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GMOQuarterlyUpdate March31,2015

GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship Manager.Fornewbusinessinquiries,please
contactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.com
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(617)3307500| www.gmo.com
GMOLLC2015

GMOCapabilities
March31,2015

GMOMultiAssetClass
BenchmarkFreeAllocation
GlobalAllocationAbsoluteReturn
GlobalAssetAllocation
RealReturnGlobalBalancedAssetAllocation
TaxManagedGlobalBalanced

Page
4
6
8
10
12

GMOGlobalEquities
GlobalAllCountryEquityAllocation
GlobalDevelopedEquityAllocation
GlobalFocusedEquity
Quality
Resources

Page
14
16
18
20
22

GMOInternationalEquities
InternationalAllCountryEquityAllocation
InternationalDevelopedEquityAllocation
TaxManagedInternationalEquities*
InternationalEquity
InternationalActiveEAFE
InternationalActiveForeignSmallCompanies
InternationalSmallCompanies*

Page
24
26

GMOU.S.Equities
U.S.EquityAllocation

Page
34

28
30
32

GMOEmergingEquities
EmergingMarkets
EmergingCountries*
EmergingDomesticOpportunities

Page
36

GMOFixedIncome
GlobalBond
InternationalBond
CurrencyHedgedInternationalBond
CorePlusBond
EmergingCountryDebt*
EmergingCountryLocalDebt*
DebtOpportunities

Page
40
42
44
46

GMOAbsoluteReturn
EmergingCountryDebtLong/Short*
FixedIncomeHedge
MeanReversion
SystematicGlobalMacro
TacticalOpportunities
TotalEquities
MultiStrategy*

Page

38

48

50
52
54
56
58

*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnot
includedinthisdocument.ForinformationpleasecontactGMO.

PerformanceofGMOStrategiesandBenchmarks
March31,2015

1Q
2015
1.35
0.17

TotalReturnNetofFees
YTD
YTDValue
2015
Added
1.35
1.52
0.17

One
Year
1.44
0.04

AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
6.10
7.51
10.47
1.60
2.01
2.10

GMOMultiAssetClassStrategies
BenchmarkFreeAllocation
CPI

Inception
7/31/01

GlobalAllocationAbsoluteReturn
CPI

7/31/01

0.92
0.17

0.92
0.17

1.09

1.56
0.04

5.59
1.60

6.79
2.01

9.16
2.10

GlobalAssetAllocation
GMOGlobalAssetAllocation+

6/30/88

1.24
2.13

1.24
2.13

0.89

0.76
5.61

6.71
7.67

6.25
5.90

9.55
8.13

RealReturnGlobalBalancedAssetAllocation
GMORealReturnGlobalBalancedAABlended+

6/30/04

0.98
1.77

0.98
1.77

0.79

1.06
4.83

6.77
7.07

6.29
5.41

6.86
5.67

TaxManagedGlobalBalanced
GMOTaxManagedGlobalBalancedIndex

12/31/02

2.02
1.89

2.02
1.89

0.13

2.40
5.40

6.24
7.57

5.74
5.81

7.56
7.14

GMOGlobalEquityStrategies
GlobalAllCountryEquityAllocation
MSCIACWI++

Inception
12/31/93

1Q
2015
2.93
2.31

YTD
2015
2.93
2.31

YTDValue
Added
0.62

One
Year
0.17
5.42

Five
Year
8.68
9.30

Ten
Year
6.94
6.41

Since
Inception
8.99
7.47

GlobalDevelopedEquityAllocation
MSCIWorld+

3/31/87

3.10
2.31

3.10
2.31

0.79

0.82
6.03

9.63
10.01

6.79
6.39

9.36
7.47

GlobalFocusedEquity
MSCIACWI

12/31/11

2.71
2.31

2.71
2.31

0.40

1.34
5.42

Quality
S&P500

2/29/04

0.42
0.95

0.42
0.95

0.53

10.78
12.73

Resources
MSCIACWICommodityProducers

12/31/11

1.14
4.39

1.14
4.39

3.25

18.67
18.52

GMOInternationalEquityStrategies
InternationalAllCountryEquityAllocation
MSCIACWIexUSA+

Inception
2/28/94

1Q
2015
3.54
3.49

YTD
2015
3.54
3.49

YTDValue
Added
0.05

One
Year
4.68
1.04

Five
Year
5.34
4.84

Ten
Year
5.69
5.40

Since
Inception
7.36
5.64

InternationalDevelopedEquityAllocation
MSCIEAFE++

11/30/91

4.40
4.88

4.40
4.88

0.48

4.95
0.92

7.03
6.16

5.55
5.14

8.17
6.34

InternationalEquity
MSCIEAFE+
MSCIEAFE

3/31/87

4.36
4.88
4.88

4.36
4.88
4.88

0.52

5.02
0.31
0.92

5.89
5.83
6.16

4.37
4.51
4.95

7.98
7.08
5.36

InternationalActiveEAFE
MSCIEAFE

5/31/81

5.68
4.88

5.68
4.88

0.80

5.00
0.92

4.55
6.16

3.99
4.95

11.60
8.95

Int'l.ActiveForeignSmallCompanies
S&PDevelopedexU.S.SmallCap

1/31/95

6.52
4.43

6.52
4.43

2.09

6.49
2.76

8.91
8.53

8.04
6.91

11.00
7.27

GMOU.S.EquityStrategies
U.S.EquityAllocation
Russell3000+++

Inception
2/28/89

1Q
2015
0.57
1.80

YTD
2015
0.57
1.80

YTDValue
Added
1.23

One
Year
8.15
12.75

Five
Year
12.86
14.64

Ten
Year
6.77
8.23

Since
Inception
10.69
10.33

14.72
13.76
13.03
14.47

7.52
8.01

6.87
7.68
1.95
4.57

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

PerformanceofGMOStrategiesandBenchmarks
March31,2015

GMOEmergingEquityStrategies
EmergingMarkets
S&P/IFCIComposite
MSCIEmergingMarkets

Inception
12/31/93

EmergingDomesticOpportunities
MSCIEmergingMarkets

3/31/11

GMOFixedIncomeStrategies
GlobalBond*
J.P.MorganGBIGlobal

Inception
12/31/95

InternationalBond
J.P.MorganGBIGlobalexU.S.

1Q
2015
0.21
2.15
2.24

TotalReturnNetofFees
YTD
YTDValue
2015
Added
0.21
1.94
2.15
2.24

One
Year
2.86
1.65
0.44

AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
0.06
6.47
7.21
2.58
9.41
5.77
1.75
8.48
5.16

3.74
2.24

3.74
2.24

1.50

6.10
0.44

4.98
2.05

1Q
2015
2.33
1.79

YTD
2015
2.33
1.79

YTDValue
Added
0.54

One
Year
1.54
3.73

Five
Year
5.19
1.98

Ten
Year
3.69
3.43

Since
Inception
5.55
4.70

12/31/93

4.70
4.08

4.70
4.08

0.62

8.22
9.50

4.42
0.63

3.38
2.69

6.37
4.89

CurrencyHedgedInternationalBond
J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+

9/30/94

3.15
3.83

3.15
3.83

0.68

14.66
13.56

8.92
6.59

5.65
5.76

8.24
7.18

CorePlusBond
BarclaysU.S.Aggregate

4/30/97

1.17
1.61

1.17
1.61

0.44

7.29
5.72

7.53
4.41

4.97
4.93

6.10
5.77

DebtOpportunities
J.P.MorganU.S.3MonthCash

10/31/11

0.62
0.09

0.62
0.09

0.53

3.49
0.35

GMOAbsoluteReturnStrategies
FixedIncomeHedge
J.P.MorganU.S.3MonthCash

Inception
8/31/05

1Q
2015
5.95
0.09

YTD
2015
5.95
0.09

YTDValue
Added
6.04

One
Year
10.03
0.35

Five
Year
8.33
0.50

Ten
Year

Since
Inception
0.54
2.11

MeanReversion
Citigroup3Mo.TBill

2/28/02

2.69
0.01

2.69
0.01

2.70

8.12
0.03

0.58
0.07

2.22
1.41

6.13
1.40

SystematicGlobalMacro
Citigroup3Mo.TBill

3/31/02

6.26
0.01

6.26
0.01

6.25

8.70
0.03

6.50
0.07

7.48
1.41

7.64
1.40

TacticalOpportunities
Citigroup3Mo.TBill

9/30/04

7.58
0.01

7.58
0.01

7.59

7.42
0.03

6.37
0.07

7.02
1.41

6.95
1.44

TotalEquities
Citigroup3Mo.TBill

9/30/00

3.29
0.01

3.29
0.01

3.28

0.63
0.03

5.75
0.07

2.36
1.41

6.01
1.68

6.62
0.52

* 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.

GMOBenchmarkFreeAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)
U.S.Quality,6.9
U.S.OpportunisticValue,2.7
EuropeValue, 9.8
Japan,2.4
EmergingMarkets, 17.8
MergerArbitrage,5.4
SpecialOpportunity,3.1
Systematic GlobalMacro,5.1
InterestRates& FX,21.1
AssetBacked Securities,4.0
EmergingDebt,4.6
AlphaOnly,10.1
Cash&CashEquiv.,7.0

80
60
40
20
0
U.S.Equity
Intl.DevelopedEquity
EmergingEquity

AlternativeStrategies
FixedIncome
AbsoluteReturn

1Q2015
YTD2015
AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Cash

EquityRegionalWeights(%)
Emerging

44.4

EuropeexUK

14.5

Japan
OtherInternational

6.0

12
10
8
6
4
2
0

10.1

UnitedStates

24.0

EquityCharacteristics
Strategy
Price/EarningsHist1YrWtdMed

15.6 x

Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

9.5 %

Strategy
6.30
0.96

Drawdown
(3/31/106/30/10)

1.60

1.44

2.10

2.01

0.04

5YR

10YR

Strategy

Benchmark

ITD

ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocation
Composite(theComposite).PriortoJanuary1,2012,theaccountsinthe
Compositeservedastheprincipalcomponentofabroaderrealreturnstrategy.
BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasa
standaloneinvestment.

5.91

TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.

