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GMO Quarterly Update June 30, 2015

GMO offers institutionallyoriented investment strategies. This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

GMO Capabilities
June 30, 2015

GMO Multi-Asset Class


Benchmark-Free Allocation
Global Allocation Absolute Return
Global Asset Allocation
Real Return Global Balanced Asset Allocation
Tax-Managed Global Balanced

Page
4
6
8
10
12

GMO Global Equities


Global All Country Equity Allocation
Global Developed Equity Allocation
Global Focused Equity
Quality
Resources

Page
14
16
18
20
22

GMO International Equities


International All Country Equity Allocation
International Developed Equity Allocation
Tax-Managed International Equities*
International Equity
International Active EAFE
International Active Foreign Small Companies
International Small Companies*

Page
24
26

GMO U.S. Equities


U.S. Equity Allocation

Page
34

28
30
32

GMO Emerging Equities


Emerging Markets
Emerging Countries*
Emerging Domestic Opportunities

Page
36

GMO Fixed Income


Global Bond
International Bond
Currency Hedged International Bond
Core Plus Bond
Emerging Country Debt*
Emerging Country Local Debt*
Emerging Country Debt U.S. Rates Hedged*
Debt Opportunities

Page
40
42
44
46

GMO Absolute Return


Fixed Income Hedge
Mean Reversion
Systematic Global Macro
Tactical Opportunities
Total Equities
Multi-Strategy*

Page
50
52
54
56
58

38

48

* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities is not
included in this document. For information please contact GMO.

Performance of GMO Strategies and Benchmarks


June 30, 2015

2Q
2015
-0.31
0.87

Total Return Net of Fees


YTD
YTD Value
2015
Added
1.04
0.35
0.69

One
Year
-2.22
0.04

Average Annual Total Return


Five
Ten
Since
Year
Year
Inception
7.30
7.12
10.25
1.85
2.05
2.13

GMO Multi-Asset Class Strategies


Benchmark-Free Allocation
CPI

Inception
7/31/01

Global Allocation Absolute Return


CPI

7/31/01

-0.65
0.87

0.26
0.69

-0.43

-2.24
0.04

6.53
1.85

6.42
2.05

8.94
2.13

Global Asset Allocation


GMO Global Asset Allocation +

6/30/88

0.07
-0.35

1.31
1.77

-0.46

-2.75
1.21

8.34
9.13

6.00
5.68

9.46
8.04

Real Return Global Balanced Asset Allocation


GMO Real Return Global Balanced AA Blended +

6/30/04

-0.82
-0.14

0.16
1.63

-1.47

-2.93
1.33

8.22
8.64

6.05
5.29

6.61
5.52

Tax-Managed Global Balanced


GMO Tax-Managed Global Balanced Index

12/31/02

-0.55
-0.08

1.45
1.80

-0.35

-1.05
1.38

7.56
9.00

5.47
5.61

7.36
6.99

GMO Global Equity Strategies


Global All Country Equity Allocation
MSCI ACWI ++

Inception
12/31/93

2Q
2015
0.35
0.35

YTD
2015
3.29
2.66

YTD Value
Added
0.63

One
Year
-4.12
0.71

Five
Year
11.63
12.23

Ten
Year
6.80
6.36

Since
Inception
8.90
7.39

Global Developed Equity Allocation


MSCI World +

3/31/87

0.62
0.31

3.74
2.63

1.11

-3.20
1.43

12.75
13.10

6.69
6.38

9.30
7.41

Global Focused Equity


MSCI ACWI

12/31/11

-1.47
0.35

1.20
2.66

-1.46

-7.75
0.71

Quality
S&P 500

2/29/04

-1.46
0.28

-1.05
1.23

-2.28

5.28
7.42

Resources
MSCI ACWI Commodity Producers

12/31/11

2.61
-0.79

1.44
-5.15

6.59

-24.53
-26.03

GMO International Equity Strategies


International All Country Equity Allocation
MSCI ACWI ex USA +

Inception
2/28/94

2Q
2015
1.24
0.53

YTD
2015
4.83
4.03

YTD Value
Added
0.80

One
Year
-8.83
-5.26

Five
Year
8.49
7.82

Ten
Year
5.73
5.48

Since
Inception
7.33
5.60

International Developed Equity Allocation


MSCI EAFE ++

11/30/91

1.03
0.62

5.48
5.52

-0.04

-9.01
-4.22

10.37
9.54

5.64
5.30

8.12
6.29

International Equity
MSCI EAFE +
MSCI EAFE

3/31/87

0.83
0.62
0.62

5.23
5.52
5.52

-0.29

-8.99
-4.22
-4.22

9.15
9.59
9.54

4.44
4.69
5.12

7.94
7.04
5.34

International Active EAFE


MSCI EAFE

5/31/81

3.38
0.62

9.25
5.52

3.73

-4.64
-4.22

8.46
9.54

4.43
5.12

11.61
8.90

Int'l. Active Foreign Small Companies


S&P Developed ex-U.S. Small Cap

1/31/95

2.70
4.61

9.40
9.25

0.15

-5.76
-1.62

11.49
12.02

8.34
7.46

11.00
7.42

GMO U.S. Equity Strategies


U.S. Equity Allocation
Russell 3000 +++

Inception
2/28/89

2Q
2015
-0.73
0.14

YTD
2015
-0.16
1.94

YTD Value
Added
-2.10

One
Year
3.85
7.29

Five
Year
15.71
17.48

Ten
Year
6.45
8.05

Since
Inception
10.56
10.24

13.12
12.83
15.66
17.34

7.32
7.89

6.58
7.53
-1.09
-4.47

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Copyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written
permission from GMO.

Performance of GMO Strategies and Benchmarks


June 30, 2015

GMO Emerging Equity Strategies


Emerging Markets
S&P/IFCI Composite
MSCI Emerging Markets

Inception
12/31/93

Emerging Domestic Opportunities


MSCI Emerging Markets

3/31/11

GMO Fixed Income Strategies


Global Bond*
J.P. Morgan GBI Global

Inception
12/31/95

International Bond
J.P. Morgan GBI Global ex U.S.

2Q
2015
1.09
1.84
0.69

Total Return Net of Fees


YTD
YTD Value
2015
Added
1.31
-2.72
4.03
2.95

One
Year
-9.18
-3.71
-5.12

Average Annual Total Return


Five
Ten
Since
Year
Year
Inception
2.23
6.16
7.18
4.69
9.09
5.79
3.68
8.11
5.14

-1.24
0.69

2.45
2.95

-0.50

-0.77
-5.12

4.38
-1.77

2Q
2015
-2.07
-1.68

YTD
2015
-4.35
-3.43

YTD Value
Added
-0.92

One
Year
-6.44
-7.46

Five
Year
4.17
1.35

Ten
Year
3.59
3.37

Since
Inception
5.36
4.55

12/31/93

-2.38
-1.54

-6.97
-5.56

-1.41

-13.38
-13.22

3.58
0.32

3.40
2.80

6.17
4.76

Currency Hedged International Bond


J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) +

9/30/94

-5.39
-4.95

-2.41
-1.31

-1.10

5.32
5.18

6.91
5.08

4.63
4.81

7.85
6.82

Core Plus Bond


Barclays U.S. Aggregate

4/30/97

-2.01
-1.68

-0.87
-0.10

-0.77

2.49
1.86

6.17
3.35

4.44
4.44

5.89
5.59

Debt Opportunities
J.P. Morgan U.S. 3 Month Cash

10/31/11

0.58
0.10

1.21
0.20

1.01

2.35
0.37

GMO Absolute Return Strategies


Fixed Income Hedge
J.P. Morgan U.S. 3 Month Cash

Inception
8/31/05

2Q
2015
-7.38
0.10

YTD
2015
-12.90
0.20

YTD Value
Added
-13.10

One
Year
0.50
0.37

Five
Year
6.44
0.50

Ten
Year

Since
Inception
-0.25
2.06

Mean Reversion
Citigroup 3-Mo. T-Bill

2/28/02

-0.81
0.00

-3.47
0.01

-3.48

-8.09
0.02

-0.23
0.06

2.25
1.34

5.94
1.38

Systematic Global Macro


Citigroup 3-Mo. T-Bill

3/31/02

-4.30
0.00

1.70
0.01

1.69

4.74
0.02

4.71
0.06

6.54
1.34

7.14
1.36

Tactical Opportunities
Citigroup 3-Mo. T-Bill

9/30/04

-2.32
0.00

-9.72
0.01

-9.73

-4.78
0.02

-6.62
0.06

-6.77
1.34

-7.00
1.40

Total Equities
Citigroup 3-Mo. T-Bill

9/30/00

-0.39
0.00

2.89
0.01

2.88

-3.45
0.02

6.17
0.06

2.31
1.34

5.88
1.65

6.32
0.51

* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

GMO Benchmark-Free Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

100

U.S. Quality, 6.2


U.S. Opportunistic Value, 3.4
Europe Value, 10.1
Japan, 2.3
Emerging Markets, 17.2
Merger Arbitrage, 5.5
Special Opportunity, 3.0
Systematic Global Macro, 5.0
Cross-Sectional Rates & FX, 20.8
Asset Backed Securities, 3.9
Credit Opportunities, 1.6
Emerging Debt, 4.6
Alpha Only, 7.2
Cash & Cash Equiv., 9.1

80
60
40
20
0
U.S. Equity
Intl. Developed Equity
Emerging Equity

Alternative Strategies
Fixed Income
Absolute Return

2Q 2015
YTD 2015
Annual Total Return (%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Cash

Equity Regional Weights (%)


Emerging

43.1

Europe ex UK

5.7

0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45

15
10.2

United States

10.25

10

23.9

7.30

5
0.04

Equity Characteristics
Price/Earnings - Hist 1 Yr Wtd Med
Price/Book - Hist 1 Yr Wtd Avg

Strategy

14.9 x

-5

10.2 %

Market Cap - Weighted Median $Bil


Dividend Yield - Hist 1 Yr Wtd Avg

Bond Portfolio3
Bond Portfolio Duration
Credit Ratings
AAA
AA
A
BBB

2.13

2.05

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

3.1 %

Strategy
5.87
1.23

Drawdown
(3/30/12-5/31/12)

1.85

$36.6

Std. Deviation
Sharpe Ratio

7.12

-2.22

1YR

1.3 x

Return on Equity - Hist 1 Yr Med

The chart above shows the past performance of the Benchmark-Free Allocation
Composite (the Composite). Prior to January 1, 2012, the accounts in the
Composite served as the principal component of a broader real return strategy.
Beginning January 1, 2012, accounts in the composite have been managed as a
standalone investment.

