GMO’s benchmark-free allocation fund (GBMFX) is an absolute return fund that invests primarily in shares of other GMO funds. As the name suggests, the Fund is not restricted in its exposure to any particular asset class, and may be substantially invested in underlying funds that primarily invest in a single asset class (e.g., Fixed Income Funds). In addition, the Fund is not restricted in its exposure to any particular market. Although the Fund generally will have exposure to both emerging countries and developed countries, including the U.S., at times, it may also have substantial exposure to a particular country or type of country (e.g., emerging countries). Non-diversified asset allocation implies the investors should bear more individual market risks.
From 2004 to 2007, the fund had over 10% annualized returns for 4 consecutive years. The fund navigated through the financial crisis smartly. It only lost 11.23% in 2008 and recovered 20.65% in 2009. However, its performance in 2010 was a bit disappointing, only gaining 4.91%. In 2011, the fund returns over 3%, not a bad performance, considering how difficult the investing environment was in last year.
The fund returned annually 5.6% and 10% in last 5 years and 3 years respectively.
The following table illustrates the asset correlation percentages for GBMFX in the last four weeks: