The Trust plans to pursue its investment objective by 
taking long and short positions in a range of global 
equity, bond, commodity and currency markets using 
exchange traded and OTC derivatives, including 
futures, forward currency contracts, swaps and index 
options. The Trust may also make direct investments
including in equities and bonds. Investments held by 
the Trust are global in nature and may be denominated
in a number of currencies.

The Trust’s investment objective is long-term total 
return. GMO Australia aims to produce a portfolio that 
seeks to outperform the Bloomberg Ausbond Bank Bill 
Index

Benefits of investing in the GMO SGM Major Markets Trust

Investing in the Trust provides a range of benefits including:

• access to a daily priced pooled investment vehicle;

• access to the expertise of an experienced investment manager;

• access to a portfolio with exposure to a range of global asset classes which are actively managed in line with GMO's investment philosophy;

• the potential for returns above the Benchmark;

• regular reporting by GMO Australia; and

• competitive fees.

Risk level

Medium to High

Investor suitability

The Trust is designed for experienced investors who are looking for a fund that aims to provide total return in excess of that of its benchmark over a medium to long term period, with a commensurate level of risk.

About the Fund

The GMO SGM Major Markets Trust's investment objective is long-term total return. Over a complete market cycle, the Fund seeks annualized returns of 5% (gross of fees) above the Bloomberg Ausbond Bank Bill Index with annualized volatility (standard deviation) of approximately 6-10%. The Fund takes both long and short positions in a range of global equity, bond, currency, and commodity markets using exchange-traded futures and forward foreign exchange contracts, as well as by making other investments.

The Systematic Global Macro team's investment process systematically applies value and sentiment strategies across global markets. We believe that markets are inefficient but, in the long term, that economic reality will prevail and markets will revert toward fair value; however, the timing of this is uncertain. We aim to profit from mean reversion by buying markets that we believe are depressed in price and shorting markets that we believe are trading at inflated values. To deal with the uncertainty of timing, we model investor sentiment. Using sentiment helps us avoid buying inexpensive assets too early and closing winning positions too quickly.

About GMO

GMO, founded in 1977, is a privately held global investment management firm committed to providing sophisticated clients with superior asset management solutions and services. GMO offers a broad range of investment products, including equity and fixed income strategies across global developed and emerging markets, as well as absolute return strategies. GMO's global offices include the firm's headquarters in Boston and offices in San Francisco, London, Amsterdam, Singapore and Sydney. GMO manages over A$93 billion globally (as at 30 June 2019).

How we invest your money

The Trust plans to pursue its investment objective by taking long and short positions in a range of global equity, bond, commodity and currency markets using exchange traded and OTC derivatives, including futures, forward foreign exchange contracts as well as swaps on commodity indices and other investments. Investments held by the Trust are global in nature and may be denominated in a number of currencies.

The Trust seeks to take advantage of GMO Australia's proprietary investment models for global tactical asset allocation and equity, bond, currency and commodity market selection.

The portfolio is constructed through a proprietary optimisation process that seeks to maximise expected returns while controlling for risk. The portfolio construction process attempts to manage risk through various processes including:

• Diversification across a broad investment universe;

• Taking positions that reflect GMO Australia's view of the opportunity to add value and where we believe we have skill; and

• Monitoring market conditions.

In implementing the Trust's investment strategy, GMO Australia seeks to take risk positions that, in GMO Australia's view, are proportionate to the return opportunities. As a result, during time periods when GMO Australia believes the return opportunities are high relative to the risks involved, the Trust may take more risk relative to the Trust's benchmark. Conversely, during time periods when GMO Australia believes the return opportunities are low relative to the risks involved, the Trust may take less risk (or no risk) relative to the Trust's benchmark.

GMO Australia may eliminate strategies, add new strategies or cause the Trust to take positions that deviate from GMO Australia's investment models in response to additional research, changing market conditions, or other factors. The factors GMO Australia considers and investment methods GMO Australia uses can change over time.

Authorised Investments and Asset Allocation

The Trust's constitution authorises GMO Australia to invest in a wide range of investments.

The Trust normally invests in cash, cash equivalents and fixed income securities with a maturity of two years or less and then uses derivatives to gain active exposure to markets.

The Trust will typically obtain active exposure to global equity, bond, commodity and currency markets through the use of exchange traded futures, forward foreign exchange contracts, swaps, options and other derivatives. The Trust may also hold exchange traded funds ("ETFs) and other funds.

The Trust generally expects to apply the following ranges to active exposures in the management of its portfolio:

• Exposure (as determined by GMO Australia) to a single asset class (e.g., shares, bonds, commodities) will be between -100% and +100% of the Trust's net asset value; and

• Exposure (as determined by GMO Australia) to a single asset (e.g., any single futures contract) will be between -50% and +50% of the Trust's net asset value.

The Trust will generally be managed within these ranges, although the Trust may be outside of these ranges for short periods of time. These ranges do not apply to the Trust's investments in cash, cash equivalents and fixed income securities.

These ranges have been formulated with the aim of limiting the absolute risk of the Trust while providing enough scope for the Trust to meet its targeted return and risk objectives.

The Trust may employ leverage, which tends to amplify risks and also entails special, additional risks. (See "Leverage section of the PDS for further information).