-4.63

0.0 years

The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is published
monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and
services.

BB
5.8%
B
2.0%
<B
4.9%
NR
0.6%
SD
0.6%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
asset-backed exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the asset-backed portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

5.4%
71.7%
1.4%
7.7%

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

1.31
11.24
10.35
3.60
4.58
19.86
-12.07
10.93
12.75
16.32

Annualized Return (%)

1.8

United Kingdom

5-Year Risk Profile

Benchmark
0.87
0.69

15.3

Japan
Other International

Strategy
-0.31
1.04

GMO Benchmark-Free Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance (%)
Net of Fees, USD (Rep Account)

Equity

Alts

Bonds

Cash

-0.38

Gross of Fees, USD (Rep Account)

-0.25

CPI Index (prelim through most recent month-end)

+0.55

Value Added

-0.80

Equity

Alts

Bonds

Cash

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

GMO Global Allocation Absolute Return Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1


100

Total Return (%)


U.S. Quality, 9.4
U.S. Opportunistic Value, 1.6
Europe Value, 11.5
Japan, 3.4
Emerging Markets, 12.5
Risk Premium, 2.1
Special Opportunity, 3.2
Systematic Global Macro, 3.5
Cross-Sectional Rates & FX, 20.6
Asset Backed Securities, 3.5
Emerging Debt, 4.6
Alpha Only, 1.3
Multi Strategy, 20.2
Cash & Cash Equiv., 2.5

80
60
40
20
0
U.S. Equity
Intl. Developed Equity
Emerging Equity

Alternative Strategies
Fixed Income
Absolute Return

2Q 2015
YTD 2015

Cash

Emerging

Benchmark
0.87
0.69

1.80
10.04
9.42
4.22
3.02
14.92
-7.19
9.99
11.01
13.54

0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Equity Regional Weights (%)


31.7

Europe ex UK

Strategy
-0.65
0.26

19.5

Japan

Annualized Return (%)

8.6

Other International

2.0

8.94

10

United Kingdom

6.53

10.2

United States

28.1

6.42

1.85

2.13

2.05

0.04

Equity Characteristics

0
Strategy

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg

10.5 %

Market Cap - Weighted Median $Bil


Dividend Yield - Hist 1 Yr Wtd Avg

-3.82

0.1 years

BB
5.9%
B
2.0%
<B
4.6%
NR
0.6%
SD
0.6%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
asset-backed exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the asset-backed portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

4.8%
72.5%
1.4%
7.6%

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Strategy

Benchmark

ITD

The CPI (Consumer Price Index) for All Urban Consumers US All Items is published
monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and
services.

Bond Portfolio3
Bond Portfolio Duration
Credit Ratings
AAA
AA
A
BBB

10YR

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

3.3 %
Strategy
5.23
1.24

Drawdown
(3/30/12-5/31/12)

5YR

$30.4

Std. Deviation
Sharpe Ratio

-2.24

1YR

1.5 x

Return on Equity - Hist 1 Yr Med

5-Year Risk Profile

-5

16.1 x

GMO Global Allocation Absolute Return Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Perform ance (%)


Net of Fees, USD (Rep Account)

Equity

Alts

Bonds

Cash

-0.66

Gross of Fees, USD (Rep Account)

-0.41

CPI Index (prelim through most recent month-end)

+0.55

Value Added

-0.96

Equity

Alts

Bonds

Cash

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

GMO Global Asset Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

100

U.S. Quality, 12.3


U.S. Opportunistic Value, 2.1
Europe Value, 17.8
Japan, 5.2
Other Int'l. Opportunistic Value, 1.4
Emerging Markets, 12.6
Risk Premium, 2.5
Systematic Global Macro, 3.0
Cross-Sectional Rates & FX, 20.4
Asset Backed Securities, 4.6
Emerging Debt, 4.5
Alpha Only, 7.1
Cash & Cash Equiv., 6.5

80
60
40
20
0
U.S. Equity
Intl. Developed Equity
Emerging Equity

Alternative Strategies
Fixed Income
Absolute Return

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Cash

Equity Regional Weights (%)


Emerging

24.5

10.6

Europe ex UK

Japan
2.2

Other International
United Kingdom

10.2
7.9
7.3

15.6

4.87
13.60
12.13
-1.80
11.05
24.14
-27.72
9.26
13.41
5.99

Return on Equity - Hist 1 Yr Med

Strategy

Benchmark

16.3 x

19.5 x

1.5 x

2.1 x

10.5 %

14.6 %

$32.6

Dividend Yield - Hist 1 Yr Wtd Avg

3.3 %

8.04

5.68

1.21

0
-5

-2.75

1YR

5YR

10YR

Strategy

Benchmark

ITD

$39.5
Performance data quoted represents past performance and is not predictive of
future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

2.5 %

5-Year Risk Profile 2


Strategy
0.66
0.84
0.92
1.09
7.60

9.46

9.13
6.00

Price/Book - Hist 1 Yr Wtd Avg

Benchmark
0.00
1.00
1.00
1.04
8.69

The GMO Global Asset Allocation Index + is an internally maintained benchmark


computed by GMO, comprised of (i) GMO blended benchmark of Global Asset
Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset
Allocation (Blend) Index thereafter. The GMO blended benchmark of Global Asset
Allocation Composite is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard
Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for
each market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blended by
GMO and maintained on a monthly basis. The GMO Global Asset Allocation (Blend)
Index is an internally maintained benchmark computed by GMO, comprised of
65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and
35% the Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy,
adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the
prior written permission of S&P or its third party licensors. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not
prepared or approved this report, and has no liability hereunder.

0.1 years

BB
6.1%
B
2.1%
<B
5.5%
NR
0.6%
SD
0.6%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
asset-backed exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the asset-backed portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

6.0%
69.8%
1.7%
7.8%

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

8.34

10

51.5

Benchmark

Price/Earnings - Hist 1 Yr Wtd Med

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Bond Portfolio3
Bond Portfolio Duration
Credit Ratings
AAA
AA
A
BBB

1.24
12.38
11.11
2.13
7.93
24.15
-20.83
7.94
12.30
9.06

15

Equity Characteristics

Market Cap - Weighted Median $Bil

Benchmark
-0.35
1.77

Annualized Return (%)

28.0

United States

Strategy

23.1

12.0

7.0

Strategy
0.07
1.31

2Q 2015
YTD 2015

GMO Global Asset Allocation Strategy


June 30, 2015
Performance (%)

QUARTERLY ATTRIBUTION

Equity

Alts

Bonds

Cash

Net of Fees, USD (Rep Account)

+0.00

Gross of Fees, USD (Rep Account)

+0.03

GMO Global Asset Allocation Index

-0.35

Value Added

+0.39

Equity

Alts

Bonds

Cash

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

GMO Real Return Global Balanced Asset Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1


100

Total Return (%)


U.S. Quality, 11.5
U.S. Opportunistic Value, 2.0
Europe Value, 15.5
Japan, 4.6
Other Int'l. Opportunistic Value, 1.2
Emerging Markets, 12.6

80
60
40

Cross-Sectional Rates & FX, 16.4


Asset Backed Securities, 2.7
Emerging Debt, 3.2

20

Multi Strategy, 29.0

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Cash & Cash Equiv., 1.3


U.S. Equity
Intl. Developed Equity
Emerging Equity

Alternative Strategies
Fixed Income
Absolute Return

Cash

Equity Regional Weights (%)


Emerging

26.6

0.0

Europe ex UK
Japan
Other International

2.1

United Kingdom

9.6
8.9

21.8
17.5

8.2
11.4
7.9

United States
Strategy

2.00
13.68
10.65
3.16
5.00
13.02
-11.36
7.63
13.26
8.09

4.22
14.95
10.42
-1.76
8.94
19.17
-25.17
7.87
13.69
6.82

8.22

8.64
6.05

28.5

57.6

5.29

6.61

5.52

5
1.33

Benchmark

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med
Market Cap - Weighted Median $Bil

Strategy

Benchmark

16.3 x

19.8 x

1.5 x

2.2 x

10.7 %

14.9 %

$31.9

Dividend Yield - Hist 1 Yr Wtd Avg

3.3 %

-5

Strategy
1.18
0.81
0.87
1.17
6.97

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

-2.93

1YR

5YR

10YR

Strategy

Benchmark

ITD

$45.1
Performance data quoted represents past performance and is not predictive of
future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

2.5 %

5-Year Risk Profile 2


Benchmark
0.00
1.00
1.00
1.07
7.99

The GMO Real Return Global Balanced Asset Allocation Blended Index + is an
internally maintained benchmark computed by GMO, comprised of (i) GMO
blended benchmark of Real Return Global Balanced Asset Allocation Composite
through 06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO
blended benchmark of Real Return Global Balanced Asset Allocation Composite is
comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding
tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each
market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blended by
GMO and maintained on a monthly basis. The RRGBAL Blended Index is comprised
of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax),
20% Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill Index.
The index is internally blended by GMO and maintained on a monthly basis. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability
hereunder.

