GBPSX — GMO SGM Major Markets Series Fund

GBPSX Fund Overview

GBPSX — GMO SGM Major Markets Series Fund is a US mutual fund managed by GMO Series 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 Series Trust
• Category: Money Market
• Assets under management: $181.43K
• Ticker: GBPSX
• SEC CIK: 0001521894
• SEC series ID: S000052330
• Share class ID: C000174019

GBPSX Investment Objective and Strategy

GMO SGM Major Markets Series Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by GMO Series Trust.

Investment objective

Long-term total return.

Principal investment strategy

"The Fund invests substantially all of its assets in Class III shares of GMO SGM Major Markets Fund (""SGM""), a series of GMO Trust not offered in this Prospectus. The Fund's investment objective and principal investment strategies are substantially similar to those of SGM. Except as otherwise indicated, references to the Fund may also refer to SGM, and references to actions undertaken or investments held by the Fund may also refer to those by SGM. GMO serves as investment adviser for both the Fund and SGM. The Fund's benchmark is the Citigroup 3-Month Treasury Bill Index. The Fund seeks annualized returns of 5% (gross of fees) above the Citigroup 3-Month Treasury Bill Index and annualized volatility (standard deviation) of approximately 6-10%, each over a complete market cycle. The Fund does not maintain specified interest rate duration for its portfolio, and its performance is expected to have a low correlation with the performance of major asset classes over a complete market cycle.

The Fund typically takes long and short positions in a range of global equity, bond, currency, and commodity markets using exchange-traded futures, forward non-U.S. exchange contracts, and swaps on commodity indices, as well as making other investments. The Fund seeks to take advantage of GMO's proprietary investment models for global tactical asset allocation and equity, bond, currency, and commodity market selection. The Fund normally invests assets not held as margin for futures, forward transactions or swaps in cash directly (e.g., Treasury bills, Treasury floating rate notes, Treasury Separately Traded Registered Interest and Principal Securities (""STRIPS""), Federal Home Loan Bank discount notes, and other agency notes), money market funds unaffiliated with GMO, in shares of GMO U.S.

Treasury Fund (""U.S. Treasury Fund""), which is described in a separate prospectus, and directly in the types of investments typically held by money market funds. The Fund also may invest in U.S. and non-U.S. fixed income securities of any credit quality (including below investment grade securities (commonly referred to as ""junk bonds"")), maturity or duration. GMO's models for this systematic process are based on the following strategies: Value-Based Strategies . Value factors compare the price of an asset class or market to an economic fundamental value. Generally, value strategies include yield analysis and mean reversion analysis. ? Sentiment-Based Strategies . Generally, sentiment-based strategies assess factors such as risk aversion, analyst behavior, and momentum. ? In implementing the Fund's investment strategy, GMO seeks to take risk positions that, in GMO's view, are proportionate to the return opportunities.

As a result, during time periods when GMO believes the return opportunities are high relative to the risks involved, the Fund may take more risk relative to the Fund's benchmark. Conversely, during time periods when GMO believes the return opportunities are low relative to the risks involved, the Fund may take less risk (or no risk) relative to the Fund's benchmark. GMO may eliminate strategies, add new strategies, or cause the Fund to take positions that deviate from GMO's investment models in response to additional research, changing market conditions, or other factors. The factors GMO considers and investment methods GMO uses can change over time. The Fund gains indirect exposure to commodities and some other asset classes through SGM's wholly-owned subsidiary advised by GMO, which does not receive any additional management or other fees for its services.

The subsidiary invests primarily in commodity-related derivatives (such as over-the-counter swaps on commodity indices) and fixed income investments but also may invest in any other investment in which SGM is permitted to invest directly. References in this Prospectus to actions taken by the Fund refer to actions undertaken by SGM's subsidiary as well as the Fund or SGM. The Fund does not invest directly in commodities and commodity-related derivatives (such as swaps on commodity indices) but may do so indirectly through its subsidiary (or otherwise). In addition, the Fund may lend its portfolio securities. 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. The Fund may hold cash, cash equivalents, and/or U.S. government securities to manage cash inflows and outflows as a result of shareholder purchases and redemptions."

GBPSX Costs and Fees

GBPSX costs about $110 per $10,000 invested per year in fund expenses.

• Net expense ratio: 1.10%
• Gross expense ratio: 1.62%
• Portfolio turnover: 1%
• Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)

GBPSX Cashflows

Over the 12 months to 2020-02, GMO SGM Major Markets Series Fund had net outflows of $10.44M, from monthly SEC N-PORT filings.

GBPSX Debt Constituents

No individual debt constituents are reported in GMO SGM Major Markets Series Fund's latest SEC N-PORT filing.

GBPSX Prospectus and SEC Filings

Official GMO SGM Major Markets Series Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2019-07-22
• Prospectus (485BPOS) — filed 2018-07-23
• Prospectus supplement (497) — filed 2018-05-24
• Portfolio holdings (N-PORT) — filed 2020-04-24
• Portfolio holdings (N-PORT) — filed 2020-01-28
• Annual census (N-CEN) — filed 2020-05-12
• 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.