GMO Emerging Country Debt Fund
GMO TRUST · 3 share classes
Fund classification
Classified from what the fund holds · as of 2026 Q2
GMO Emerging Country Debt Fund is an actively managed bond fund.
- Asset class
- Bonds
- Management
- Actively managed
- Fund type
- Open-end fund
- Credit quality
- High yield
- Rate sensitivity
- Intermediate duration
Fund profile
As filed in the prospectus · 2026 Q2
Total return in excess of that of its benchmark, the J.P. Morgan EMBI Global Diversified.
The fund seeks to outperform the J.P. Morgan EMBI Global Diversified by investing primarily in hard currency debt of emerging-market sovereigns, quasi-sovereigns, and corporates, selected through fundamental analysis of country credit quality, issuer creditworthiness, and individual bond characteristics. The manager also uses derivatives—including currency forwards, interest rate and credit swaps, and options—to manage duration, currency exposure, and credit risk; the fund may at times hold gross exposure exceeding net assets through these positions. Because performance depends substantially on the performance of assets underlying its derivatives even though the fund may not own those assets, returns can diverge materially from the benchmark based on derivative positioning.
| Share class | Expense ratio |
|---|---|
| GMCDX | 0.62% |
| GMDFX | 0.57% |
| GMOQX | 0.53% |
Portfolio turnover 41.00% · as of 2026 Q2
Allocation
Asset groups · long / short shown separately, never netted · 2026 Q2
| Bonds | 94.45% |
| Cash & short-term | 2.70% |
| Other | 0.74% |
| Derivatives | 0.20% |
| Securitized | 0.20% |
Derivatives are shown at market value, not notional exposure.
Latest quarter
What changed since the fund's previous filing
Largest new: Nomura Fixed Income Securities Private Ltd., NEWCO HOLDING EUR 31 S.A R.L., COSTA RICA GOVERNMENT, JPMorgan Securities LLC, DOMINICAN REPUBLIC, REPUBLIC OF POLAND, REPUBLIC OF SERBIA, BARBADOS GOVT OF
Largest exited: Nomura Securities International, Inc., Morgan Stanley & Co. LLC, COSTA RICA GOVERNMENT, BARBADOS GOVT OF, DOMINICAN REPUBLIC, Morgan Stanley & Co International PLC, REPUBLIC OF KENYA, COMMONWEALTH OF BAHAMAS
Return profile
Total return as filed — price change plus distributions reinvested · trailing figures to Apr 2026
| Share class | 1-year | 3-year | 5-year | Vol | Worst fall |
|---|---|---|---|---|---|
| +27.04% | +70.84% | +46.28% | 6.71% | -3.62% | |
| +27.14% | +71.21% | +46.77% | 6.70% | -3.62% | |
| +27.18% | +71.40% | — | 6.72% | -3.62% |
These classes hold the same portfolio, so the 0.55pp spread over 3 years is the cost difference between them — roughly 0.18pp a year — not a difference in what they own.
May 2026 has been filed since the trailing figures were struck, so it is not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-05-31
Share of the fund's debt by how its coupon behaves — the fact that decides whether a rate move reaches this portfolio at all.
| Fixed rate | 79.5% |
| Floating rate | 12.4% |
| Zero-coupon or unclassified | 8.1% |
Share of the fund's debt value in each maturity band, shortest first.
| <1y | 5.5% |
| 1-3y | 3.9% |
| 3-5y | 13.0% |
| 5-10y | 27.5% |
| 10y+ | 50.2% |
These three overlap — one holding can be in arrears and paying in kind at once — so they are shown separately and never summed.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
Most of this fund’s sensitivity is to interest rates, with credit spreads carrying nearly as much.
Where the loss would come from. The two shocks are the same size, so this is the balance of the fund's two sensitivities rather than a bet on one moving more.
| Interest rates | 50% |
| Credit spreads | 50% |
Filers report the impact of a 0.01% move only, so the total is our own scaling of that one number and overstates the loss on most bonds — read it as approximate, never as precise. The two sensitivities overlap rather than add up: they measure the same positions against different shocks, which is why the durations above are shown side by side and never summed.
Share of the fund's spread duration carried by each credit tier.
| High yield | +4.04 yr |
| Investment grade | +2.45 yr |
Share of duration at each point, shortest first. A positive figure loses value when spreads widen; a negative one offsets — a credit hedge.
| 1 yr | 0.45 yr | 7% |
| 5 yr | 1.37 yr | 21% |
| 10 yr | 3.17 yr | 48% |
| 30 yr | 1.56 yr | 24% |
3 mo is NEGATIVE (-0.01 yr) — a deliberate hedge at that point on the curve, so it is not part of the band above.
| 3 mo | 0.00 yr | 0% |
| 1 yr | 0.33 yr | 5% |
| 5 yr | 1.04 yr | 16% |
| 10 yr | 3.21 yr | 49% |
| 30 yr | 1.91 yr | 29% |
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | -0.01 | +0.00 | -0.00 | $889 | -$284 |
| 1 yr | +0.45 | +0.04 | +0.28 | $9.9k | $64.1k |
| 5 yr | +1.37 | +0.26 | +0.78 | $58.6k | $177.7k |
| 10 yr | +3.17 | +1.22 | +1.99 | $275.9k | $451.4k |
| 30 yr | +1.56 | +0.92 | +0.98 | $209.9k | $223.5k |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
Duration contribution in years, summing to the fund's 6.55 yr.
This is where the fund's rate exposure sits, not its currency risk — most international bond funds hedge the currency back to dollars, and the size of those hedges is not in the filing. Tenors are also summed across curves, so a 5-year JPY point and a 5-year USD point are added together.
Holdings
By % of NAV · equity positions carry filed share counts · every resolvable issuer links to its company page
| Ticker | Issuer | %NAV | Value | Shares |
|---|---|---|---|---|
| — | Nomura Fixed Income Securities Private Ltd. | 3.97% | $90.00M | — |
| — | PETROLEOS MEXICANOS7.69% · due 2050-01-23 | 3.54% | $80.36M | — |
| — | PETROLEOS DEL PERU SA5.63% · due 2047-06-19 | 1.83% | $41.58M | — |
| — | Bahrain Government International Bonds6.00% · due 2044-09-19 | 1.72% | $39.08M | — |
| — | Republic of South Africa Government International Bonds5.75% · due 2049-09-30 | 1.66% | $37.75M | — |
| — | Argentina Republic Government International Bonds4.13% floating · due 2046-07-09 | 1.65% | $37.42M | — |
| — | Turkiye Government International Bonds5.75% · due 2047-05-11 | 1.59% | $36.12M | — |
| — | ELECTRICIDAD DE CARACAS0.00% · due 2018-04-10 | 1.54% | $34.94M | — |
| — | Ecuador Government International Bonds6.90% · due 2035-07-31 | 1.51% | $34.31M | — |
| — | UNITED MEXICAN STATES5.63% · due 2114-03-19 | 1.41% | $31.88M | — |
Top 10 positions are 20.42% of net assets, top 25 38.16%, across 186 issuers.
See more of this fund's book
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