GMO Quarterly Update 2 Q 13

GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S.
, developed international, and emerging markets. For client inquiries, please contact your Client Relationship Manager. For new business inquiries, please contact your Relationship Manager or Holly Carson at (617) 346-7501 or holly.carson@gmo.com This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.
GMO Capabilities
GMO U.S. Equities
U.S. Core Intrinsic Value Growth Small/Mid Cap Real Estate*
Page
5 6 7 8
GMO Asset Allocation

Global Asset Allocation Real Return Global Balanced Asset Alloc. Benchmark-Free Allocation Global Allocation Absolute Return Real Return Asset Allocation Global All Country Equity Allocation
Page
29 30 31 32 33 34 35 36 37 38
GMO International Equities

International Active EAFE International Active Foreign Small Companies International Intrinsic Value International Growth International Core Equity Currency Hedged International Equity Japan Equity International Small Companies* Tax-Managed International Equities
Page
9 10 11 12 13 14 15 16
Global Developed Equity Allocation International All Country Equity Alloc. International Developed Equity Allocation U.S. Equity Allocation Flexible Equities* Special Situations* Alternative Asset Opportunity* Alpha Only* Tax-Managed Global Balanced
39
GMO Emerging Equities

Emerging Markets Emerging Countries Emerging Domestic Opportunities
GMO Absolute Return

Page
17 18 19
Total Equities Tactical Opportunities Emerging Country Debt Long/Short* Currency Hedge Fixed Income Hedge Emerging Currency Hedge Mean Reversion Systematic Global Macro Completion* Multi-Strategy*
Page
40 41 42 43 44 45 46
GMO Global Equities

Global Active Equity Global Focused Equity Quality Global Equity Risk Premium*
Page
20 21 22 23
GMO Alternative Assets

Resources
Page
24
GMO Fixed Income

Core Plus Bond U.S. Treasury* International Bond Currency Hedged Int'l. Bond Global Bond Emerging Country Debt* Emerging Country Local Debt* Asset Allocation Bond*
Page
25 26 27 28
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included in this document. For information please contact GMO.
2013 Performance of GMO Strategies and Benchmarks

Total Return Net of Fees Average Annual Total Return One Year 19.32 20.60 22.47 25.32 17.33 17.07 29.62 25.61 One Year 15.87 18.62 23.81 18.53 16.96 18.56 18.62 20.36 18.67 18.62 17.70 18.62 21.49 24.60 17.26 21.28 17.41 18.62 Five Year 8.06 7.01 8.11 6.67 9.38 7.47 9.49 9.18 Five Year -1.68 -0.63 3.46 1.64 -1.93 -0.93 -0.63 2.32 -0.38 -0.63 -0.97 -0.63 1.76 1.83 2.04 0.36 -1.20 -0.63 Ten Year 6.57 7.30 6.88 7.79 6.43 7.40 8.56 10.04 Ten Year 7.25 7.67 12.57 10.80 7.24 7.64 7.67 9.03 7.62 7.67 7.93 7.67 6.93 6.71 n/a n/a 8.53 7.67 Since Inception 11.18 10.72 5.35 4.94 10.00 9.32 11.27 11.30 Since Inception 11.85 8.91 11.23 6.82 7.82 6.80 5.08 7.77 5.61 5.88 7.72 6.42 7.37 5.92 1.40 -0.29 7.35 4.53
GMO U.S. Equity Strategies/Benchmarks

U.S. Core S&P 500 Intrinsic Value Russell 1000 Value Growth Russell 1000 Growth Small/Mid Cap Russell 2500 +
Inception Date 9/30/85 5/31/99 12/31/88 12/31/91
2Q 2013 3.57 2.91 3.58 3.20 2.79 2.06 3.19 2.27 2Q 2013 0.80 -0.99 0.14 -2.72 0.61 -0.80 -0.99 -0.35 -1.17 -0.99 0.50 -0.99 1.33 1.12 -1.15 3.26 0.88 -0.99
YTD 2013 15.38 13.82 16.16 15.90 13.23 11.80 18.25 15.42 YTD 2013 3.72 4.10 7.58 4.03 3.47 2.74 4.10 7.16 5.47 4.10 4.07 4.10 8.91 10.82 12.81 16.08 4.37 4.10
YTD Value Added 1.56 0.26 1.42 2.84
GMO International Equity Strategies/Benchmarks

International Active EAFE MSCI EAFE Int'l. Active Foreign Small Companies S&P Developed ex-U.S. Small Cap International Intrinsic Value MSCI EAFE Value MSCI EAFE International Growth MSCI EAFE Growth MSCI EAFE International Core Equity MSCI EAFE Currency Hedged International Equity MSCI EAFE (Hedged) Japan Equity MSCI Japan IMI++ Tax-Managed International Equities MSCI EAFE
Inception Date 5/31/81 1/31/95 3/31/87
YTD Value Added -0.39 3.55 0.73
11/30/01
1.70
1/31/02 6/30/95 12/31/05 8/31/98
-0.03 -1.90 -3.27 0.26
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 2013 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.

Total Return Net of Fees Average Annual Total Return One Year -0.34 4.19 2.87 -1.89 4.19 2.87 16.57 2.87 One Year 18.01 18.58 20.01 16.57 16.44 20.60 18.04 18.58 One Year 1.16 -2.79 One Year 4.43 -0.69 1.07 -6.55 7.28 4.31 0.53 -4.96 Five Year -2.57 0.30 -0.43 -3.46 0.30 -0.43 n/a n/a Five Year 0.60 2.70 n/a n/a 8.97 7.01 2.21 2.70 Five Year n/a n/a Five Year 5.95 5.19 4.43 2.96 6.97 6.10 4.55 3.48 Ten Year 13.26 14.65 13.66 12.18 14.65 13.66 n/a n/a Ten Year 8.42 7.25 n/a n/a n/a n/a 7.41 7.25 Ten Year n/a n/a Ten Year 4.75 4.52 5.77 4.94 4.83 4.67 5.17 4.85 Since Inception 7.78 5.80 5.24 8.17 7.71 6.53 6.21 -6.74 Since Inception 7.78 2.21 16.77 14.90 5.60 5.86 7.08 5.70 Since Inception -0.82 -5.27 Since Inception 6.07 5.90 6.95 5.56 7.94 6.87 5.87 5.17
GMO Emerging Equity Strategies/Benchmarks

Emerging Markets S&P/IFCI Composite MSCI Emerging Markets Emerging Countries S&P/IFCI Composite MSCI Emerging Markets Emerging Domestic Opportunities MSCI Emerging Markets
Inception Date 12/31/93
2Q 2013 -10.28 -7.43 -7.88 -10.66 -7.43 -7.88 -4.37 -7.88 2Q 2013 1.66 0.64 3.20 -0.40 2.11 2.91 2.86 0.64 2Q 2013 -7.05 -7.70 2Q 2013 -3.61 -2.33 -4.98 -3.55 -2.81 -0.99 -4.28 -3.10
YTD 2013 -12.25 -8.43 -9.57 -13.02 -8.43 -9.57 1.22 -9.57 YTD 2013 7.69 8.43 5.41 6.05 12.85 13.82 9.28 8.43 YTD 2013 -9.58 -9.57 YTD 2013 -0.60 -2.45 -4.16 -7.56 -0.57 -0.69 -4.03 -5.80
YTD Value Added -3.82
9/30/97
-4.58
3/31/11
10.79
GMO Global Equity Strategies/Benchmarks

Global Active Equity MSCI World Global Focused Equity MSCI ACWI Quality S&P 500 Global Equity MSCI World
Inception Date 8/31/00 12/31/11 2/29/04 7/31/96
YTD Value Added -0.74 -0.64 -0.97 0.85
GMO Alternative Asset Strategies/Benchmarks

Resources MSCI ACWI Commodity Producers
Inception Date 12/31/11
YTD Value Added -0.01
GMO Fixed Income Strategies/Benchmarks

Core Plus Bond Barclays U.S. Aggregate International Bond J.P. Morgan GBI Global ex U.S. Currency Hedged Int'l. Bond J.P. Morgan GBI Global ex-Japan ex U.S. (Hedged) + Global Bond* J.P. Morgan GBI Global
Inception Date 4/30/97 12/31/93 9/30/94
YTD Value Added 1.85 3.40 0.12
12/31/95
1.77
* 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.

Total Return Net of Fees Average Annual Total Return One Year 9.89 10.29 11.33 10.72 9.99 1.89 9.00 6.98 7.91 1.89 15.03 16.98 17.27 18.58 13.12 13.79 17.94 18.62 18.01 21.07 2.22 0.08 8.42 9.83 One Year 11.84 0.08 -15.17 0.08 -6.52 0.56 6.92 0.56 0.87 0.56 4.49 0.08 5.65 0.08 Five Year 5.75 3.88 5.31 3.19 6.70 1.39 5.88 6.45 n/a n/a 4.53 2.74 3.91 2.71 -0.63 -0.81 -0.20 -0.50 8.40 7.23 n/a n/a 4.23 4.19 Five Year 3.92 0.23 -10.13 0.23 -4.79 1.08 1.31 1.08 0.35 1.08 0.95 0.23 4.96 0.23 Ten Year 7.92 6.25 n/a n/a 10.77 2.41 9.45 7.52 n/a n/a 9.15 7.44 8.61 7.12 9.40 8.61 8.80 8.03 7.02 7.59 n/a n/a 7.13 6.20 Ten Year 1.48 1.63 n/a n/a n/a n/a n/a n/a n/a n/a 6.87 1.63 6.32 1.63 Since Inception 9.77 8.00 6.94 4.88 11.23 2.31 9.76 7.42 -0.34 1.97 8.95 7.00 9.26 7.06 7.33 5.42 8.06 6.07 10.54 9.80 3.20 0.06 7.63 6.73 Since Inception 5.80 1.90 -6.30 1.72 -0.11 2.38 -0.70 2.50 2.43 2.36 8.25 1.62 7.56 1.62
GMO Asset Allocation Strategies/Benchmarks

Global Asset Allocation Blended Benchmark Real Return Global Balanced Asset Alloc. Blended Benchmark Benchmark-Free Allocation CPI Global Allocation Absolute Return CPI Plus 5% Real Return Asset Allocation CPI Global All Country Equity Allocation Blended Benchmark Global Developed Equity Allocation Blended Benchmark International All Country Equity Alloc. Blended Benchmark
Inception Date 6/30/88 6/30/04 7/31/01 7/31/01 12/31/09 12/31/93 3/31/87 2/28/94
2Q 2013 -0.46 -1.07 0.21 -0.07 -0.04 0.26 -0.49 1.49 0.02 0.26 -0.08 -0.25 1.47 0.64 -2.54 -3.02 0.04 -0.99 2.97 2.84 2.15 0.02 -1.30 -1.22 2Q 2013 0.93 0.02 -3.47 0.02 -12.19 0.10 -2.18 0.10 -3.60 0.10 0.39 0.02 3.11 0.02
YTD 2013 3.23 3.05 5.04 4.52 4.14 0.85 3.55 3.34 3.34 0.85 5.97 6.50 8.65 8.43 -0.39 0.07 3.97 4.10 14.39 13.99 3.66 0.03 2.27 2.79 YTD 2013 4.01 0.03 -1.76 0.03 -7.21 0.21 -0.53 0.21 -3.43 0.21 3.89 0.03 6.05 0.03
YTD Value Added 0.19 0.52 3.29 0.21 2.49 -0.53 0.23 -0.46 -0.14 0.40 3.63 -0.53
International Developed Equity Allocation 11/30/91 Blended Benchmark U.S. Equity Allocation Blended Benchmark Alternative Asset Opportunity Citigroup 3-Mo. T-Bill Tax-Managed Global Balanced GMO Tax-Managed Global Balanced Index 2/28/89 10/31/11 12/31/02
GMO Absolute Return Strategies/Benchmarks

Total Equities Citigroup 3-Mo. T-Bill Tactical Opportunities Citigroup 3-Mo. T-Bill Currency Hedge J.P. Morgan U.S. 3 Month Cash Fixed Income Hedge J.P. Morgan U.S. 3 Month Cash Emerging Currency Hedge J.P. Morgan U.S. 3 Month Cash Mean Reversion Citigroup 3-Mo. T-Bill Systematic Global Macro Citigroup 3-Mo. T-Bill
Inception Date 9/30/00 9/30/04 7/31/03 8/31/05 3/31/06 2/28/02 3/31/02
YTD Value Added 3.98 -1.80 -7.42 -0.74 -3.65 3.86 6.02
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 U.S. Core Strategy

Inception: 9/30/85; Benchmark: S&P 500 Index Performance1
Total Return Net of Fees (%) Average Annual Total Return (%)
As of June 30, 2013

Top Ten Holdings2,5
One Year 19.32 20.60 Five Year 8.06 7.01 Ten Year 6.57 7.30 Since Inception 11.18 10.72
2Q 2013 Strategy Benchmark

3
YTD 2013 15.38 13.82
3.57 2.91
Annual Total Return Net of Fees (%)
2003 Strategy 26.64 Benchmark 28.69
2004 9.85 10.88
2005 3.66 4.91
2006 9.74 15.80
2007
2008
2009 21.40 26.46
2010 8.95 15.06
2011 8.16 2.11
2012 12.87 16.00
1.64 -30.17 5.49 -37.00
Microsoft Corp. Johnson & Johnson Google Inc. (Cl A) Pfizer Inc. Chevron Corp. Merck & Co Inc Int'l. Business Machines Procter & Gamble Co. Oracle Corp. Philip Morris Int'l. Inc. Total
5.3% 5.3% 4.1% 3.8% 3.5% 3.4% 3.3% 3.2% 2.6% 2.6% 37.1%
Risk Profile Since 9/30/854

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark -4.4 6.4 -2.8 -5.4 14.6 -6.9 6.8 -3.0 -2.2 -3.1 -20 -10 0 10 20
GICS Sectors
Alpha Beta 2 R Sharpe Ratio
1.52 0.92 0.95 0.53
0.00 1.00 1.00 0.44
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 17.6 Price/Book - Hist 1 Yr Wtd Avg 2.4 Dividend Yield - Hist 1 Yr Wtd Avg 2.2 Return on Equity - Hist 1 Yr Med 18.1 Market Cap - Weighted Median $Bil $139.2
x x % %
17.9 2.4 2.2 15.4 $62.4
x x % %
Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecom. Services Utilities
7.8 % 16.9 7.7 11.3 27.3 3.3 24.6 0.3 0.6 0.2
12.2 % 10.5 10.5 16.7 12.7 10.2 17.8 3.3 2.8 3.3
Quarterly Strategy Attribution The U.S. Core Strategy returned +3.6% net of fees for the second quarter of 2013, leading the +2.9% return of its benchmark, the S&P 500 index. Sector selection had a modest positive impact on relative returns for the quarter. The Strategy saw positive returns relative to the benchmark attributable to an overweight in Health Care and underweight positions in Utilities and Materials. An overweight in Consumer Staples and underweight positions in Financials and Consumer Discretionary detracted. Stock selection was flat for the quarter. Selections in Information Technology, Financials, and Consumer Discretionary added to returns versus the benchmark while selections in Health Care, Consumer Staples, and Energy detracted. Individual stocks adding to relative returns in the second quarter included overweight positions in Microsoft and UnitedHealth Group and an underweight in Apple. Stock selections detracting from returns versus the benchmark included overweight positions in International Business Machines, Eli Lilly, and Oracle.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
GMO Intrinsic Value Strategy

Inception: 5/31/99; Benchmark: Russell 1000 Value Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 16.16 15.90
One Year 22.47 25.32
Five Year 8.11 6.67
Ten Year 6.88 7.79
Since Inception 5.35 4.94
3.58 3.20
2004 12.12 16.49
2005 5.57 7.05
2006 13.61 22.24
2007
2008
2009 19.42 19.69
2010 11.86 15.51
2011 9.82 0.39
2012 14.63 17.51
-3.73 -34.51 -0.17 -36.85
Johnson & Johnson Pfizer Inc. Microsoft Corp. JPMorgan Chase & Co. Merck & Co Inc Wal-Mart Stores Inc. Int'l. Business Machines Oracle Corp. Procter & Gamble Co. Bank of America Corp. Total
4.9% 4.8% 4.7% 4.1% 3.4% 3.3% 2.6% 2.6% 2.6% 2.5% 35.5%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -2.1 Consumer Discretionary 6.5 % 8.6 % 8.8 Consumer Staples 15.9 7.1 -8.4 Energy 6.9 15.3 -12.1 Financials 16.6 28.7 17.7 29.5 Health Care 11.8 -6.0 Industrials 3.0 9.0 12.7 19.7 Information Technology 7.0 Sector
1.18 0.91 0.94 0.25
0.00 1.00 1.00 0.17
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 17.0 Price/Book - Hist 1 Yr Wtd Avg 2.1 Dividend Yield - Hist 1 Yr Wtd Avg 2.3 Return on Equity - Hist 1 Yr Med 15.9 Market Cap - Weighted Median $Bil $126.4
x x % %
17.0 1.7 2.4 11.4 $38.9
x x % %
Materials Telecom. Services Utilities