2.1 years
5.7%
71.5%
1.7%
7.7%

7.51
6.10

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

2.9 %

Std.Deviation
SharpeRatio

BB
B
<B
NR

6.0%
2.7%
4.2%
0.6%

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45

$33.2

DividendYieldHist1YrWtdAvg

BondPortfolio
BondPortfolioDuration
CreditRatings
AAA
AA
A
BBB

1.31
11.24
10.35
3.60
4.58
19.86
12.07
10.93
12.75
16.32

10.47

1YR

1.4 x

MarketCapWeightedMedian$Bil

5YearRiskProfile

Benchmark
0.17
0.17

AnnualizedReturn(%)

1.0

UnitedKingdom

Strategy
1.35
1.35

GMOBenchmarkFreeAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

GMOGlobalAllocationAbsoluteReturnStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)
U.S.Quality,10.6
U.S.OpportunisticValue,1.6
EuropeValue, 11.6
Japan,3.6
OtherInt'l.OpportunisticValue,1.1
EmergingMarkets, 12.0
RiskPremium,2.1
SpecialOpportunity,3.1
SystematicGlobalMacro,3.6
Interest Rates&FX,19.8
AssetBacked Securities,3.4
EmergingDebt,4.6
AlphaOnly,1.4
Multi Strategy,20.0
Cash&Cash Equiv.,1.5

80
60
40
20
0
U.S.Equity
Intl.DevelopedEquity
EmergingEquity

AlternativeStrategies
FixedIncome
AbsoluteReturn

1Q2015
YTD2015

Emerging

Cash

29.6

9.0

UnitedStates

EquityCharacteristics

Strategy
Price/EarningsHist1YrWtdMedian

10.7 %

MarketCapWeightedMedian$Bil

$30.1

DividendYieldHist1YrWtdAvg
2

Strategy
5.57
0.99

Drawdown
(3/31/106/30/10)
3

2.4 years
BB
B
<B
NR

5YR

10YR

Strategy

Benchmark

ITD

TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.

4.95

5.2%
71.4%
1.6%
8.0%

2.10

2.01

0.04

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

3.1 %

Std.Deviation
SharpeRatio

1.60

1.56

1YR

1.6 x

ReturnonEquityHist1YrMed

5.59

16.6 x

Price/BookHist1YrWtdAvg

6.79

30.1

BondPortfolioDuration
CreditRatings
AAA
AA
A
BBB

9.16

10

2.1

UnitedKingdom

6.2%
2.8%
4.2%
0.7%

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45

AnnualizedReturn(%)

8.9

OtherInternational

BondPortfolio

1.80
10.04
9.42
4.22
3.02
14.92
7.19
9.99
11.01
13.54

20.4

Japan

5YearRiskProfile

Benchmark
0.17
0.17

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

EquityRegionalWeights(%)

EuropeexUK

Strategy
0.92
0.92

GMOGlobalAllocationAbsoluteReturnStrategy
March31,2015
QUARTERLYATTRIBUTION
Perform ance (%)

Equity

Alts

Bonds

Cash

Net of Fees, USD (Rep Account)

+0.93

Gross of Fees, USD (Rep Account)

+1.18

CPI Index (prelim through most recent month-end)

-0.41

Value Added

+1.59

Equity

Alts

Bonds

Cash

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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

GMOGlobalAssetAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)

U.S.Quality,13.4
U.S.OpportunisticValue,2.0
EuropeValue, 17.7
Japan,5.5
OtherInt'l.OpportunisticValue,1.6
EmergingMarkets, 11.9
Risk Premium,2.7
SystematicGlobalMacro, 3.1
InterestRates&FX,20.2
AssetBacked Securities,4.5
EmergingDebt,4.6
AlphaOnly,7.0
Cash&CashEquiv.,5.7

80
60
40
20
0
U.S.Equity
Intl.DevelopedEquity
EmergingEquity

AlternativeStrategies
FixedIncome
AbsoluteReturn

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Cash

EquityRegionalWeights(%)
Emerging

22.8

10.4

EuropeexUK
Japan
2.4

OtherInternational
UnitedKingdom

10.5
7.7

24.0

16.0

29.7

UnitedStates

12
10
8
6
4
2
0

51.6

Benchmark

EquityCharacteristics
Price/EarningsHist1YrWtdMed
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed
MarketCapWeightedMedian$Bil

Strategy

Benchmark

16.7 x

19.7 x

1.6 x

2.2 x

10.9 %

14.9 %

$34.9

DividendYieldHist1YrWtdAvg
5YearRiskProfile

3.1 %
Strategy
0.12
0.86
0.93
0.82
8.14

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

$39.7

Benchmark
0.00
1.00
1.00
0.83
9.13

2.3 years
BB
B
<B
NR

5.61

6.71

8.13

7.67
6.25

5.90

0.76

5YR

10YR

Strategy

Benchmark

ITD

TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmark
computedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAsset
AllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAsset
Allocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAsset
AllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;
manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandard
IndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
weightingofeachmarketindexwillvaryslightly.Theindexisinternallyblendedby
GMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)
IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof
65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and
35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
preparedorapprovedthisreport,andhasnoliabilityhereunder.

6.3%
2.7%
4.7%
0.7%

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

4.87
13.60
12.13
1.80
11.05
24.14
27.72
9.26
13.41
5.99

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

2.4 %

6.4%
69.0%
1.9%
8.2%

1.24
12.38
11.11
2.13
7.93
24.15
20.83
7.94
12.30
9.06

9.55

1YR

BondPortfolio
BondPortfolioDuration
CreditRatings
AAA
AA
A
BBB

Benchmark
2.13
2.13

AnnualizedReturn(%)

7.5
10.5
6.9

Strategy

Strategy
1.24
1.24

1Q2015
YTD2015

GMOGlobalAssetAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

GMORealReturnGlobalBalancedAssetAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)
U.S.Quality,12.6
U.S.OpportunisticValue,1.9
EuropeValue, 15.5
Japan,4.8
OtherInt'l.OpportunisticValue,1.4
EmergingMarkets, 12.1

80
60

20
0

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

InterestRates&FX,16.1
AssetBackedSecurities,2.8
EmergingDebt,3.3

40

MultiStrategy,29.0
Cash&CashEquiv.,0.6
U.S.Equity
Intl.DevelopedEquity
EmergingEquity

AlternativeStrategies
FixedIncome
AbsoluteReturn

Cash

EquityRegionalWeights(%)
Emerging

24.9

0.0

EuropeexUK
Japan
OtherInternational
UnitedKingdom

2.3

10.0
8.6

22.8
17.8

8.4
10
7.7

UnitedStates
Strategy

8
30.1

57.6

Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

Strategy

Benchmark

16.6 x

20.1 x

1.6 x

2.3 x

10.9 %

15.1 %

$33.2

DividendYieldHist1YrWtdAvg

7.07

6.86

6.29

5.67

5.41

4.83

3.1 %

Strategy
0.88
0.83
0.88
0.89
7.50

1.06

0
1YR

$45.4

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

2.4 %

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

Benchmark
0.00
1.00
1.00
0.83
8.48

TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isan
internallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationComposite
through06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholding
tax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
weightingofeachmarketindexwillvaryslightly.Theindexisinternallyblendedby
GMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprised
of60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),
20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.
TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.

BondPortfolioDuration
2.3 years
CreditRatings
AAA
5.3%
BB
5.8%
AA
72.7%
B
2.6%
A
1.6%
<B
4.0%
BBB
7.4%
NR
0.6%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

4.22
14.95
10.42
1.76
8.94
19.17
25.17
7.87
13.69
6.82

Price/EarningsHist1YrWtdMedian

BondPortfolio

2.00
13.68
10.65
3.16
5.00
13.02
11.36
7.63
13.26
8.09

6.77

EquityCharacteristics

5YearRiskProfile

Benchmark
1.77
1.77

AnnualizedReturn(%)

Benchmark

MarketCapWeightedMedian$Bil

Strategy
0.98
0.98

1Q2015
YTD2015

10

GMORealReturnGlobalBalancedAssetAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION
Perform ance (%)
Net of Fees, USD

Equity

Bonds

Cash

+0.98

Gross of Fees, USD (Rep Account)

+1.23

GMO Real Return Global Balanced Asset Allocation Blended Ind

+1.77

Value Added

-0.54

Equity

Bonds

Cash

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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

11

GMOTaxManagedGlobalBalancedStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)

U.S.Quality,13.1
U.S.OpportunisticValue,2.5
EuropeValue, 16.2
Japan,4.1
EmergingMarkets, 11.3
RiskPremium,2.6
EmergingCountryDebt,2.0

80
60
40

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

MunicipalBonds,34.1
20
0

MultiStrategy,13.3
Cash&CashEquiv.,0.9
U.S.Equity
Intl.DevelopedEquity
EmergingEquity

AlternativeStrategies
FixedIncome
AbsoluteReturn

Cash

EquityRegionalWeights(%)
Emerging
EuropeexUK
Japan
OtherInternational
UnitedKingdom

23.4

10.4

1.2

8.4
7.7

16.0

5.40

6
4

33.0

51.6

6.24

7.56
5.74

7.14

5.81

2.40

Benchmark

EquityCharacteristics
Strategy
Price/EarningsHist1YrWtdMedian

17.2 x

19.7 x

10.7 x

13.9 x

Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

1.7 x

2.2 x

13.1 %

14.9 %

$34.2

DividendYieldHist1YrWtdAvg

2.8 %

Strategy
0.24
0.85
0.96
0.83
7.39

10YR

Strategy

Benchmark

ITD

TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputed
benchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCI
standardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(6
8)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasno
liabilityhereunder.

$39.7
2.4 %

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

5YR

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Benchmark

Price/CashFlowHist1YrWtdMedian

Benchmark
0.00
1.00
1.00
0.89
8.46

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

5.02
12.78
11.47
0.27
9.99
23.90
25.89
7.12
12.95
5.91

2
1YR

5YearRiskProfile

2.02
10.86
9.71
1.34
6.88
14.29
14.95
7.16
12.08
9.91

7.57

UnitedStates

MarketCapWeightedMedian$Bil

Benchmark
1.89
1.89

AnnualizedReturn(%)

26.0

7.5
8.0
6.9

Strategy

Strategy
2.02
2.02

1Q2015
YTD2015

12

GMOTaxManagedGlobalBalancedStrategy
March31,2015
QUARTERLYATTRIBUTION
Performance(%)
NetofFees,USD(RepAccount)

Equity

Alts

Bonds

Cash

+2.00

GrossofFees,USD(RepAccount)

+2.25

TaxManagedGlobalBalancedIndex

+1.89

ValueAdded

+0.36

Equity

Alts

Bonds

Cash

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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

13

GMOGlobalAllCountryEquityAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)
U.S.Quality,29.3

80

U.S.OpportunisticValue,4.4

60

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

EuropeValue, 31.8

40

Japan,9.9
OtherInt'l.OpportunisticValue,2.9
EmergingMarkets, 20.4
Cash&CashEquiv.,1.2

20
0
U.S.Equity
Intl.DevelopedEquity

EmergingEquity
Cash

TopCountryWeights(%)
33.8

UnitedStates
Japan
UnitedKingdom
France
Germany

5YearRiskProfile

51.6

9.9
7.7
9.9
6.9
7

2
Strategy
0.26
0.90
0.96
0.65
13.17

Benchmark
0.00
1.00
1.00
0.65
14.24

Strategy

Benchmark

16.9 x

19.7 x

1.6 x

2.2 x

12.1 %

14.9 %

Price/EarningsHist1YrWtdMedian
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed
MarketCapWeightedMedian$Bil

$40.2

DividendYieldHist1YrWtdAvg

9.30

8.99
6.94

5.42

7.47
6.41

3.0 %

0.17

0
1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheMSCIACWI++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquity
AllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMO
blendedbenchmarkofGlobalAllCountryEquityAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndex
Series,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.

