GMO SGM Major Markets Fund

Fund Profile

Fund profile

Tickers

GSMFX, GSMHX, GSMKX

Fund manager

GMO Quality Fund

Total assets

$107.39 mm

Liabilities

$11.15 mm

Net assets

$96.24 mm

Number of holdings

86.00

86 Holdings

As of Aug 2023

Security	$Holding	Balance	% of Fund	Category	Position	Country
State Street Institutional Treasury Money Market Fund	51.83 mm	51.83 mm shares	53.86	Short-term investment vehicle	Long	USA
United States Treasury Floating Rate Note	17.31 mm	17.30 mm principal	17.98	Debt	Long	USA
Japan Treasury Discount Bill	3.09 mm	450.00 mm principal	3.21	Short-term investment vehicle	Long	Japan
Japan Treasury Discount Bill	3.04 mm	443.00 mm principal	3.16	Short-term investment vehicle	Long	Japan
Japan Treasury Discount Bill	2.75 mm	400.00 mm principal	2.86	Short-term investment vehicle	Long	Japan
Japan Treasury Discount Bill	1.23 mm	179.00 mm principal	1.28	Short-term investment vehicle	Long	Japan
Japan Treasury Discount Bill	1.03 mm	150.00 mm principal	1.07	Short-term investment vehicle	Long	Japan
State Street Global Advisors Liquidity PLC - US Treasury Liquidity Fund	956.52 k	956.52 k shares	0.99	Short-term investment vehicle	Long	USA
United States Treasury Floating Rate Note	500.52 k	500.00 k principal	0.52	Debt	Long	USA
PURCHASED USD / SOLD CHF JPMorgan Chase Bank N.A.	476.78 k	1.00 contracts	0.50	DFE	N/A	USA
PURCHASED USD / SOLD CHF State Street Bank & Trust Co.	456.27 k	1.00 contracts	0.47	DFE	N/A	USA
PURCHASED USD / SOLD AUD Barclays Bank PLC	372.66 k	1.00 contracts	0.39	DFE	N/A	USA
MSCI EMGMKT SEP23	288.21 k	-159.00 contracts	0.30	Equity derivative	N/A	USA
SOYBEAN FUTURE NOV23	192.16 k	37.00 contracts	0.20	Commodity derivative	N/A	USA
PURCHASED USD / SOLD JPY Morgan Stanley & Co. International PLC	131.75 k	1.00 contracts	0.14	DFE	N/A	USA
PURCHASED USD / SOLD JPY Barclays Bank PLC	73.64 k	1.00 contracts	0.08	DFE	N/A	USA
PURCHASED USD / SOLD JPY Brown Brothers Harriman & Co.	70.20 k	1.00 contracts	0.07	DFE	N/A	USA
PURCHASED USD / SOLD JPY Brown Brothers Harriman & Co.	55.55 k	1.00 contracts	0.06	DFE	N/A	USA
TRSWAP: NDUGEAFE INDEX UBS AG	54.77 k	7.25 mm other units	0.06	Equity derivative	N/A	USA
TRSWAP: NDUVEAFE INDEX UBS AG	53.36 k	2.55 mm other units	0.06	Equity derivative	N/A	USA
PURCHASED USD / SOLD JPY Barclays Bank PLC	40.42 k	1.00 contracts	0.04	DFE	N/A	USA
PURCHASED USD / SOLD EUR JPMorgan Chase Bank N.A.	40.37 k	1.00 contracts	0.04	DFE	N/A	USA
GOLD 100 OZ FUTR DEC23	34.96 k	-10.00 contracts	0.04	Commodity derivative	N/A	USA
PURCHASED JPY / SOLD USD Morgan Stanley & Co. International PLC	30.91 k	1.00 contracts	0.03	DFE	N/A	Japan
PURCHASED USD / SOLD GBP State Street Bank & Trust Co.	28.32 k	1.00 contracts	0.03	DFE	N/A	USA
