Morningstar

GMO Alternative Allocation Fund Class I GAAGX

Rating as of Sep 30, 2026 See GMO Investment Hub

NAV / 1-Day Return $19.59 / −0.05 %
Fund Size $935.4M
Adjusted Expense Ratio 1.110%
Net Expense Ratio 3.020%
Fee Level: Distribution Below Average
Share Class Type Institutional
Morningstar Category Multistrategy
Alternative Style Box (Funds) Negative/Medium
Minimum Initial Investment $0
Investment Status Open
TTM Yield 4.48%
Turnover Ratio 789%

NAV and 1-Day Return as of Oct 21, 2026, 12:11:04 AM

There is no Morningstar’s Analysis data available.

Portfolio Holdings GAAGX

More GAAGX Holdings

Current Portfolio Date May 31, 2026
Equity Holdings —
Bond Holdings —
Other Holdings —
% Assets in Top 10 Holdings 14.2

Top 10 Holdings	% Portfolio Weight	Market Value USD	Sector
Asset Offset	101.33	824M	—
Swap/Cdswap/Ice: (Cdx.Na.Ig.46.V1)	27.02	220M	Derivative
Swap/Cdswap/Ice: (Itraxx.Eur.45.V1)	26.21	213M	Derivative
Fswp: Aud 4.571000 17-Jun-2028 Aud Receive	21.87	178M	Government
Repo Daiwa	18.44	150M	Cash and Equivalents
Fswp: Ois 0.210000 17-Jun-2028 Sar Receive	18.17	148M	Government
Swap/Cdswap/Cds: (Itraxx.Eur.42 12-100%)	14.78	120M	Derivative
United States Treasury Notes 3.73%	13.70	111M	Government
Swap/Cdswap/Ice: (Cdx.Na.Ig.46.V1)	10.78	88M	Derivative
Swap/Cdswap/Ice: (Itraxx.Eur.45.V1)	10.75	87M	Derivative

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