$39.7
2.4 %

Country
UnitedKingdom
France
UnitedStates
UnitedStates
UnitedKingdom

4.17
23.46
16.34
6.87
12.94
34.45
41.82
10.38
20.34
9.95

Characteristics

Sector
%ofEquity
Energy
2.0
Energy
2.0
HealthCare
1.9
ConsumerDiscretiona
1.7
Energy
1.7
9.3

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

8.68

Benchmark

TopHoldings
Company
RoyalDutchShell
TotalS.A.
ExpressScriptsHldg.
Amazon.comInc.
BPPLC
Total

0.69
21.33
14.74
1.29
10.12
24.19
31.41
11.12
18.87
12.51

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

Benchmark
2.31
2.31

AnnualizedReturn(%)
10

3.4
5.8
3.3
Strategy

Strategy
2.93
2.93

1Q2015
YTD2015

14

GMOGlobalAllCountryEquityAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

15

GMOGlobalDevelopedEquityAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)

80

U.S.Quality,31.8

60

U.S.OpportunisticValue,4.8

40

EuropeValue, 37.5

20

Japan,11.7
OtherInt'l.OpportunisticValue,3.3
EmergingMarkets, 9.6
Cash&CashEquiv.,1.3

0
U.S.Equity
Intl.DevelopedEquity

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

EmergingEquity
Cash

TopCountryWeights(%)
36.6

UnitedStates

UnitedKingdom
France

Strategy

12
10
8
6
4
2
0

Benchmark

Strategy
0.44
0.92
0.96
0.73
13.16

Benchmark
0.00
1.00
1.00
0.71
14.06

Strategy

Benchmark

17.3 x

20.1 x

1.7 x

2.3 x

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

Price/EarningsHist1YrWtdMedian
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

12.4 %
$52.0

DividendYieldHist1YrWtdAvg

2.9 %

10.01

9.36
6.79

6.03

7.47

6.39

0.82

5YR

10YR

Strategy

Benchmark

ITD

TheMSCIWorld+Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCI
StandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofa
weightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)or
somelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.Theindexis
internallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.

15.1 %
$45.4
2.4 %

Sector
%ofEquity
Energy
2.3
Energy
2.3
HealthCare
2.1
Energy
2.0
ConsumerDiscretiona
2.0
10.7

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

4.94
26.68
15.84
5.52
11.77
29.97
40.70
9.02
20.05
9.42

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
ExpressScriptsHldg. UnitedStates
BPPLC
UnitedKingdom
NissanMotorCo.Ltd. Japan
Total

0.32
25.82
14.14
0.40
9.25
20.55
33.19
9.69
20.22
12.26

9.63

1YR

Characteristics

MarketCapWeightedMedian$Bil

Benchmark
2.31
2.31

AnnualizedReturn(%)

3.8
6.9
3.7

Germany

5YearRiskProfile

57.6

11.7
8.6
11.6
7.7
8.3

Japan

Strategy
3.10
3.10

1Q2015
YTD2015

16

GMOGlobalDevelopedEquityAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION
Performance(%)
NetofFees,USD(RepAccount)

U.S.

Intl

EM

+2.77

GrossofFees,USD(RepAccount)

+2.62

MSCIWorld

+2.31

ValueAdded

+0.31

U.S.

Intl

EM

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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

17

GMOGlobalFocusedEquityStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

RegionWeights(%)

Strategy
2.71
2.71

Underweight/OverweightAgainstIndex
Australia/NewZealand
Canada
0.2
Emerging
3.2
EuropeexUK
2.1
Japan
0.5
SoutheastAsia
1.6
UnitedKingdom
UnitedStates
2.7
Cash+UnrealizedG/L
GICSSectorWeights(%)
Under/Overweightvs.Index

ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities

AnnualTotalReturn(%)
2014
2013
2012

1.9
4.8

0.6
8.0
1.0
1.3
0.2
5.6
6.2

RiskProfileSince12/31/11

1Q2015
YTD2015

3.5

6.9
2.4
1.3

Strategy
13.2
1.7
8.5
20.2
12.3
16.1
7.8
12.2
6.0
1.9

10

Strategy
2.36
1.24
0.85
1.03
14.25

Price/CashFlowHist1YrWtdMedian
Price/BookHist1YrWtdAvg
DividendYieldHist1YrWtdAvg

Index

17.2 x

19.7 x

9.0 x

13.9 x

1.6 %
$2.0

ITD
Strategy

Index

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhas
beencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareand
contrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(All
CountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedofglobal
developedandemergingmarkets.MSCIdatamaynotbereproducedorusedfor
anyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapproved
thisreport,andhasnoliabilityhereunder.

2.2 %
$2.4

%ofEquity
2.6
2.5
2.5
2.5
2.5
2.5
2.5
2.5
2.4
2.4
24.9

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

1.34

1YR

TopTenHoldings
Company
MallinckrodtPLC
MichaelKorsHoldingsLtd.
AppleInc.
ActavisPLC
GeneralMotorsCo.
AnthemInc
ITTCorp
CapitalProductPartnersLP
HalliburtonCo.
LyondellBasellIndustriesN.V.ClA
Total

5.42

0
5

Index
0.00
1.00
1.00
1.29
10.59

Strategy

13.76

Characteristics
Price/EarningsHist1YrWtdMedian

4.16
22.80
16.13

14.72

15

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

3.24
31.29
19.71

AnnualizedReturn(%)
20

Index
12.6
9.7
7.5
21.5
12.1
10.5
14.0
5.3
3.6
3.2

Index
2.31
2.31

18

GMOGlobalFocusedEquityStrategy
March31,2015
QUARTERLYATTRIBUTION

The Global Focused Equity Strategy climbed 2.7% net of fees for the quarter. The Strategys reference benchmark, MSCI All Country World index rose
2.3%.

Positive contributions came from holdings in Toll Holdings in Australia, Peugeot in France, and Anthem and Capital Product Partners in the United
States. Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held
position in the company. Toll was slowly restructuring while waiting for a cyclical upswing in business volumes. In addition to investors becoming
excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for
Peugeot, which is geared to Europe. Anthem continues to perform well as regulatory uncertainty around managed care companies subsides, as well as
strong demand for their services, and the companys attractive capital return and reasonable valuation. Capital Product Partners exposure to
improving volume and pricing power in the product tanker markets as well as its attractive 10% dividend yield helped the name outperform.

Negative contribution came from National Oilwell Varco (NOV) in the United Sates, Bluescope Steel in Australia, and Gran Tierra Energy in Canada.
The continued uncertainty facing the oil markets negatively impacted our shares in NOV, an oil services firm, and Bluescope fell with the declining
price of steel. Additionally, Gran Tierra, a Canadian based exploration and production company with Latin American assets, sold off on negative well
results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

19

GMOQualityStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

GICSSectorWeights(%)
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities

0.5
0.0

1.6
3.2
1.7
2.3
0.0
3.0

12.6
24.8
9.7
8.0
16.2
24.3
14.9
8.0
10.4
19.7

Strategy

1Q2015
YTD2015
AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

33.5

Benchmark

RegionWeights(%)
NonUS

18.3
0.0
100.0
1.1
0.0

15

5YearRiskProfile

Benchmark

10.78

12.73

13.03

14.47
7.52

8.01

7.68

6.87

0
Strategy
1.39
0.80
0.88
1.18
11.00

Benchmark
0.00
1.00
1.00
1.12
12.86

Strategy

Benchmark

20.9 x

20.1 x

4.1 x

2.8 x

1YR

Price/EarningsHist1YrWtdMedian
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

19.2 %

MarketCapWeightedMedian$Bil

$112.8

18.0 %

0.6 x

1.0 x

DividendYieldHist1YrWtdAvg

2.1 %

2.0 %

Sector
HealthCare
InformationTechnology
HealthCare
InformationTechnology
ConsumerStaples

10YR

Strategy

Benchmark

ITD

TheS&P500Indexisanindependentlymaintainedandwidelypublishedindex
comprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.

$77.1

Debt/EquityWtdMed

5YR

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Characteristics

TopHoldings
Company
ExpressScriptsHoldingCo
OracleCorp.
Johnson&Johnson
GoogleInc.(ClA)
CocaColaCo.
Total

13.69
32.39
16.00
2.11
15.06
26.46
37.00
5.49
15.80
4.91

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

%ofEquity
5.4
4.6
4.5
4.3
4.3
23.1

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

12.54
25.47
11.81
11.84
5.48
19.89
24.08
6.04
12.69
0.79

10

Strategy

Benchmark
0.95
0.95

AnnualizedReturn(%)
20

80.6

US
Cash

Strategy
0.42
0.42

5.6

20

GMOQualityStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

21

GMOResourcesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

TopCountryWeights(%)
16.9
17.9
12.4

UnitedKingdom
Russia

3.3

Japan

10.5

2.2
6.3
3.3
6.2

China
UnitedStates

Strategy

AnnualTotalReturn(%)
2014
2013
2012

41.1

14.69
3.31
1.96

0.0
0.0
1.5
2.0

5
10
15
20

Strategy
3.00
1.08
0.95
0.11
17.48

Benchmark
0.00
1.00
1.00
0.29
15.74

Strategy

Benchmark

10.8 x

12.6 x

Earnings/ShareF'castLTMedianGrowthRate

5.8 x

6.8 x

ReturnonEquityHist1YrMed

9.9 %

10.7 %

MarketCapWeightedMedian$Bil

$23.7
4.6 %

TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandard
IndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedoflistedlargeandmidcapitalizationcommodity
producerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.

