GSMFX — GMO SGM Major Markets Fund
Data updated: 2023-10-27
GSMFX — GMO SGM Major Markets Fund. Money Market · $96.24M AUM · 1.02% expense ratio · 8.0% 1-yr return. Holdings, fees, performance and SEC filings.
GSMFX Fund Overview
GSMFX — GMO SGM Major Markets 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: $96.24M
- 1-year return: 8.0%
- Ticker: GSMFX
- SEC CIK: 0000772129
- SEC series ID: S000005494
- Share class ID: C000014953
GSMFX Investment Objective and Strategy
GMO SGM Major Markets Fund describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Gmo Trust.
Investment objective
Long-term total return.
Principal investment strategy
"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 U.S. Treasury Fund, 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 exposure to commodities and some other asset classes by investing through a 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 the Fund is permitted to invest directly. References in this Prospectus to actions taken by the Fund refer to actions taken by the subsidiary as well as the Fund. 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."
GSMFX Performance
Total returns for GSMFX (as of 2026-10-01), from SEC filings.
| Period | Total return |
|---|---|
| 1 year | 8.0% |
| 3 years (annualised) | -0.0% |
GSMFX Risk Information
Risk metrics for GSMFX, derived from monthly returns in SEC filings.
- 1-year volatility (annualised): 7.5%
GSMFX Costs and Fees
GSMFX costs about $102 per $10,000 invested per year in fund expenses.
- Net expense ratio: 1.02%
- Gross expense ratio: 1.14%
- Portfolio turnover: 69%
- Brokerage commissions: 4.24 bps of average net assets (SEC N-CEN)
GSMFX Cashflows
Over the 12 months to 2023-08, GMO SGM Major Markets Fund had net outflows of $103.37M, from monthly SEC N-PORT filings.
| Month | Net flow |
|---|---|
| 2023-08 | −$778.24K |
| 2023-07 | −$7.97M |
| 2023-06 | −$100.72K |
| 2023-05 | −$192.60K |
| 2023-04 | −$701.53K |
| 2023-03 | −$5.82M |
GSMFX Debt Constituents
No individual debt constituents are reported in GMO SGM Major Markets Fund's latest SEC N-PORT filing.
GSMFX Prospectus and SEC Filings
Official GMO SGM Major Markets Fund filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.
- Prospectus (485BPOS) — filed 2022-06-30
- Prospectus supplement (497) — filed 2023-07-03
- Prospectus supplement (497) — filed 2021-10-05
- Portfolio holdings (N-PORT) — filed 2023-10-27
- Portfolio holdings (N-PORT) — filed 2023-07-31
- Portfolio holdings (N-PORT) — filed 2023-04-27
- Annual census (N-CEN) — filed 2023-05-12
- Annual census (N-CEN) — filed 2022-05-10
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.