TRSWAP: NDUVEAFE INDEX UBS AG	26.19 k	7.70 mm other units	0.03	Equity derivative	N/A	USA
S+P/TSX 60 IX FUT SEP23	24.48 k	-26.00 contracts	0.03	Equity derivative	N/A	Canada
MSCI SING IX ETS SEP23	21.23 k	55.00 contracts	0.02	Equity derivative	N/A	Singapore
EURO-BUND FUTURE DEC23	18.35 k	19.00 contracts	0.02	Interest rate derivative	N/A	Germany
DAX INDEX FUTURE SEP23	17.31 k	8.00 contracts	0.02	Equity derivative	N/A	Germany
CAC40 10 EURO FUT SEP23	13.21 k	57.00 contracts	0.01	Equity derivative	N/A	France
PURCHASED USD / SOLD CHF JPMorgan Chase Bank N.A.	7.65 k	1.00 contracts	0.01	DFE	N/A	USA
PURCHASED NZD / SOLD USD Morgan Stanley & Co. International PLC	6.89 k	1.00 contracts	0.01	DFE	N/A	New Zealand
PURCHASED USD / SOLD CHF Barclays Bank PLC	6.11 k	1.00 contracts	0.01	DFE	N/A	USA
LONG GILT FUTURE DEC23	5.70 k	5.00 contracts	0.01	Interest rate derivative	N/A	UK
PURCHASED USD / SOLD NZD UBS AG	4.39 k	1.00 contracts	0.00	DFE	N/A	USA
PURCHASED AUD / SOLD USD Deutsche Bank AG	3.69 k	1.00 contracts	0.00	DFE	N/A	Australia
PURCHASED AUD / SOLD USD Deutsche Bank AG	3.08 k	1.00 contracts	0.00	DFE	N/A	Australia
PURCHASED USD / SOLD CHF UBS AG	2.39 k	1.00 contracts	0.00	DFE	N/A	USA
PURCHASED AUD / SOLD USD State Street Bank & Trust Co.	2.33 k	1.00 contracts	0.00	DFE	N/A	Australia
PURCHASED NZD / SOLD USD Barclays Bank PLC	961.62	1.00 contracts	0.00	DFE	N/A	New Zealand
PURCHASED USD / SOLD EUR State Street Bank & Trust Co.	158.36	1.00 contracts	0.00	DFE	N/A	USA
PURCHASED USD / SOLD JPY Morgan Stanley & Co. International PLC	84.67	1.00 contracts	0.00	DFE	N/A	USA
PURCHASED USD / SOLD CHF State Street Bank & Trust Co.	49.55	1.00 contracts	0.00	DFE	N/A	USA
PURCHASED EUR / SOLD USD Deutsche Bank AG	-16.14	1.00 contracts	-0.00	DFE	N/A	XX
PURCHASED AUD / SOLD USD Bank of America N.A.	-117.06	1.00 contracts	-0.00	DFE	N/A	Australia
PURCHASED CHF / SOLD USD State Street Bank & Trust Co.	-193.82	1.00 contracts	-0.00	DFE	N/A	Switzerland
PURCHASED USD / SOLD JPY Morgan Stanley & Co. International PLC	-670.11	1.00 contracts	-0.00	DFE	N/A	USA
PURCHASED AUD / SOLD USD JPMorgan Chase Bank N.A.	-1.28 k	1.00 contracts	-0.00	DFE	N/A	Australia
PURCHASED USD / SOLD NZD Deutsche Bank AG	-2.56 k	1.00 contracts	-0.00	DFE	N/A	USA
PURCHASED GBP / SOLD USD Citibank N.A.	-2.83 k	1.00 contracts	-0.00	DFE	N/A	UK
TOPIX INDX FUTR SEP23	-2.88 k	4.00 contracts	-0.00	Equity derivative	N/A	Japan
S+P500 EMINI FUT SEP23	-2.91 k	5.00 contracts	-0.00	Equity derivative	N/A	USA
FTSE TAIWAN INDEX SEP23	-4.33 k	-24.00 contracts	-0.00	Equity derivative	N/A	Singapore
PURCHASED USD / SOLD JPY Morgan Stanley & Co. International PLC	-4.50 k	1.00 contracts	-0.00	DFE	N/A	USA
PURCHASED CAD / SOLD USD JPMorgan Chase Bank N.A.	-4.59 k	1.00 contracts	-0.00	DFE	N/A	Canada
