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Name

As of 04/22/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

GMO Asset Allocation Bond Fund

GABFX | Fund

$18.21

$40.2 M

6.61%

$1.21

0.93%

Vitals

YTD Return

-13.2%

1 yr return

-10.4%

3 Yr Avg Return

-6.6%

5 Yr Avg Return

-1.1%

Net Assets

$40.2 M

Holdings in Top 10

102.9%

52 WEEK LOW AND HIGH

$18.2
N/A
N/A

Expenses

OPERATING FEES

Expense Ratio 0.93%

SALES FEES

Front Load N/A

Deferred Load N/A

TRADING FEES

Turnover 209.00%

Redemption Fee N/A

Min Investment

Standard (Taxable)

$300,000,000

IRA

N/A

Fund Classification

Fund Type

Open End Mutual Fund

Name

As of 04/22/2024

Price

Aum/Mkt Cap

YIELD

Annualized forward dividend yield. Multiplies the most recent dividend payout amount by its frequency and divides by the previous close price.

Exp Ratio

Expense ratio is the fund’s total annual operating expenses, including management fees, distribution fees, and other expenses, expressed as a percentage of average net assets.

Watchlist

GMO Asset Allocation Bond Fund

GABFX | Fund

$18.21

$40.2 M

6.61%

$1.21

0.93%

GABFX - Profile

Distributions

  • YTD Total Return -13.2%
  • 3 Yr Annualized Total Return -6.6%
  • 5 Yr Annualized Total Return -1.1%
  • Capital Gain Distribution Frequency Semi-Annually
  • Net Income Ratio 1.60%
DIVIDENDS
  • Dividend Yield 6.6%
  • Dividend Distribution Frequency SemiAnnual

Fund Details

  • Legal Name
    GMO Asset Allocation Bond Fund
  • Fund Family Name
    GMO Mutual Funds
  • Inception Date
    Mar 18, 2009
  • Shares Outstanding
    N/A
  • Share Class
    Other
  • Currency
    USD
  • Domiciled Country
    US
  • Manager
    Ben Inker

Fund Description

The investment strategies GMO pursues for the Fund are intended to complement the strategies it is pursuing for GMO Global Asset Allocation Fund and other funds and accounts it manages. Accordingly, the Fund is not intended to serve as a standalone investment.The Fund invests in a portfolio of fixed income instruments of varying maturities, which may be represented by bonds, forward contracts or derivatives such as options, futures contracts, or swap agreements. GMO uses a variety of fundamental and quantitative processes to manage the Fund. GMO evaluates the relative attractiveness of particular markets and instruments using various fixed income risk premium measures, which typically include, among others, term structure, foreign exchange, volatility, credit, and liquidity.Under normal circumstances, the Fund invests directly and indirectly (e.g., through other GMO Funds or derivatives) at least 80% of its assets in bonds (see “Name Policies”). The term “bond” includes (i) obligations of an issuer to make payments on future dates of principal, interest (whether fixed or variable) or both and (ii) synthetic debt instruments created by GMO by investing in derivatives (e.g., a futures contract, swap contract, forward currency contract, or option). The Fund may invest in bonds of any kind (e.g., bonds of any maturity, duration, or credit quality).The Fund may invest in any sector of the bond market and is not required to maintain a minimum or maximum allocation of investments in any one sector. The sectors and types of bonds in which the Fund may invest include, but are not limited to:•inflation-indexed bonds issued by the U.S. government (including Inflation-Protected Securities) and non-U.S. governments and their respective agencies or instrumentalities (whether or not guaranteed or insured by those governments) and inflation-indexed bonds issued by corporations;•investment grade bonds denominated in various currencies, including bonds issued by the U.S. and non-U.S. governments and their respective agencies or instrumentalities (whether or not guaranteed or insured by those governments), corporations and municipalities (taxable and tax-exempt);•below investment grade bonds (commonly referred to as “high yield” or “junk bonds”);•emerging country sovereign and quasi-sovereign debt;•asset-backed securities, including mortgage related and mortgage-backed securities;•exchange-traded funds (ETFs) as an alternative to direct investments in bonds;•other pooled investment vehicles, including vehicles managed by GMO and vehicles unaffiliated with GMO; and•commodities.From time to time, the Fund may have some direct or indirect exposure to equities. The Fund may invest in securities of companies of any market capitalization.The Fund also may invest in exchange-traded and over-the-counter (OTC) derivatives, including futures contracts, currency options, forward currency contracts, repurchase agreements and reverse repurchase agreements, swap contracts (such as credit default swaps, swaps on securities and securities indices, total return swaps, interest rate swaps, currency swaps, cross currency basis swaps, commodity swaps, inflation swaps, municipal swaps, and other types of swaps), interest rate options, and other types of derivatives. 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. Leverage is not a principal component of the Fund’s investment strategy. However, because of its derivative positions, the Fund may at times have gross investment exposure in excess of its net assets (i.e., the Fund may be leveraged), and therefore may be subject to higher risk of loss during those times than when the Fund is not leveraged. The Fund’s performance can depend substantially on the performance of assets or indices underlying its derivatives even though it does not own those assets or indices.The Fund may gain exposure to the investments described above by investing in shares of other GMO Funds, including U.S. Treasury Fund, in money market funds unaffiliated with GMO, and directly in the types of investments typically held by money market funds.The Fund may invest up to 100% of its assets in below investment grade bonds.GMO does not seek to maintain a specified interest rate duration for the Fund, and the Fund’s interest rate duration will change depending on the Fund’s investments and GMO’s assessment of different sectors of the bond market. The Fund’s interest rate duration may be positive or negative. The Fund’s performance may differ significantly from that of its benchmark.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.
Read More