$42.4
3.8 %

Country
Russia
China
Russia
UnitedKingdom
UnitedKingdom

Sector
Energy
Energy
Energy
Energy
Energy

ITD
Benchmark

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Characteristics

DividendYieldHist1YrWtdAvg

18.52

Strategy

Benchmark

Price/EarningsHist1YrWtdMedian

18.67

1YR

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

1.95
4.57

63.8
68.2

0.0
0.0
0.0
0.0
10.6
0.0
0.0
0.0
18.4
29.7
0.0
0.0
5.8
0.0
Strategy

%ofEquity
5.1
4.9
4.9
4.8
4.8
24.5

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

16.78
4.39
9.23

AnnualizedReturn(%)

ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities

TopHoldings
Company
GazpromOAO
CNOOCLtd.
LukOilOAO
BPPLC
RoyalDutchShell
Total

Benchmark
4.39
4.39

Benchmark

GICSSectorWeights(%)

RiskProfileSince12/31/11

Strategy
1.14
1.14

1Q2015
YTD2015

22

GMOResourcesStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

23

GMOInternationalAllCountryEquityAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

TotalReturn(%)

GroupExposures(%)
100

Strategy
3.54
3.54

1Q2015
YTD2015

80

Benchmark
3.49
3.49

EuropeValue, 49.4
AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

60
Japan,15.4
OtherInt'l.OpportunisticValue,4.5

40
20

EmergingMarkets, 29.8
Cash&CashEquiv.,1.0

0
Intl.DevelopedEquity

EmergingEquity

Cash

TopCountryWeights(%)
15.3
15.9
15.3
14.2

Japan
UnitedKingdom
France
Germany

6.8

Strategy

10
5

Benchmark

Strategy
0.56
0.99
0.97
0.32
16.21

Benchmark
0.00
1.00
1.00
0.30
16.15

Strategy

Benchmark

16.0 x

18.6 x

Price/BookHist1YrWtdAvg

1.3 x

1.7 x

ReturnonEquityHist1YrMed

7.8 %

11.2 %

10

Price/EarningsHist1YrWtdMedian

MarketCapWeightedMedian$Bil

$22.9

DividendYieldHist1YrWtdAvg

3.6 %

5.40

7.36

5.64

1.04

5YR

10YR

Strategy

Benchmark

ITD

TheMSCIACWIexUSA+Indexisaninternallymaintainedbenchmarkcomputed
byGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositeiscomprised
ofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
noliabilityhereunder.

$25.4
2.8 %

%ofEquity
3.1
3.1
2.6
2.6
2.1
13.5

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

5.69

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare

4.84

4.68

1YR

Characteristics

TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
NissanMotorCo.Ltd. Japan
AstraZenecaPLC
UnitedKingdom
Total

5.34

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

3.88
15.47
16.90
13.63
10.82
40.16
45.26
16.08
26.94
16.71

AnnualizedReturn(%)

9.0

5.3
5.0

China

5YearRiskProfile

10.9

7.0

6.21
16.71
16.82
11.31
12.74
27.77
40.96
17.39
25.91
19.03

24

GMOInternationalAllCountryEquityAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

25

GMOInternationalDevelopedEquityAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

TotalReturn(%)

GroupExposures(%)
100

Strategy
4.40
4.40

1Q2015
YTD2015

80
EuropeValue, 63.4

60

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

40
Japan,19.8
OtherInt'l.OpportunisticValue,5.6
EmergingMarkets, 10.0
Cash&CashEquiv.,1.2

20
0
Intl.DevelopedEquity

EmergingEquity

Cash

TopCountryWeights(%)
Japan

19.8

UnitedKingdom

19.7
19.8

France

9.5

Italy

2.3

4.90
22.78
17.32
12.14
7.93
32.16
43.33
11.58
26.62
14.41

10

7.03

6.16

8.17
5.55

6.34

5.14

5
0

Benchmark
Strategy
1.11
0.96
0.97
0.43
16.06

Benchmark
0.00
1.00
1.00
0.37
16.44

Strategy

Benchmark

16.5 x

19.3 x

1.3 x

1.8 x

10

Price/EarningsHist1YrWtdMedian
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed

7.6 %

MarketCapWeightedMedian$Bil

$26.6

DividendYieldHist1YrWtdAvg

3.5 %

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheMSCIEAFE++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyof
theaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)
(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
weightingofeachmarketindexwillvaryslightly.Theindexisinternallyblendedby
GMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedor
usedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.

11.1 %
$29.8
2.9 %

Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare

4.95

1YR

Characteristics

TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
NissanMotorCo.Ltd. Japan
AstraZenecaPLC
UnitedKingdom
Total

0.92

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

%ofEquity
3.9
3.9
3.4
3.3
2.7
17.2

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

6.03
24.13
17.09
9.45
10.58
19.84
38.39
12.69
25.50
15.56

AnnualizedReturn(%)

11.6

4.2

Strategy
5YearRiskProfile

14

9.7

Germany

22.2

Benchmark
4.88
4.88

26

GMOInternationalDevelopedEquityAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

27

GMOInternationalEquityStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)
100

TotalReturn(%)
1Q2015
YTD2015

80
60

EuropeValue, 70.6

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

40
20

Japan, 22.0
OtherInt'l. OpportunisticValue,6.1
Cash&CashEquiv.,1.3

0
Intl.DevelopedEquity

Cash

TopCountryWeights(%)
22.0
22.2
21.9
19.8

Japan
UnitedKingdom
France

2.3

10

4.7

Strategy
5YearRiskProfile

4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
13.54

5.89 6.16 5.83

5
Benchmark
Strategy
0.36
0.95
0.97
0.35
16.61

Benchmark
0.00
1.00
1.00
0.33
17.29

Price/EarningsHist1YrWtdMedian

Strategy

Benchmark

16.5 x

19.3 x

Price/CashFlowHist1YrWtdMedian

6.3 x

12.2 x

Price/BookHist1YrWtdAvg

1.4 x

1.8 x

ReturnonEquityHist1YrMed

7.7 %

11.1 %

MarketCapWeightedMedian$Bil

$29.2

DividendYieldHist1YrWtdAvg

7.98
4.37 4.95 4.51

5.36

10YR

ITD

7.08

3.5 %

10

5.02

1YR

5YR
Strategy

MSCIEAFE

MSCIEAFE+

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
Series,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.The
MSCIEAFE+(Europe,Australasia,andFarEast)Indexisaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,
Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.

$29.8
2.9 %

Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare

0.92 0.31

Characteristics

TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
NissanMotorCo.Ltd. Japan
AstraZenecaPLC
UnitedKingdom
Total

3.79
22.95
17.69
12.17
3.25
34.23
44.09
5.96
30.38
13.80

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

%ofEquity
4.4
4.4
3.7
3.7
3.0
19.2

The groups indicated above represent exposures determined pursuant to


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

5.96
25.62
12.98
10.18
7.53
21.41
40.31
10.21
25.78
13.98

MSCIEAFE+
4.88
4.88

AnnualizedReturn(%)

13.0

9.5

Italy

MSCIEAFE
4.88
4.88

15.7

9.7

Germany

Strategy
4.36
4.36

28

GMOInternationalEquityStrategy
March31,2015
QUARTERLYATTRIBUTION

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

29

GMOInternationalActiveEAFEStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

RegionWeights(%)

Strategy
5.68
5.68

Underweight/OverweightAgainstBenchmark
Australia/NewZealand

1Q2015
YTD2015

3.2

Emerging

7.1

EuropeexUK

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

1.5

Japan

1.1

SoutheastAsia

2.7

UnitedKingdom

2.9

Cash+UnrealizedG/L

4.2

GICSSectorWeights(%)
Under/Overweightvs.Benchmark Strategy
ConsumerDisc.
14.0
0.9
ConsumerStaples
6.3
4.7
Energy
1.3
3.8
Financials
10.3 36.3
HealthCare
8.6
2.8
Industrials
4.7
8.0
InformationTech.
4.5
9.4
Materials
4.6
2.9
Telecom.Services
6.3
11.0
Utilities
1.9
5.5
5YearRiskProfile

Benchmark
13.1
11.0
5.1
26.0
11.4
12.7
4.9
7.5
4.7
3.6

Benchmark
0.00
1.00
1.00
0.37
16.44

Strategy

Benchmark

11.60
8.95

10

4.55

Price/EarningsHist1YrWtdMedian

16.4 x

19.3 x

8.3 x

12.2 x

Price/BookHist1YrWtdAvg

1.4 x

1.8 x

DividendYieldHist1YrWtdAvg

2.9 %

2.9 %

10

3.99

4.95

0.92
5.00

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
Series,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.

TopOverweightHoldings
Company
MitsubishiTokyoFinancialGroupInc.
SumitomoMitsuiFinancialGroupInc.
TelecomItaliaS.p.A.
ZurichFinancialServicesAG
AstraZenecaPLC
MediasetS.p.A.
AllianzAGHolding
AssicurazioniGeneraliS.p.A.
AscianoGroup
ImperialTobaccoGroupPLC

6.16

Characteristics

Price/CashFlowHist1YrWtdMedian

4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
13.54

15

5
Strategy
1.64
1.01
0.98
0.27
16.71

11.03
24.11
14.92
11.65
5.01
25.53
41.24
10.58
27.52
13.52

AnnualizedReturn(%)

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

4.2
4.2
2.1
2.1
2.1
2.0
1.9
1.8
1.8
1.7

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

Benchmark
4.88
4.88

30

GMOInternationalActiveEAFEStrategy
March31,2015
QUARTERLYATTRIBUTION

The International Active EAFE Strategy gained 5.7% net of fees in the first quarter; the Strategy was 0.8 percentage points ahead of the MSCI EAFE
index, which rose 4.9%.

Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were less exposed to
the United Kingdom than the benchmark. In addition, while our weight in Europe is slightly lower than that of the benchmark, we have an overweight
position in the eurozone. In January we hedged the account such that the exposure of the portfolio to the euro was closer to that of the benchmark, and
the hedge against the euro was positive in the quarter.

Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Australia, and Hong Kong outperformed.

In Europe, performance was led by Peugeot, Banca Popolare di Milano, and Deutsche Telekom. In addition to investors becoming excited about
European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which
is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger
consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. European telecom companies did well, especially Deutsche
Telekom. There are several reasons we like these names, among them that that the consolidation of the industry within markets has started, and their
regulatory environment has finally become a tailwind after many years of holding them back. These companies stand to benefit from a market repair
scenario, where a data consumption boom drives a rebound in the ARPU.

Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in
the company. In Hong Kong, Cheung Kong Holdings, historically a holding company for the operating assets of famed investor Li Ka Shing,
announced a reorganization that will consolidate all of the property assets into one listed company, and all non-property into a separate listing. This
could mean a narrowing of the large discount to NAV at which the stock has traditionally traded.

