 0 |
|
Class
VI |
GHVIX |
— |
362014
53 2 |
|
Class
R6 |
— |
— |
362014
28 4 |
|
Class
I |
GMOZX |
— |
362014
29 2 |
Multi-Sector
Fixed Income Fund (p. 118) |
Class
III |
GUGAX |
CorePlusBd |
362008
60 9 |
|
Class
IV |
GPBFX |
CorePlusBd |
362008
12 0 |
|
Class
R6 |
— |
— |
362014
39 1 |
|
Class
I |
— |
— |
362014
41 7 |
Opportunistic
Income Fund (p. 124) |
Class
III |
GMOHX |
— |
362013
12 0 |
|
Class
VI |
GMODX |
— |
362013
11 2 |
|
Class
R6 |
GAAAX |
— |
362014
19 3 |
|
Class
I |
GMOLX |
— |
362014
21 9 |
Alternative
Funds |
|
|
|
|
Alternative
Allocation Fund (p. 130) |
Class
II |
— |
— |
35256V
84 1 |
|
Class
III |
— |
— |
362014
49 0 |
|
Class
IV |
— |
— |
362014
48 2 |
|
Class
V |
— |
— |
362014
47 4 |
|
Class
VI |
GAAVX |
— |
362014
46 6 |
|
Class
R6 |
GAAKX |
— |
36256V
60 1 |
|
Class
I |
GAAGX |
— |
36256V
50 2 |
Implementation
Funds |
|
|
|
|
Asset
Allocation Bond Fund (p. 137) |
Class
III |
GMOBX |
AssetAllBd |
362013
38 5 |
|
Class
VI |
GABFX |
AssetAllBd |
362013
37 7 |
Benchmark-Free
Fund (p. 142) |
Class
III |
GBFFX |
— |
362013
16 1 |
Implementation
Fund (p. 147) |
N/A |
GIMFX |
— |
362014
50 8 |
Strategic
Opportunities Allocation Fund (p. 152) |
Class
III |
GBATX |
— |
362008
16 1 |
U.S.
Treasury Fund (p. 157) |
Class
VI |
GUSTX |
USTreas |
362013
36 9 |
|
Class
R6 |
— |
|
36256V
33 8 |
|
Class
I |
— |
|
36256V
32 0 |