GABFX - Performance

Return Ranking - Trailing

Period GABFX Return Category Return Low Category Return High Rank in Category (%)
YTD -13.2% -13.1% 8.9% 100.00%
1 Yr -10.4% -10.3% 25.6% 100.00%
3 Yr -6.6%* -17.6% 17.9% 96.43%
5 Yr -1.1%* -13.3% 14.8% 90.94%
10 Yr 0.0%* -13.6% 6.5% 93.18%

* Annualized

Return Ranking - Calendar

Period GABFX Return Category Return Low Category Return High Rank in Category (%)
2023 2.9% -12.0% 15.7% 47.45%
2022 -15.4% -31.8% 18.4% 71.32%
2021 -0.5% -26.6% 25.7% 27.82%
2020 9.9% -49.2% 18.7% 0.89%
2019 3.1% -35.1% 15.3% 72.52%

Total Return Ranking - Trailing

Period GABFX Return Category Return Low Category Return High Rank in Category (%)
YTD -13.2% -13.1% 8.9% 100.00%
1 Yr -10.4% -10.3% 25.6% 100.00%
3 Yr -6.6%* -17.6% 17.9% 96.43%
5 Yr -1.1%* -13.3% 14.8% 90.94%
10 Yr 0.0%* -13.6% 6.5% 93.18%

* Annualized

Total Return Ranking - Calendar

Period GABFX Return Category Return Low Category Return High Rank in Category (%)
2023 8.4% -7.0% 22.2% 41.58%
2022 -14.9% -31.8% 21.1% 94.14%
2021 1.3% -13.5% 49.9% 61.05%
2020 11.3% -28.6% 24.1% 5.86%
2019 8.0% -4.8% 19.1% 58.78%

NAV & Total Return History

GABFX - Holdings

Concentration Analysis

GABFX Category Low Category High GABFX % Rank
Net Assets 40.2 M 2.53 M 143 B 95.96%
Number of Holdings 11 4 9868 94.67%
Net Assets in Top 10 42.8 M -1.57 B 65.8 B 78.39%
Weighting of Top 10 102.88% 0.7% 170.6% 1.39%