On the negative side, stock selection in Japan hurt returns. Hitachi Ltd. fell on news that it would buy Italian company Finmeccanica's rail and signal
assets. While the market had anticipated the transaction, the price was a negative surprise.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

31

GMOInternationalActiveForeignSmallCompaniesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

RegionWeights(%)

TotalReturn(%)
Underweight/OverweightAgainstBenchmark

Australia/NewZealand
Canada
Emerging
EuropeexUK
Japan
SoutheastAsia
UnitedKingdom
Cash+UnrealizedG/L

4.5
5.0
4.8
7.3
3.6
3.6

ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities
5YearRiskProfile

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

0.9

GICSSectorWeights(%)
Under/Overweightvs.Benchmark
7.7
2.4
0.4
3.9
4.7
1.6
1.0
0.7
0.0
2.3

Strategy
25.4
3.1
2.3
26.8
2.6
19.8
7.8
10.7
1.5
0.0

Benchmark
17.7
5.5
2.7
22.9
7.3
21.4
8.8
10.0
1.5
2.3

15

3.42
26.06
18.55
14.49
21.96
45.07
47.67
7.32
29.42
22.10

8.53

11.00
8.04

7.27

6.91

5
0

Strategy
0.74
0.96
0.98
0.54
16.32

Benchmark
0.00
1.00
1.00
0.50
16.82

Strategy

Benchmark

Price/EarningsHist1YrWtdMedian

20.4 x

21.9 x

Price/CashFlowHist1YrWtdMedian

11.2 x

13.4 x

Price/BookHist1YrWtdAvg

1.5 x

1.7 x

DividendYieldHist1YrWtdAvg

2.1 %

2.2 %

5
10

2.76
6.49

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthesmallcapitalizationstockcomponentof
theS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarket
capitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&P
DevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarket
capitalization(float)oftheBMIineachcountry.

1.8
1.6
1.5
1.5
1.5
1.5
1.4
1.4
1.3
1.3

S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityof
anydataorinformationandisnotresponsibleforanyerrorsoromissionsfromthe
useofsuchdataorinformation.Reproductionofthedataorinformationinany
formisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdparty
licensors.

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

9.53
28.92
21.64
15.21
24.76
47.63
45.91
8.00
36.24
18.91

8.91

10

Characteristics

TopOverweightHoldings
Company
MediasetS.p.A.
AscianoGroup
GrandCityPropertiesSA
IncitecPivotLtd.
FaureciaS.A.
SopraGroup
KabaHoldingAG
TAGImmobilienAG
FiltronaPLC
NexityS.A.

Benchmark
4.43
4.43

AnnualizedReturn(%)

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

Strategy
6.52
6.52

1Q2015
YTD2015

1.1

32

GMOInternationalActiveForeignSmallCompaniesStrategy
March31,2015
QUARTERLYATTRIBUTION

The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 2.1 percentage points in the
first quarter, gaining 6.5% net of fees while the benchmark rose 4.4%.

Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were more exposed to
Italy than the benchmark. Less exposure in Canada also helped performance. In addition, while our weight in Europe is slightly higher than that of
benchmark, we have a larger overweight position in the eurozone. In January we hedged the Strategy such that the exposure of the portfolio to the euro
was closer to that of the benchmark, and the hedge against the euro contributed positively in the quarter.

Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Japan, and Australia outperformed. In Europe, performance was led
by Peugeot and Banca Popolare di Milano. In addition to investors becoming excited about European recovery, positive auto data, especially out of
Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks,
including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca
Popolare di Milano drove up the share price. In Japan, Aoyama Trading used its stockpile of cash to initiate a share repurchase. Australian logistics
company Toll outperformed because it received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held
position in the company.

On the negative side, stock selection in Canada hurt returns. Capstone Mining fell as copper prices have been weak due to faltering demand,
particularly from emerging markets. Additionally, Gran Tierra Energy, a Canadian based exploration and production company with Latin American
assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

33

GMOU.S.EquityAllocationStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

GroupExposures(%)

TotalReturn(%)
Strategy
0.57
0.57

100
1Q2015
YTD2015

80
60

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

U.S.Quality,85.5

40
20
U.S.OpportunisticValue,13.0
Cash&CashEquiv.,1.5

0
U.S.Equity

Cash

GICSSectorWeights(%)
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities

9.9
12.6
18.7
9.7
9.9
8.0
2.2
16.2
21.3
14.9
8.6
10.4
28.0
19.7
1.4
3.2
0.0
2.3
0.0
3.0
Strategy

MarketCapWeightedMedian$Bil

10

20.9 x

20.1 x

3.7 x

2.8 x

18.8 %

18.0 %

Strategy
0.85
0.82
0.91
1.14
11.25

$77.1
2.0 %
Benchmark
0.00
1.00
1.00
1.11
13.13

TopHoldings
Company
Sector
%ofEquity
ExpressScriptsHoldingCo
HealthCare
5.6
Amazon.comInc.
ConsumerDiscretionary
5.0
Johnson&Johnson
HealthCare
4.6
AppleInc.
InformationTechnology
4.4
ChevronCorp.
Energy
4.3
Total
23.9
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

10.69

8.15

6.77

8.23

10.33

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagement
fees,transactioncostsandotherexpenses,butbeforecustodycharges,
withholdingtaxes,andotherindirectexpenses.Thereturnsassumethe
reinvestmentofdividendsandotherincome.
TheRussell3000+++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocation
Compositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverage
ofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,
Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthly
basis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessor
availabilityofanydataorinformationandisnotresponsibleforanyerrorsor
omissionsfromtheuseofsuchdataorinformation.Reproductionofthedataor
informationinanyformisprohibitedexceptwiththepriorwrittenpermissionof
S&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandowner
ofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.
RussellisatrademarkofRussellInvestmentGroup.

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

14.64

0
Benchmark

1.9 %

12.86

Strategy

$116.5

DividendYieldHist1YrWtdAvg
5YearRiskProfile

12.75

15

1YR

Price/BookHist1YrWtdAvg

12.76
32.85
16.21
1.58
16.26
27.46
37.15
5.39
15.71
5.53

AnnualizedReturn(%)

Characteristics

ReturnonEquityHist1YrMed

9.82
27.95
12.25
9.91
7.43
20.54
27.87
2.25
9.93
3.68

20

Benchmark

Price/EarningsHist1YrWtdMed

Benchmark
1.80
1.80

34

GMOU.S.EquityAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION
Performance(%)
NetofFees,USD(RepAccount)

+0.62

GrossofFees,USD(RepAccount)

+0.73

S&P500

+0.95

ValueAdded

0.22

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

35

GMOEmergingMarketsStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

RegionWeights(%)

TotalReturn(%)
Underweight/OverweightAgainstBenchmark

Strategy
0.21
0.21

1Q2015
YTD2015

Developed
0.7
EastAsia
5.8
Europe
14.7
Latin/SouthAmerica
0.0
Mideast/Africa
6.8
SouthAsia
3.1
Cash+UnrealizedG/L
0.3
GICSSectorWeights(%)
Under/Overweightvs.Benchmark Strategy Benchmark
ConsumerDisc.
8.1
10.5
2.4
ConsumerStaples
1.8
7.8
6.0
Energy
14.9
6.9
8.0
30.2
27.3
Financials
2.9
1.2
2.9
HealthCare
1.7
2.7
8.2
Industrials
5.5
17.9
19.4
InformationTech.
1.5
6.8
7.4
Materials
0.6
9.1
6.3
Telecom.Services
2.8
7.2
3.3
Utilities
3.9
1
5YearRiskProfile
Strategy
Benchmark
2.71
0.00
Alpha
1.02
1.00
Beta
2
0.97
1.00
R
0.01
0.14
SharpeRatio
18.61
17.90
Std.Deviation

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

Benchmark
2.15
2.15

5.92
5.19
15.19
16.95
20.20
71.89
55.74
37.22
29.51
40.15

1.12
0.57
18.89
19.03
20.64
81.03
53.74
40.28
35.11
35.19

AnnualizedReturn(%)
15
9.41

10

6.47

7.21

5.77

2.58

1.65

0
5

0.06
2.86

1YR

5YR

10YR

Strategy

Benchmark

ITD

Characteristics
Strategy

Benchmark

10.4 x

16.2 x

Price/CashFlowHist1YrWtdMedian

6.3 x

10.6 x

Price/BookHist1YrWtdAvg

1.1 x

1.6 x

ReturnonEquityHist1YrAvg

11.7 %

10.9 %

MarketCapWeightedMedian$Bil

$6.6

$6.6

NumberofEquityHoldings

425

2,523

DividendYieldHist1YrWtdAvg
2
TopTenHoldings
Company
SamsungElectronicsCo.Ltd.
HDFCBankLtd.
Surgutneftegaz
ChinaConstructionBankCorp.
Industrial&CommercialBankofChinaLt
BankofChinaLtd.
HyundaiMotorCo.Ltd.

3.9 %

Price/EarningsHist1YrWtdMedian

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguarantee
theaccuracy,adequacy,completenessoravailabilityofanydataorinformation
andisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataor
information.Reproductionofthedataorinformationinanyformisprohibited
exceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.

2.5 %

%ofEquity
5.2
4.0
3.6
2.9
2.8
2.3
1.8

ChinaMobileLtd.
1.8
LukOilOAO
1.8
GazpromOAO
1.8
Total
28.0
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

36

GMOEmergingMarketsStrategy
March31,2015
QUARTERLYATTRIBUTION

The Emerging Markets Strategy gained 0.2% net of fees in the first quarter, underperforming the 2.2% rise in the S&P/IFCI Composite by 1.9%. Overall,
country-sector allocation detracted 1.2% and stock selection lost 0.6%.

Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives
including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a
major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia
to a 29.3% drop in Greece. Sector returns were more clustered, varying from an 8.5% rise in IT to a fall of 3.2% for Utilities.

Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In
addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has
ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rating is hampering the administrations ability to
implement its measures. Our overweights in Brazil sectors such as Utilities, Materials, and Telecommunications detracted from performance.

Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a
continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts
have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our underweight in China IT and
Consumer Discretionary hurt performance.

The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner.
Investor sentiment was also lifted by a truce in Ukraine. Our overweight in Russia Energy and Financials helped performance.

Stocks in Greece dropped on continuing worries over the tussle between Greece and its creditors to recraft its bailout package. The government had
obtained an extension by backing away from election pledges to ease budget cuts and restructure debt. However, it has yet to produce a revised
economic plan that satisfies creditors. Our underweight in Greece Financials added to performance.

Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising
political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts
within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our overweight in Turkey Financials
negatively impacted performance.