Bond Portfolio3
0.0 years

BB
5.4%
B
1.9%
<B
4.5%
NR
0.6%
SD
0.5%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
asset-backed exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the asset-backed portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

4.8%
73.9%
1.4%
7.0%

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Benchmark
-0.14
1.63

Annualized Return (%)


10

Equity Characteristics

Bond Portfolio Duration


Credit Ratings
AAA
AA
A
BBB

Strategy
-0.82
0.16

2Q 2015
YTD 2015

10

GMO Real Return Global Balanced Asset Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Perform ance (%)


Net of Fees, USD

-0.83

Gross of Fees, USD (Rep Account)

-0.58

GMO Real Return Global Balanced Asset Allocation Blended Index + -0.14
Value Added

Equity

Bonds

Cash

Equity

-0.44

Bonds

Cash

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

11

GMO Tax-Managed Global Balanced Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1


100

Total Return (%)

U.S. Quality, 10.8


U.S. Opportunistic Value, 3.3
Europe Value, 13.6
Japan, 3.8
Emerging Markets, 15.4
Risk Premium, 2.3
Emerging Country Debt, 2.0

80

60
40

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Municipal Bonds, 34.3


20

Multi-Strategy, 13.7
Cash & Cash Equiv., 0.9

0
U.S. Equity
Intl. Developed Equity
Emerging Equity

Alternative Strategies
Fixed Income
Absolute Return

Cash

Equity Regional Weights (%)


Emerging
Europe ex UK

Japan
Other International
United Kingdom

32.6

10.6

0.6

8.0
7.9

15.6

29.8

United States

Strategy

10
8
6
4
2
0
-2

51.5

Benchmark

Equity Characteristics
Strategy

Benchmark

16.9 x

19.5 x

Price/Cash Flow - Hist 1 Yr Wtd Median

9.1 x

13.3 x

Price/Book - Hist 1 Yr Wtd Avg

1.6 x

2.1 x

11.5 %

14.6 %

Return on Equity - Hist 1 Yr Med


Market Cap - Weighted Median $Bil

$31.5

Dividend Yield - Hist 1 Yr Wtd Avg

2.9 %

Strategy
-0.14
0.86
0.95
1.07
7.03

9.00

7.36
5.47

6.99

5.61

1.38

-1.05

5YR

10YR

Strategy

Benchmark

ITD

The GMO Tax-Managed Global Balanced Index is an internally computed


benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI
standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (68) Index. MSCI data may not be reproduced or used for any other purpose. MSCI
provides no warranties, has not prepared or approved this report, and has no
liability hereunder.

$39.5
2.5 %

Benchmark
0.00
1.00
1.00
1.11
8.03

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

5.02
12.78
11.47
-0.27
9.99
23.90
-25.89
7.12
12.95
5.91

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

5-Year Risk Profile 2


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

2.02
10.86
9.71
1.34
6.88
14.29
-14.95
7.16
12.08
9.91

7.56

1YR

Price/Earnings - Hist 1 Yr Wtd Median

Benchmark
-0.08
1.80

Annualized Return (%)

21.9

7.3
7.2
7.0

Strategy
-0.55
1.45

2Q 2015
YTD 2015

12

GMO Tax-Managed Global Balanced Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Equity

Alts

Performance (%)

Bonds

Cash

Net of Fees, USD (Rep Account)

-0.58

Gross of Fees, USD (Rep Account)

-0.33

Tax-Managed Global Balanced Index

-0.08

Value Added

-0.24

Equity

Alts

Bonds

Cash

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

13

GMO Global All Country Equity Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)


Strategy
0.35
3.29

100

2Q 2015
YTD 2015

U.S. Quality, 27.9

80

Benchmark
0.35
2.66

U.S. Opportunistic Value, 4.8


60

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Europe Value, 32.6

40

Japan, 9.6
Other Int'l. Opportunistic Value, 2.6
Emerging Markets, 21.2
Cash & Cash Equiv., 1.3

20
0
U.S. Equity
Intl. Developed Equity

Emerging Equity
Cash

Top Country Weights (%)


32.7

United States
United Kingdom
Japan
France
Germany

51.5

11.3

7.0
9.6
7.9
7.2

15

12.23

Strategy
0.63
0.90
0.95
0.93
12.42

Index
0.00
1.00
1.00
0.90
13.45

Strategy

Index

16.7 x

19.5 x

1.6 x

2.1 x

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

11.5 %
$38.3

Dividend Yield - Hist 1 Yr Wtd Avg

Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
Johnson & Johnson United States
Total

8.90

7.39

6.36

0.71

0
-5

3.2 %

Sector
Energy
Energy
Energy
Consumer Disc.
Health Care

-4.12

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

Market Cap - Weighted Median $Bil

6.80

Benchmark

5-Year Risk Profile 2

The MSCI ACWI ++ Index is an internally maintained benchmark computed by


GMO, comprised of (i) GMO blended benchmark of Global All Country Equity
Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO
blended benchmark of Global All Country Equity Allocation Composite is
comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. The MSCI ACWI (All Country World) Index (MSCI Standard Index
Series, net of withholding tax) is an independently maintained and widely
published index comprised of global developed and emerging markets. MSCI data
may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability
hereunder.

14.6 %
$39.5
2.5 %

% of Equity
2.2
2.2
1.8
1.6
1.6
9.4

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

11.63

10

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

4.17
23.46
16.34
-6.87
12.94
34.45
-41.82
10.38
20.34
9.95

Annualized Return (%)

3.4
5.0
3.1
Strategy

-0.69
21.33
14.74
-1.29
10.12
24.19
-31.41
11.12
18.87
12.51

14

GMO Global All Country Equity Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)

U.S.

Intl

EM

Net of Fees, USD (Rep Account)

+0.47

Gross of Fees, USD (Rep Account)

+0.50

MSCI ACWI

+0.35

Value Added

+0.15

U.S.

Intl

EM

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

15

GMO Global Developed Equity Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1


100

Total Return (%)


U.S. Quality, 31.2

80

U.S. Opportunistic Value, 5.4

60
40

Europe Value, 38.1

20

Japan, 11.3
Other Int'l. Opportunistic Value, 2.9
Emerging Markets, 9.8
Cash & Cash Equiv., 1.3

0
U.S. Equity
Intl. Developed Equity

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Emerging Equity
Cash

Top Country Weights (%)


36.6

United States

57.6

13.2

United Kingdom

7.9
11.3
8.9
8.4

Japan
France

Strategy

12.75

15

13.10
9.30

7.41

6.38

1.43

0
Strategy
0.78
0.91
0.95
1.03
12.34

Benchmark
0.00
1.00
1.00
0.99
13.19

Strategy

Benchmark

17.2 x

19.8 x

1.7 x

2.2 x

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

-5

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

12.1 %
$52.8

Dividend Yield - Hist 1 Yr Wtd Avg

3.1 %

Sector
Energy
Energy
Energy
Consumer Disc.
Health Care

-3.20

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
Johnson & Johnson United States
Total

4.94
26.68
15.84
-5.52
11.77
29.97
-40.70
9.02
20.05
9.42

6.69

Benchmark

5-Year Risk Profile 2

The MSCI World + Index is an internally maintained benchmark computed by


GMO, comprised of (i) GMO blended benchmark of Global Developed Equity
Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI
Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of Global Developed Equity Allocation Composite is comprised of a
weighted average of account benchmarks; many of the account benchmarks
consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or
some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is
internally blended by GMO and maintained on a monthly basis. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.

14.9 %
$45.1
2.5 %

% of Equity
2.5
2.5
2.1
1.9
1.8
10.8

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

0.32
25.82
14.14
-0.40
9.25
20.55
-33.19
9.69
20.22
12.26

10

Market Cap - Weighted Median $Bil

Benchmark
0.31
2.63

Annualized Return (%)

3.8
5.8
3.4

Germany

Strategy
0.62
3.74

2Q 2015
YTD 2015

16

GMO Global Developed Equity Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)

U.S.

Intl

EM

Net of Fees, USD (Rep Account)

+0.54

Gross of Fees, USD (Rep Account)

+0.45

MSCI World

+0.31

Value Added

+0.14

U.S.