-20
-2.6 -1.7 -6.3 -10 0 10 20
0.7 1.3 0.0
3.3 3.0 6.3

GICS Sectors
Quarterly Strategy Attribution The Intrinsic Value Strategy returned +3.6% net of fees for the second quarter of 2013, leading the +3.2% return of its benchmark, the Russell 1000 Value index. Sector selection added to relative returns for the quarter. The Strategy saw positive returns relative to the benchmark attributable to an overweight in Information Technology and underweight positions in Energy and Utilities. Underweight positions in Financials and Consumer Discretionary and an overweight in Consumer Staples detracted. Stock selection detracted from relative returns. Selections in Financials, Industrials, and Materials added to returns versus the benchmark while selections in Information Technology, Health Care, and Energy detracted. Individual stocks adding to relative returns in the second quarter included overweight positions in Microsoft, Google, and JPMorgan Chase. Stock selections detracting from returns versus the benchmark included overweight positions in International Business Machines, Eli Lilly, and Oracle.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-tobook ratios and lower forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
GMO Growth Strategy

Inception: 12/31/88; Benchmark: Russell 1000 Growth Index Performance1
As of June 30, 2013

Top Ten Holdings2,5
One Year 17.33 17.07 Five Year 9.38 7.47 Ten Year 6.43 7.40 Since Inception 10.00 9.32

3
YTD 2013 13.23 11.80
2.79 2.06
2004 4.66 6.30
2005 3.93 5.26
2006 2.44 9.07
2007
2008
2009 24.64 37.21
2010 12.02 16.71
2011 8.72 2.64
2012 16.36 15.26
5.99 -30.42 11.81 -38.44
Apple Inc. Google Inc. (Cl A) Microsoft Corp. Int'l. Business Machines Coca-Cola Co. QUALCOMM Inc. Philip Morris Int'l. Inc. Wal-Mart Stores Inc. Oracle Corp. PepsiCo Inc. Total
4.7% 4.5% 4.1% 3.2% 3.0% 2.9% 2.6% 2.5% 2.3% 2.3% 32.1%

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark 15.3
-0.2 Consumer Discretionary Consumer Staples -3.2 Energy -4.4 Financials -1.9 Health Care Characteristics5 -8.1 Industrials Strategy Benchmark Information Technology Price/Earnings - Hist 1 Yr Wtd Med 20.7 x 20.3 x -2.3 Materials Earnings/Share - F'cast LT Med Growth 12.0 x 12.4 x -0.4 Telecom. Services Dividend Yield - Hist 1 Yr Wtd Avg 1.8 % 1.8 % -0.2 Utilities Return on Equity - Hist 1 Yr Med 22.3 % 21.8 % -20 -10 0 Market Cap - Weighted Median $Bil $75.5 $53.4
1.67 0.92 0.94 0.43
0.00 1.00 1.00 0.34
5.4
17.5 % 27.9 0.9 0.5 11.2 4.9 33.6 1.6 1.9 0.0
17.7 % 12.6 4.1 4.9 13.1 13.0 28.2 3.9 2.3 0.2
GICS Sectors
10
20
Quarterly Strategy Attribution The Growth Strategy returned +2.8% net of fees in the second quarter of 2013, leading the +2.1% return of its benchmark, the Russell 1000 Growth index. Sector selection added to relative returns for the quarter. An underweight position in Energy and overweight positions in Information Technology and Consumer Staples added to relative returns. Stock selection added to relative returns for the quarter. Selections in Information Technology, Consumer Staples, and Consumer Discretionary were among those adding to returns versus the benchmark. Individual stocks adding to relative returns in the second quarter included overweight positions in Priceline.com, Google, and Groupon. Stock selections detracting from returns versus the benchmark included overweight positions in Qualcomm and Equinix and an underweight in Boeing.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher priceto-book ratios and higher forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
GMO Small/Mid Cap Strategy

Inception: 12/31/91; Benchmark: Russell 2500 + Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 18.25 15.42
One Year 29.62 25.61
Five Year 9.49 9.18
Ten Year 8.56 10.04
3.19 2.27
2004 20.80 21.58
2005 7.95 7.74
2006 10.86 20.18
2007
2008
2009 13.64 27.68
2010 25.88 24.82
2011 1.81 -3.36
2012 16.33 17.59
-12.37 -26.97 -7.27 -31.99
HollyFrontier Corp. Tesoro Petroleum Corp. Computer Sciences Corp. Gannett Co. Inc. Energizer Holdings Inc. GameStop Corp. Amdocs Ltd. Harris Corp. Torchmark Corp. Hasbro Inc. Total
1.1% 0.9% 0.9% 0.8% 0.7% 0.7% 0.7% 0.7% 0.7% 0.7% 7.9%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 4.5 Consumer Discretionary 19.7 % 15.2 % 3.0 Consumer Staples 6.3 3.3 -0.6 Energy 5.1 5.7 0.9 Financials 24.3 23.4 -1.7 Health Care 8.6 10.3 -1.0 Industrials 14.5 15.5 Sector
0.97 0.94 0.94 0.55
0.00 1.00 1.00 0.51
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
15.8 1.6 1.9 11.4 $2.8
x x % %
22.7 2.1 1.5 10.5 $3.1
x x % %
Information Technology -1.3 Materials -0.1 Telecom. Services -3.9 Utilities

-6 -3 0
0.1
14.3 5.1 1.0 1.1

3 6
14.2 6.4 1.1 5.0

GICS Sectors
Quarterly Strategy Attribution The Small/Mid Cap Strategy returned +3.2% net of fees in the second quarter of 2013, leading the +2.3% return of its benchmark, the Russell 2500 index. Sector selection added to returns relative to the benchmark. Overweight positions in Consumer Staples and Consumer Discretionary and an underweight in Materials added to relative returns during the period. Stock selection also added to relative returns for the quarter. Selections in Financials, Information Technology, and Health Care added to returns versus the benchmark while selections in Energy, Consumer Staples, and Industrials detracted. Individual stocks adding to relative returns included overweight positions in First Solar, GameStop, and Warner Chilcott. Individual names detracting from relative returns included overweight positions in Hollyfrontier and Delek US Holdings and an underweight in Tesla Motors.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 2500 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii) the Russell 2500 Value Index from 12/31/1996 to 1/16/2012 and (iii) the Russell 2500 Index thereafter. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
GMO International Active EAFE Strategy

Inception: 5/31/81; Benchmark: MSCI EAFE Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 3.72 4.10
One Year 15.87 18.62
Five Year -1.68 -0.63
Ten Year 7.25 7.67
0.80 -0.99
2004 22.33 20.25
2005 13.52 13.54
2006 27.52 26.34
2007
2008
2009 25.53 31.78
2010
2011
2012 14.92 17.32
10.58 -41.24 11.17 -43.38
5.01 -11.65 7.75 -12.14
Sumitomo Mitsui Financial Mitsubishi Tokyo Financial HSBC Holdings PLC Toyota Motor Corp. Sanofi-Aventis S.A. Australia & NZ Banking Mediaset S.p.A. Telstra Corp. Ltd. E.ON AG British American Tobacco Total
3.0% 2.5% 2.3% 2.1% 2.0% 2.0% 1.7% 1.7% 1.7% 1.6% 20.6%

Strategy Benchmark
Characteristics5
Strategy Benchmark
4.52 0.82 0.83 0.50
0.00 1.00 1.00 0.23
Price/Earnings - Hist 1 Yr Wtd M ed Price/Cash Flow - Hist 1 Yr Wtd M ed Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
15.0 x 8.4 x 1.3 x 3.3 %
17.1 x 10.4 x 1.5 x 3.3 %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -1.0 -3.8 2.6 -3.5 -1.6 4.8 2.6 -6 -3 0 3 6
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 7.0 18.7 % Consumer Discretionary 11.7 % -4.4 Consumer Staples 7.4 11.8 -0.9 Energy 6.1 7.0 3.9 Financials 28.9 25.0 -3.2 Health Care 7.3 10.5 1.0 Industrials 13.7 12.7 -0.2 Information Technology 4.2 4.4 -1.9 Materials 6.1 8.0 -0.6 Telecom. Services 4.6 5.2 -0.8 Utilities 3.0 3.8 Sector -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Australia/New Zealand Emerging Cash
Quarterly Strategy Attribution The International Active EAFE Strategy outperformed the MSCI EAFE index in the second quarter; the Strategy gained 0.8% net of fees while the benchmark fell 1.0%. Country selection was ahead of the benchmark. An underweight position in Australia added to returns. The market fell as its exposure to a slowing China became a negative. An underweight position in Continental Europe also added to performance, as did an overweight position in Japan. Despite some bumps, the Japanese index benefited from Abenomics. Stock selection beat the benchmark in the second quarter. Holdings in Continental Europe and Japan outperformed. Stock selection in the emerging markets was negative.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
GMO Intl. Active Foreign Small Companies Strategy

Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 7.58 4.03
One Year 23.81 18.53
Five Year 3.46 1.64
Ten Year 12.57 10.80
0.14 -2.72
2004 29.30 28.73
2005 18.91 22.10
2006 36.24 29.42
2007
2008
2009 47.63 45.07
2010
2011
2012 21.64 18.55
8.00 -45.91 7.32 -47.67
24.76 -15.21 21.96 -14.49
Nihon Kohden Corp. Autogrill S.p.A. Sky City Entertainment Euromoney Institutional NHK Spring Co. Ltd. Filtrona PLC Asciano Group Toll Holdings Ltd. Federation Centres Lupus Capital PLC Total
1.8% 1.4% 1.3% 1.3% 1.3% 1.2% 1.2% 1.2% 1.2% 1.2% 13.1%

Strategy Benchmark
Characteristics5
Strategy Benchmark
5.65 0.92 0.94 0.55
0.00 1.00 1.00 0.22
Price/Earnings - Hist 1 Yr Wtd M ed Price/Cash Flow - Hist 1 Yr Wtd M ed Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
16.4 9.3 1.4 2.5
x x x %
18.3 10.9 1.4 2.7
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -2.7 -2.3 4.0 -2.7 -5.7 0.6 5.5 3.4 -5 0 5 10 Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 10.4 Consumer Discretionary 28.1 % 17.7 % -0.9 Consumer Staples 5.1 6.0 1.4 Energy 6.0 4.6 -4.8 Financials 16.0 20.8 -0.1 Health Care 5.5 5.6 -0.7 Industrials 22.6 23.3 -0.2 Information Technology 7.9 8.1 -2.5 Materials 7.6 10.1 -0.6 Telecom. Services 0.9 1.5 -1.8 Utilities 0.5 2.3 -20 -10 0 10 20
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash
-10
Quarterly Strategy Attribution The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index in the second quarter, gaining 0.1% net of fees while the benchmark fell 2.7%. Country selection was ahead of the benchmark. An underweight position in Canada added to returns. An underweight position in Australia helped when the market fell as its exposure to a slowing China became a negative. An underweight position in Continental Europe also added to performance. Stock selection beat the benchmark. Our holdings in Japan, Continental Europe, Australia, and Korea outperformed. Stock selection was negative in the emerging markets.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
10
GMO International Intrinsic Value Strategy

Inception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index Performance1
As of June 30, 2013

Top Ten Holdings2,5
2Q 2013 Strategy MSCI EAFE Value MSCI EAFE

3 3
YTD 2013 3.47 2.74 4.10

2005 13.98 13.80 13.54 2006 25.78 30.38 26.34 2007
One Year 16.96 18.56 18.62

2008
Five Year -1.93 -0.93 -0.63

2009 21.41 34.23 31.78
Ten Year 7.24 7.64 7.67

2010 2011
Since Inception 7.82 6.80 5.08

2012 12.98 17.69 17.32
0.61 -0.80 -0.99

2003 2004 25.23 24.33 20.25
Strategy 43.53 MSCI EAFE Value 45.30 MSCI EAFE 38.59
10.21 -40.31 5.96 -44.09 11.17 -43.38
7.53 -10.18 3.25 -12.17 7.75 -12.14
Total S.A. Royal Dutch Shell PLC BP PLC Vodafone Group PLC Sanofi-Aventis S.A. Banco Santander S.A. AstraZeneca PLC Telefonica S.A. Barclays PLC E.ON AG Total
4.5% 4.3% 3.2% 2.7% 2.7% 2.5% 2.3% 2.1% 1.8% 1.7% 27.8%

Strategy M SCI EAFE Value M SCI EAFE
Characteristics5
Strategy M SCI EAFE Value M SCI EAFE
2.30 0.82 0.87 0.30
0.00 1.00 1.00 0.17
0.00 1.00 1.00 0.07
Price/Earnings - Hist 1 Yr Wtd Med 11.7 x Price/Cash Flow - Hist 1 Yr Wtd Med 5.4 x Price/Book - Hist 1 Yr Wtd Avg 1.0 x Return on Equity - Hist 1 Yr Med 9.5 % Market Cap - Weighted Median $Bil $26.0 Dividend Yield - Hist 1 Yr Wtd Avg 4.0 %
12.9 6.4 1.1 9.0 $28.9 4.2
x x x % %
17.1 10.4 1.5 10.3 $27.7 3.3
x x x % %
Regional Weights
Region
Sector Weights
Sector
Europe ex-UK United Kingdom Japan -2.2 Southeast Asia Canada Australia/New Zealand -4.1 Cash
-6
Underweight/Overweight Against M SCI EAFE Value (%) 2.2 0.9 1.5 0.2 1.6 0 3 6
-3
Underweight/Overweight Against M SCI EAFE Value Strategy Benchmark 2.3 Consumer Discretionary 9.3 % 7.0 % 0.0 Consumer Staples 3.5 3.5 5.1 Energy 16.0 10.9 -10.6 Financials 25.4 36.0 4.3 Health Care 10.9 6.6 -1.3 Industrials 8.9 10.2 -0.8 Information Technology 2.5 3.3 -2.7 Materials 5.5 8.2 2.5 Telecom. Services 10.7 8.2 1.3 Utilities 7.4 6.1 -20 -10 0 10 20
GICS Sectors
Quarterly Strategy Attribution

The International Intrinsic Value Strategy returned +0.6% net of fees during the second quarter of 2013, compared to the broad market MSCI EAFE index, which returned -1.0%, and the MSCI EAFE Value benchmark, which returned -0.8%. In the Strategy, stock selection, country allocation, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE. GMOs stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic value underperformed slightly. Those with strong momentum characteristics outperformed. Selection was strongest within Financials, Energy, and Consumer Discretionary, by sector, and in the UK and Italy by country. Individual stock positions that were significant contributors to relative performance included overweights in media company Mediaset (Italy), telecom KDDI (Japan), and financial Lloyds Banking Group (UK). Stock positions that detracted included overweights in Takeda Pharmaceutical (Japan), tech company Research In Motion (Canada), and metals and mining company Rio Tinto (UK/Australia). Country allocation added value mainly from our underweight position in Australia, which underperformed, and our overweight position in Italy, which outperformed. Our underweight to the Australian dollar, which declined relative to the U.S. dollar, also added value. Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, which underperformed, and from our overweight to Telecommunication Services, which performed well. Performance was slightly worse relative to the MSCI EAFE Value index, which benefited from a much smaller weighting in the weak Consumer Staples sector. During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This change eliminates some technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to this assessment.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Value 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 that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
11
GMO International Growth Strategy

Inception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index Performance1
As of June 30, 2013