Stock selection detracted from performance. Segments such as Russia Energy and Turkey Materials had particularly strong selection while areas such as
Korea Consumer Discretionary and India Financials saw especially weak selection.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

37

GMOEmergingDomesticOpportunitiesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

TotalReturn(%)

RegionWeights(%)

Underweight/OverweightAgainstIndex

1Q2015
YTD2015

Developed
14.1
EastAsia
16.8
Europe
2.9
Latin/SouthAmerica
8.6
Mideast/Africa
5.1
SouthAsia
10.3
Cash+UnrealizedG/L
8.9
GICSSectorWeights(%)
Under/Overweightvs.Index
Strategy
Index
ConsumerDisc.
13.1
9.4
3.7
ConsumerStaples
8.1
13.2 21.3
Energy
2.9
8.0
5.1
Financials
25.8
28.5
2.7
12
2.3
HealthCare
9.7
7.7
6.8
Industrials
0.9
4.3
19.1
InformationTech. 14.8
3.9
7.0
Materials
3.1
6.8
7.3
Telecom.Services
0.5
2.4
3.3
Utilities
0.9
2
RiskProfileSince3/31/11
Strategy
Index
6.47
0.00
Alpha
0.73
1.00
Beta
2
0.81
1.00
R
0.35
0.12
SharpeRatio
14.26
17.52
Std.Deviation
Characteristics
Strategy
Index
Price/EarningsHist1YrWtdMedian

22.1 x

16.0 x

Price/CashFlowHist1YrWtdMedian

18.8 x

10.5 x

Price/BookHist1YrWtdAvg

2.9 x

1.6 x

ReturnonEquityHist1YrAvg

15.7 %

11.6 %

MarketCapWeightedMedian$Bil

$4.0

$9.1

NumberofEquityHoldings

122

836

DividendYieldHist1YrWtdAvg
3
TopTenHoldings
Company
ColgatePalmoliveCo.
HDFCBankLtd.
LupinLtd.
Industrial&CommercialBankofChinaLtd.
AbbottLaboratories
AnheuserBuschInBev
Baidu.comInc.

2.3 %

2.6 %

AnnualTotalReturn(%)
2014
2013
2012
2011

Index
2.24
2.24

0.30
3.80
24.33
8.99

AnnualizedReturn(%)
8
6.10
6
4
0.44
2
0
2
4
1YR

2.19
2.60
18.22
20.06

4.98

2.05

ITD
Strategy

Index

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.The
StrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinaneffortto
compareandcontrasttheStrategyversusabroademergingmarketsindex.The
MSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)
isanindependentlymaintainedandwidelypublishedindexcomprisedofglobal
emergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
preparedorapprovedthisreport,andhasnoliabilityhereunder.

%ofEquity
4.6
3.9
3.5
3.4
2.6
2.4
2.3

TRUETelecommunicationGrowthInfrastruc
1.9
BrillianceChnaAutmtiveHldgs
1.8
BDOUnibankInc
1.7
Total
28.1
1 Weights are based on exposure, which will include the impact from hedges held,
if any.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

Strategy
3.74
3.74

38

GMOEmergingDomesticOpportunitiesStrategy
March31,2015
QUARTERLYATTRIBUTION

The 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 we believe are the most likely
to benefit from the rising demand for goods and services in emerging markets.

Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives
including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a
major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia
to a 29.3% drop in Greece. Domestic demand driven sector returns were more clustered, varying from a 6.7% rise in Health Care to a fall of 3.2% for
Utilities.

The Emerging Domestic Opportunities Strategy rose 3.7% net of fees in the first quarter.

Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In
addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has
ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rate is hampering the administrations ability to implement
its measures. Our investments in Brazil Financials and Industrials negatively impacted performance.

Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a
continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts
have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our positions in China Consumer
Discretionary added to performance.

Stocks in India rallied over the quarter, especially at the onset (India was the best market performer in January). The central bank lowered its main
interest rate in January, adding to the effect of the ECB stimulus. The IMF declared that India would be the worlds fastest growing major economy
through 2017. Later in the quarter, the stock market dropped after Prime Minster Modis party suffered a defeat in local elections. The results were seen
as portending stronger opposition to Modis economic reforms. Our exposure to Indian sectors such as Health Care, Industrials, Consumer Staples, and
Financials boosted performance.

Philippines has benefited from a goldilocks scenario of fast economic growth but controlled inflation. The central bank held interest rates steady. It
forecast that the economy might grow as much as 8% in 2015, with lower than expected inflation on the back of robust domestic demand and higher
public spending. Our holdings in Philippine Financials and Consumer Staples contributed to performance.

The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner.
Investor sentiment was also lifted by a truce in Ukraine. Our exposure to Russia Consumer Staples helped performance.

Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising
political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts
within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our positions in Turkey Financials 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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

39

GMOGlobalBondStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

RegionWeights(%)

TotalReturn(%)
Underweight/OverweightAgainstBenchmark

Emerging

14.8

Europe

13.4

NorthAmerica

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

12.7

Pacific

12.1

CurrencyWeights(%)
Underweight/OverweightAgainstBenchmark
Emerging

3.8

Europe

25.3

NorthAmerica

4.98
2.56
6.36
8.30
14.14
20.30
14.93
2.58
7.94
5.84

0.67
4.50
1.30
7.22
6.42
1.91
12.00
10.81
5.94
6.53

AnnualizedReturn(%)

0.0

8
6
4
2
0
2
4
6

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

Strategy
3.10
1.06
0.85
0.89
5.77

Benchmark
0.00
1.00
1.00
0.38
5.04

EmergingCntryDebtExp.
Maturity

3.69
1.98

4.70

3.43

1.54
3.73

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.Returnsforoneoftheaccountsinthecompositeare
basedonestimatedmarketvaluesfortheperiodfromandincludingOctober2008
throughFebruary2009.

Strategy
ModifiedDuration

5.55

5.19

1YR

Characteristics
8.7
5 %
7.4 Yrs.

TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofgovernmentbondsofdevelopedcountrieswith
maturitiesofoneyearormore.

Region weights are duration adjusted.


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

Benchmark
1.79
1.79

21.4

Pacific

5YearRiskProfile

Strategy
2.33
2.33

1Q2015
YTD2015

40

GMOGlobalBondStrategy
March31,2015
QUARTERLYATTRIBUTION

The Global Bond Strategy returned -2.3% net of fees during the first quarter, underperforming the J.P. Morgan GBI Global index return of -1.8% by
0.5%. The U.S. dollars advance versus almost all developed market currencies accounted for all of the negative index returns, as the 20-bp fall in the
yield of the J.P. Morgan GBI Global index resulted in a +2.1% return in the index when measured in local currency terms.

The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K.,
gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future
put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves
flattened while the rest steepened.

The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. During
the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.

In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.

Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly
offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF)
and GMO World Opportunity Overlay (WOOF).

Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the
month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month,
it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted
our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the
shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the
long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed
in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the
overweight duration position in Brazil detracted.

The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions
from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

41

GMOInternationalBondStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

TotalReturn(%)

RegionWeights(%)

Strategy
4.70
4.70

Underweight/OverweightAgainstBenchmark
Emerging
Europe

1Q2015
YTD2015

14.8
18.1

NorthAmerica

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

0.5

Pacific

11.3

CurrencyWeights(%)
Underweight/OverweightAgainstBenchmark
Emerging

3.9

Europe

25.4

NorthAmerica

21.3

Pacific

5YearRiskProfile

0.1

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

10
Benchmark
0.00
1.00
1.00
0.08
6.84

Maturity

0.63

4.89

2.69

0
10
15

8.22

9.50

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

9.6
4 %

TheJ.P.MorganGBIGlobalexU.S.Indexisanindependentlymaintainedand
widelypublishedindexcomprisedofnonU.S.governmentbondswithmaturities
ofoneyearormore.

9.1 Yrs.

Region weights are duration adjusted.


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

3.38

Strategy
EmergingCntryDebtExp.

2.53
5.08
0.85
5.91
6.78
3.94
11.39
11.30
6.84
9.24

6.37

4.42

Characteristics
ModifiedDuration

1.30
0.57
6.21
6.71
15.18
20.59
13.95
3.66
9.33
8.08

AnnualizedReturn(%)

Strategy
3.76
1.05
0.88
0.57
7.65

Benchmark
4.08
4.08

42

GMOInternationalBondStrategy
March31,2015
QUARTERLYATTRIBUTION

The International Bond Strategy returned -4.7% net of fees in the first quarter, underperforming the -4.1% return of the J.P. Morgan GBI Global ex U.S.
index by 0.6%. The U.S. dollars advance versus almost all developed market currencies accounted for all of the negative index returns, as the 22-bp fall
in the yield of the J.P. Morgan non-U.S. Government Bond index resulted in a +2.4% return in the index when measured in local currency terms.

The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K.,
gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future
put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves
flattened while the rest steepened.

The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. During
the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.

In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.

Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly
offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF)
and GMO World Opportunity Overlay (WOOF).

Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the
month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month,
it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted
our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at
the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at
the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed
in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long
duration position in Brazil detracted.

The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions
from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

43

GMOCurrencyHedgedInternationalBondStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

RegionWeights(%)

TotalReturn(%)
Underweight/OverweightAgainstBenchmark

Emerging

14.9

Europe

24.0

NorthAmerica

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

0.3

Pacific

13.0

CurrencyWeights(%)
Underweight/OverweightAgainstBenchmark
Emerging

3.8

Europe

24.9

NorthAmerica

20.8

Pacific

Strategy
3.15
3.15

1Q2015
YTD2015

0.3

Benchmark
3.83
3.83

16.59
0.14
11.34
7.97
11.70
18.81
13.56
4.00
2.45
7.25

13.10
0.65
8.07
6.10
3.71
2.90
9.22
3.42
1.79
6.54

AnnualizedReturn(%)
20

5YearRiskProfile

Alpha
Beta
2
R
SharpeRatio
Std.Deviation

15
Strategy
1.91
1.07
0.79
1.83
4.83

Benchmark
0.00
1.00
1.00
1.62
4.02

Maturity

6.59

8.24
5.65

7.18

5.76

0
1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

9.1
5 %

TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+isaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theJ.P.MorganGBIGlobalexU.S.
(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapanexU.S.
(Hedged)thereafter.

8.9 Yrs.

Region weights are duration adjusted.


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

8.92

Strategy
EmergingCntryDebtExp.

13.56

10

Characteristics
ModifiedDuration

14.66

44

GMOCurrencyHedgedInternationalBondStrategy
March31,2015
QUARTERLYATTRIBUTION

The Currency Hedged International Bond Strategy returned +3.2% net of fees in the first quarter, underperforming the J.P. Morgan GBI Global ex
Japan ex U.S. (Hedged) index total return of +3.8% by 0.7%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index fell by 42 basis
points during the quarter.

