GMRPX — GMO Risk Premium Fund
Data updated: 2021-01-29
GMRPX — GMO Risk Premium Fund. Money Market · $12.29M AUM · 0.40% expense ratio · 0.9% 1-yr return. Holdings, fees, performance and SEC filings.
GMRPX Fund Overview
GMRPX — GMO Risk Premium 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: $12.29M
- 1-year return: 0.9%
- Ticker: GMRPX
- SEC CIK: 0000772129
- SEC series ID: S000038360
- Share class ID: C000118360
GMRPX Investment Objective and Strategy
GMO Risk Premium Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Gmo Trust.
Investment objective
Total return.
Principal investment strategy
"The Fund seeks to capture returns commensurate with the equity risk premium over a full market cycle with less volatility than global equity markets primarily by selling (writing) put options on stock indices. GMO does not manage the Fund to, or control the Fund's risk relative to, any securities index or securities benchmark. The Fund writes put options on U.S. and non-U.S. (e.g., Europe, United Kingdom, Japan, Hong Kong, Canada, and Australia) stock indices. In determining the indices on which the Fund writes put options, GMO evaluates the income the Fund can receive for writing put options on a given index relative to the income for writing put options on other indices, taking into consideration the historical risk premium for writing put options on those indices. GMO also evaluates the relative liquidity of option markets and estimated transaction costs.
At any given time, the Fund may have substantial exposures to one or only a few stock indices. The Fund's performance can depend substantially, if not primarily, on the performance of assets or indices underlying the options it has written even though it does not own those assets or indices. The Fund may write put options with any strike price or duration. The Fund's options may be of any type, including options on global, regional and country stock indices, options on exchange-traded funds (ETFs), exchange-traded options and over-the-counter (OTC) options, and may be cash-settled or physically settled. In addition, the Fund's options may be tied economically to any country in the world, including emerging countries. The Fund may invest in forward currency contracts to manage its currency exposure and may have exposure (e.g., through options on securities indices) to securities of companies of any market capitalization.
GMO expects that the Fund's put option positions typically will be fully collateralized at the time the Fund writes them. GMO, therefore, expects that the Fund will hold sufficient assets to cover the maximum possible loss the Fund might sustain upon the exercise of a put option it has written. The factors GMO considers and investment methods GMO uses can change over time. In addition, the Fund may lend its portfolio securities. For collateral and cash management purposes, the Fund invests a substantial portion of its assets 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, and directly in the types of investments typically held by money market funds.
The Fund also may invest in shares of U.S. Treasury Fund."
GMRPX Performance
Total returns for GMRPX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 0.9% |
GMRPX Risk Information
Risk metrics for GMRPX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 20.2%
GMRPX Costs and Fees
GMRPX costs about $40 per $10,000 invested per year in fund expenses.
- Net expense ratio: 0.40%
- Gross expense ratio: 0.44%
- Portfolio turnover: 42%
- Brokerage commissions: 0.00 bps of average net assets (SEC N-CEN)
GMRPX Cashflows
Over the 12 months to 2020-11, GMO Risk Premium Fund had net outflows of $3.80M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2020-11 | −$36.80K |
| 2020-10 | −$3.80M |
| 2020-09 | −$1.35M |
| 2020-08 | −$804.97K |
| 2020-07 | $0 |
| 2020-06 | −$34.02K |
GMRPX Debt Constituents
No individual debt constituents are reported in GMO Risk Premium Fund's latest SEC N-PORT filing.
GMRPX Prospectus and SEC Filings
Official GMO Risk Premium Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2020-07-17
- Prospectus (485BPOS) — filed 2019-07-22
- Prospectus supplement (497) — filed 2018-12-14
- Portfolio holdings (N-PORT) — filed 2021-01-29
- Portfolio holdings (N-PORT) — filed 2020-10-28
- Portfolio holdings (N-PORT) — filed 2020-07-28
- 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:
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.