Intl

EM

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

17

GMO Global Focused Equity Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Region Weights (%)


Australia/New Zealand
Canada
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
United States
Cash + Unrealized G/L

3.5
2.4
3.2
3.2

0.0
1.6

8.6
10.6
17.2
15.6
8.0
7.9

8.0
7.0

Strategy
10.3
0.0
10.5
24.3
11.1
14.5
13.1
8.7
5.7
1.9

-2.4

-9.4

Risk Profile Since 12/31/11

Annual Total Return (%)


2014
2013
2012

49.5
51.5

1.9
0.0

Strategy
Index
GICS Sector Weights (%)
Under/Overweight vs. Index

Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech.
Materials
Telecom. Services
Utilities

3.1
2.3
-1.3

4.2
-0.7
3.4
2.0
-1.2

Index
12.7
9.4
7.4
22.0
12.4
10.3
13.8
5.3
3.7
3.1

Strategy
-2.71
1.24
0.85
0.94
13.95

Index

16.1 x

19.5 x

Price/Cash Flow - Hist 1 Yr Wtd Median

8.4 x

13.3 x

Price/Book - Hist 1 Yr Wtd Avg

1.5 %

2.1 %

Dividend Yield - Hist 1 Yr Wtd Avg

Top Ten Holdings2


Company
Mitsubishi Tokyo Financial Group Inc.
ITT Corp
Methanex Corp.
LyondellBasell Industries N.V. Cl A
Ardmore Shipping Corp.
Capital One Financial Corp.
Allergan plc
National-Oilwell Inc.
Sumitomo Mitsui Financial Group Inc.
Pfizer Inc.
Total

$2.2

13.12

12.83

0.71

0
-5
-10

-7.75

1YR

ITD
Strategy

Index

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Index
0.00
1.00
1.00
1.22
10.44

Strategy

4.16
22.80
16.13

10

The Global Focused Equity Strategy does not have a benchmark. The Strategy has
been compared to the MSCI All Country World Index in an effort to compare and
contrast the Strategy versus a broad global equity index. The MSCI ACWI (All
Country World) Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of global
developed and emerging markets. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved
this report, and has no liability hereunder.

Characteristics
Price/Earnings - Hist 1 Yr Wtd Median

Index
0.35
2.66

-3.24
31.29
19.71

Annualized Return (%)


15

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

$2.5

% of Equity
2.4
2.3
2.3
2.3
2.3
2.3
2.3
2.3
2.3
2.3
23.1

Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Strategy
-1.47
1.20

2Q 2015
YTD 2015

18

GMO Global Focused Equity Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

19

GMO Quality Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

GICS Sector Weights (%)


Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities

5.1
0.4
0.0

12.8

9.1
7.9

8.0
10.1
1.2
3.1
2.0
2.3
0.0
2.8
Strategy

16.6
15.5

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

23.9
34.4

19.7

Benchmark

Region Weights (%)


Non US

17.8
0.0

Cash

Annualized Return (%)


20

81.1

US

100.0

1.2
0.0

10

Benchmark

12.54
25.47
11.81
11.84
5.48
19.89
-24.08
6.04
12.69
-0.79

15.66

13.69
32.39
16.00
2.11
15.06
26.46
-37.00
5.49
15.80
4.91

17.34

7.32

7.89

7.53

6.58

Strategy
1.91
0.79
0.87
1.55
10.09

Benchmark
0.00
1.00
1.00
1.45
11.90

Strategy

Benchmark

19.8 x

20.2 x

3.9 x

2.8 x

1YR

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

20.0 %

Market Cap - Weighted Median $Bil

$116.1

17.5 %

0.6 x

1.0 x

Dividend Yield - Hist 1 Yr Wtd Avg

2.3 %

2.1 %

Sector
Health Care
Information Technology
Consumer Staples
Information Technology
Information Technology

10YR

Strategy

Benchmark

ITD

The S&P 500 Index is an independently maintained and widely published index
comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,
adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the
prior written permission of S&P or its third party licensors.

$83.1

Debt/Equity Wtd Med

5YR

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

Top Holdings2
Company
Johnson & Johnson
Microsoft Corp.
Procter & Gamble Co.
Oracle Corp.
Google Inc.
Total

7.42
5.28

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

% of Equity
4.7
4.6
4.5
4.3
4.3
22.4

Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Benchmark
0.28
1.23

15

Strategy
5-Year Risk Profile

Strategy
-1.46
-1.05

2Q 2015
YTD 2015

25.0

20

GMO Quality Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)
Net of Fees, USD (Rep Account)

-1.38

Gross of Fees, USD (Rep Account)

-1.30

S&P 500

+0.28

Value Added

-1.58

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

21

GMO Resources Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Top Country Weights (%)

Total Return (%)


18.5
18.4

United Kingdom
Russia

13.0

3.4

Japan

7.9

2.3

Annual Total Return (%)


2014
2013
2012

6.2
4.9
5.9
3.9

Australia
France
Strategy

0.0
0.0
1.0
2.1
0.0
0.0
0.0
0.0
8.1
0.0
0.0
0.0

0.0
0.0
4.6
0.0
Strategy

0
-5
-10
-15
-20
-25
-30

65.0
68.1

-14.69
3.31
1.96

21.3
29.9

-4.47

-24.53

-26.03

Strategy
3.83
1.10
0.96
-0.06
18.41

Benchmark
0.00
1.00
1.00
-0.28
16.37

Strategy

Benchmark

14.1 x

14.1 x

Earnings/Share - F'cast LT Median Growth Rate

5.7 x

6.4 x

Return on Equity - Hist 1 Yr Med

7.7 %

The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard
Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of listed large and mid capitalization commodity
producers within the global developed and emerging markets. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.

Characteristics

Market Cap - Weighted Median $Bil

$22.6

Dividend Yield - Hist 1 Yr Wtd Avg

4.7 %

Sector
Energy
Energy
Energy
Energy
Energy

Benchmark

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Benchmark

Price/Earnings - Hist 1 Yr Wtd Median

ITD
Strategy

Country
Russia
United Kingdom
France
Russia
China

-1.09

1YR

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

9.7 %
$41.5
3.8 %

% of Equity
5.1
4.9
4.9
4.9
4.8
24.6

Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

-16.78
4.39
9.23

Annualized Return (%)

Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities

Top Holdings2
Company
Gazprom OAO
BP PLC
Total S.A.
LukOil OAO
CNOOC Ltd.
Total

Benchmark
-0.79
-5.15

Benchmark

GICS Sector Weights (%)

Risk Profile Since 12/31/11

Strategy
2.61
1.44

2Q 2015
YTD 2015

22

GMO Resources Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)
Net of Fees, USD (Rep Account)

+2.92

Gross of Fees, USD (Rep Account)

+2.78

MSCI ACWI Commodity Producers

-0.79

Value Added

+3.58

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

23

GMO International All Country Equity Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

100

Strategy
1.24
4.83

2Q 2015
YTD 2015

80

Benchmark
0.53
4.03

Europe Value, 48.8

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

60
Japan, 14.4
Other Int'l. Opportunistic Value, 3.9

40
20

Emerging Markets, 31.5


Cash & Cash Equiv., 1.5

0
Intl. Developed Equity

Emerging Equity

Cash

Top Country Weights (%)


United Kingdom

14.5
14.4

Japan
France

6.9
7.4
6.4

Germany
Taiwan

Annualized Return (%)

Benchmark

7.82

5.73

5.48

7.33

5.60

-5

5-Year Risk Profile 2


Strategy
0.80
0.98
0.97
0.54
15.54

Benchmark
0.00
1.00
1.00
0.50
15.54

Strategy

Benchmark

14.8 x

18.1 x

Price/Book - Hist 1 Yr Wtd Avg

1.3 x

1.7 x

Return on Equity - Hist 1 Yr Med

8.3 %

10.8 %

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

-10

Price/Earnings - Hist 1 Yr Wtd Median

Market Cap - Weighted Median $Bil

$23.2

Dividend Yield - Hist 1 Yr Wtd Avg

3.8 %

Sector
Energy
Energy
Energy
Consumer Disc.
Health Care

-5.26
-8.83

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

The MSCI ACWI ex USA + Index is an internally maintained benchmark computed


by GMO, comprised of (i) GMO blended benchmark of International All Country
Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index
(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of International All Country Equity Allocation Composite is comprised
of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. MSCI data may not be reproduced or used for any other purpose.
MSCI provides no warranties, has not prepared or approved this report, and has
no liability hereunder.

$24.5
2.9 %

% of Equity
3.2
3.2
2.7
2.5
2.2
13.8

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

8.49

10
5

Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
AstraZeneca PLC
United Kingdom
Total

-3.88
15.47
16.90
-13.63
10.82
40.16
-45.26
16.08
26.94
16.71

16.3

10.7

5.2

2.8
Strategy

16.9

-6.21
16.71
16.82
-11.31
12.74
27.77
-40.96
17.39
25.91
19.03

24

GMO International All Country Equity Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)

Intl

Net of Fees, USD (Rep Account)

+1.27

Gross of Fees, USD (Rep Account)

+1.14

MSCI ACWI ex USA

+0.53

Value Added

+0.62

Intl

EM

EM

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

25

GMO International Developed Equity Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

100

Strategy
1.03
5.48

2Q 2015
YTD 2015

80
Europe Value, 64.7

60

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

40
Japan, 19.2
Other Int'l. Opportunistic Value, 4.9
Emerging Markets, 9.8
Cash & Cash Equiv., 1.5

20
0
Intl. Developed Equity

Emerging Equity

Cash

Top Country Weights (%)


22.3
20.3
19.2
22.9

United Kingdom
Japan
France

9.7
9.9
8.9

Germany

Strategy

15

-4.90
22.78
17.32
-12.14
7.93
32.16
-43.33
11.58
26.62
14.41

9.54
5.64

8.12

6.29

5.30

Benchmark

0
-5

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Strategy
1.23
0.96
0.96
0.68
15.24

Benchmark
0.00
1.00
1.00
0.61
15.60

Strategy

Benchmark

15.8 x

19.1 x

1.3 x

1.7 x

-10

Price/Earnings - Hist 1 Yr Wtd Median


Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

7.8 %

Market Cap - Weighted Median $Bil

$28.5

Dividend Yield - Hist 1 Yr Wtd Avg

3.7 %

Sector
Energy
Energy
Energy
Consumer Disc.
Health Care

-4.22
-9.01

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

The MSCI EAFE ++ Index is an internally maintained benchmark computed by


GMO, comprised of (i) GMO blended benchmark of International Developed Equity
Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe, Australasia,
and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter.
The GMO blended benchmark of International Developed Equity Allocation
Composite is comprised of a weighted average of account benchmarks; many of
the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East)
(MSCI Standard Index Series, net of withholding tax) or some like proxy for each
market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blended by
GMO and maintained on a monthly basis. MSCI data may not be reproduced or
used for any other purpose. MSCI provides no warranties, has not prepared or
approved this report, and has no liability hereunder.