The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K.,
gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future
put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves
flattened while the rest steepened.

The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. During
the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.

In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.

Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly
offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF)
and GMO World Opportunity Overlay (WOOF).

Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the
month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month,
it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted
our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the
shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the
long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed
in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the
overweight duration position in Brazil detracted.

The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions
from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

45

GMOCorePlusBondStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

ContributiontoDuration

TotalReturn(%)

U.S.Treasuries
GovernmentRelated
Corporate
Securitized
EmergingDebt

2.1

1Q2015
YTD2015

0.5
1.7

Benchmark
1.61
1.61

9.31
0.07
9.07
9.89
13.24
20.90
18.00
1.01
5.76
3.95

5.97
2.03
4.22
7.84
6.54
5.93
5.24
6.97
4.33
2.43

1.1

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

0.1

GlobalRatesContributiontoDuration
Australia
Brazil
Denmark
Emergingdebt
Eurozone
Japan
Mexico
NewZealand
Switzerland
UnitedKingdom
UnitedStates

Strategy
1.17
1.17

0.7
0.4
0.6
0.2
0.3
0.3
0.4
0.4
0.3
1.3
0.1
1

PortfolioOverlayCurrencyPositions
AUD
BRL
CHF
EUR 20.26%
INR
JPY
KRW
NZD
SEK
PortfolioRatingBreakdown
AAA
AA
AA
BBB
BB
B
BelowB
NR
3
5YearRiskProfile

AnnualizedReturn(%)

0.53%
1.68%

3.94%

2.99%
0.45%
0.77%

6.10

5.72
4.41

4.97

5.77

4.93

4
2

0.14%
1.30%

1YR
27%

5YR

10YR

Strategy

Benchmark

ITD

61%
1%
2%
6%
0%
3%

Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Characteristics

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Strategy
1.92
1.28
0.75
1.83
4.09

TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofU.S.fixedratedebtissueshavingamaturityofat
leastoneyearandratedinvestmentgradeorhigher.

Benchmark
0.00
1.00
1.00
1.56
2.78
Strategy

ModifiedDuration

6.8

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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

7.53

7.29

46

GMOCorePlusBondStrategy
March31,2015
QUARTERLYATTRIBUTION

The Core Plus Bond Strategy returned +1.2% net of fees during the first quarter, underperforming the +1.6% return of its benchmark, the Barclays U.S.
Aggregate index, by 0.4%. Falling U.S. Treasury yields contributed positively to index performance, followed by gains on tightening sector spreads.

U.S. interest rates fell, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 24 basis points to end the
quarter at 1.9%, and the 2 year yields fell by 12 basis points to end the quarter at 0.6%.

The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 2 basis points during the quarter, with spreads tightening by as
much as 8 basis points (MBS). Only ABS (+3 basis points) and U.S. Agency (+1 basis point) credit spreads widened during the quarter.

The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K.,
gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future
put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves
flattened while the rest steepened.

The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. During
the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.

In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.

Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly
offset losses, followed by a small contribution provided by exposure to asset-backed securities held directly and indirectly through GMO Debt
Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).

Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the
month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month,
it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted
our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at
the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at
the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed
in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long
duration position in Brazil detracted.

The currency strategy partly offset losses during the quarter. An active short position in euros drove currency gains, followed by small contributions
from short positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

47

GMODebtOpportunitiesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

TopCountryWeights(%)

TotalReturn(%)

Chile

0.5

Ireland

0.3

UnitedKingdom

0.9

1Q2015
YTD2015

UnitedStates

RiskProfileSince10/31/11

AnnualTotalReturn(%)
2014
2013
2012
2011

98.3

Std.Deviation
SharpeRatio
Drawdown
(5/31/136/30/13)

AnnualizedReturn(%)
8

Strategy
1.77
3.72

Strategy
0.62
0.62

Benchmark
0.09
0.09

4.35
5.76
11.90
0.16

0.35
0.40
0.82
0.12

6.62

6
4

1.23

3.49

0.52

0.35

0
1YR

ITD
Strategy

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


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

Benchmark

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthreemonthU.S.dollarEurodeposits.The
durationoftheIndexisgenerally90days.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

48

GMODebtOpportunitiesStrategy
March31,2015
QUARTERLYATTRIBUTION

The Debt Opportunities Strategy returned +0.6% net of fees, outperforming the return of the J.P. Morgan U.S. 3 Month Cash index by 0.5% for the first
quarter.

In the first quarter, securitized products were tighter across most asset classes, generally moving with the greater credit markets. Government bonds
rallied to the tight end of their local ranges into the end of March. Securitized products were led by CLOs in both primary and secondary trading. The
quarter ended with six new issue deals ($3.2 billion of paper), bringing a very brisk new issue pipeline to a year-to-date total of approximately $28
billion. According to Bank of America Global Research, secondary trading saw triple-A tighten by 12 basis points, while CLOs tightened by 40 basis
points in double-A and single-A, and triple-B tightened by 55 basis points. The technical conditions for leveraged loans are very positive as supply in
this asset class has trended down while demand for this paper (in the form of new CLOS) is at historically high levels.

Additionally, asset-backed securities outperformed during the quarter with triple-A Auto and Credit Card spreads tightening by 7 basis points each, to
finish at 26 and 38 basis points, respectively. Benchmark CMBS cash was relatively flat in the senior part of the structure, while mezzanine bond (-5
bps) and legacy AJs (-60 bps) outperformed. Non-Agency Subprime was broadly flat as an asset class. The sector continues to exhibit a lower level of
spread volatility than it has in the past.

At quarter-end, 36% of the strategys portfolio was rated AAA, although about 47% of the portfolio was rated single-A or better. Approximately 63% of
the strategy is invested in asset-backed securities (ABS), 10% in commercial mortgage-backed securities (CMBS), and 27% in cash or cash equivalents.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

49

GMOFixedIncomeHedgeStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

CurrencyExposure(%)

TotalReturn(%)

NetContribution
India
Brazil
Australia
NewZealand
U.K.
Japan
SouthKorea
Sweden
Switzerland
EuroArea

1Q2015
YTD2015

19
10
4
1

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

1
3
5
8
25
131

CountryExposure(%)
NetContribution
Australia
Mexico
Denmark
NewZealand
Brazil
Euro
U.S.
Japan
CzechRepublic
Switzerland
UK 80

49
38
36
28
25

AnnualizedReturn(%)
12
10.03
10
8
6
4
2
0.35
0
1YR

14
12
8
8
21

PerformanceAttribution(%)
CrossMarket

20.0

CurrencyPerformance
Opportunistic

0.8
0.6

YieldCurve

0.0

5YearRiskProfile

Drawdown
(2/27/153/31/15)

Strategy
10.54
0.78
13.23

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


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

0.35
0.40
0.82
0.44
0.45
1.45
4.12
5.70
5.25
1.32

2.11
0.50

5YR

0.54

ITD
Benchmark

TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthreemonthU.S.dollarEurodeposits.The
durationoftheIndexisgenerally90days.

Std.Deviation
SharpeRatio

22.28
3.79
10.07
15.85
11.03
21.63
25.45
23.39
4.61
1.45

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

13.3

Volatility

Benchmark
0.09
0.09

8.33

Strategy

NetContribution

Strategy
5.95
5.95

50

GMOFixedIncomeHedgeStrategy
March31,2015
QUARTERLYATTRIBUTION

The Fixed Income Hedge Strategy returned -6.0% net of fees in the first quarter of 2015, underperforming its benchmark, the J.P. Morgan U.S. 3 Month
Cash index, by 6.0%. Cross-market interest-rate strategies were responsible for losses during the quarter, while contributions from currency
performance partly offset these losses.

The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. Further, the
ECBs purchases on the long end of the yield curve triggered a bull-flattening bias. In the U.K., gilts posted a fifth consecutive quarter of gains as falling
inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking
higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.

The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. U.K.
sterling also fell versus the U.S. dollar, by 4.8% during the quarter, and, among emerging currencies, Brazilian real fell by 17.1%.

In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.

Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
short long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor
interest-rate strategy performance during the quarter. A long duration position in Brazil also detracted, while long duration positions in Australia, New
Zealand, and Mexico added value. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of
March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears
that the floor is no longer in place and that the zero-bound or lower is a possibility even at the very long end of the curve. We have adjusted our
positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to
steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter
end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end
of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to
withstand further extreme market moves. During the month, the strategy re-structured many of the outright negative duration positions to more of a
steepener play. Still the same thesis that long-dated rates will likely rise, but now structured less as an absolute shift, and more as a relative one.

The currency strategy partly offset losses during the quarter. A short position in euros drove currency gains, followed by small contributions from short
positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

51

GMOMeanReversionStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

EquityExposure(%)
Position
HighQuality
EAFEValue
EmergingValue
U.S.Mid
U.S.Small
S&P500ex.Fins

AbsoluteWeight

1Q2015
YTD2015

76.0
15.0
9.0

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

10.0
14.0
68.0

FixedIncome&InflationExposure(%)
Position

AbsoluteWeight

AntipodeanRates

48.0

U.S.Rates

48.0

EurRates

43.0

JapanRates

Strategy
2.69
2.69

Benchmark
0.01
0.01

4.73
0.62
5.98
6.77
8.61
13.43
18.43
18.63
5.63
6.97

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

76.0

AnnualizedReturn(%)
10
CurrencyExposure(%)
Position
IndianRupee
BrazilianReal
Euro
IsraeliShekel
SwissFranc
CommodityFX

AbsoluteWeight

2.22

17.0

1.41

1.40

0.58

4.0
5.0
5.0

10

8.12

1YR

10.0

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

AbsoluteWeight

CreditOpportuniesFund

0.07

0.03

5.0

OtherExposure(%)
Position

6.13

5.0

TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.

5YearRiskProfile

Std.Deviation
SharpeRatio
Drawdown
(5/31/133/31/15)

Strategy
5.45
0.12
12.57

Displayed in local 10year equivalents


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

52

GMOMeanReversionStrategy
March31,2015
QUARTERLYATTRIBUTION

Mean Reversion Strategy delivered a net return of -2.7% during the first quarter of 2015. Poor performance was driven primarily by a short position in
European rates.

In January of 2015, we incorporated a short position in eurozone rates (15-year rates 15 years out) as these rates hit new lows. Since adding the position,
eurozone rates have pushed lower, impacted by the ECBs quantitative easing program and a limited supply of long-dated eurozone bonds. This
position detracted 3.4% during the quarter.