Top Ten Holdings2,5
2Q 2013 Strategy MSCI EAFE Growth MSCI EAFE

3 3
YTD 2013 7.16 5.47 4.10

2005 13.16 13.28 2006 24.56 22.33
One Year 20.36 18.67 18.62

2007 2008
Five Year 2.32 -0.38 -0.63

2009 24.81 29.36
Ten Year 9.03 7.62 7.67

2010
Since Inception 7.77 5.61 5.88

2011 2012 19.28 16.86
-0.35 -1.17 -0.99

2003 2004 20.03 16.12
Strategy 30.40 MSCI EAFE Grow th 31.99 MSCI EAFE 38.59
20.25
13.54
26.34
11.17 -43.38
14.35 -38.29 16.45 -42.70
31.78
13.94 -8.02 12.25 -12.11
7.75 -12.14
17.32
Roche Holding AG Nestle S.A. British American Tobacco GlaxoSmithKline PLC Diageo PLC Rio Tinto PLC Novo Nordisk A/S Toyota Motor Corp. Bayer AG Unilever N.V. Total
3.0% 2.6% 2.6% 2.3% 2.1% 1.9% 1.8% 1.3% 1.3% 1.2% 20.1%

M SCI Strategy EAFE Growth M SCI EAFE
Characteristics5
M SCI Strategy EAFE Growth M SCI EAFE
3.24 0.91 0.97 0.43
0.00 1.00 1.00 0.23
0.00 1.00 1.00 0.23
Price/Earnings - Hist 1 Yr Wtd Med 19.1 x Earnings/Share - F'cast LT Med Growth Rate 9.8 x Price/Book - Hist 1 Yr Wtd Avg 2.1 x Return on Equity - Hist 1 Yr Med 15.5 % Market Cap - Weighted Median $Bil $20.9 Dividend Yield - Hist 1 Yr Wtd Avg 2.7 %
19.7 10.0 2.3 14.9 $26.9 2.4
x x x % %
17.1 8.6 1.5 10.3 $27.7 3.3
x x x % %
Regional Weights5
Region Underweight/Overweight Against M SCI EAFE Growth (%) 1.2 1.2 0.9 2.6 -1.9 1.1 -3 0 3 6
Sector Weights5
Underweight/Overweight Against M SCI EAFE Growth Strategy Benchmark Consumer Discretionary 15.2 % 16.4 % -1.2 Consumer Staples 16.6 20.1 -3.5 -0.5 Energy 2.5 3.0 3.7 17.8 Financials 14.1 2.7 Health Care 17.1 14.4 -3.5 Industrials 11.6 15.1 0.6 Information Technology 6.1 5.5 -1.1 Materials 6.6 7.7 1.9 Telecom. Services 4.1 2.2 0.8 Utilities 2.3 1.5 Sector -4 -2 0 2 4
GICS Sectors
-5.4 Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash -6

The International Growth Strategy returned -0.3% net of fees during the second quarter of 2013, compared to the MSCI EAFE Growth benchmark, which returned -1.2%, and the broad market MSCI EAFE index, which returned -1.0%. In the Strategy, sector exposures and currency allocation were primarily responsible for the outperformance relative to EAFE Growth. Sector exposures (as a result of stock selection) had a positive impact, mainly from an overweight to Telecommunication Services, which performed strongly, and underweights to Consumer Staples and Materials, which underperformed. Our underweight to the Australian dollar, which declined relative to the U.S. dollar, also added value. GMOs stock selection disciplines had mixed results in the quarter. Stocks with strong momentum characteristics outperformed while those ranked highly by intrinsic value or chosen for their high quality (defined as high, stable profitability and low debt) underperformed. Individual stock positions that were significant contributors to relative return included underweight positions in metals and mining company BHP Billiton (UK/Australia) and financial Standard Chartered Group (UK) and an overweight in telecom KDDI (Japan). Stocks that were significant detractors from relative performance included underweight positions in automaker Toyota Motor (Japan) and chemical company BASF (Germany) and an overweight in Westpac Banking (Australia). Country allocation helped slightly mainly from our underweight position in Australia, which underperformed. During the period, we removed a component from our process that explicitly forecast countries based largely on aggregate market valuation and momentum. Our country positions are now driven as a residual of stock selection rather than explicit forecasts.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Growth 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 that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 12
1
GMO International Core Equity Strategy

Inception: 1/31/02; Benchmark: MSCI EAFE Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 4.07 4.10
One Year 17.70 18.62
Five Year -0.97 -0.63
Ten Year 7.93 7.67
0.50 -0.99
2004 23.28 20.25
2005 15.58 13.54
2006 25.56 26.34
2007
2008
2009 23.73 31.78
2010
2011
2012 14.44 17.32
12.13 -41.34 11.17 -43.38
10.33 -9.09 7.75 -12.14
Total S.A. Royal Dutch Shell PLC Sanofi-Aventis S.A. BP PLC AstraZeneca PLC Banco Santander S.A. Vodafone Group PLC Telefonica S.A. E.ON AG Rio Tinto PLC Total
4.0% 3.4% 3.0% 2.9% 2.8% 2.1% 1.8% 1.7% 1.7% 1.5% 24.9%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.07 0.95 0.98 0.38
0.00 1.00 1.00 0.26
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Rate Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
12.2 7.0 1.1 9.5 $24.0 3.9

5
x x x % %
17.1 8.6 1.5 10.3 $27.7 3.3
x x x % %
Regional Weights
Region
Sector Weights
Sector
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash
-4
Underweight/Overweight Against Benchmark (%) -0.8 2.5 0.5 -2.0 0.9 -2.1 1.0 -2 0 2 4
Underweight/Overweight Against Benchmark Strategy Benchmark 1.2 Consumer Discretionary 12.9 % 11.7 % -5.9 Consumer Staples 5.9 11.8 7.4 14.4 Energy 7.0 -5.1 Financials 19.9 25.0 1.7 Health Care 12.2 10.5 -2.5 Industrials 10.2 12.7 -1.3 Information Technology 3.1 4.4 -2.8 Materials 5.2 8.0 4.5 Telecom. Services 9.7 5.2 2.7 Utilities 6.5 3.8 -10 -5 0 5 10
GICS Sectors

The International Core Equity Strategy returned +0.5% net of fees during the second quarter of 2013, compared to the MSCI EAFE index, which returned -1.0%. In the Strategy, stock selection, country allocation, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE. GMOs stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic value underperformed slightly. Those with strong momentum characteristics outperformed. Selection was strongest within Consumer Discretionary, Energy, and Financials, by sector, and in the UK and Australia, by country. Individual stock positions that were significant contributors to relative performance included overweights in telecom KDDI (Japan) and auto maker Fuji Heavy Industries (Japan), and an underweight position in metals and mining company BHP Billiton (UK/Australia). Stock positions that detracted included overweights in metals and mining company Rio Tinto (UK/Australia), tech company Research In Motion (Canada), and Takeda Pharmaceutical (Japan). Country allocation added value mainly from our overweight position in Japan, which outperformed. Our underweight to the Australian dollar, which declined relative to the U.S. dollar, and overweight to the euro, which gained, also added value. Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, which underperformed, and from our overweight to Telecommunication Services, which performed well. During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This change eliminates some technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to this assessment.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
13
GMO Currency Hedged International Equity Strategy

Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 8.91 10.82
One Year 21.49 24.60
Five Year 1.76 1.83
Ten Year 6.93 6.71
1.33 1.12
2004 14.77 12.01
2005 27.32 29.67
2006 19.31 19.19
2007
2008
2009 16.11 25.67
2010
2011
2012 16.51 17.54
5.88 -34.09 5.32 -39.77
7.72 -9.68 5.60 -12.10
Total S.A. Royal Dutch Shell PLC BP PLC Vodafone Group PLC Sanofi-Aventis S.A. Banco Santander S.A. AstraZeneca PLC Telefonica S.A. Barclays PLC E.ON AG Total
4.5% 4.3% 3.2% 2.7% 2.7% 2.5% 2.3% 2.1% 1.8% 1.7% 27.8%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.74 0.82 0.88 0.40
0.00 1.00 1.00 0.20
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
11.7 1.0 9.5 $26.0 4.0
x x % %
17.1 1.5 10.3 $27.7 3.3
x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -1.1 2.0 0.6 -2.4 0.2 -4.2 4.9 -6 -3 0 3 6
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -2.4 Consumer Discretionary 9.3 % 11.7 % -8.3 Consumer Staples 3.5 11.8 9.0 16.0 Energy 7.0 0.4 Financials 25.4 25.0 0.4 Health Care 10.9 10.5 -3.8 Industrials 8.9 12.7 Information Technology 2.5 4.4 -1.9 -2.5 Materials 5.5 8.0 Telecom. Services 10.7 5.2 5.5 Utilities 7.4 3.8 3.6 -10 -5 0 5 10
GICS Sectors
Quarterly Strategy Attribution The Currency Hedged International Equity Strategy returned +1.3% net of fees during the second quarter of 2013, compared to the MSCI EAFE (Hedged) index, which returned +1.1%. Hedging added to returns for U.S.-dollar-based investors as most currencies declined relative to the U.S. dollar in the quarter. Among the major currencies, the Australian dollar fell by 12%, the Japanese yen by 5%, the euro gained 1%, and the British pound and Swiss franc were essentially unchanged. The unhedged EAFE index returned -1.0%. At the start of the quarter, the Currency Hedged International Equity Strategy was invested in the International Intrinsic Value Strategy and International Growth Equity Strategy in approximately a 75/25 mix in favor of Value over Growth. Over the course of the past three months, the Strategy has shifted to an approximately 100% Value exposure. Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by both the outperformance of the International Intrinsic Value Strategy and International Growth Equity Strategy versus their respective style benchmarks and the heavier weighting toward Value.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
14
GMO Japan Equity Strategy

Inception: 12/31/05; Benchmark: MSCI Japan IMI ++ Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 12.81 16.08
One Year 17.26 21.28
Five Year 2.04 0.36
Ten Year n/a n/a
Since Inception 1.40 -0.29
-1.15 3.26
2006 Strategy Benchmark 6.39 6.24
2007
2008
2009 -1.78 6.12
2010
2011
2012 7.31 7.54
-2.39 -24.83 -4.23 -28.16
21.95 -1.92 16.02 -12.88
Nippon T & T Corp. 5.8% Mizuho Financial Group 5.0% KDDI Corp. 4.0% Sumitomo Mitsui Financial 3.0% Mitsubishi Tokyo Financial 2.6% NTT DoCoMo Inc. 1.8% Mitsui Trust Holdings Inc. 1.8% Resona Holdings Inc. 1.7% Itochu Corp. 1.3% Century Leasing System Inc. 1.2% Total 28.2%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.48 1.06 0.92 0.03
0.00 1.00 1.00 -0.11
% Negative Earnings 7.5 % Price/Earnings - Excl Neg Earn Hist 1 Yr Wtd Med 11.1 x Price/Earnings - Hist 1 Yr Wtd Med 11.6 x Price/Book - Hist 1 Yr Wtd Avg 0.8 x Return on Equity - Hist 1 Yr Med 7.7 % Market Cap - Weighted Median $Bil $1.2 Dividend Yield - Hist 1 Yr Wtd Avg 2.3 %
5.7 19.1 19.7 1.2 7.3 $11.2 1.8
% x x x % %
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -0.8 Consumer Discretionary 20.6 % 21.4 % -0.1 Consumer Staples 6.9 7.0 2.4 Energy 3.4 1.0 2.8 Financials 23.6 20.8 -4.4 Health Care 1.6 6.0 2.3 Industrials 21.9 19.6 Information Technology -7.9 2.2 10.1 -1.2 Materials 5.8 7.0 7.3 11.6 Telecom. Services 4.3 -0.5 Utilities 2.2 2.7 Sector -10 -5 0 5 10
GICS Sectors
Quarterly Strategy Attribution The Japan Equity Strategy returned -1.1% net of fees during the second quarter of 2013, as compared to its benchmark, the MSCI Japan IMI index, which returned +3.3%. Within the Strategy, stock selection was mainly responsible for the underperformance. Stock selection was weak within several areas including Consumer Discretionary, Industrials, Financials, and Consumer Staples. Individual stock positions that were significant detractors included underweight positions in Toyota Motor and Softbank and an overweight in Mizuho Financial Group. Stock positions that added significant value included overweights in Nippon Telephone & Telegraph and KDDI and an underweight position in Takeda Pharmaceutical. Sector exposures (as a result of stock selection) added some value. Our overweight to Telecommunication Services, which outperformed, and our underweight to Health Care, which underperformed, added the most value.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
15
GMO Tax-Managed International Equities Strategy

Inception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax) Performance1
As of June 30, 2013

Top Ten Holdings2,6
2Q 2013 Before-Tax Strategy 3 Benchmark 4 After-Tax Strategy Benchmark

YTD 2013 4.37 4.10 4.37 3.27

2005 16.55 13.54 2006 25.90 26.34 2007 2008
One Year 17.41 18.62 17.08 17.34

2009 23.71 31.78
Five Year -1.20 -0.63 -1.54 -1.30

2010
Ten Year 8.53 7.67 7.99 6.73

2011
Since Inception 7.35 4.53 6.79 3.76

2012
0.88 -0.99 0.88 -1.44

2004 24.36 20.25
Total S.A. Royal Dutch Shell PLC BP PLC AstraZeneca PLC Sanofi-Aventis S.A. Banco Santander S.A. Rio Tinto PLC Vodafone Group PLC Barclays PLC Telefonica S.A. Total
4.1% 3.2% 2.9% 2.6% 2.4% 2.0% 1.6% 1.6% 1.5% 1.5% 23.4%
13.75 -40.71 11.17 -43.38
9.38 -8.18 7.75 -12.14
13.37 17.32

Strategy Benchmark
Characteristics6
Strategy Benchmark
3.77 0.90 0.92 0.35
0.00 1.00 1.00 0.12
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
12.4 6.0 1.2 3.7 9.5 $22.6
x x x % %
17.1 10.4 1.5 3.3 10.3 $27.7
x x x % %
Regional Weights6
Region Underweight/Overweight Against Benchmark (%) -0.4 1.6 0.8 -1.3 1.3 -3.7 1.8 -6 -3 0 3 6 Sector
Sector Weights6
Underweight/Overweight Against Benchmark Strategy Benchmark 0.4 Consumer Discretionary 12.1 % 11.7 % -6.0 Consumer Staples 5.8 11.8 7.0 14.0 Energy 7.0 -2.2 Financials 22.8 25.0 1.8 Health Care 12.3 10.5 -1.9 Industrials 10.8 12.7 -1.7 Information Technology 2.7 4.4 -3.2 Materials 4.8 8.0 3.4 Telecom. Services 8.6 5.2 2.3 Utilities 6.1 3.8 -10 -5 0 5 10
GICS Sectors

The Tax-Managed International Equities Strategy returned +0.9% net of fees for the second quarter of 2013, while the MSCI EAFE index returned -1.0%. In the Strategy, stock selection, country allocation, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE. GMOs stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic value underperformed slightly. Those with strong momentum characteristics outperformed. Selection was strongest within Consumer Discretionary, Financials, and Energy, by sector, and in Italy, the UK and Australia, by country. Individual stock positions that were significant contributors to relative performance included overweights in telecoms KDDI (Japan) and Nippon Telephone & Telegraph (Japan), and media company Mediaset (Italy). Stock positions that detracted included overweights in metals and mining company Rio Tinto (UK/Australia) and pharmaceutical AstraZeneca (UK) and an underweight position in Toyota Motor (Japan). Country allocation added value mainly from our overweight position in Japan, which outperformed, and our underweight position in Australia, which underperformed. Our underweight to the Australian dollar, which declined relative to the U.S. dollar, and overweight to the euro, which gained, also added value. Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, which underperformed, and from our overweight to Telecommunication Services, which performed well. During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This change eliminates some technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to this assessment.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 Market conditions, tax legislation and government regulations may limit the Strategys ability to utilize tax efficient strategies. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investors tax situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement. 4 The Strategy benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Manager estimates the MSCI EAFE Indexs after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Indexs dividend yield and to its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the 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. 5 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. Risk profile data is gross. 6 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 16
1
GMO Emerging Markets Strategy

Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 -12.25 -8.43
One Year -0.34 4.19
Five Year -2.57 0.30
Ten Year 13.26 14.65
-10.28 -7.43
2004 26.54 28.11
2005 40.15 35.19
2006 29.51 35.11
2007
2008
2009 71.89 81.03
2010
2011
2012 15.19 18.89
37.22 -55.74 40.28 -53.74
20.20 -16.95 20.64 -19.03
China Mobile Ltd. 4.0% Vale S.A. 3.6% OAO Gazprom 3.2% Lukoil Oil Company 2.7% Industrial & Commercial Bank 2.2% China Construction Bank 2.1% Astra International 2.1% America Movil S.A. de C.V. 2.1% Sberbank Rossia ADS 1.9% Banco do Brasil S.A. 1.7% Total 25.6%

Strategy Benchmark
Characteristics5
Strategy Benchmark
3.24 0.99 0.93 0.24
0.00 1.00 1.00 0.12
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Avg Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
9.5 5.6 1.0 13.1 $9.2 4.1

5
x x x % %
13.9 9.2 1.5 12.5 $6.5 2.9
x x x % %
Regional Weights
Region
Sector Weights
Underweight/Overweight Against Benchmark (%) 1.1 -3.6 9.6 -4.2 -4.4 -0.2 1.6 -5 0 5 10
Developed East Asia Europe Latin/South America Mideast/Africa South Asia Cash
-10
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 9.3 % 9.5 % -0.2 Consumer Staples 2.6 9.5 -6.9 7.2 Energy 17.3 10.1 1.7 Financials 27.6 25.9 -1.0 Health Care 1.3 2.3 -4.2 Industrials 3.3 7.5 Information Technology -6.4 8.6 15.0 2.0 Materials 11.7 9.7 8.7 16.0 Telecom. Services 7.3 -0.8 Utilities 2.4 3.2 -10 -5 0 5 10
GICS Sectors

The Emerging Markets Strategy fell 10.3% net of fees in the second quarter, underperforming the 7.4% fall of the S&P/IFCI Composite by 2.8%. Overall, country/sector selection detracted 1.8% and stock selection detracted 1.1%. June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protests in countries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise in Hungary. Sector returns were more clustered, varying from a 17.2% fall in Materials to a rise of 0.5% for Telecommunications. Inflation in Brazil accelerated to 6.7%, rising above the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This galvanized the central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.5%. In addition, the governments stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budget deficits. The continuing slowdown in China, Brazils major trading partner, hurt sentiment as well. Our overweight in Brazilian Financials and Materials detracted from performance. The stock market in China fell after the official gauge of manufacturing showed expansion to be at the slowest pace in four months. The Purchasing Managers Index in June was at 50.1, down from Mays 50.8. Also impacting markets has been the realization that the higher cost of credit would lead to a growth deceleration. President Xi Jinping said officials shouldnt be judged solely on their record in boosting gross domestic product. In a similar vein, other reports suggest the government wants to place more importance on achievements in improving peoples livelihood, social development, and environmental quality when evaluating the performance of officials. Investors are drawing on signs such as these to conclude that the government might accelerate its economic reform plans and move towards placing less reliance on exports and fixed asset investment. Sectors such as Health Care and Technology, which are seen to offer earnings growth even in a lackluster economy, did well. Our underweight in Chinese Information Technology hurt performance. Investor sentiment in Peru was hit by the drop in copper prices, the countrys largest export. Commodity prices tumbled in response to a revised forecast from the International Monetary Strategy projecting lower growth globally and in China, the worlds biggest consumer of industrial metals. The stock market was also hurt by President Humalas suggestion that the government might purchase shares in oil major Repsols local unit, which led to concerns of greater state control of the economy. Our overweight in Peru Materials negatively impacted performance. Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events, especially the European crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued declining trend for interest rates. Also boosting sentiment was the Russian governments firmer stance on dividend payments by state-owned firms. The government announced that beginning next year official approval would be needed to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods. Our overweight in Russian Energy, the largest country/ sector bet in the portfolio, detracted from performance. The risk-off trade that dominated emerging markets most of the quarter manifested itself by the relative outperformance (it was the only sector with a positive return among the 10 economic sectors) of the defensively oriented Telecommunication Services sector. Our overweight in this sector across countries such as China, Korea, and Taiwan contributed to performance. Stock selection was weak, particularly in Korean Financials and Taiwan Information Technology.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
17
GMO Emerging Countries Strategy

Inception: 9/30/97; Benchmark: S&P/IFCI Composite Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 -13.02 -8.43
One Year -1.89 4.19
Ten Year 12.18 14.65
-10.66 -7.43
2004 24.89 28.11
2005 37.54 35.19
2006 28.95 35.11
2007
2008
2009 69.96 81.03
2010
2011
2012 14.11 18.89
37.44 -55.81 40.28 -53.74
19.89 -16.94 20.64 -19.03
China Mobile Ltd. 4.1% Vale S.A. 3.4% OAO Gazprom 3.2% Astra International 2.7% Industrial & Commercial Bank 2.3% Lukoil Oil Company 2.3% Sberbank Rossia ADS 2.2% China Construction Bank 2.2% America Movil S.A. de C.V. 2.2% Banco do Brasil S.A. 1.9% Total 26.5%

Strategy Benchmark
Characteristics5
Strategy Benchmark
1.60 1.04 0.93 0.26
0.00 1.00 1.00 0.21
9.5 5.6 1.0 13.1 $9.2 4.1
x x x % %
13.9 9.2 1.5 12.5 $6.5 2.9
x x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 1.2 -4.3 9.3 -4.2 -4.4 0.2 2.3 -10 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 0.1 Consumer Discretionary 9.6 % 9.5 % -7.0 Consumer Staples 2.5 9.5 7.1 Energy 17.2 10.1 2.5 Financials 28.4 25.9 -1.0 Health Care 1.3 2.3 -4.7 Industrials 2.8 7.5 -8.1 Information Technology 6.9 15.0 2.4 Materials 12.1 9.7 10.0 Telecom. Services 17.3 7.3 -1.3 Utilities 1.9 3.2 -20 -10 0 10 20
GICS Sectors
Developed East Asia Europe Latin/South America Mideast/Africa South Asia Cash

The Emerging Countries Strategy fell 10.7% net of fees in the second quarter, underperforming the 7.4% fall of the S&P/IFCI Composite by 3.2%. Overall, country/sector selection detracted 2.1% and stock selection detracted 1.2%. June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protests in countries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise in Hungary. Sector returns were more clustered, varying from a 17.1% fall in Materials to a rise of 0.7% for Telecommunications. Inflation in Brazil accelerated to 6.7%, rising above the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This galvanized the central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.5%. In addition, the governments stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budget deficits. The continuing slowdown in China, Brazils major trading partner, hurt sentiment as well. Our overweight in Brazilian Financials and Materials detracted from performance. The stock market in China fell after the official gauge of manufacturing showed expansion to be at the slowest pace in four months. The Purchasing Managers Index in June was at 50.1, down from Mays 50.8. Also impacting markets has been the realization that the higher cost of credit would lead to a growth deceleration. President Xi Jinping said officials shouldnt be judged solely on their record in boosting gross domestic product. In a similar vein, other reports suggest the government wants to place more importance on achievements in improving peoples livelihood, social development, and environmental quality when evaluating the performance of officials. Investors are drawing on signs such as these to conclude that the government might accelerate its economic reform plans and move towards placing less reliance on exports and fixed asset investment. Sectors such as Health Care and Technology, which are seen to offer earnings growth even in a lackluster economy, did well. Our underweight in Chinese Information Technology hurt performance. Investor sentiment in Peru was hit by the drop in copper prices, the countrys largest export. Commodity prices tumbled in response to a revised forecast from the International Monetary Strategy projecting lower growth globally and in China, the worlds biggest consumer of industrial metals. The stock market was also hurt by President Humalas suggestion that the government might purchase shares in oil major Repsols local unit, which led to concerns of greater state control of the economy. Our overweight in Peru Materials negatively impacted performance. Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events, especially the European crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued declining trend for interest rates. Also boosting sentiment was the Russian governments firmer stance on dividend payments by state-owned firms. The government announced that beginning next year official approval would be needed to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods. Our overweight in Russian Energy, the largest country/ sector bet in the portfolio, detracted from performance. The risk-off trade that dominated emerging markets most of the quarter manifested itself by the relative outperformance (it was the only sector with a positive return among the 10 economic sectors) of the defensively oriented Telecommunication Services sector. Our overweight in this sector across countries such as China, Korea, and Taiwan contributed to performance. Stock selection was weak, particularly in Korean Financials and Taiwan Information Technology.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
18
GMO Emerging Domestic Opportunities Strategy

Inception: 3/31/11; Benchmark: MSCI Emerging Markets Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 1.22 -9.57
One Year 16.57 2.87
Five Year n/a n/a
Ten Year n/a n/a
Since Inception 6.21 -6.74
-4.37 -7.88
2011 Strategy Benchmark -8.99 -20.06
2012 24.33 18.22
Unilever PLC 5.8% British American Tobacco 3.9% Nestle S.A. 3.8% Copa Holdings S.A. (Cl A) 3.5% Groupe Danone 3.1% Abbott Laboratories 2.3% Adv Info Services Co (Alien) 2.2% Commerce Asset Holding 2.0% PepsiCo Inc. 2.0% Yum! Brands Inc. 2.0% Total 30.6%

Strategy Benchmark
Characteristics5
Strategy Benchmark
12.29 0.74 0.86 0.44
0.00 1.00 1.00 -0.33
19.7 14.9 3.1 19.8 $2.9 2.6

5
x x x % %
13.6 9.2 1.5 13.0 $8.1 2.9
x x x % %
Regional Weights
Region
Sector Weights
Underweight/Overweight Against Benchmark (%) 27.2 0.0 -9.7 -5.0 3.3 16.9 -20 0 20 40
Developed East Asia -32.7 Europe Latin/South America Mideast/Africa South Asia Cash
-40
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 14.3 % 8.3 % 6.0 Consumer Staples 9.4 22.4 31.8 Energy 0.7 11.4 -10.7 -8.6 Financials 18.9 27.5 4.3 Health Care 5.8 1.5 6.6 Industrials 12.9 6.3 -13.1 Information Technology 1.6 14.7 -6.7 Materials 2.8 9.5 1.5 Telecom. Services 9.4 7.9 -1.6 Utilities 1.8 3.4
-30 -15 0 15 30
GICS Sectors

The GMO Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the world's non-developed markets. The Strategy uses fundamental analysis within a structured approach to select countries, sectors, and stocks that are the most likely to benefit from the rising demand for goods and services in emerging markets. June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protests in countries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise in Hungary. Sector returns were more clustered, varying from a 10.1% fall in Utilities to a rise of 0.7% for Telecommunications. The Emerging Domestic Opportunities Strategy lost 4.4% in the second quarter net of fees. Inflation in Brazil accelerated to 6.7%, rising above the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This galvanized the central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.5%. In addition, the governments stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budget deficits. The continuing slowdown in China, Brazils major trading partner, hurt sentiment as well. Our positions in Brazilian Health Care and Industrials detracted from performance. Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events, especially the European crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued declining trend for interest rates. Also boosting sentiment was the Russian governments firmer stance on dividend payments by state owned firms. The government announced that beginning next year official approval would be needed to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods. Our exposure to Russian Consumer Staples and Information Technology contributed to performance. Investors in Thailand worried that any tapering of the Federal Reserves stimulus would curtail demand for emerging-market assets. In mid-June, Fed Chairman Bernanke announced that $85 billion a month of debt purchases may be trimmed this year and ended in 2014 if indicators in the US economy improved sufficiently to warrant such action. Thailands finance ministry cut its 2013 growth forecast to 4% to 5%. The previous estimate was 4.8% to 5.8%. Our investments in Thai sectors such as Financials, Utilities, and Industrials negatively impacted performance. Turkey saw the largest demonstrations against Prime Minister Erdogan in a decade. The unrest began over the redevelopment of a popular park but mushroomed into protests against what critics say is Erdogans increasingly authoritarian rule. Investors also grew more concerned about the expanding trade gap and the countrys reliance on short term inflows after reports of a potential tapering of the Fed stimulus. Our holdings in Turkish Consumer Discretionary and Financials hurt the portfolio. 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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 19
GMO Global Active Equity Strategy

Inception: 8/31/00; Benchmark: MSCI World Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 7.69 8.43
One Year 18.01 18.58
Five Year 0.60 2.70
Ten Year 8.42 7.25
1.66 0.64
2004 22.00 14.72
2005 17.66 9.49
2006 25.69 20.07
2007
2008
2009 28.16 29.99
2010 9.93 11.76
2011 -8.51 -5.54
2012 13.38 15.83
8.64 -40.89 9.04 -40.71
Sumitomo Mitsui Financial Mitsubishi Tokyo Financial LyondellBasell Industries Cisco Systems Inc. Citigroup Inc. Mediaset S.p.A. WellPoint Inc. Suncor Energy Inc. Arch Capital Group Ltd. ITT Corp Total
2.9% 2.4% 2.3% 2.3% 2.3% 2.2% 2.2% 2.2% 2.2% 2.1% 23.1%

Strategy Benchmark
Characteristics5
Strategy Benchmark
6.40 0.95 0.85 0.39
0.00 1.00 1.00 0.02
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
13.5 9.0 1.4 2.2
x x x %
17.3 11.2 1.9 2.7
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 3.2 -4.2 4.1 -1.9 -0.2 0.6 7.7 3.1 -10 0 10 20
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark Consumer Discretionary 14.5 % 12.0 % 2.5 Consumer Staples 5.4 10.6 -5.2 Energy 10.5 9.7 0.8 Financials 24.5 20.8 3.7 Health Care 7.1 11.3 -4.2 Industrials 13.4 11.0 2.4 Information Technology 9.8 11.7 -1.9 Materials 5.6 9.1 14.7 Telecom. Services 0.0 3.8 -3.8 Utilities 0.0 3.4 -3.4 Sector -10 -5 0 5 10
GICS Sectors
-12.5 United States Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash -20
Quarterly Strategy Attribution The Global Active Equity Strategy outperformed the MSCI World index in the second quarter, gaining 1.7% net of fees while the benchmark rose 0.6%. Country selection was ahead of the benchmark. An underweight position in Australia added to returns. The market fell as its exposure to a slowing China became a negative. An underweight position in Continental Europe also added to performance, as did an overweight position in Japan. Despite some bumps, the Japanese index benefited from Abenomics. On the negative side, our underweight position in the United States hurt returns. Sector selection lagged the index. An overweight position in Materials subtracted from performance, as did an overweight position in Energy. An overweight position in Consumer Discretionary somewhat offset these negatives. Stock selection was ahead of the benchmark in the quarter. Positions in the United States, Continental Europe, and Japan added to returns. Positions in Canada hurt 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 20
1
GMO Global Focused Equity Strategy

Inception: 12/31/11; Benchmark: MSCI ACWI Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 5.41 6.05
One Year 20.01 16.57
Five Year n/a n/a
Ten Year n/a n/a
3.20 -0.40
Mediaset S.p.A. Koninklijke Philips DaimlerChrysler AG ING Groep N.V. Cisco Systems Inc. Syngenta AG Banco Bilbao Vizcaya Delta Air Lines Inc. Rexel S.A. ArcelorMittal SA Total
5.1% 4.4% 4.3% 3.9% 3.8% 3.8% 3.6% 3.5% 3.4% 3.3% 39.1%