10.6 %
$30.4
3.0 %

% of Equity
4.3
4.3
3.5
3.3
2.9
18.3

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

10.37

10

Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
AstraZeneca PLC
United Kingdom
Total

-6.03
24.13
17.09
-9.45
10.58
19.84
-38.39
12.69
25.50
15.56

Annualized Return (%)

4.7
3.5

Spain

5-Year Risk Profile

14.2

Benchmark
0.62
5.52

26

GMO International Developed Equity Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)

Intl

EM

Net of Fees, USD (Rep Account)

+1.22

Gross of Fees, USD (Rep Account)

+1.07

MSCI EAFE

+0.62

Value Added

+0.45

Intl

EM

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

27

GMO International Equity Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1


100

Total Return (%)


2Q 2015
YTD 2015

80
60

Europe Value, 71.9

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

40
20

Japan, 21.3
Other Int'l. Opportunistic Value, 5.4
Cash & Cash Equiv., 1.5

0
Intl. Developed Equity

Cash

Top Country Weights (%)


24.8
20.3
21.3
22.9

United Kingdom
Japan
France

9.7
11.0
8.9

Germany
Spain

3.5

-4.90
22.78
17.32
-12.14
7.75
31.78
-43.38
11.17
26.34
13.54

Benchmark

MSCI EAFE +
0.62
5.52

-3.79
22.95
17.69
-12.17
3.25
34.23
-44.09
5.96
30.38
13.80

7.94
4.44 5.12 4.69

5.34

10YR

ITD

7.04

0
Strategy
0.03
0.95
0.97
0.57
15.82

Benchmark
0.00
1.00
1.00
0.58
16.42

Strategy

Benchmark

16.4 x

19.1 x

Price/Cash Flow - Hist 1 Yr Wtd Median

6.4 x

12.1 x

Price/Book - Hist 1 Yr Wtd Avg

1.4 x

1.7 x

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

-5
-10

Price/Earnings - Hist 1 Yr Wtd Median

Return on Equity - Hist 1 Yr Med

7.6 %

Market Cap - Weighted Median $Bil

$30.4

Dividend Yield - Hist 1 Yr Wtd Avg

3.7 %

1YR

5YR
MSCI EAFE

MSCI EAFE +

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
Series, net of withholding tax) is an independently maintained and widely
published index comprised of international large and mid capitalization stocks. The
MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained
benchmark computed by GMO, comprised of (i) the MSCI EAFE (Europe,
Australasia, and Far East) Value Index (MSCI Standard Index Series, net of
withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia,
and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter.
MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability
hereunder.

10.6 %
$30.4
3.0 %

Sector
Energy
Energy
Energy
Consumer Disc.
Health Care

-4.22 -4.22
-8.99

Strategy

Characteristics

% of Equity
4.8
4.8
3.9
3.7
3.2
20.4

The groups indicated above represent exposures determined pursuant to


proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

-5.96
25.62
12.98
-10.18
7.53
21.41
-40.31
10.21
25.78
13.98

9.15 9.54 9.59

10

Top Holdings
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
AstraZeneca PLC
United Kingdom
Total

MSCI EAFE
0.62
5.52

Annualized Return (%)


15

5.2

Strategy

5-Year Risk Profile

15.8

Strategy
0.83
5.23

28

GMO International Equity Strategy


June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)
Net of Fees, USD (Rep Account)

+1.21

Gross of Fees, USD (Rep Account)

+0.99

MSCI EAFE

+0.62

Value Added

+0.37

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

29

GMO International Active EAFE Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Region Weights (%)


3.0

Australia/New Zealand

Emerging

0.0

7.0
6.4
21.0
22.9

Japan
1.9
4.7

Cash + Unrealized G/L

0.0

4.7

Strategy

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

19.8
20.3

United Kingdom

Benchmark

GICS Sector Weights (%)


Under/Overweight vs. Benchmark
Consumer Disc.
0.6
Consumer Staples
-5.7
Energy
-0.7
Financials
7.0
Health Care
-3.7
Industrials
-4.3
Information Tech.
3.6
Materials
-6.4
Telecom. Services
8.1
Utilities
1.6

Strategy
13.8
5.2
4.5
33.2
7.5
8.3
8.3
1.0
13.0
5.2

Benchmark
13.2
10.9
5.2
26.2
11.2
12.6
4.7
7.4
4.9
3.6

15

Benchmark
0.00
1.00
1.00
0.61
15.60

Strategy

Benchmark

Price/Earnings - Hist 1 Yr Wtd Median

16.2 x

19.1 x

Price/Cash Flow - Hist 1 Yr Wtd Median

8.3 x

12.1 x

Price/Book - Hist 1 Yr Wtd Avg

1.4 x

1.7 x

Dividend Yield - Hist 1 Yr Wtd Avg

3.0 %

3.0 %

11.61
8.90
4.43

5.12

0
-10

-4.64

-4.22

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
Series, net of withholding tax) is an independently maintained and widely
published index comprised of international large and mid capitalization stocks.
MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability
hereunder.

Top Overweight Holdings


Company
Sumitomo Mitsui Financial Group Inc.
Mitsubishi Tokyo Financial Group Inc.
AstraZeneca PLC
Nippon Telegraph & Telephone Corp.
Vodafone Group PLC
Roche Holding AG
Zurich Financial Services AG
Asciano Group
Allianz AG Holding
Telecom Italia S.p.A.

-4.90
22.78
17.32
-12.14
7.75
31.78
-43.38
11.17
26.34
13.54

9.54

Characteristics

3.8
3.6
3.2
2.6
2.3
2.2
1.9
1.8
1.7
1.6

Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

8.46

10

-5
Strategy
-1.18
1.01
0.98
0.53
15.97

-11.03
24.11
14.92
-11.65
5.01
25.53
-41.24
10.58
27.52
13.52

Annualized Return (%)

5-Year Risk Profile 1


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Benchmark
0.62
5.52

43.1
45.2

Europe ex UK
Southeast Asia

Strategy
3.38
9.25

2Q 2015
YTD 2015

30

GMO International Active EAFE Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

31

GMO International Active Foreign Small Companies Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Region Weights (%)


Australia/New Zealand
Canada
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
Cash + Unrealized G/L

Total Return (%)

0.0

5.8
5.1
4.3
7.3
4.9

1.9
0.0

37.2
37.9

21.5
20.3

9.8

4.3

Strategy

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

20.1
19.5

Benchmark

GICS Sector Weights (%)


Under/Overweight vs. Benchmark Strategy
Consumer Disc.
10.3
28.4
Consumer Staples
-3.4
2.3
Energy
0.8
3.6
Financials
25.1
3.1
Health Care
2.5
-5.3
18.4
Industrials
-2.4
6.8
Information Tech.
-2.0
10.0
Materials
0.2
2.1
Telecom. Services
0.5
0.7
Utilities
-1.6

Benchmark
18.1
5.7
2.8
22.0
7.8
20.8
8.8
9.8
1.6
2.3

Benchmark
0.00
1.00
1.00
0.75
16.02

15

11.49

-3.42
26.06
18.55
-14.49
21.96
45.07
-47.67
7.32
29.42
22.10

12.02

11.00
8.34

10

7.46

7.42

Strategy

Benchmark

Price/Earnings - Hist 1 Yr Wtd Median

17.8 x

21.8 x

Price/Cash Flow - Hist 1 Yr Wtd Median

11.5 x

13.6 x

Price/Book - Hist 1 Yr Wtd Avg

1.5 x

1.7 x

Dividend Yield - Hist 1 Yr Wtd Avg

2.4 %

2.3 %

-5
-10

-1.62
-5.76

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Characteristics

Top Overweight Holdings2


Company
Asciano Group
Mediaset S.p.A.
Faurecia S.A.
Telefonica Deutschland Holding AG
Filtrona PLC
Kaba Holding AG
Tyman Plc
Amplifon S.p.A.
Incitec Pivot Ltd.
Takara Leben Co. Ltd.

-9.53
28.92
21.64
-15.21
24.76
47.63
-45.91
8.00
36.24
18.91

0
Strategy
-0.14
0.97
0.97
0.73
15.70

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Benchmark
4.61
9.25

Annualized Return (%)

5-Year Risk Profile 1

The S&P Developed ex-U.S. Small Cap Index is an independently maintained and
widely published index comprised of the small capitalization stock component of
the S&P Broad Market Index (BMI). The BMI includes listed shares of companies
from developed and emerging countries with a total available market
capitalization (float) of at least the local equivalent of $100 million USD. The S&P
Developed ex-U.S. Small Cap Index represents the bottom 15% of available market
capitalization (float) of the BMI in each country.

1.6
1.6
1.4
1.4
1.4
1.3
1.3
1.3
1.3
1.3

S&P does not guarantee the accuracy, adequacy, completeness or availability of


any data or information and is not responsible for any errors or omissions from the
use of such data or information. Reproduction of the data or information in any
form is prohibited except with the prior written permission of S&P or its third party
licensors.

Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Strategy
2.70
9.40

2Q 2015
YTD 2015

32

GMO International Active Foreign Small Companies Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

33

GMO U.S. Equity Allocation Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)


Strategy
-0.73
-0.16

100

2Q 2015
YTD 2015

80
60

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

U.S. Quality, 84.5

40
20
U.S. Opportunistic Value, 14.5
Cash & Cash Equiv., 1.0

0
U.S. Equity

Cash

GICS Sector Weights (%)


Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities

9.8
12.8
17.5
9.1
8.8
7.9
2.5
16.6
20.0
15.5
8.8
10.1
19.7
1.3
3.1
0.0
2.3
0.0
2.8
Strategy

20
31.3

Market Cap - Weighted Median $Bil

20.1 x

20.2 x

3.5 x

2.8 x

19.8 %

17.5 %

Strategy
1.61
0.81
0.91
1.52
10.31

6.45

10.24

8.05

3.85

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management
fees, transaction costs and other expenses, but before custody charges,
withholding taxes, and other indirect expenses. The returns assume the
reinvestment of dividends and other income.
The Russell 3000 +++ Index is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of U.S. Equity Allocation
Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended
benchmark of U.S. Equity Allocation Composite is comprised of a weighted average
of account benchmarks; many of the account benchmarks consist of S&P 500,
Russell 3000 or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly
basis. S&P does not guarantee the accuracy, adequacy, completeness or
availability of any data or information and is not responsible for any errors or
omissions from the use of such data or information. Reproduction of the data or
information in any form is prohibited except with the prior written permission of
S&P or its third party licensors. Russell Investment Group is the source and owner
of the trademarks, service marks and copyrights related to the Russell Indexes.
Russell is a trademark of Russell Investment Group.

$83.1
2.1 %

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Benchmark
0.00
1.00
1.00
1.43
12.16

Top Holdings3
Company
Sector
% of Equity
Johnson & Johnson
Health Care
4.8
Microsoft Corp.
Information Technology
4.3
Chevron Corp.
Energy
4.3
Apple Inc.
Information Technology
4.3
Amazon.com Inc.
Consumer Discretionary
4.2
Total
21.9
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

7.29

0
Benchmark

2.1 %

17.48
10.56

10

Strategy

$118.2

Dividend Yield - Hist 1 Yr Wtd Avg

5-Year Risk Profile

15.71

1YR

Return on Equity - Hist 1 Yr Med

12.76
32.85
16.21
1.58
16.26
27.46
-37.15
5.39
15.71
5.53

15

Characteristics

Price/Book - Hist 1 Yr Wtd Avg

9.82
27.95
12.25
9.91
7.43
20.54
-27.87
2.25
9.93
3.68

Annualized Return (%)

Benchmark

Price/Earnings - Hist 1 Yr Wtd Med

Benchmark
0.14
1.94

34

GMO U.S. Equity Allocation Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance (%)
Net of Fees, USD (Rep Account)

-0.80

Gross of Fees, USD (Rep Account)

-0.68

S&P 500

+0.28

Value Added

-0.96

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

35

GMO Emerging Markets Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Top Country Weights (%)


China

16.2

Taiwan

15.9
12.3
13.0
14.1
11.5

Korea
Brazil
Russia

6.8
3.5

26.1

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

11.4

Strategy
Benchmark
GICS Sector Weights (%)
Under/Overweight vs. Benchmark Strategy Benchmark
9.7
10.2
Consumer Disc.
-0.5
2.3
7.9
Consumer Staples
-5.6
7.3
Energy
6.1 13.4
31
27.8
Financials
3.2
1.5
3.1
Health Care
-1.6
3
8.2
Industrials
-5.2
19.1
18.6
Information Tech.
0.5
4.1
7.3
Materials
-3.2
7.9
6.1
Telecom. Services
1.8
8.1
3.3
Utilities
4.8
1
5-Year Risk Profile
Strategy
Benchmark
-2.54
0.00
Alpha
1.02
1.00
Beta
0.97
1.00
R2
0.12
0.26
Sharpe Ratio
18.39
17.81
Std. Deviation
Characteristics
Strategy
Benchmark
Price/Earnings - Hist 1 Yr Wtd Median
Price/Cash Flow - Hist 1 Yr Wtd Median

10.1 x

16.0 x

6.8 x

11.2 x

Price/Book - Hist 1 Yr Wtd Avg

1.1 x

1.5 x

Return on Equity - Hist 1 Yr Avg

13.2 %

10.3 %

Market Cap - Weighted Median $Bil

$5.7

$6.7

Number of Equity Holdings

416

2,523

Dividend Yield - Hist 1 Yr Wtd Avg


Top Ten Holdings2
Company
Samsung Electronics Co. Ltd.
HDFC Bank Ltd.
Surgutneftegaz
China Construction Bank Corp.
Industrial & Commercial Bank of China Ltd.
Bank of China Ltd.
Gazprom OAO

3.8 %

Benchmark
1.84
4.03

-5.92
-5.19
15.19
-16.95
20.20
71.89
-55.74
37.22
29.51
40.15

-1.12
-0.57
18.89
-19.03
20.64
81.03
-53.74
40.28
35.11
35.19

Annualized Return (%)


15
10
5
0
-5
-10
-15

2.23

4.69

6.16

9.09

7.18

5.79

-3.71
-9.18

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The S&P/IFCI Composite Index is an independently maintained and widely
published index comprised of emerging markets stocks. S&P does not guarantee
the accuracy, adequacy, completeness or availability of any data or information
and is not responsible for any errors or omissions from the use of such data or
information. Reproduction of the data or information in any form is prohibited
except with the prior written permission of S&P or its third party licensors.

2.5 %

% of Equity
4.5
4.3
3.9
2.9
2.8
2.2
2.0

Hon Hai Precision Industry Co. Ltd.


1.9
Hyundai Motor Co. Ltd.
1.7
LukOil OAO
1.6
Total
27.8
1 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Strategy
1.09
1.31

2Q 2015
YTD 2015

36

GMO Emerging Markets Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

37

GMO Emerging Domestic Opportunities Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Top Country Weights (%)


16.9

China

India

9.6

Thailand

2.3

United States

12.6

Annual Total Return (%)


2014
2013
2012
2011

7.5

6.7

0.0
Strategy
Benchmark
GICS Sector Weights (%)
Under/Overweight vs. Index
Strategy
13.5
Consumer Disc.
4.5
Consumer Staples
15.6 23.7
2.6
Energy
-5.8
28.2
Financials
-1.6
9.9
Health Care
7.4
6
Industrials
-0.9
4
Information Tech.
-13.9
2.9
Materials
-4.0
6.4
Telecom. Services
-0.9
2.9
Utilities
-0.4
Risk Profile Since 3/31/11 2
Strategy
5.62
Alpha
0.71
Beta
0.80
R2
0.31
Sharpe Ratio
13.95
Std. Deviation
Characteristics
Strategy

Index
9.0
8.1
8.4
29.8
2.5
6.9
17.9
6.9
7.3
3.3

Strategy

15.6 x

Price/Cash Flow - Hist 1 Yr Wtd Median

18.0 x

10.8 x

Price/Book - Hist 1 Yr Wtd Avg

2.8 x

1.5 x

Return on Equity - Hist 1 Yr Avg

15.1 %

10.9 %

Market Cap - Weighted Median $Bil

$3.9

$9.1

Number of Equity Holdings

127

838

Dividend Yield - Hist 1 Yr Wtd Avg


Top Ten Holdings3
Company
Industrial & Commercial Bank of China Ltd.
HDFC Bank Ltd.
Unilever PLC
Abbott Laboratories
Colgate-Palmolive Co.
Anheuser-Busch InBev
TRUE Telecommunication Growth Infrastruc

2.4 %

2.6 %

-2.19
-2.60
18.22
-20.06

4.38

-1.77

ITD
Index

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The Emerging Domestic Opportunities Strategy does not have a benchmark. The
Strategy has been compared to the MSCI Emerging Markets Index in an effort to
compare and contrast the Strategy versus a broad emerging markets index. The
MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax)
is an independently maintained and widely published index comprised of global
emerging markets large and mid capitalization stocks. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not
prepared or approved this report, and has no liability hereunder.

Index

22.0 x

Index
0.69
2.95

-0.30
3.80
24.33
-8.99

Annualized Return (%)


6
4
2
0
-2
-0.77
-4
-6
-5.12
1YR

Index
0.00
1.00
1.00
-0.10
17.55

Price/Earnings - Hist 1 Yr Wtd Median

% of Equity
3.4
3.1
2.9
2.9
2.8
2.5
2.0

Mega Financial Holding Co.


2.0
Maruti Udyog Ltd.
2.0
Baidu.com Inc.
1.7
Total
25.3
1 Weights are based on exposure, which will include the impact from hedges held,
if any.
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Strategy
-1.24
2.45

2Q 2015
YTD 2015

13.4

7.7

Taiwan

24.8

38

GMO Emerging Domestic Opportunities Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

39

GMO Global Bond Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Global Rates Contribution to Active Duration


Australia
Denmark
Mexico
Sweden
Japan
Switzerland
United States
Eurozone
United Kingdom

0.7
0.4
0.3
0.0
-0.1
-0.2
-0.3

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-0.9
-1.1

Portfolio Overlay Currency Positions (%)1

DNK

0.08%

GBR

0.07%

AUS

-0.22%

JPN

-0.23%

CHE

-2.70%

EUR

21%

-10

8%
0%
3%

Strategy
2.75
1.06
0.86
0.71
5.78

Benchmark
0.00
1.00
1.00
0.25
5.06
Strategy

Maturity

6.1
0 %
7.4 Yrs.

