Performance
Trailing returns
| 1 day |
| -0.04% | |||
| 1 week | +0.04% |
| |||
| 4 week |
| -0.16% | |||
| 3 month | +0.33% |
| |||
| YTD |
| -0.04% | |||
| 1 year |
| -0.63% | |||
| 3 years* | +0.76% |
| |||
| 5 years* | +0.40% |
| |||
| *annualized | |||||
| Best 3 month return | +10.13% | |
| Worst 3 month return | -8.36% |
Morningstar statistics
Morningstar category: Market Neutral
| Return | Risk | Rating | |
| 3 years | Average | Below Average |
 
|
| 5 years | Average | Average |
|
| 10 years | Average | Average |
|
| Overall | Average | Average |
|
Morningstar style Learn more
| Large | |||
| Mid | |||
| Small | |||
| Value | Blend | Growth |
Key statistics
| Total assets | 4.11B | |
| Front load | - | |
| Deferred load | - | |
| Expense ratio | 0.61% | |
| Management fee | - | |
| Fund family | GMO |
Asset allocation
| Cash | 78.18% | |
| Stocks | 24.99% | |
| Bonds | 0.00% | |
| Preferred | 0.02% | |
| Other | -3.19% |
Purchase information
| Initial | $125,000,000 |
24.28-0.01(-0.04%)
Jun 18, 4:00PM EDT
Overall Morningstar RatingTM
Description
The investment seeks total return greater than that of its benchmark, the Citigroup 3-Month Treasury Bill Index. The fund's investment program involves having both long and short investment exposures. To gain long investment exposure, it invests primarily in shares of the U.S. Equity funds and the International Equity funds, and also may invest in shares of Emerging Country Debt fund and U.S. Flexible Equities fund. To gain short investment exposure, the fund may use over-the-counter ("OTC") and exchange-traded derivatives (including futures, swap contracts and currency forwards) and make short sales of securities. The fund is non-diversified.
Fund filings (PDF) »
Fund filings (PDF) »
Asset managers:
Sam Wilderman (Started: Sep 11, 2012)
Ben Inker (Started: Dec 31, 1996)
Sam Wilderman (Started: Sep 11, 2012)
Ben Inker (Started: Dec 31, 1996)
Risk
| 1 year | 3 years | 5 years | 10 years | ||
| Alpha* | -1.43 | 3.60 | 1.65 | 1.77 | |
| Beta* | 0.03 | -0.16 | -0.19 | -0.16 | |
| Mean annual return | -0.06 | 0.09 | 0.05 | 0.20 | |
| R-squared* | 1.81 | 50.50 | 52.62 | 39.62 | |
| Standard deviation | 1.30 | 3.17 | 5.02 | 3.83 | |
| Sharpe ratio | -0.58 | 0.30 | 0.07 | 0.18 | |
| * Against standard index | |||||
Top 10 holdings
| Security | Net Assets | |
| Future Contract On S&P500 Emini Fut Mar13 | 46.96% | |
| GMO Intl Intrinsic Value IV | 31.74% | |
| GMO US Flexible Equities VI | 27.86% | |
| GMO US Core Equity VI | 15.09% | |
| GMO International Growth Equity IV | 13.64% | |
| Trs Msci Daily Total Return Net Eafe Usd Long /C130514jp00 | 5.79% | |
| Trs Msci Daily Total Return Net Eafe Usd Short/C130514jp00 | 5.76% | |
| GMO US Treasury | 4.52% | |
| Future Contract On Ftse 100 Idx Fut Mar13 /Gbp/ | 4.29% | |
| Future Contract On Topix Indx Futr Mar13 /Jpy/ | 4.02% |