Strategy Benchmark
Characteristics5
Strategy Benchmark
-0.28 1.21 0.85 1.16
0.00 1.00 1.00 1.27
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
14.6 7.2 1.1 2.5
x x x %
16.9 11.1 1.9 2.7
x x x %
Regional Weights5
Region -34.8 United States Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash -40 Underweight/Overweight Against Benchmark (%) 37.7 -5.7 1.3 -1.7 -1.1 -1.8 -1.7 7.7 -20 0 20 40
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark Consumer Discretionary 11.5 % 13.5 25.0 % Consumer Staples 4.3 10.5 -6.2 Energy 7.5 9.9 -2.4 Financials 21.6 21.6 0.0 Health Care 0.0 10.2 -10.2 Industrials 20.8 10.5 10.3 Information Technology 11.2 12.0 -0.8 Materials 9.5 6.0 3.5 Telecom. Services 0.0 4.3 -4.3 Utilities 0.0 3.4 -3.4 -20 -10 0 10 20
GICS Sectors
Quarterly Strategy Attribution The Global Focused Equity Strategy rose 3.2% net of fees for the quarter. The Strategys reference benchmark, the MSCI ACWI, fell 0.4%. The largest contribution to performance came from a holding in Mediaset in Italy. Mediaset, the dominant player in the Italian TV advertising market, benefited from investors interest. The company has been cutting costs aggressively as it went through a historical collapse in advertising spending (-30% from the 2007 peak). The company is well-positioned to benefit from any macroeconomic stabilization. Its 38% stake in Mediaset Espaa strengthens the investment case, as the Spanish TV company could benefit from even better industry dynamics. We believe the valuation of the parent company does not reflect the earnings power of the franchise. Other contributions came from Yandex, the Russian internet company, and EPL Oil & Gas in the United States. The largest detractor from performance was Saipem in Italy, as the company shocked the market with another major downgrade to 2013 earnings, which also raised doubts over its 2014 and 2015 recovery. The earnings revision relates to projects in Algeria, Mexico, and Canada in the onshore engineering and construction (E&C) division, as well as technical issues on a new build vessel for a client in the offshore E&C area. These issues stem from legacy management, with corrective actions having been made and appropriate margins having been bid into the current backlog. Nonetheless, credibility, both with the financial community and from an industrial standpoint, took another big hit.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 21
1
GMO Quality Strategy

Inception: 2/29/04; Benchmark: S&P 500 Index Performance1
As of June 30, 2013

Top Ten Holdings2,4
One Year 16.44 20.60 Five Year 8.97 7.01 Ten Year n/a n/a Since Inception 5.60 5.86

3
YTD 2013 12.85 13.82
2.11 2.91
2005 -0.79 4.91
2006 12.69 15.80
2007
2008
2009 19.89 26.46
2010 5.48 15.06
2011 11.84 2.11
2012 11.81 16.00
6.04 -24.08 5.49 -37.00
Johnson & Johnson Google Inc. (Cl A) Microsoft Corp. Coca-Cola Co. Oracle Corp. Pfizer Inc. Chevron Corp. Procter & Gamble Co. Philip Morris Int'l. Inc. Int'l. Business Machines Total
5.4% 5.2% 5.2% 4.8% 4.4% 4.4% 4.0% 3.9% 3.9% 3.6% 44.8%
Characteristics4
Strategy Benchmark

Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 18.2 x Price/Book - Hist 1 Yr Wtd Avg 3.4 x Dividend Yield - Hist 1 Yr Wtd Avg 2.5 % Return on Equity - Hist 1 Yr Med 19.7 % Market Cap - Weighted Median $Bil $142.7 Debt/Equity - Wtd Med 0.6 x
17.9 2.4 2.2 15.4 $62.4 0.8
x x % % x
1.36 0.73 0.86 0.38
0.00 1.00 1.00 0.28
Regional Weights4
Cash 1.2%
Sector
Sector Weights4
Underweight/Overweight Against Benchmark Strategy Benchmark
Int'l. Equities 12.6%
U.S. Equities 86.2%
-7.4 Consumer Discretionary Consumer Staples -3.4 Energy -16.7 Financials Health Care -8.9 Industrials Information Technology -3.3 Materials -2.4 Telecom. Services -3.3 Utilities -20 -10 0 10
4.8 %
19.0 29.5
7.1 0.0 15.4 28.1 1.3 11.0 28.8 0.0 0.4 0.0
20
12.2 % 10.5 10.5 16.7 12.7 10.2 17.8 3.3 2.8 3.3
GICS Sectors

The Quality Strategy returned +2.1% net of fees in the second quarter while developed market indices returned +2.9% for the S&P 500 index and +0.6% for the MSCI World index. Quality stocks lagged both low quality and the market in the second quarter. During the quarter, market sentiment shifted from optimism driven by continued signs of economic recovery in the U.S. to concerns that the central bank spigot would begin to be tightened sooner rather than later. Volatility increased, and investors ended the quarter more pessimistic than at the start. During the quarter, large cap stocks lost a little ground to the broader market, both within quality and the larger universe. Each of the components of quality, companies with low leverage, companies with high profits, and companies with stable profitability lagged the overall market during the quarter. Sector selection detracted from relative returns for the quarter. The best performing sector for the quarter was Financials, and the Strategys zero weight in Financials was the largest relative detractor. Consumer Staples was one of the poorest performing sector in the second quarter, and the Strategys overweight position also hurt relative performance. Overall, stock selection was modestly positive for the quarter, with the largest relative contribution coming from stock selection within Information Technology. The largest detractor to relative performance came from stock selection within Consumer Staples. Individual stocks adding to relative returns included overweights to Microsoft, Cisco Systems, and Google. Stock selections detracting from relative returns included overweights in Oracle, Philip Morris International, and Pfizer. We believe that patient investors will be compensated for owning quality companies, while taking less absolute risk than the market. Based on current valuations, our conviction remains high that the Quality Strategy will continue to provide attractive risk-adjusted returns into the foreseeable future.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 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. Risk profile data is gross.
1
GMO 2013
22
GMO Global Equity Strategy

Inception: 7/31/96; Benchmark: MSCI World Index Performance1
As of June 30, 2013

Top Ten Holdings2,5

3
YTD 2013 9.28 8.43
One Year 18.04 18.58
Five Year 2.21 2.70
Ten Year 7.41 7.25
2.86 0.64
2004 17.95 14.72
2005 11.08 9.49
2006 21.19 20.07
2007
2008
2009 24.61 29.99
2010 10.40 11.76
2011 -3.28 -5.54
2012 12.01 15.83
6.16 -38.72 9.04 -40.71
Microsoft Corp. Total S.A. BP PLC Johnson & Johnson Royal Dutch Shell PLC Google Inc. (Cl A) Chevron Corp. Pfizer Inc. Procter & Gamble Co. ENI S.p.A. Total
Strategy
1.9% 1.8% 1.6% 1.5% 1.5% 1.3% 1.3% 1.2% 1.1% 1.1% 14.3%

Strategy Benchmark
Characteristics5
Benchmark
2.19 0.92 0.95 0.33
0.00 1.00 1.00 0.19
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
15.8 10.0 1.5 13.2 $35.2 2.9

5
x x x % %
17.3 11.2 1.9 13.9 $38.4 2.7
x x x % %
Regional Weights
Region
Sector Weights
North America Europe ex-UK United Kingdom Japan Pacific ex-Japan Cash
Underweight/Overweight Against Benchmark (%) -3.5 4.6 0.6 0.8 -4.2 1.6 -6 -3 0 3 6
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 13.6 % 12.0 % 1.6 Consumer Staples 9.2 10.6 -1.4 Energy 11.1 9.7 1.4 -2.3 Financials 18.5 20.8 0.8 Health Care 12.1 11.3 -2.0 Industrials 9.0 11.0 0.3 Information Technology 12.0 11.7 -0.9 Materials 4.7 5.6 2.3 Telecom. Services 6.1 3.8 0.3 Utilities 3.7 3.4 -4 -2 0 2 4
GICS Sectors

The Global Equity Strategy returned +2.9% net of fees from a U.S. dollar perspective this quarter, ahead of its MSCI World benchmark by 2.2%. Two of the main sources of easy money globally showed signs of slowing. Federal Reserve Chairman Ben Bernanke gave strong hints that the tapering down of quantitative easing is a real possibility. Meanwhile, a credit crunch took hold of Chinas formerly exuberant financial system. Stock markets were rattled from the moment Mr. Bernanke used the T-word. Bond prices fell markedly and gold had an awful quarter. From the perspective of the Global Equity Strategy, however, by far the most important market movements was weakness in the developed markets that are entwined one way or another with China: Australia, Canada, Hong Kong, Singapore and New Zealand. Japan (overweight) was the best performing market over the period, despite jitters in the second half over whether Prime Minister Abe can follow through with his stimulus policies. Our return expectations for Japanese value stocks have sagged over the last year as the Nikkei has risen and this quarter we reduced our allocations to Japan, though this was largely a function of a change we made to our country assessments - in keeping with our preference for contrarian positioning, both tactically and strategically, we bolstered the role of valuation at the expense of momentum. The Eurozone outperformed modestly, despite political flair-ups in Portugal and Greece, whilst non-Euro Europe lagged a little. We continue to focus on domesticfacing Eurozone companies trading at modest valuations. Despite the Eurozones well publicised failings, or rather because of them, shares are available for purchase at a hefty discount to comparable companies elsewhere, with the major difference being that the vagaries of the futures are less cautiously reflected in share prices elsewhere. Our contrarian and momentum strategies both won over the period but the stand-out contribution came from our value-based stock picks, especially in financials. Owning cheap European financials helped but there was also a significant boost from owning U.S. life insurers. The ever decreasing interest rate environment of the last few years has not been kind to life insurers as the promised returns on many of their offerings became increasingly difficult to fund with conservative investments. As a result, many of the life insurers traded well below book value and we have built an overweight position over the last couple of years. Expectations of an earlier end to minimal interest rates therefore underpinned strong relative performance from this group. Industry selection helped performance in aggregate. We continue to view high quality companies in the U.S. as a safe asset priced to offer reasonable returns, especially when compared to opportunities elsewhere. This quarter, the high quality grouping in the U.S. struggled in a relative sense. Again, quantitative easing was at least part of the explanation investors who had begun to view this group as a fixed income substitute in the fleeting moments of bondmania earlier in the year (when 10yr government paper yielded just over 1.6% again) presumably adjusted their holdings and the high quality stocks have returned to where they were before that episode i.e. still attractively priced. We continue to skew the strategy towards the pockets of global markets that appear to be priced for the most attractive returns the unusual blend of conservative companies in the U.S. and value stocks in Europe continues to stand out. Based on our current return forecasts of +6.9% for European value stocks and +3.9% for U.S. high quality names, relative to global markets over the next three years, there is plenty more room for outperformance. 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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
23
GMO Resources Strategy

Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index Performance1
As of June 30, 2013

Top Ten Holdings2,5
One Year 1.16 -2.79 Five Year n/a n/a Ten Year n/a n/a Since Inception -0.82 -5.27

3
YTD 2013 -9.58 -9.57
-7.05 -7.70
Rio Tinto PLC Royal Dutch Shell PLC BP PLC Vale S.A. Total S.A. Mitsui & Co. Ltd. Mitsubishi Corp. OAO Gazprom Itochu Corp. Lukoil Oil Company Total
3.9% 3.8% 3.7% 3.6% 3.4% 2.2% 2.2% 2.2% 2.1% 2.1% 29.2%

Strategy Benchmark
Characteristics5
Strategy Benchmark
5.63 1.08 0.97 -0.01
0.00 1.00 1.00 -0.33
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Rate Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
8.4 5.0 13.1 $20.4 4.0
x x % %
9.6 5.0 16.6 $41.3 3.5
x x % %
Country Weights5
Country Underweight/Overweight Against Benchmark (%) Strategy Benchmark Sector -2.1 10.8 3.3 5.6 -5.1 1.5 1.7 3.4 1.2 -2.8 1.3 -10 0 10 20
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 0.0 Consumer Discretionary 0.0 % 0.0 % 3.2 Consumer Staples 4.9 1.7 -23.0 Energy 46.5 69.5 0.0 Financials 0.0 0.0 0.0 Health Care 0.0 0.0 15.2 Industrials 15.2 0.0 0.0 Information Technology 0.0 0.0 -0.8 Materials 28.0 28.8 0.0 Telecom. Services 0.0 0.0 5.5 Utilities 5.5 0.0 -30 -15 0 15 30
GICS Sectors
United States -18.9 United Kingdom Japan Russia Norway Canada France Brazil Spain Italy Other Cash
-20
20.3 15.6 12.7 7.0 6.6 5.7 4.9 4.9 3.9 2.7 14.3 1.3
39.2 % 17.7 1.9 3.7 1.0 10.8 3.4 3.2 0.5 1.5 17.1 0.0
Quarterly Strategy Attribution The Resources Strategy returned -7.1% net of fees during the second quarter of 2013 while the MSCI ACWI Commodity Producers index returned -7.7%. The Resources Strategy is currently focused on stocks that should benefit from a rise in natural resource prices. That focus has the Strategy invested primarily in companies with interests in Energy, Agriculture, and Industrial Metals. Individual stock positions that were significant contributors to relative performance included overweights in industrial Vestas Wind Systems (Denmark) and electric utility Electricite de France, and an underweight position in Barrick Gold (Canada). Stocks that detracted from relative performance included underweight positions in U.S. energy companies ExxonMobil, Occidental Petroleum, and Chevron. Sector exposures helped relative returns as the overweights to Industrials and Utilities, which outperformed, and the underweight to Materials, which underperformed, added value. Our underweight to Energy, which outperformed, hurt somewhat.
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 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 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. 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. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 24
1
GMO Core Plus Bond Strategy

Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index Performance1
Total Return Net of Fees (%)
As of June 30, 2013
Average Annual Total Return (%)

2
YTD 2013 -0.60 -2.45
One Year 4.43 -0.69
Five Year 5.95 5.19
Ten Year 4.75 4.52
-3.61 -2.33
2004 6.59 4.34
2005 3.95 2.43
2006 5.76 4.33
2007 -1.01 6.97
2008 -18.00 5.24
2009 20.90 5.93
2010 13.24 6.54
2011 9.89 7.84
2012 9.07 4.22

Strategy Benchmark
Characteristics4,5
Modified Duration Coupon Maturity Yield to Maturity Emerging Cntry Debt Exp. 5.3 4.0 7.4 3.2 4 % Yrs. % %
0.16 1.10 0.49 0.70
0.00 1.00 1.00 0.94
Regional Weights4,6
Underweight/Overweight Against Benchmark (%)
Currency Weights4
Europe North America Pacific Emerging

-30 -15 -15.1
-0.2 23.3
Europe North America Pacific

4.2 0 15 30
-5.5 2.5 3.0 -6 -3 0 3 6
Quarterly Strategy Attribution The Core Plus Bond Strategy returned -3.6% net of fees during the second quarter, underperforming the return of its benchmark, the Barclays U.S. Aggregate index, by 1.3%. The Barclays U.S. Aggregate index posted a second consecutive quarter of total return losses, posting -2.3%. Widening spreads across all sectors and rising U.S. Treasury yields were responsible for losses. The overall option-adjusted spread of the Barclays U.S. Aggregate index widened by five basis points during the quarter, with spreads widening by as much as 18 basis points (triple-B credit) and by as little as one basis point (triple-A Credit). U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the quarter: the 10-year U.S. Treasury yield rose by 62 basis points to end the quarter at 2.5%, and 2-year yields rose by 10 basis points to end the quarter at 0.3%. Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy were responsible for losses during the quarter. While unable to fully offset losses, developed markets interest-rate positioning and exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively.
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 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. 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. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted.
1
GMO 2013
25
GMO International Bond Strategy

Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index Performance1
As of June 30, 2013

2
YTD 2013 -4.16 -7.56 2004 14.88 12.04 2005 -8.08 -9.24 2006 9.33 6.84 2007 3.66 11.30
One Year 1.07 -6.55 2008 -13.95 11.39 2009 20.59 3.94
Five Year 4.43 2.96 2010 15.18 6.78
Ten Year 5.77 4.94 2011 6.71 5.91
Since Inception 6.95 5.56 2012 6.21 0.85
-4.98 -3.55 2003
Strategy 26.95 Benchmark 18.63

Strategy Benchmark
Characteristics4,5
1.86 0.95 0.76 0.48
0.00 1.00 1.00 0.31
Regional Weights4,6
Currency Weights4

-30 -15 0 -15.9
0.3 23.6
-5.3 7.5 -2.2 -10 -5 0 5 10
4.2 15 30
Quarterly Strategy Attribution The International Bond Strategy returned -5.0% net of fees in the second quarter, underperforming the J.P. Morgan GBI Global ex U.S. index return of -3.6% by 1.4%. The U.S. dollars rise versus many developed currencies accounted for the bulk of negative index returns, with the 29-basis-point rise in the yield of the index also contributing to losses. Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were the highest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it planned to curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of the quarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, and Switzerland reported total return losses of -1.4% to -2.5%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board during the quarter, with the U.S. and Australia steepening the most. In currencies, exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat, and the rest down heavily. The Antipodes were most heavily hit, with Australian dollar -12.2% and New Zealand dollar -7.8%. Yen continued its decline, -5.4%, although with sharp reversals during the quarter. In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%, respectively. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of its overall recovery plan. Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy were responsible for losses during the quarter. While unable to fully offset losses, exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) and developed markets interest-rate positioning contributed positively.
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 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. 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. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted.
1
GMO 2013
26
GMO Currency Hedged International Bond Strategy

Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) + Index Performance1
As of June 30, 2013

2
YTD 2013 -0.57 -0.69

2004 8.91 6.73 2005 7.25 6.54 2006 2.45 1.79 2007 -4.00 3.42
One Year 7.28 4.31

2008 -13.56 9.22 2009 18.81 2.90
Five Year 6.97 6.10

2010 11.70 3.71
Ten Year 4.83 4.67

2011 7.97 6.10

2012 11.34 8.07
-2.81 -0.99
2003
Strategy Benchmark
8.77 1.99

Strategy Benchmark
Characteristics4,5
1.61 0.97 0.37 1.01
0.00 1.00 1.00 1.15
Regional Weights4,6
Currency Weights4

-30 -15 0 -14.8
0.7 23.3
-5.5 2.4 3.1 -6 -3 0 3 6
4.3 15 30
Quarterly Strategy Attribution The Currency Hedged International Bond Strategy returned -2.8% net of fees in the second quarter, underperforming the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index total return of -1.0% by 1.8% The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index rose by 27 basis points during the quarter. Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were the highest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it planned to curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of the quarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, and Switzerland reported total return losses of -1.4% to -2.5%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board during the quarter, with the U.S. and Australia steepening the most. In currencies, exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat, and the rest down heavily. The Antipodes were most heavily hit, with Australian dollar -12.2% and New Zealand dollar -7.8%. Yen continued its decline, -5.4%, although with sharp reversals during the quarter. In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%, respectively. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of its overall recovery plan. Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy were responsible for losses during the quarter. While unable to fully offset losses, exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) and developed markets interest-rate positioning contributed positively.
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 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 Non-U.S. Government Bond Index (Hedged) through 12/31/2003 and (ii) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter. 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. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GMO 2013 27
1
GMO Global Bond Strategy

Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index Performance1
As of June 30, 2013

2
YTD 2013 -4.03 -5.80 2004 12.12 10.10 2005 -5.84 -6.53 2006 7.94 5.94 2007 2.58 10.81
One Year 0.53 -4.96 2008 -14.93 12.00 2009 20.30 1.91
Five Year 4.55 3.48 2010 14.14 6.42
Ten Year 5.17 4.85 2011 8.30 7.22
Since Inception 5.87 5.17 2012 6.36 1.30
-4.28 -3.10 2003

Strategy Benchmark
Characteristics4,5
1.27 0.94 0.67 0.46
0.00 1.00 1.00 0.36
Regional Weights4,6
Currency Weights4

-30 -15 -14.9
-0.2 22.9

4.8 0 15 30
-10
-5.5 7.8 -2.2 -5 0 5 10
Quarterly Strategy Attribution The Global Bond Strategy returned -4.3% net of fees during the second quarter, underperforming the J.P. Morgan GBI Global index return of -3.1% by 1.2%. The 34-basis-point rise in the yield of the index accounted for the bulk of negative index returns, with the U.S. dollars rise versus many developed currencies also contributing to losses. Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were the highest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it planned to curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of the quarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, and Switzerland reported total return losses of -1.4% to -2.5%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board during the quarter, with the U.S. and Australia steepening the most. In currencies, exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat, and the rest down heavily. The Antipodes were most heavily hit, with Australian dollar -12.2% and New Zealand dollar -7.8%. Yen continued its decline, -5.4%, although with sharp reversals during the quarter. In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%, respectively. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of its overall recovery plan. Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy were responsible for losses during the quarter. While unable to fully offset losses, exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) and developed markets interest-rate positioning contributed positively.
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. 2 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. 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. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted.
1
GMO 2013
28
GMO Global Asset Allocation Strategy

Inception: 6/30/88; Benchmark: Blended Benchmark Performance1
As of June 30, 2013

2
YTD 2013 3.23 3.05

2004 13.55 10.26 2005 9.06 5.99 2006 12.30 13.41 2007
One Year 9.89 10.29

2008 2009 24.15 24.14
Five Year 5.75 3.88

2010 7.93 11.05
Ten Year 7.92 6.25

2011 2.13 -1.80

2012 11.11 12.13
-0.46 -1.07
2003
7.94 -20.83 9.26 -27.72
Strategy Composition3
Alternative Asset Opportunity 7.2% Special Situations 3.5% U.S. Flexible Equities* 23.1%
Benchmark Composition
(65% MSCI ACWI / 35% Barclays U.S. Aggregate)
Alpha Only 15.9% Cash & Cash Equivalents** 0.4% Debt Opportunities 2.6%
Fixed Income 35.0%
U.S. Equities 31.6%
International Emerging Intrinsic Value Country Debt 18.9% 2.4% Strategic International Fixed Income Growth Equity 6.1% 1.8% Domestic Bond Currency Hedged 0.8% Emerging Risk FlexibleInternational Equity Markets 5.4% Premium Equities 8.7% 2.5% 0.7%
Emerging Equities 7.4%
International Equities 26.1%
* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities were invested in securities that GMO considers to be of high quality. ** Cash & Cash Equivalents includes World Opportunity Overlay and other securities.
Strategy Weights Relative to Benchmark3

30% 15% 0% -15% -30% +27.0% +3.2% -8.5% U.S. Equities Int'l. Equities Emerging Equities -23.1% Fixed Income Other +1.3%

Strategy Benchmark
3.20 0.78 0.86 0.77
0.00 1.00 1.00 0.43

The Global Asset Allocation Strategy finished the quarter with a loss of 0.5% net of fees, ahead of its benchmark by 0.6%. Asset allocation contributed the majority of the outperformance. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Against this backdrop, asset allocation contributions were positive, albeit modest. The largest advantage came from being dramatically underweight traditional bonds, broadly, and also underweight duration. The Strategy had been maintaining underweights to traditional bonds for some time, and this positioning helped given the large movement in yields. We maintained large dry powder holdings in Alpha Only Strategy and Alternative Asset Opportunity Strategy, both of which outperformed the bond markets. Within equities, the decision to overweight Japan, allocate to the Risk Premium Strategy, and to largely hedge non-U.S. dollar exposure all helped. Implementations impact this quarter was negligible. 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 The GMO blended Global Asset Allocation Composite benchmark 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. 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross. GMO 2013 29
GMO Real Return Global Balanced Asset Allocation Strategy

As of June 30, 2013

2
YTD 2013 5.04 4.52 2005 8.09 5.80 2006 13.26 13.69 2007 2008
One Year 11.33 10.72 2009 13.02 19.17
Five Year 5.31 3.19 2010 5.00 8.94
Ten Year n/a n/a 2011 3.16 -1.76
Since Inception 6.94 4.88 2012
0.21 -0.07 2004
Strategy Benchmark
10.11 7.45
7.63 -11.36 7.87 -25.17
10.65 10.42
Multi-Strategy 32.0% Special Situations 0.5% Alpha Only 3.1% U.S. Flexible Equities* 24.0%
(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% Barclays U.S. Agg.)
Absolute Return 20.0% U.S. Equities 32.9%
Cash & Cash Equivalents** 0.2% Debt Opportunities International 2.4% Intrinsic Value Emerging 19.4% Country Debt 1.8% International Strategic Growth Equity Fixed Income 2.4% 3.5% Currency Hedged Domestic International Equity Bond Emerging Flexible 5.2% 0.3% Markets Risk Premium Equities 1.3% 1.3% 2.3%
Fixed Income 20.0%
* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities were invested in securities that GMO considers to be of high quality. ** Cash & Cash Equivalents includes SOAF FI and other securities.

20% 10% 0% -10% -20% U.S. Equities Int'l. Equities -8.9% -12.0% Fixed Income Absolute Return +4.8% +15.8%

Strategy Benchmark
4.32 0.62 0.78 0.89
0.00 1.00 1.00 0.32

The Real Return Global Balanced Asset Allocation Strategy returned +0.2% net of fees in the quarter, outperforming its benchmark by 0.3%. Asset allocation decisions added to performance, while implementation effects were negligible. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Against this backdrop, asset allocation contributions were positive, albeit modest. The largest advantage came from being dramatically underweight traditional bonds, broadly, and also underweight duration. The strategy had been maintaining underweights to traditional bonds for some time, and this positioning helped given the large movement in yields. Within equities, the decision to overweight Japan, allocate to the Risk Premium Strategy, and to largely hedge non-U.S. dollar exposure all helped. Implementation's impact this quarter was negligible. 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 The GMO blended Real Return Global Balanced Asset Allocation Composite benchmark 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. 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross. GMO 2013 30
GMO Benchmark-Free Allocation Strategy

Inception: 7/31/01; Benchmark: CPI Index Performance1
As of June 30, 2013

2
YTD 2013 4.14 0.85
One Year 9.99 1.89
Five Year 6.70 1.39
Ten Year 10.77 2.41
-0.04 0.26
2004 17.96 3.35
2005 16.32 3.45
2006 12.75 2.58
2007 10.93 4.12
2008 -12.07 0.16
2009 19.86 2.86
2010 4.58 1.25
2011 3.60 2.95
2012 10.35 1.87
Cash & Collateral Alternative 1.0% Asset Opportunity 13.0%
Absolute Strategy Weights3

60% +53.0% +37.0% +9.0% Equities Fixed Income Absolute Return
Global Quality 20.0%
40% 20% 0%
+1.0% Cash
Alpha Only 24.0%
International ex-Japan (Hedged) 13.0%

Strategy
Emerging Country Debt ABS & 3.0% Credit Equity Risk 6.0% Premium 5.0%
Japanese Equities (Hedged) 5.0% Emerging Equities 10.0%
Std. Deviation Sharpe Ratio Drawdown

(10/31/07-2/28/09)
8.44 1.24 -18.46

The Benchmark-Free Allocation Strategy was flat on a net of fees basis in the quarter. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Against this largely negative backdrop, the Strategy had a positive, albeit tiny, absolute return for the quarter. The equity exposure of roughly 54% was essentially a wash. Quality stocks, international value, and our Japanese equity exposure posted positive returns, but those were largely offset by strongly negative performance from our emerging equity exposure. Emerging country debt exposure detracted roughly 0.1% to returns as credit spreads widened. A bright spot was the positive contributions from Alpha Only and Alternative Asset Opportunity, which were able to contribute 0.1% and 0.2%, respectively. The Alternative Asset Opportunity Strategy operates in the four major asset classes stocks, bonds, commodities, and currencies and was able to navigate some pretty tough waters this quarter.
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 performance of the Benchmark-Free Allocation Strategy appearing in the chart above shows the past performance of the Benchmark-Free Allocation Composite (the Composite) which consists of accounts and/or mutual funds managed by Grantham, Mayo, Van Otterloo & Co. LLC (GMO). The Composite is comprised of those fee-paying accounts under discretionary management by GMO that have investment objectives, policies and strategies substantially similar to the other accounts included in the Composite. Prior to January 1, 2012, the accounts in the Composite served as the principal component (approximately 80%) of a broader real return strategy** (which has its own GIPS composite) pursued predominantly by separate account clients of GMO. The Benchmark-Free Allocation Strategy is not expected to differ significantly from that component of the broader real return strategy. It is expected that the strategys investment exposures will not differ significantly from the allocations the strategy would have had as a component of the broader real return strategy, although the strategy will likely allocate a greater percentage of its assets to the strategies that have cash-like benchmarks. Not all of the accounts included in the Composite may be mutual funds; however, all the accounts have invested their assets in other mutual funds. All of the accounts that make up the Composite have been managed by the Asset Allocation Division. Although the mutual funds and the client accounts comprising the Composite have substantially similar investment objectives and strategies, you should not assume that the mutual funds or the client accounts will achieve the same performance as the other accounts in the Composite. The client accounts in the Composite can change from time to time. The performance of each account may differ based on client specific limitations and/or restrictions and different weightings among the mutual funds. For the broader real return strategy as of 3/31/13: Total Returns 1Q = 4.06%, YTD = 4.06%. Average Annual Total Return: One Year = 8.59%, Five Year = 5.77%, Ten Year = 11.00%, Since Inception = 10.02%. Annual Total Return: 2003 = 34.20%, 2004 = 15.29%, 2005 = 13.54%, 2006 = 11.01%, 2007 = 9.99%, 2008 = -7.19%, 2009 = 14.92%, 2010 = 3.02%, 2011 = 4.22% and 2012 = 9.42%. 2 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 4 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 gross.
1
GMO 2013
31
GMO Global Allocation Absolute Return Strategy

Inception: 7/31/01; Benchmark: CPI Plus 5% Index Performance1
As of June 30, 2013

2
YTD 2013 3.55 3.34
One Year 9.00 6.98
Five Year 5.88 6.45
Ten Year 9.45 7.52
-0.49 1.49
2004 15.29 8.51
2005 13.54 8.61
2006 11.01 7.70
2007 9.99 9.31
2008 -7.19 5.16
2009 14.92 7.99
2010 3.02 6.30
2011 4.22 8.08
2012 9.42 6.95
Multi-Strategy 20.0% Quality 19.7%
Absolute Strategy Weights3

60% 40% +52.6% +39.2% 20%
Currency Hedged Int'l. Equity 18.3%
Special Situations 3.6% Alpha Only 9.4% Alternative Asset Opportunity 6.2% Flexible Debt Opportunities Equities 3.3% Emerging 1.2% Risk Country Debt Strategic Emerging Premium 1.9% 4.8% Fixed Income Markets 2.9% 8.7%
+8.1% Equities Fixed Income Absolute Return
0%

Strategy

(10/31/07-2/28/09)
6.84 1.34 -11.22
Quarterly Strategy Attribution The Global Allocation Absolute Return Strategy returned -0.5% net of fees in the quarter. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. The equity exposure of roughly 54% was essentially a wash. Quality stocks, international value, and our Japanese equity exposure posted positive returns, but those were largely offset by strongly negative performance from our emerging equity exposure. Emerging country debt exposure detracted from returns as credit spreads widened. Absolute return oriented strategies were a mixed bag this quarter. Alpha Only and Alternative Asset Opportunity were able to contribute positive returns. Alternative Asset Opportunity operates in the four major asset classes stocks, bonds, commodities, and currencies and was able to navigate some pretty tough waters this quarter. Yet, the Multi-Strategy allocation essentially delivered a flat return for the quarter.
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 The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All Urban Consumers US All Items which 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. The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the CPI Index. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 4 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 gross. GMO 2013 32
1
GMO Real Return Asset Allocation Strategy

Inception: 12/31/09; Benchmark: CPI Index Performance1
As of June 30, 2013

Strategy

2
YTD 2013 3.34 0.85
One Year 7.91 1.89
Five Year n/a n/a
Ten Year n/a n/a
Since Inception -0.34 1.97
0.02 0.26

(12/31/09-6/30/10)
6.22 0.15 -12.35
2010 Strategy Benchmark -11.89 1.25
2011 1.87 2.95
2012 6.53 1.87
Equities4
Exposure (%)
Inflation / Deflation Themes4

Exposure (%)
Quality International Equities Emerging Equities Risk Premium Japanese Equities China Short S&P 500 Beta Hedge S&P 500 ex-Finanials
50 14 13 5 2 -3 -10 -40 -60 -30 0 30 60
Inflation
New Zealand 10 Yr. Bonds Dividend Swaps Japanese Inflation

-10 -5 0
6 5 2 5 10
Currencies4
Exposure (%)
Absolute Return4
Exposure (%)
Euro New Zealand Dollar Hong Kong Dollar Australian Dollar Canadian Dollar Swiss Franc
5 -1 -2 -2 -3 -5 -6 -3 0 3 6
Multi-Strategy ABS/Credit Credit Opportunities

-30 -15 0
20 6 3 15 30
Quarterly Strategy Attribution The Real Return Asset Allocation Strategy was flat net of fees in the second quarter. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Against this backdrop, the strategy was able to post positive, albeit modest, returns. Long positions in quality and international stocks were additive. Currency positions, specifically Aussie dollar shorts, were also additive. But net long positions in emerging (net of the China short) marred returns. Multi-Strategy added essentially no return this quarter.
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 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. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. GMO 2013 33
1
GMO Global All Country Equity Allocation Strategy

As of June 30, 2013

2
YTD 2013 5.97 6.50 2004 17.62 14.86 2005 12.51 9.95 2006 18.87 20.34 2007
One Year 15.03 16.98 2008 2009 24.19 34.45
Five Year 4.53 2.74 2010 10.12 12.94
Ten Year 9.15 7.44 2011 -1.29 -6.87
Since Inception 8.95 7.00 2012 14.74 16.34
-0.08 -0.25 2003
11.12 -31.41 10.38 -41.82
Emerging Markets 13.5% U.S. Core 3.5%
(MSCI ACWI)
Flexible Equities 0.5% Currency Hedged International Equity 7.8%
Emerging Markets 11.3% U.S. Equities 48.6%
International Growth Equity 8.0%
U.S. Flexible Equities* 39.7%
Developed Int'l. Equities 40.1%

International Intrinsic Value 27.0%
* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities were invested in securities that GMO considers to be of high quality.

