GAPOX — GMO Alpha Only Fund

GAPOX Fund Overview

GAPOX — GMO Alpha Only Fund is a US mutual fund managed by Gmo Trust, categorised as Money Market. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US mutual fund
• Manager: Gmo Trust
• Category: Money Market
• Assets under management: $83.12M
• Ticker: GAPOX
• SEC CIK: 0000772129
• SEC series ID: S000004926
• Share class ID: C000013339

GAPOX Investment Objective and Strategy

GMO Alpha Only Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Gmo Trust.

Investment objective

Total return greater than that of its benchmark, the Citigroup 3-Month Treasury Bill Index.

Principal investment strategy

"GMO pursues investment strategies for the Fund that are intended to complement the strategies it is pursuing in other funds or accounts managed by GMO. Accordingly, the Fund is not intended to serve as a standalone investment. The Fund's investment program involves having both long and short investment exposures. GMO seeks to construct a portfolio in which the Fund has long investment exposure to asset classes and sub-asset classes that GMO expects will outperform relative to the asset classes and sub-asset classes to which the Fund has short investment exposure. To gain long investment exposure, the Fund invests directly in securities and may invest in other GMO Funds (collectively, the ""underlying GMO Funds""). To gain short investment exposure, the Fund typically invests in over-the-counter (OTC) and exchange-traded derivatives (including futures, swaps and currency forwards) and sells securities short, including short sales of securities the Fund does not own.

The Fund is not limited in its use of derivatives or in the total notional value of its derivative positions. As a result of its derivative positions, the Fund typically has gross investment exposures in excess of its net assets (i.e., the Fund typically is leveraged) and therefore is subject to heightened risk of loss. The Fund's performance can depend substantially, if not primarily, on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices directly. GMO uses its multi-year forecasts of returns among asset classes, together with its assessment of the relative risks of such asset classes, to determine the Fund's long and short positions. An important component of those forecasts is GMO's expectation that valuations ultimately revert to their fundamental fair (or intrinsic) value.

GMO changes the Fund's holdings in response to changes in GMO's investment outlook and market valuations and may use redemptions or purchases of Fund shares to rebalance the Fund's investments. If the Fund's long and short positions are effective, the Fund's performance should have a low correlation to the performance of U.S. and non-U.S. equity markets. The factors GMO considers and investment methods GMO uses can change over time. The Fund may invest in securities of any credit quality (including below investment grade securities (commonly referred to as ""junk bonds"")). The Fund may invest in securities of companies of any market capitalization. In seeking to achieve the Fund's investment objective, GMO may invest a significant portion of the Fund's net assets in cash and cash equivalents.

In addition, the Fund may lend its portfolio securities. The Fund also may invest in U.S. Treasury Fund, in money market funds unaffiliated with GMO, and directly in the types of investments typically held by money market funds."

GAPOX Costs and Fees

GAPOX costs about $64 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.64%
• Gross expense ratio: 0.91%
• Portfolio turnover: 221%
• Brokerage commissions: 6.12 bps of average net assets (SEC N-CEN)

GAPOX Cashflows

Over the 12 months to 2019-11, GMO Alpha Only Fund had net inflows of $4.91M, from monthly SEC N-PORT filings.

GAPOX Debt Constituents

No individual debt constituents are reported in GMO Alpha Only Fund's latest SEC N-PORT filing.

GAPOX Prospectus and SEC Filings

Official GMO Alpha Only Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-07-22
• Prospectus (485BPOS) — filed 2018-07-23
• Prospectus (485BPOS) — filed 2017-07-21
• Portfolio holdings (N-PORT) — filed 2020-01-28
• Annual census (N-CEN) — filed 2019-05-10

Related Funds

Other Money Market funds tracked on ABC INVEST:

• Emerald Growth Fund (HSPCX)
• Barings Active Short Duration Bond Fund (BXDIX)
• IVA Worldwide Fund (IVWAX)
• Stadion Tactical Growth Fund (ETFDX)
• BBH Partner Fund - Select Short Term Assets (BBSTX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.