PURCHASED GBP / SOLD USD JPMorgan Chase Bank N.A.	-5.32 k	1.00 contracts	-0.01	DFE	N/A	UK
PURCHASED GBP / SOLD USD JPMorgan Chase Bank N.A.	-7.86 k	1.00 contracts	-0.01	DFE	N/A	UK
PURCHASED CAD / SOLD USD JPMorgan Chase Bank N.A.	-8.67 k	1.00 contracts	-0.01	DFE	N/A	Canada
CAN 10YR BOND FUT DEC23	-9.88 k	-11.00 contracts	-0.01	Interest rate derivative	N/A	Canada
PURCHASED GBP / SOLD USD JPMorgan Chase Bank N.A.	-10.29 k	1.00 contracts	-0.01	DFE	N/A	UK
PURCHASED AUD / SOLD USD JPMorgan Chase Bank N.A.	-11.99 k	1.00 contracts	-0.01	DFE	N/A	Australia
PURCHASED GBP / SOLD USD JPMorgan Chase Bank N.A.	-12.04 k	1.00 contracts	-0.01	DFE	N/A	UK
PURCHASED USD / SOLD CAD Barclays Bank PLC	-13.11 k	1.00 contracts	-0.01	DFE	N/A	USA
PURCHASED CAD / SOLD USD JPMorgan Chase Bank N.A.	-17.87 k	1.00 contracts	-0.02	DFE	N/A	Canada
E-MINI RUSS 2000 SEP23	-22.46 k	11.00 contracts	-0.02	Equity derivative	N/A	USA
HANG SENG IDX FUT SEP23	-23.09 k	-10.00 contracts	-0.02	Equity derivative	N/A	Hong Kong
PURCHASED CAD / SOLD USD JPMorgan Chase Bank N.A.	-23.23 k	1.00 contracts	-0.02	DFE	N/A	Canada
PURCHASED NZD / SOLD USD State Street Bank & Trust Co.	-24.45 k	1.00 contracts	-0.03	DFE	N/A	New Zealand
FTSE 100 IDX FUT SEP23	-24.47 k	58.00 contracts	-0.03	Equity derivative	N/A	UK
EURO-BUND FUTURE SEP23	-25.93 k	-40.00 contracts	-0.03	Interest rate derivative	N/A	Germany
PURCHASED CAD / SOLD USD Barclays Bank PLC	-27.09 k	1.00 contracts	-0.03	DFE	N/A	Canada
PURCHASED CAD / SOLD USD Barclays Bank PLC	-31.00 k	1.00 contracts	-0.03	DFE	N/A	Canada
PURCHASED CAD / SOLD USD Morgan Stanley & Co. International PLC	-31.98 k	1.00 contracts	-0.03	DFE	N/A	Canada
PURCHASED USD / SOLD JPY Deutsche Bank AG	-34.69 k	1.00 contracts	-0.04	DFE	N/A	USA
SPI 200 FUTURES SEP23	-48.72 k	-20.00 contracts	-0.05	Equity derivative	N/A	Australia
US 10YR NOTE (CBT)DEC23	-50.21 k	-50.00 contracts	-0.05	Interest rate derivative	N/A	USA
TRSWAP: NDUGEAFE INDEX UBS AG	-51.87 k	2.77 mm other units	-0.05	Equity derivative	N/A	USA
PURCHASED AUD / SOLD USD Morgan Stanley & Co. International PLC	-65.07 k	1.00 contracts	-0.07	DFE	N/A	Australia
PURCHASED CHF / SOLD USD JPMorgan Chase Bank N.A.	-83.28 k	1.00 contracts	-0.09	DFE	N/A	Switzerland
PURCHASED CAD / SOLD USD Bank of America N.A.	-88.16 k	1.00 contracts	-0.09	DFE	N/A	Canada
WTI CRUDE FUTURE OCT23	-93.60 k	-24.00 contracts	-0.10	Commodity derivative	N/A	USA
SILVER FUTURE DEC23	-168.64 k	-20.00 contracts	-0.18	Commodity derivative	N/A	USA
PURCHASED GBP / SOLD USD State Street Bank & Trust Co.	-233.36 k	1.00 contracts	-0.24	DFE	N/A	UK
PURCHASED EUR / SOLD USD Barclays Bank PLC	-265.19 k	1.00 contracts	-0.28	DFE	N/A	XX
CORN FUTURE DEC23	-324.81 k	113.00 contracts	-0.34	Commodity derivative	N/A	USA