10% 5% 0% -5% -10% +3.2% +2.2%

Strategy Benchmark
-5.4% U.S. Equities Developed Int'l. Equities Emerging Equities
3.39 0.82 0.91 0.49
0.00 1.00 1.00 0.25

The Global All Country Equity Allocation Strategy returned -0.1% net of fees for the quarter, outperforming its benchmark by 0.2%. Asset allocation accounted for the majority of the outperformance. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. Asset allocation decisions added modestly to performance. Our currency decisions helped this quarter, as the use of the currency-hedged version of our international strategy and the hedging within Flexible Equities protected returns from weakening currencies outside of the U.S. Japanese equity exposure, gained through Flexible Equities, added modestly as Japan outperformed many of the other international markets. Implementation's impact was negligible.
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 The GMO blended Global All Country Equity Allocation Composite benchmark 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. 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross. GMO 2013 34
1
GMO Global Developed Equity Allocation Strategy

As of June 30, 2013

2
YTD 2013 8.65 8.43 2004 17.36 13.64 2005 12.26 9.42 2006 20.22 20.05 2007
One Year 17.27 18.58 2008 2009 20.55 29.97
Five Year 3.91 2.71 2010 9.25 11.77
Ten Year 8.61 7.12 2011 -0.40 -5.52
Since Inception 9.26 7.06 2012 14.14 15.84
1.47 0.64 2003
9.69 -33.19 9.02 -40.70
Emerging Flexible Markets U.S. Core Equities 1.7% 5.1% Currency Hedged 0.5% International Equity 7.7% International Growth Equity 8.0%
(MSCI World Index)
U.S. Equities 54.8%
U.S. Flexible Equities* 44.7%
* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities were invested in securities that GMO considers to be of high quality.

6% 3% 0% -3% -6% -5.0% U.S. Equities International Equities +5.0%

Strategy Benchmark
3.40 0.84 0.88 0.45
0.00 1.00 1.00 0.22

The Global Developed Equity Allocation Strategy returned +1.5% net of fees for the quarter, outperforming its benchmark by 0.8%. Implementation accounted for the majority of the outperformance. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. Asset allocation contributions were negligible this quarter. The decision to overweight Japan was largely offset by the decision to hold an out-ofbenchmark allocation to emerging equities, which were down significantly in the quarter. Implementation added to performance, as the International Intrinsic Value Strategy outperformed its benchmark by over 130 basis points, and the International Growth Equity Strategy beat its benchmark by over 80 basis points.
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 The GMO blended Global Developed Equity Allocation Composite benchmark 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross.
1
GMO 2013
35
GMO International All Country Equity Allocation Strategy

As of June 30, 2013

2
YTD 2013 -0.39 0.07

2004 24.06 21.11 2005 19.03 16.71 2006 25.91 26.94 2007
One Year 13.12 13.79

2008 2009 27.77 40.16
Five Year -0.63 -0.81

2010
Ten Year 9.40 8.61

2011

2012 16.82 16.90
-2.54 -3.02
2003
17.39 -40.96 16.08 -45.26
12.74 -11.31 10.83 -13.63
Emerging Markets 23.8% International Intrinsic Value 53.9% Flexible Equities 0.4%
(MSCI ACWI ex USA Index)
Emerging Markets 22.0% Developed Int'l. 78.0%

4% 2% 0% -2% -4% Developed Int'l. Equities Emerging Equities -1.8% +1.8%

Strategy Benchmark
2.93 0.92 0.94 0.31
0.00 1.00 1.00 0.14

The International All Country Equity Allocation Strategy returned -2.5% net of fees for the quarter, outperforming its benchmark by
0.5%. Asset allocation was responsible for essentially all of the outperformance. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. Asset allocation contributions were positive. The decision to overweight Japan (and partially hedge the yen) and international value was helpful. Some of those positives were offset by the decision to overweight emerging, which had a tough quarter. Implementation effects were negligible.
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 The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex USA 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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross.
1
GMO 2013
36
GMO International Developed Equity Allocation Strategy

As of June 30, 2013

2
YTD 2013 3.97 4.10
One Year 17.94 18.62
Five Year -0.20 -0.50
Ten Year 8.80 8.03
0.04 -0.99
2004 24.89 21.17
2005 15.56 14.41
2006 25.50 26.62
2007
2008
2009 19.84 32.16
2010
2011
2012 17.09 17.32
12.69 -38.39 11.58 -43.33
10.58 -9.45 7.93 -12.14
Flexible Emerging Equities Markets 1.9% 1.4%
(MSCI EAFE Index)

Strategy Benchmark
3.11 0.87 0.90 0.37
0.00 1.00 1.00 0.18

The International Developed Equity Allocation Strategy returned 0.0% net of fees for the quarter, outperforming its benchmark by 1.0%. Implementation accounted for the majority of this outperformance. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. Asset allocation's impact was negligible, as the decision to overweight Japan and tilt toward international value, which performed well, was offset by the decision to overweight emerging equities, which had a difficult quarter. Implementation effects were positive, as the International Intrinsic Value and International Growth Equity Strategies beat their benchmarks by over 130 basis points and 80 basis points, respectively.
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 The GMO blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross.
1
GMO 2013
37
GMO U.S. Equity Allocation Strategy

As of June 30, 2013

2
YTD 2013 14.39 13.99 2004 10.74 11.45 2005 3.68 5.53 2006 9.93 15.71 2007
One Year 18.01 21.07 2008 2009 20.54 27.46
Five Year 8.40 7.23 2010 7.43 16.26
Ten Year 7.02 7.59 2011 9.91 1.58
Since Inception 10.54 9.80 2012 12.25 16.21
2.97 2.84 2003
2.25 -27.87 5.39 -37.15
Small/Mid Cap 2.5%
(Russell 3000 Index)
Small/Mid Cap 17.9%

U.S. Core 47.6%
U.S. Flexible Equities 49.9%
Large Cap 82.1%

20% 10% 0% -10% -20% Large Cap -15.4% Small/Mid Cap +15.4%

Strategy Benchmark
2.27 0.84 0.92 0.58
0.00 1.00 1.00 0.42
Quarterly Strategy Attribution The U.S. Equity Allocation Strategy finished the quarter with a return of +3.0% net of fees, outperforming its benchmark by 0.1%. Implementation accounted for the majority of this outperformance. Asset allocation decisions detracted slightly, as the quality bias lagged slightly. Implementation helped balance performance out, with the U.S. Core Equity Strategy and the U.S. Small/Mid Cap Strategy outperforming their benchmarks by 0.7% and 0.9%, respectively.
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 The GMO blended U.S. Equity Allocation Composite benchmark 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. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross.
1
GMO 2013
38
GMO Tax-Managed Global Balanced Strategy

Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index Performance1
As of June 30, 2013

2
YTD 2013 2.27 2.79 2004 12.73 10.02 2005 9.91 5.91 2006 12.08 12.95 2007
One Year 8.42 9.83 2008 2009 14.29 23.90
Five Year 4.23 4.19 2010 6.88 9.99
Ten Year 7.13 6.20 2011 1.34 -0.27
Since Inception 7.63 6.73 2012 9.71 11.47
-1.30 -1.22 2003
7.16 -14.95 7.12 -25.89
Multi-Strategy 13.5% U.S. Equities 20.3%
(GMO Tax-Managed Global Balanced Index)
Fixed Income 40.0%
U.S. Equities 29.2%
Municipal Bonds 28.4% International Equities 25.2% Emerging Risk Country Debt Emerging 1.9% Equities Premium 2.6% 8.2%
Emerging Markets 6.8%

20% 10% 0% -10% -20% +13.5% +3.8% +1.4% -9.7% Emerging Fixed Income Markets Absolute Return

Strategy Benchmark
-8.9% U.S. Equities Int'l. Equities
3.44 0.72 0.88 0.94
0.00 1.00 1.00 0.51

The Tax-Managed Global Balanced Strategy returned -1.3% net of fees for the quarter, underperforming its benchmark by 0.1%. Asset allocation detracted from performance, while implementation was positive. Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was taper, but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Asset allocation contributions were negative. The decision to underweight U.S. equities while overweighting non-U.S. equities hurt relative performance. The decision to be overweight emerging also acted as a headwind. Implementation contributed positively this quarter, with Tax Managed International Equities beating its benchmark by over 300 basis points.
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 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 (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. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 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. Risk profile data is gross.
1
GMO 2013
39
GMO Total Equities Strategy

Inception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index Performance1
As of June 30, 2013

2
YTD 2013 4.01 0.03
One Year 11.84 0.08
Five Year 3.92 0.23
Ten Year 1.48 1.63
0.93 0.02
2003 Strategy Benchmark -5.61 1.07
2004 1.07 1.24
2005 3.56 3.00
2006 -1.90 4.76
2007 -5.37 4.74
2008 14.26 1.80
2009 -7.47 0.16
2010 3.51 0.13
2011 0.40 0.08
2012 8.64 0.07
Exposure3, 4
By Strategy (%)
By Region (%)
Merger Arbitrage Volatility Quantitative Equity Fundamental Equity Other Total

0.0
32.8 25.0 21.3 14.8
Non-U.S. U.S. Total

37.4
56.5
93.9
93.9
Quarterly Strategy Attribution Global equities posted muted absolute returns during the second quarter amid concerns about matters including growth in China, the European economic situation, Japanese equity market performance, and the U.S. Feds bond purchase program. U.S. equities generally fared better than their non-U.S. peers during the quarter. The S&P 500 posted a +2.9% return for the quarter, as compared to -1.0% for the MSCI EAFE index and -7.9% for the MSCI Emerging Markets index. The MSCI ACWI returned -0.4% for the quarter. The Total Equities Strategy returned +0.9% net of fees for the period, with the majority of the positive absolute result driven by exposure to equities. Our equities strategies posted a +1.5% return for the period, a result that led the MSCI ACWI index. Our volatility strategies posted a +0.2% return for the quarter while merger arbitrage delivered a -0.3% return for the period.
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 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 4 Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets.
1
GMO 2013
40
GMO Tactical Opportunities Strategy

As of June 30, 2013

Strategy

2
YTD 2013 -1.76 0.03 2006 -1.65 4.76 2007 17.87 4.74 2008 36.52 1.80 2009 -41.60 0.16
One Year -15.17 0.08 2010 -25.31 0.13
Five Year -10.13 0.23 2011 27.51 0.08
Ten Year n/a n/a 2012 -18.36 0.07
-3.47 0.02 2004 2005 -13.24 3.00

(11/30/08-3/31/11)
19.01 -0.35 -60.54
Strategy -7.57 Benchmark 0.44
Characteristics4
Long Short
Sector Exposure4
Sector Net Weight 38.8 Long Short
P/E - Ex Neg Earn Hist 1 Yr Wtd Med % Negative Earnings Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

Market Cap - Weighted Median $Bil Debt/Equity Wtd Med % Long/Short
18.2 2.8 3.4 2.5 19.8 $142.7 0.7 132
x % x % % x %
21.5 58.3 2.0 1.6 1.9 $6.3 1.3 135
x % x % %
x
%
Regional Weights4
Region Net Weight -13.1 10.1 -20 -10 0 10 20
-10.7 Consumer Discretionary Consumer Staples -9.1 Energy -42.0 Financials Health Care -10.2 Industrials Information Technology -6.3 Materials -2.2 Telecom. Services -0.9 Utilities -60 -30 0
18.4 21.2
6.5 % 39.0 9.4 0.0 36.8 1.8 38.1 0.0 0.5 0.0
17.2 % 0.2 18.5 42.0 18.4 12.0 16.9 6.3 2.7 0.9
30
60
GICS Sectors
United States Non-United States
Quarterly Strategy Attribution The Tactical Opportunities Strategy fell 3.5% net of fees in the second quarter of 2013. The positive absolute returns from the long portfolio were more than offset by the negative returns of the short portfolio. During the quarter, market sentiment shifted from optimism driven by continued signs of economic recovery in the U.S. to concerns that the central bank spigot would begin to be tightened sooner rather than later. Volatility increased, and investors ended the quarter more pessimistic than at the start. Large cap stocks lost a little ground to the market, defined here as S&P 500, both within quality and the larger universe. Each of the components of quality companies with low leverage, high profits, and stable profitability lagged the overall market during the quarter. In the long portfolio the largest contributing sector was Information Technology. Individual stocks adding to returns included Microsoft, Cisco Systems, and Google. The long portfolios only detracting sector in the quarter was Consumer Staples, with Philip Morris International contributing to the slight negative return. In the short portfolio Energy and Materials were both absolute contributing sectors. Financials and Consumer Discretionary stocks caused a majority of the absolute negative return. The Strategys average net exposure for the quarter was neutral.
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 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. Exposure information is not normalized and shown as a percent of total net assets.
1
GMO 2013
41
GMO Currency Hedge Strategy

Inception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index Performance1
As of June 30, 2013

Strategy

2
YTD 2013 -7.21 0.21
One Year -6.52 0.56
Ten Year n/a n/a
-12.19 0.10

(6/30/07-12/31/08)
11.66 0.00 -41.19
2004 2.93 1.48
2005 8.94 3.37
2006 13.60 5.25
2007
2008
2009 23.08 1.45
2010 3.17 0.45
2011 1.25 0.44
2012 2.31 0.82
-15.57 -28.70 5.70 4.12
Performance Attribution4
Net Contribution (%)
Currency Weights4
Net Weight
Europe North America Asia Pacific Cash Mgmt/Fees/Other
-6.9 -2.7 -5.6 2.9 -10 -5 0 5 10
Europe North America Asia Pacific
-56.1 25.7 30.6 -60 -30 0 30 60
Quarterly Strategy Attribution In the second quarter of 2013, the Currency Hedge Strategy returned -12.2% net of fees, compared to its benchmark, the J.P. Morgan U.S. 3 Month Cash index, which gained 0.1%. This was the worst quarterly performance since the Lehman crisis. Exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat, and the rest down heavily. The Antipodes were most heavily hit, with Australian dollar at -12.2% and New Zealand dollar at -7.8%. Yen continued its decline, -5.4%, although with sharp reversals during the quarter. In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%, respectively. In the U.S., the Federal Reserve telegraphed intentions to taper bond purchases, leading to a sharp increase in U.S. bond yields. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of its overall recovery plan. In performance attribution, but for the yen short, the remaining cross-market positions contributed negatively. Opportunistic positions partially offset losses.
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 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. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
42
GMO Fixed Income Hedge Strategy

As of June 30, 2013

Strategy

2
YTD 2013 -0.53 0.21
One Year 6.92 0.56
Five Year 1.31 1.08
Ten Year n/a n/a
-2.18 0.10

(5/31/06-1/31/09)
13.80 -0.09 -48.54
2006
2007
2008
2009 21.63 1.45
2010 11.03 0.45
2011 15.85 0.44
2012 10.07 0.82
-4.61 -23.39 -25.45 5.25 5.70 4.12
Performance Attribution4
Strategy Net Contribution (%) -1.3 0.6 -0.2 0.0 0.0 -0.1
Country Weights4
Net Weight (%)
Cross-Market Tactical Duration Overlay Yield Curve Swaption Volatility STRIPS vs. LIBOR Other Opportunistic
Europe North America Asia Pacific