All currency positions are versus USD


The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
2

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

5.36

4.55

-7.46

5YR

10YR

Strategy

Benchmark

ITD

The J.P. Morgan GBI Global Index is an independently maintained and widely
published index comprised of government bonds of developed countries with
maturities of one year or more.

Characteristics

Emerging Cntry Debt Exp.

3.37

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income. Returns for one of the accounts in the composite are
based on estimated market values for the period from and including October 2008
through February 2009.

5-Year Risk Profile 3

Modified Duration

-6.44

1YR

6%

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

3.59
1.35

-5

1%

Under B

0.67
-4.50
1.30
7.22
6.42
1.91
12.00
10.81
5.94
-6.53

61%

BB

4.17

AA
BBB

4.98
-2.56
6.36
8.30
14.14
20.30
-14.93
2.58
7.94
-5.84

10

Portfolio Rating Breakdown (%)2

Benchmark
-1.68
-3.43

Annualized Return (%)

-12.60%

AAA

Strategy
-2.07
-4.35

2Q 2015
YTD 2015

40

GMO Global Bond Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

41

GMO International Bond Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Global Rates Contribution to Active Duration


Australia

-0.02

Japan

-0.04

United Kingdom

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-0.05

Eurozone

-0.06
-0.07

Portfolio Overlay Currency Positions (%)1


EUR

0.57%

JPN

-0.20%

GBR

Strategy
-2.38
-6.97

2Q 2015
YTD 2015

-0.03

Sweden

Denmark

Total Return (%)


Benchmark
-1.54
-5.56

1.30
-0.57
6.21
6.71
15.18
20.59
-13.95
3.66
9.33
-8.08

-2.53
-5.08
0.85
5.91
6.78
3.94
11.39
11.30
6.84
-9.24

Annualized Return (%)

-0.31%

10
Portfolio Rating Breakdown (%)

6.17

3.58

3.40
0.32

4.76

2.80

AAA

-5

28%

-10
AA

56%

-15

-13.38

-13.22

1YR

A
BBB

0%

10YR

Strategy

Benchmark

ITD

16%
Performance data quoted represents past performance and is not predictive of
future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

5-Year Risk Profile 3


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Strategy
3.25
1.05
0.88
0.46
7.72

Benchmark
0.00
1.00
1.00
0.04
6.93

The J.P. Morgan GBI Global ex U.S. Index is an independently maintained and
widely published index comprised of non-U.S. government bonds with maturities
of one year or more.

Characteristics
Strategy
Modified Duration

7.9

Maturity

9.9 Yrs.

All currency positions are versus USD


The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
2

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

5YR

42

GMO International Bond Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

43

GMO Currency Hedged International Bond Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Global Rates Contribution to Active Duration


Australia
Denmark
Mexico
Canada
United States
Sweden
Switzerland
Eurozone
United Kingdom

0.6
0.3
0.3
0.0
-0.1
-0.1
-0.2

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-1.0
-1.1

Portfolio Overlay Currency Positions (%)1


GBR

0.51%

AUS

-0.19%

CHE

Strategy
-5.39
-2.41

2Q 2015
YTD 2015

Benchmark
-4.95
-1.31

16.59
0.14
11.34
7.97
11.70
18.81
-13.56
-4.00
2.45
7.25

13.10
0.65
8.07
6.10
3.71
2.90
9.22
3.42
1.79
6.54

-2.72%
Annualized Return (%)

EUR

-11.85%

10

Portfolio Rating Breakdown (%)

AAA

42%

AA
A

28%

Below B

5.08

4.63

6.82

4.81

2
1YR

21%
6%

5YR

10YR

Strategy

Benchmark

ITD

0%
3%

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

5-Year Risk Profile 3


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

Strategy
1.44
1.08
0.83
1.32
5.17

Benchmark
0.00
1.00
1.00
1.15
4.36

The J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)+ is an internally maintained
benchmark computed by GMO, comprised of (i) the J.P. Morgan GBI Global ex U.S.
(Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S.
(Hedged) thereafter.

Characteristics
Strategy
Modified Duration

6.5

Maturity

8.3 Yrs.

All currency positions are versus USD


2 The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

5.18

BBB

5.32

0%

BB

7.85

6.91

44

GMO Currency Hedged International Bond Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

45

GMO Core Plus Bond Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Contribution to Duration
U.S. Treasuries
Government Related
Corporate
Securitized
Emerging Debt

2.0

2Q 2015
YTD 2015

0.5

1.7
1.4

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

0.2

Global Rates Contribution to Active Duration


Australia

0.6

Denmark

0.4

Mexico

0.3

Switzerland

-0.2

United States

-0.6

Eurozone

-0.8

United Kingdom

-1.0

Portfolio Overlay Currency Positions (%)1


0.30%

-0.18%

CHE

-11.95%

Portfolio Rating Breakdown (%)


AAA

75%

BBB

1%

BB

B
Below B

5-Year Risk Profile

0%
4%

Strategy
1.88
1.29
0.75
1.48
4.14

Benchmark
0.00
1.00
1.00
1.18
2.79

Characteristics
Strategy
4.3

Maturity
5.7 Yrs.
1 All currency positions are versus USD
2 The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

5.59

4.44

3.35
2.49

1.86

5YR

10YR

Strategy

Benchmark

ITD

The Barclays U.S. Aggregate Index is an independently maintained and widely


published index comprised of U.S. fixed rate debt issues having a maturity of at
least one year and rated investment grade or higher.

Modified Duration

5.89
4.44

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

6%

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation

6.17

1YR

AA
1%

5.97
-2.03
4.22
7.84
6.54
5.93
5.24
6.97
4.33
2.43

12%

9.31
0.07
9.07
9.89
13.24
20.90
-18.00
-1.01
5.76
3.95

-2.71%

EUR

-1.68
-0.10

Annualized Return (%)

GBR
AUS

-2.01
-0.87

46

GMO Core Plus Bond Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

47

GMO Debt Opportunities Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Top Country Weights (%)

Total Return (%)

United States

98.8

United Kingdom

0.9

Chile

0.3

2Q 2015
YTD 2015
Annual Total Return (%)
2014
2013
2012
2011

Risk Profile Since 10/31/11 1


Std. Deviation
Sharpe Ratio
Drawdown
(5/31/13-6/28/13)

Annualized Return (%)


8

Strategy
1.73
3.62

Strategy
0.58
1.21

Benchmark
0.10
0.20

4.35
5.76
11.90
0.16

0.35
0.40
0.82
0.12

6.32

6
4

-1.23

2.35

0.51

0.37

0
1YR

ITD
Strategy

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is


the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

Benchmark

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and
widely published index comprised of three month U.S. dollar Euro-deposits. The
duration of the Index is generally 90 days.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

48

GMO Debt Opportunities Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

49

GMO Fixed Income Hedge Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Currency Exposure (%)


Net Exposure
UK

2Q 2015
YTD 2015

Australia

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-1

Switzerland

-18

Euro Area -83

Country Exposure (%)


Net Exposure
Australia

54

Denmark

Benchmark
0.10
0.20

22.28
-3.79
10.07
15.85
11.03
21.63
-25.45
-23.39
-4.61
1.45

0.35
0.40
0.82
0.44
0.45
1.45
4.12
5.70
5.25
1.32

33

Mexico

Annualized Return (%)


8

28

Switzerland

-12

U.S.

-13

Euro
U.K.

Strategy
-7.38
-12.90

-51

6.44

2.06
0.50

0.50

0.37

-80

-0.25

-2
1YR

5YR
Strategy

Performance Attribution (%)

ITD
Benchmark

Net Contribution
Yield Curve

5.5

Mortgage

0.0

Swaption Volatility

0.0

Cash

-1.1

Opportunistic

The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and
widely published index comprised of three month U.S. dollar Euro-deposits. The
duration of the Index is generally 90 days.

-2.2

Cross Market
Currency Performance

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

-3.6

-6.1

5-Year Risk Profile 1


Std. Deviation
Sharpe Ratio
Drawdown
(2/27/15-4/30/15)

Strategy
11.24
0.57
-20.37

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is


the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

50

GMO Fixed Income Hedge Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

51

GMO Mean Reversion Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Equity Exposure (%): Vol Balanced Quality


Position
Absolute Weight

Total Return (%)

High Quality

2Q 2015
YTD 2015

64.0

S&P 500 ex. Fins

Int'l. Value

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

16.0

EM Value

9.0

S&P Mid

-10.0

Russell 2000

-15.7

Currency Hedge*

-17.0

Fixed Income & Inflation Exposure (%)1


Position

-4.73
-0.62
5.98
6.77
-8.61
-13.43
18.43
18.63
5.63
6.97

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

Annualized Return (%)


10

Absolute Weight

Euro Rates <10 Yr.

59.0

Australian Rates <5 Yr.


U.S. Rates 10 Yr.
Australian Rates

15.0

-5

13.0

-10

1.38

1.34

-0.23

-8.09

1YR

-29.0

Euro Rates >10 Yr.

0.06

0.02

-19.0

Japan Rates

2.25

19.0

U.S. Rates <2 Yr.

5.94

35.0

New Zealand Rates

5YR

10YR

Strategy

Benchmark

ITD

-59.0

Currency Exposure (%)


Position

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

Absolute Weight

Indian Rupee

19.0

Brazilian Real

2.0

Israeli Shekel

The Citigroup 3-Month Treasury Bill Index is an independently maintained and


widely published index comprised of short-term U.S. Treasury bills.