Top 10 Holdings

  1. NOMURA REPO 81.76%
  2. United States Treasury Floating Rate Note 12.04%
  3. Japan Treasury Discount Bill 4.38%
  4. State Street Institutional Treasury Money Market Fund 3.23%
  5. US 10YR ULTRA FUT MAR24 0.48%
  6. US 5YR NOTE (CBT) MAR24 0.38%
  7. US 10YR NOTE (CBT)MAR24 0.17%
  8. PURCHASED USD / SOLD JPY 0.16%
  9. US LONG BOND(CBT) MAR24 0.15%
  10. US 2YR NOTE (CBT) MAR24 0.13%

Asset Allocation

Weighting Return Low Return High GABFX % Rank
Other 		83.35% -62.91% 100.00% 1.52%
Bonds 		12.04% -150.81% 203.29% 89.80%
Cash 		7.61% -94.66% 258.91% 25.42%
Stocks 		0.00% -1.60% 99.88% 92.39%
Preferred Stocks 		0.00% 0.00% 30.46% 79.30%
Convertible Bonds 		0.00% 0.00% 33.50% 95.94%

Bond Sector Breakdown

Weighting Return Low Return High GABFX % Rank
Government 		99.43% 0.00% 99.43% 0.16%
Cash & Equivalents 		7.61% 0.00% 88.14% 21.53%
Derivative 		1.59% -62.91% 37.37% 9.31%
Securitized 		0.00% 0.00% 99.65% 97.17%
Corporate 		0.00% 0.00% 96.66% 98.74%
Municipal 		0.00% 0.00% 54.26% 78.49%

Bond Geographic Breakdown

Weighting Return Low Return High GABFX % Rank
US 		12.04% -151.11% 203.29% 88.28%
Non US 		0.00% 0.00% 67.77% 89.50%

GABFX - Expenses

Operational Fees

GABFX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Expense Ratio 0.93% 0.01% 20.67% 66.62%
Management Fee 0.31% 0.00% 2.29% 3.63%
12b-1 Fee N/A 0.00% 1.00% N/A
Administrative Fee N/A 0.00% 0.70% N/A

Sales Fees

GABFX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Front Load N/A 0.00% 5.75% N/A
Deferred Load N/A 1.00% 5.00% N/A

Trading Fees

GABFX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Max Redemption Fee N/A 0.50% 2.00% N/A

Related Fees

Turnover provides investors a proxy for the trading fees incurred by mutual fund managers who frequently adjust position allocations. Higher turnover means higher trading fees.

GABFX Fees (% of AUM) Category Return Low Category Return High Rank in Category (%)
Turnover 209.00% 0.00% 632.00% 90.07%

GABFX - Distributions

Dividend Yield Analysis

GABFX Category Low Category High GABFX % Rank
Dividend Yield 6.61% 0.00% 23.30% 30.62%

Dividend Distribution Analysis

GABFX Category Low Category High Category Mod
Dividend Distribution Frequency SemiAnnual Annual Monthly Monthly

Net Income Ratio Analysis

GABFX Category Low Category High GABFX % Rank
Net Income Ratio 1.60% -1.55% 11.51% 85.47%

Capital Gain Distribution Analysis

GABFX Category Low Category High Capital Mode
Capital Gain Distribution Frequency Semi-Annually Annually Annually Annually

Distributions History

View More +

GABFX - Fund Manager Analysis

Managers

Ben Inker

Start Date

Tenure

Tenure Rank

Nov 03, 2014

7.58

7.6%

Mr. Inker, Co-Heads of the Division, is the director of asset allocation. Mr. Inker has been responsible for overseeing the portfolio management of GMO's asset allocation portfolios since 1996. Mr. Inker joined Grantham, Mayo, Van Otterloo & Co. LLC in 1992 following the completion of his B.A. in Economics from Yale University. He is a CFA charterholder.

John Thorndike

Start Date

Tenure

Tenure Rank

Jun 30, 2019

2.92

2.9%

John Thorndike joined TAS in 2004. Prior to joining TAS, Mr. Thorndike was an analyst in the investment office of Bowdoin College.

Tenure Analysis

Category Low Category High Category Average Category Mode
0.08 28.19 5.72 3.19

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