-400
-53.9 216.4 -132.8 -200 0 200 400
Cash Mgmt/ABS/Fees/Other -1.3

-2 -1 0 1 2
Quarterly Strategy Attribution The GMO Fixed Income Hedge Strategy returned -2.2% net of fees in the second quarter of 2013, underperforming its benchmark, the J.P. Morgan U.S. 3 Month Cash index, by 2.3%. Cross-market strategies weighed on performance during the quarter, followed by losses from yield curve positioning and opportunistic strategies. Gains from tactical duration positions partly offset losses. Government bond markets fell across the board in the second quarter. In local currency bond index terms, losses were the highest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it planned to curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of the quarter. However, yields reversed course by quarter end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, and Switzerland reported total return losses of -1.4% to -2.5%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board during the quarter, with the U.S. and Australia steepening the most. In policy actions, the European Central Bank and Reserve Bank of Australia each cut rates by 25 basis points, to 0.5% and 3.0%, respectively. The cross-market strategy posted losses during the quarter, given long positions in Canada, the U.S., and Sweden, where yields rose. Short positions in the U.K. and Japan, where yields also rose, added value but were unable to fully offset losses. The integrated yield curve slope strategy also detracted during the quarter, mostly given steepening yield curves in the U.S. and Switzerland. The Strategys concentrated position in Treasury STRIPS vs. LIBOR detracted during the quarter, as the spread between Treasuries and LIBOR widened. Finally, Tactical Duration Overlay positions added value during the quarter; this strategy was short U.S. duration during a sell-off in U.S. Treasuries.
1
GMO 2013
43
GMO Emerging Currency Hedge Strategy

As of June 30, 2013

Strategy

2
YTD 2013 -3.43 0.21
One Year 0.87 0.56
Five Year 0.35 1.08
Ten Year n/a n/a
-3.60 0.10

(7/31/08-12/31/08)
11.76 0.20 -31.61
2007
2008
2009 35.51 1.45
2010 9.88 0.45
2011 -5.14 0.44
2012 5.56 0.82
9.72 -28.32 5.70 4.12
Quarterly Strategy Attribution In the second quarter of 2013, the Emerging Currency Hedge Strategy returned -3.6% net of fees while the Strategys benchmark, the J.P. Morgan U.S. 3 Month Cash index, returned +0.1%. The rapid rise in U.S. interest rates during the quarter drained support for most foreign currencies. Among the main emerging currencies, all but six fell in spot terms. Latin currencies were uniformly weak, while CEEMEA and Asia were more mixed. In CEEMEA, Hungary stood out, rising 4.6% in spot terms and 5.7% including carry, while Czech gained 0.4% in spot or 0.3% total. In Asia, China guided the renminbi 1.2% higher which, coupled with the forward discount, translated into +1.4% total return. With declines elsewhere, particularly in Japan and the rest of non-Japan Asia, Chinas multilateral real exchange rate keeps hitting all-time highs as a result. Near quarters end, lack of CNY strength relative to the dollar, coupled with the prospect for two-way CNY movements under the announced liberalization, began causing an unwind of CNY carry trades. With spot more or less pegged, this resulted in a spike in local interest rates, which the PBOC only partially counteracted. A number of countries took measures to stem currency weakness. Brazil removed its IOF tax. Indonesia raised interest rates twice. Turkey added Additional Monetary Tightening. Several countries intervened selling dollars. Net/net this tightens financial conditions locally, supporting the currencies. Strategy currency losses included longs across Latin America as well as Russia, Turkey, South Africa, and India, notably. Partially offsetting losses were the shorts in Philippine peso, Singapore dollar, as well as longs in Hungary, Romania, and Indonesia.
1
GMO 2013
44
GMO Mean Reversion Strategy

As of June 30, 2013

Strategy

2
YTD 2013 3.89 0.03 2005 6.97 3.00 2006 5.63 4.76 2007 18.63 4.74 2008 18.43 1.80
One Year 4.49 0.08 2009 -13.43 0.16
Five Year 0.95 0.23 2010 -8.61 0.13
Ten Year 6.87 1.63 2011 6.77 0.08
Since Inception 8.25 1.62 2012 5.98 0.07
0.39 0.02 2003 2004 11.42 1.24

(2/28/09-12/31/10)
10.46 0.94 -24.87
Fixed Income & Inflation Exposure4,5

Position Australian 10 Yr. Bonds Kiwi 10 Yr. Bonds ABS/Credit UK 10 Yr. Bonds Canadian Rates German Bunds China Sovereign/Bank CDS U.S. 10 Yr. Bonds Japanese Interest Rates -39.9 -60 Absolute % 18.5 11.6 2.0 -5.0 -5.2 -5.8 -7.1 -7.3 -30 0 30 60
Currency Exposure4
Position Absolute % Indian Rupee Euro Norwegian Kronor 2.1 New Zealand Dollar -2.6 Canadian Dollar -5.3 Australian Dollar -5.9 -6.0 Hong Kong Dollar -7.9 Chinese Yuan Renminbi -13.9 Swiss Franc -20 -10 0 10 16.8 14.0
20
Other Equity Exposure4

Position Emerging Equities Euro Div. Swaps S&P 500 Beta Hedge Chinese Equities Absolute % 9.0 1.0 -1.7 -8.6 -10 -5 0 5 10
Position
Quality Exposure4
Position Quality S&P 500 ex-Financials Absolute % 85.5 -68.4 -100 -50 0 50 100
Other Exposure4
Absolute % 5.0 -6 -3 0 3 6 Credit Opportunies Fund

The second quarter of 2013 was a positive one for the Mean Reversion Strategy, with a net return of +0.4%. It was a mixed quarter for equities, with the S&P 500 rising 2.9%, MSCI EAFE down 1.0%, and MSCI Emerging Markets down 7.9%. Our equity positions contributed 25 basis points while the quality trade added 35 basis points. Even though the quality stocks underperformed the S&P, rising 2.1%, our hedge is not the S&P 500, but the S&P 500 ex-financials, and the financials had a strong quarter, rising over 7%, which left quality outperforming its hedge. The emerging versus China trade cost us 15 basis points as our anti-China stocks fell slightly less than the emerging portfolio; the Japan position earned roughly 5 basis points as Japan rose a bit in the quarter. Our other positions were also positive in aggregate. The significant loser was the Japanese inflation swaps, which cost us 20 basis points as breakevens fell, particularly in June. Currencies offset that loss, earning 20 basis points with the Australian dollar weak in the quarter. Our credit positions added 20 basis points, as the Credit Opportunities Strategy rose 1% in the quarter, and we made about 15 basis points on credit positions as spreads tightened on our ABS positions and an additional few basis points on the government bond positions. Bond yields around the world rose significantly, which left our bond spread trades hurting us a bit, but we did also have a modestly sized short position in global bonds, which we took off during the quarter, and that added enough value to pull the total positive. One other position to note is a small correlation swap we have had on between U.S. stocks and bonds. This returned 7 basis points as both bonds and stocks fell from late May into June, bringing up the correlation between them, which had otherwise been firmly negative. During the quarter we removed our short global bond position as bond yields rose to the point where it no longer had a significantly positive expected return versus cash, and initiated a currency position long Indian rupee/short Asian FX, to try to take advantage of the fall in the rupee, which has left it looking cheap versus other Asian currencies. We continued to trade out of our Japanese inflation swap position and sold a bit of our euro area dividend swaps.
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 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 5 Displayed in local 10-year equivalents, except for ABS/Credit and China/Sovereign Banks CDS.
1
GMO 2013
45
GMO Systematic Global Macro Strategy

As of June 30, 2013

Strategy

2
YTD 2013 6.05 0.03 2005 4.63 3.00 2006 8.39 4.76 2007 15.06 4.74 2008 -3.88 1.80
One Year 5.65 0.08 2009 15.28 0.16
Five Year 4.96 0.23 2010 10.37 0.13
Ten Year 6.32 1.63 2011 5.79 0.08
Since Inception 7.56 1.62 2012 0.73 0.07
3.11 0.02 2003 2004 1.33 1.24

(6/30/08-9/30/08)
10.09 0.86 -15.44
Strategy Benchmark
3.79 1.07
Equity Market Selection4

Country Net Weight (%) 50.0 20.0 17.0 8.0 2.0 1.0 -2.0 -9.0 -15.0 72.0 -80 -40 0 40 80
Country
Bond Market Selection4

Asset Backed Japan Net Bond Markets
Net Weight (%) 2.0 -26.0 -24.0 -40 -20 0 20 40
United Kingdom Netherlands Italy Singapore Russell 2000 United States India Korea Japan Net Equity Markets
Commodity Markets4
Commodity
Currency Selection4
Currency Net Weight (%) 50.0 -50.0 -9.5 -60 -30 0 30 60
U.S. Dollar Australian Dollar Net Cash
Other4
Other
Volatility Index Net Other

-2
Net Weight (%) -0.5 -0.5 -1 0 1 2
Soy Beans Cocoa Cotton Gasoline Sugar -3.0 Silver -4.0 Hogs -4.0 Cattle -4.0 Coffee -5.0 Soy Oil -5.0 Copper -7.0 Wheat -10.0 Heating Oil -11.0 Gold -14.0 Net Commodities -38.0
-40 -20
Net Weight (%) 18.0 5.0 5.0 1.0
20
40

The Systematic Global Macro Strategy returned +3.1% net of fees in the second quarter of 2013. The Strategy added 0.8% in April, driven mostly by asset allocation, which contributed positive returns from being net long equity markets and net short commodity markets. Global equity markets rose 2.8%, according to the MSCI World index (local currency), while commodity markets fell 4.7% according to the S&P GSCI index. May was also a good month for the Strategy with a return of +3.3%. Equity market positions contributed 1.4% to performance as our net long exposure to this asset class was concentrated in the outperforming UK and Dutch markets. A short position in Japanese 10-year bonds contributed to portfolio return as Japanese bonds weakened. Commodity markets were down 1.5% according to the S&P GSCI index and our net short in commodities added value. Currency positions made the largest contribution to Mays positive performance. We were positioned to profit from weakness in the Australian dollar, down 7.6%, and British pound, down 2.6%, against the U.S. dollar. However, the Strategy lost 1.0% in June. After seven consecutive months of gains, global equity markets fell 2.4%, which meant our net long equity markets allocation lost 1.9% of value. Equity market selection cost 3.5% as long positions in the UK, Dutch, and Italian markets experienced larger falls. The negative returns from equity market positions were mostly offset by currency and commodity positions. A large short position in the Australian dollar added 1.5% to portfolio value as it fell a further 4.5% against the U.S. dollar. Commodity market positions contributed 3.5% to performance as the strategy gained from falling prices in metals and wheat. The Strategy holds a net long allocation to equity markets, net short allocations to commodity and bond markets, and a long exposure to the U.S. dollar. The resulting portfolio beta (relative to a hedged global equity benchmark) is in the range of 0.1 to 0.4. We hold long equity market positions in the UK, the Netherlands, and Italy, which offer good value according to our measure of fair value, and a short position in Japan. We continue to hold short exposures in commodity markets, particularly metal markets where price momentum is negative but prices remain high. The Strategy has extended a short position in the Australian dollar on worsening sentiment it has fallen 13% against the U.S. dollar since April 11, remains overvalued, and further cuts to key interest rates are possible.
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 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
1
GMO 2013
46
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or index-plus 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 Barclays U.S. Aggregate Index Description 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.
Benchmarks and Indices
Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. CPI Index CPI Plus 5% 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. The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All Urban Consumers US All Items which 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. The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the CPI Index. The blended Global All Country Equity Allocation Composite benchmark 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. 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. The blended Global Asset Allocation Composite benchmark 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. 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. The blended Global Developed Equity Allocation Composite benchmark 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. The blended International All Country Equity Allocation Composite benchmark 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. The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (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. The blended Real Return Global Balanced Asset Allocation Composite benchmark 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. 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. The blended U.S. Equity Allocation Composite benchmark 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. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. 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. 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. 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 Non-U.S. Government Bond Index (Hedged) through 12/31/2003 and (ii) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter. 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.
GMO Blended Global All Country Equity Allocation Index
GMO Blended Global Asset Allocation Index
GMO Blended Global Developed Equity Allocation Index
GMO Blended International All Country Equity Allocation Index
GMO Blended International Developed Equity Allocation Index
GMO Blended Real Return Global Balanced Asset Allocation Index
GMO Blended U.S. Equity Allocation Index
GMO Tax-Managed Global Balanced Index
J.P. Morgan GBI Global J.P. Morgan GBI Global exJapan ex-U.S. (Hedged) + Index J.P. Morgan GBI Global exU.S. Index
47
Full Name
Description
J.P. Morgan U.S. 3 Month Cash The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. Index dollar Euro-deposits. The duration of the Index is generally 90 days. MSCI ACWI 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. 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. The MSCI EAFE (Europe, Australasia, and Far East) Growth 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 that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. 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. The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. 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. 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. The MSCI EAFE (Europe, Australasia, and Far East) Value 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 that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. 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 Index
MSCI EAFE Growth Index
MSCI EAFE (Hedged) Index
MSCI EAFE Index
MSCI EAFE Value Index
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 Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (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. The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed 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. The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof. The Russell 2500 Index is an independently maintained and widely published index comprised of the stocks of the 2,500 smallest U.S. companies based on total market capitalization and current index membership. 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. Russell 2500 + Index is comprised of Russell 2500 Index from 12/31/1991 to 12/31/1996, Russell 2500 Value Index from 12/31/1996 to 1/13/2012, and the Russell 2500 Index thereafter. 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. 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. 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.
MSCI World Index
Russell 1000 Growth Index
Russell 1000 Value Index
Russell 2500 Index
Russell 2500 + Index S&P 500 Index
S&P Developed ex-U.S. Small Cap Index
S&P/IFCI Composite Index
48

GMO Quarterly Update 2 Q 13

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GMO Quarterly Update 2 Q 13

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GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S.

GMO Asset Allocation

GMO International Equities

GMO Emerging Equities

GMO Absolute Return

GMO Global Equities

GMO Alternative Assets

GMO Fixed Income

2013 Performance of GMO Strategies and Benchmarks

GMO U.S. Equity Strategies/Benchmarks

Inception Date 9/30/85 5/31/99 12/31/88 12/31/91

YTD Value Added 1.56 0.26 1.42 2.84

GMO International Equity Strategies/Benchmarks

Inception Date 5/31/81 1/31/95 3/31/87

YTD Value Added -0.39 3.55 0.73

1/31/02 6/30/95 12/31/05 8/31/98

-0.03 -1.90 -3.27 0.26

2013 Performance of GMO Strategies and Benchmarks

GMO Emerging Equity Strategies/Benchmarks

Inception Date 12/31/93

YTD Value Added -3.82

GMO Global Equity Strategies/Benchmarks

Inception Date 8/31/00 12/31/11 2/29/04 7/31/96

YTD Value Added -0.74 -0.64 -0.97 0.85

GMO Alternative Asset Strategies/Benchmarks

Inception Date 12/31/11

YTD Value Added -0.01

GMO Fixed Income Strategies/Benchmarks

Inception Date 4/30/97 12/31/93 9/30/94

YTD Value Added 1.85 3.40 0.12

2013 Performance of GMO Strategies and Benchmarks

GMO Asset Allocation Strategies/Benchmarks

GMO Absolute Return Strategies/Benchmarks

Inception Date 9/30/00 9/30/04 7/31/03 8/31/05 3/31/06 2/28/02 3/31/02

GMO U.S. Core Strategy

As of June 30, 2013

2Q 2013 Strategy Benchmark

YTD 2013 15.38 13.82

Annual Total Return Net of Fees (%)

2003 Strategy 26.64 Benchmark 28.69

2004 9.85 10.88

2005 3.66 4.91

2006 9.74 15.80

2009 21.40 26.46

2010 8.95 15.06

2011 8.16 2.11

2012 12.87 16.00

1.64 -30.17 5.49 -37.00

Risk Profile Since 9/30/854

Alpha Beta 2 R Sharpe Ratio

1.52 0.92 0.95 0.53

0.00 1.00 1.00 0.44

17.9 2.4 2.2 15.4 $62.4

GMO Intrinsic Value Strategy

As of June 30, 2013

2Q 2013 Strategy Benchmark

YTD 2013 16.16 15.90

One Year 22.47 25.32

Five Year 8.11 6.67

Ten Year 6.88 7.79

Since Inception 5.35 4.94

Annual Total Return Net of Fees (%)

2003 Strategy 30.42 Benchmark 30.03