-10.0

Euro

-14.0
-19.0

Other Exposure (%)


Position

Absolute Weight

Credit Opportunies Fund

5.0

5-Year Risk Profile 2


Std. Deviation
Sharpe Ratio
Drawdown
(5/31/13-6/30/15)

Strategy
5.34
-0.06
-13.28

Displayed in local 10-year equivalents


Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
2

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

Benchmark
0.00
0.01

-64.0

Equity Exposure (%): Global Relative Value


Position
Absolute Weight

Commodity FX

Strategy
-0.81
-3.47

52

GMO Mean Reversion Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

53

GMO Systematic Global Macro Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES

Equity Market Selection (%)


Country
UK
Hong Kong
Euro Stoxx 50
Germany
Italy
Netherlands
Singapore
South Korea
Taiwan
Vix
Canada
Japan
South Africa
Australia
Net Equity

Total Return (%)


Net Weight

2Q 2015
YTD 2015

30.0
17.0
15.0
5.0
5.0
5.0
5.0
5.0
3.5
3.3

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-5.0
-5.0
-5.0
-8.0
70.8

Bond Market Selection (%)


Country
U.S.
Asset Backed
Japan -50.0
Net Bond

Net Weight

Annualized Return (%)


8

1.2

Currency Selection (%)


Currency

Net Weight

4.74

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

7.14

6.54
4.71

1.36

1.34

26.0

0.02

0.06

10.0

1YR

-16.0
-20.0

5YR

10YR

Strategy

Benchmark

ITD

-53.0

Commodity Market Selection (%)


Commodity

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The Citigroup 3-Month Treasury Bill Index is an independently maintained and
widely published index comprised of short-term U.S. Treasury bills.

Net Weight
0.5
-2.0
-2.5
-2.5
-2.5
-5.0
-5.0

-19.0

5-Year Risk Profile 1


Std. Deviation
Sharpe Ratio
Drawdown
(5/29/15-6/30/15)

Strategy
6.72
0.69
-4.54

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is


the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

4.44
9.58
0.73
5.79
10.37
15.28
-3.88
15.06
8.39
4.63

* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.

Cocoa
Soybeans
Gasoline
Copper
Wheat
Gold
Corn
Net Commodity

Benchmark
0.00
0.01

50.0

1.2

U.S. Dollar *
Euro
British Pound
Australian Dollar
Net Cash **

Strategy
-4.30
1.70

54

GMO Systematic Global Macro Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

55

GMO Tactical Opportunities Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)

Region Weights (%)


Net Weight
Non US
US

2Q 2015
YTD 2015

22.2

Annual Total Return (%)


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

-22.1

GICS Sector Weights (%)


Net Weight
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech.
Materials
Telecom. Services
Utilities

-20.4

31.0
-12.4
-0.4
4.7
-4.3

22.5
-8.6
-1.4
-10.5

Long
6.3
34.5
0.0
0.0
31.4
10.7
44.5
1.4
3.0
0.0

Short
26.7
3.5
12.4
0.4
26.7
15.0
22.0
10.0
4.4
10.5

Strategy
-2.32
-9.72

Benchmark
0.00
0.01

-2.47
-9.65
-18.36
27.51
-25.31
-41.61
36.52
17.87
-1.65
-13.24

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

Annualized Return (%)


1.40

1.34

0.06

0.02

-2
-4
-6

5-Year Risk Profile 2


Strategy
15.30
-0.44

Std. Deviation
Sharpe Ratio
Drawdown
(9/30/11-6/30/15)

% Negative Earnings
Price/Book - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med
Market Cap - Weighted Median $Bil

-38.83

Long

Short

20.1 x

21.1 x

0.0 %

52.1 %

4.1 %

3.1 %

19.8 %
$116.7
0.6 x

1.4 x

132 %

132 %

Dividend Yield - Hist 1 Yr Wtd Avg

2.3 %

1.3 %

10YR

Strategy

Benchmark

-7.00

ITD

The Citigroup 3-Month Treasury Bill Index is an independently maintained and


widely published index comprised of short-term U.S. Treasury bills.

6.8 %

% Long/Short

-6.77

5YR

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.

$9.3

Debt/Equity Wtd Med

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is


the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

-6.62

1YR

Characteristics
Price/Earnings - Excl Neg Earnings Hist 1 Yr Wtd Med

-4.78

-8

56

GMO Tactical Opportunities Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

57

GMO Total Equities Strategy


June 30, 2015
STRATEGY PROFILE

PERFORMANCE NET OF FEES


Total Return (%)1

Strategy Exposure (%)1


Equities

85.0

Merger Arbitrage
Other

2Q 2015
YTD 2015

14.0
1.0

Total

Region Exposure (%)1

U.S.

66.0
34.0

Total

Benchmark
0.00
0.01

-2.71
17.49
8.64
0.40
3.51
-7.47
14.26
-5.37
-1.90
3.56

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

Annual Total Return (%)2


2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

100.0

Non-U.S.

Strategy
-0.39
2.89

100.0

Annualized Return (%)


1

Total exposure to downside equity moves, excluding effect of hedges and short
positions, as a percent of total net assets.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

8
6
4
2
0
-2
-4

6.17

5.88
2.31

0.02

-3.45

1YR

1.65

1.34

0.06

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of


future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The Citigroup 3-Month Treasury Bill Index is an independently maintained and
widely published index comprised of short-term U.S. Treasury bills.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

58

GMO Total Equities Strategy


June 30, 2015
QUARTERLY ATTRIBUTION

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

40 Rowes Wharf | Boston, Massachusetts 02110


(617) 330-7500 | www.gmo.com
GMO LLC 2015

59

Benchmarks and Indices


June 30, 2015

GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or indexplus strategy. Actual composition of a strategys portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and
expenses. One cannot invest directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is shown in the
strategys prospectus. GMO may change a strategys benchmark from time to time.
Full Name

Description

Barclays U.S. Aggregate Index

The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate
debt issues having a maturity of at least one year and rated investment grade or higher.

Citigroup 3-Month T-Bill Index

The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of shortterm U.S. Treasury bills.

CPI Index

The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an
indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.

GMO Global Asset Allocation Index +

The GMO Global Asset Allocation Index + is an internally maintained benchmark computed by GMO, comprised of (i) GMO
blended benchmark of Global Asset Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset Allocation
(Blend) Index thereafter. The GMO blended benchmark of Global Asset Allocation Composite is comprised of a weighted
average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index
Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO
and maintained on a monthly basis. The GMO Global Asset Allocation (Blend) Index is an internally maintained benchmark
computed by GMO, comprised of 65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and 35% the
Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or
information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the
data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.
MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or
approved this report, and has no liability hereunder.

GMO Real Return Global Balanced Asset


Allocation Blended Index +

The GMO Real Return Global Balanced Asset Allocation Blended Index + is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of Real Return Global Balanced Asset Allocation Composite through
06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO blended benchmark of Real Return Global
Balanced Asset Allocation Composite is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting
of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. The
RRGBAL Blended Index is comprised of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax), 20%
Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill Index. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Tax-Managed Global Balanced Index

The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country
World Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data
may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.

J.P. Morgan GBI Global

The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government
bonds of developed countries with maturities of one year or more.

J.P. Morgan GBI Global ex Japan ex U.S.


(Hedged) +

The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO,
comprised of (i) the J.P. Morgan GBI Global ex U.S. (Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan
ex U.S. (Hedged) thereafter.

J.P. Morgan GBI Global ex-U.S. Index

The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S.
government bonds with maturities of one year or more.

J.P. Morgan U.S. 3 Month Cash Index

The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three
month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days.

MSCI ACWI

The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently
maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has
no liability hereunder.

60

Benchmarks and Indices


June 30, 2015

Full Name

Description

MSCI ACWI ++

The MSCI ACWI ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of Global All Country Equity Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global All Country
Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World Index) (MSCI Standard Index Series, net of withholding tax) or some like proxy for
each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly basis. The MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index
comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose.
MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI ACWI Commodity Producers

The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of listed large and mid capitalization commodity producers
within the global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI
provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI ACWI ex USA + Index

The MSCI ACWI ex USA + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of International All Country Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index
(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of International All Country
Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like
proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will
vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced
or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability
hereunder.

MSCI EAFE Index

The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.

MSCI EAFE + Index

The MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained benchmark computed by GMO,
comprised of (i) the MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of
withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI EAFE ++ Index

The MSCI EAFE ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of International Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe,
Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of International Developed Equity Allocation Composite is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East) (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on
a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not
prepared or approved this report, and has no liability hereunder.

MSCI Emerging Markets Index

The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and
widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has
no liability hereunder.

MSCI World + Index

The MSCI World + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of Global Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI Standard
Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global Developed Equity Allocation
Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI
World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO
and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.

61

Benchmarks and Indices


June 30, 2015

Full Name

Description

Russell 3000 +++ Index

The Russell 3000 +++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of U.S. Equity Allocation Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended
benchmark of U.S. Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO
and maintained on a monthly basis. S&P does not guarantee the accuracy, adequacy, completeness or availability of any
data or information and is not responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third
party licensors. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to
the Russell Indexes. Russell is a trademark of Russell Investment Group.

S&P 500 Index

The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks.
S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in
any form is prohibited except with the prior written permission of S&P or its third party licensors.

S&P Developed ex-U.S. Small Cap Index

The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the
small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies
from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of
$100 million USD. The S&P Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization
(float) of the BMI in each country.

S&P/IFCI Composite Index

The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets
stocks. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in
any form is prohibited except with the prior written permission of S&P or its third party licensors.

62