Fund Description

The fund invests primarily in non-U.S. developed market equities, selecting securities based on evaluations of companies' published financial information, security prices, equity and other markets, the global economy, and governmental policies. It uses proprietary quantitative methods to identify international equities with positive return potential, including price-to-financial ratios and analyses of price patterns, volatility, and macroeconomic factors. Portfolio construction considers position size, sector/industry and country/region exposure, currencies, market capitalization, liquidity, and transaction costs, and may at times be substantially concentrated. It may consider ESG criteria, generally avoiding companies tied to cluster munitions or thermal coal. It may use ETFs, OTC and exchange-traded derivatives, and lend securities. Under normal circumstances, the fund invests directly and indirectly (through underlying funds or derivatives) at least 80% of its assets in equities, and it also may invest in a U.S. Treasury fund, in money market funds unaffiliated with GMO, and directly in the types of investments typically held by money market funds.