Equity positions detracted, led by the quality vs. S&P 500 position, which subtracted 0.7% during the quarter as quality failed to keep up with the
broader market. International and emerging markets value vs. U.S. small and midcap detracted 0.1%. The tax inversion strategy, which finished in
January when the remaining deal closed, had a negligible impact on performance.

Yield compression and circular easing by the central banks have caused rising correlations across the rates and currency markets. It is unreasonable for
us to believe that we can construct a portfolio of uncorrelated spread trades. For that reason, today we are considering all fixed income positions as a
single portfolio (as we are with currency positions). Our long position in Australia and New Zealand bonds added 1.1%. Given that we already hold
short positions in eurozone and Japanese rates, the global rates short is not necessary. The Japanese rates short and U.S. 2s30s steepener each added
about 0.1%; we took out the steepener in favor of the more attractive eurozone rates short. The U.S. Treasuries vs. Bunds positon was relatively flat for
the quarter. We have eliminated the short Bunds position, as that view is currently well expressed by our existing eurozone rates short. We converted
the U.S. Treasuries position into a long U.S. rates position; that contributed 0.5%.

Currency positions were also a drag on performance, led by the impact of the euro/Swiss franc trade, which suffered in January as the Swiss National
Bank released the peg to the euro. Since then we have maintained the Swiss franc short relative to the U.S. dollar, which has recovered some of the loss.
Overall, that position detracted 0.6%. The Indian rupee long and commodity currency contributed 0.5% and 0.2%, respectively. The Israel shekel short
detracted 0.4%. The Brazilian real long and the euro short (which we added at the end of the quarter) each modestly contributed to performance. All
currency positions are now expressed relative to the U.S. dollar.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

53

GMOSystematicGlobalMacroStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES

EquityMarketSelection(%)
Country

TotalReturn(%)

NetWeight

UK
HongKong
Taiwan
Germany
Italy
Netherlands
Singapore
MSCIEmerging
U.S.
Australia
Canada
SouthAfrica
NetEquity

1Q2015
YTD2015

26.5
10.0
10.0
5.0
5.0
5.0
5.0
2.0

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

1.0
1.5
5.0
5.0
56.0

BondMarketSelection(%)
Country
U.S.
AssetBacked
Japan
43.0
NetBond

NetWeight
50.0
0.9

U.S.Dollar*
Euro
JapaneseYen
AustralianDollar
BritishPound
NetCash**

7.64

7.48

6.50

1.41
0.03

1.40

0.07

7.0

1YR

20.0
40.0
46.4

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.

NetWeight
2.5
2.5
2.5
5.0
5.0
5.0

Std.Deviation
SharpeRatio
Drawdown
(5/31/107/31/10)

Strategy
6.70
0.96
5.61

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


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

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

33.0
20.0

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

5YearRiskProfile

4.44
9.58
0.73
5.79
10.37
15.28
3.88
15.06
8.39
4.63

NetWeight

CommodityMarketSelection(%)
Commodity
CrudeOil
Copper
Wheat
HeatingOil
Gold
Corn
NetCommodity
17.5

Benchmark
0.01
0.01

AnnualizedReturn(%)
8.70
10

7.9

CurrencySelection(%)
Currency

Strategy
6.26
6.26

54

GMOSystematicGlobalMacroStrategy
March31,2015
QUARTERLYATTRIBUTION

The Systematic Global Macro Strategy returned +6.3% net of fees over the March quarter as currency, equity, bond, and commodity market positions
added value.

Currency positions added 3.3% as the U.S. dollar, held long, strengthened against short positions in the Swedish krona, British pound, and Australian
dollar.

Our net long allocation to equities contributed 1.6% as global markets (i.e., MSCI World Net Returns Index in USD) advanced 2.3% over the first
quarter. Equity market selection added a further 1.5%, due mostly to the outperformance of European markets, held long. However, a long position in
VIX futures, which cost 0.9%, subtracted the most value over the quarter.

Bond positions added 1.3% due to our large short position in 10-year JGB futures underperforming a long position in U.S. 10-year Treasury note
futures.

Commodity market positions added 1.0% as we held a net short exposure and they weakened 5.9% according to the Bloomberg Commodity Index.

The Strategy maintains a large long exposure to equity markets, a net short allocation to commodity markets, and a small net long bond allocation. We
removed a small long position in VIX futures and mostly removed long positions in U.S. and emerging markets, but other equity market allocations
remain unchanged: long positions are concentrated in European markets and Asia ex-Japan. We also made adjustments to our currency positions.
While sentiment continues to support a long position in the U.S. dollar, which we hold against short positions in the British pound and the Australian
dollar, we have extended our short position in pounds and established a meaningful long position in the euro.

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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

55

GMOTacticalOpportunitiesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
TotalReturn(%)

RegionWeights(%)
NetWeight
NonUS
US

1Q2015
YTD2015

23.5

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

26.5

GICSSectorWeights(%)
NetWeight
ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities

21.7
29.3
12.7
2.1
9.1
4.1
22.8
9.5
2.4
11.8

Long
6.7
33.1
0.2
0.0
33.6
11.2
44.5
2.2
2.3
0.0

Short
28.4
3.8
12.9
2.1
24.5
15.3
21.7
11.7
4.7
11.8

Strategy
7.58
7.58

Benchmark
0.01
0.01

2.47
9.65
18.36
27.51
25.31
41.61
36.52
17.87
1.65
13.24

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

AnnualizedReturn(%)
1.44

1.41

0.07

0.03

0
2
4

5YearRiskProfile

8
Strategy
15.67
0.41

Std.Deviation
SharpeRatio
Drawdown
(9/30/113/31/15)

1YR

20.9 x

22.6 x

%NegativeEarnings

0.4 %

48.0 %

Price/BookHist1YrWtdAvg

4.1 %

3.2 %

19.2 %

8.3 %

Price/EarningsExclNegEarningsHist1YrWtdMed

ReturnonEquityHist1YrMed
MarketCapWeightedMedian$Bil

$112.8
0.6 x

1.4 x

%Long/Short

134 %

137 %

DividendYieldHist1YrWtdAvg

2.0 %

1.4 %

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 net.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

10YR

6.95

ITD

Benchmark

TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.

$10.8

Debt/EquityWtdMed

7.02

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.

Characteristics
Short

5YR
Strategy

37.38

Long

6.37
7.42

56

GMOTacticalOpportunitiesStrategy
March31,2015
QUARTERLYATTRIBUTION

The Tactical Opportunities Strategy lost 7.6% net of fees in the first quarter of 2015.

High quality stocks within the U.S. lagged the broader market in the first quarter with the three identifiers of quality all being mixed; high profitability
won, low leverage was a push, and low profit volatility lagged.

Large cap stocks lagged small caps, both within the broader market and the quality universe. Our positions in international quality companies had a
positive impact during the quarter.

The top contributors in the long portfolio were Health Care and Information Technology. UnitedHealth Group and Covidien were among the top
contributors.

The largest absolute detractor in the long portfolio was Consumer Staples, with Procter & Gamble and Philip Morris International leading the way.

Short exposure within Health Care and Information Technology drove the majority of the absolute negative returns from the short portfolio while short
exposure within Utilities had a positive contribution to return.

The strategys average net exposure for the quarter remained 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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

57

GMOTotalEquitiesStrategy
March31,2015
STRATEGYPROFILE

PERFORMANCENETOFFEES
1

StrategyExposure(%)

TotalReturn(%)

Equities

84.0

MergerArbitrage

1Q2015
YTD2015

14.0

Other

2.0

Benchmark
0.01
0.01

2.71
17.49
8.64
0.40
3.51
7.47
14.26
5.37
1.90
3.56

0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

Total

AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

100.0

RegionExposure(%)
NonU.S.
U.S.

Strategy
3.29
3.29

75.0
25.0

Total

100.0

AnnualizedReturn(%)
1

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

6.01

5.75

6
4

2.36

0.03

1.68

1.41

0.07

0
2

0.63

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

58

GMOTotalEquitiesStrategy
March31,2015
QUARTERLYATTRIBUTION

In dollar terms, global equities generally posted modest gains during the first quarter as central bankers took center stage and commodity prices
continued to deflate. As international markets rose, the dollar strengthened considerably against most currencies with the exception of the yen.
International developed markets produced strong returns in local terms, bolstered by the onset of quantitative easing in the eurozone and by the
continuation of Abenomics in Japan. The U.S. market delivered barely positive returns as Fed watchers focused on if and when the rate tightening cycle
might begin, and the economy under-delivered on optimistic growth expectations. At quarter end, the MSCI All Country World index registered a
gain of 2.3%. MSCI EAFE was up 4.9%. The strongest performing major developed market was Japan, with MSCI Japan up 10.2%. Among the major
markets, the U.K. had the weakest dollar returns with MSCI U.K. down 1.0%. The S&P 500 returned +1.0% for the quarter, and MSCI Europe was up
3.5% in dollar terms. Emerging markets trailed developed international markets; MSCI Emerging returned +2.2% for the quarter.

The Total Equities Strategy returned +3.3% net of fees for the quarter, with the majority of the return driven by exposure to Equities.

Our equities strategy contributed 3.1% to the strategys total return. Exposure to Japan Value and U.S. opportunistic value helped the strategy top the
MSCI ACWI index by 1.0%. Exposure to U.S. quality detracted for the quarter.

Merger arbitrage contributed 0.4% to the strategy as two major deals closed during the quarter; Allergan-Actavis and Covidien-Medtronic. Total
Equities did not have exposure to the volatility strategy during 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.

40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015

59

BenchmarksandIndices
March31,2015

GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or 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.
FullName

Description

BarclaysU.S.AggregateIndex

TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.fixedrate
debtissueshavingamaturityofatleastoneyearandratedinvestmentgradeorhigher.

Citigroup3MonthTBillIndex

TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofshort
termU.S.Treasurybills.

CPIIndex

TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasan
indicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.

GMOGlobalAssetAllocationIndex+

TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation
(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweighted
averageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndex
Series,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMO
andmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)Indexisaninternallymaintainedbenchmark
computedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%the
BarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataor
informationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthe
dataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.

GMORealReturnGlobalBalancedAsset
AllocationBlendedIndex+

TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough
06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobal
BalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3
MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweighting
ofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.The
RRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%
BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOand
maintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

GMOTaxManagedGlobalBalancedIndex

TheTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountry
WorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.

J.P.MorganGBIGlobal

TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofgovernment
bondsofdevelopedcountrieswithmaturitiesofoneyearormore.

J.P.MorganGBIGlobalexJapanexU.S.
(Hedged)+

TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theJ.P.MorganGBIGlobalexU.S.(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapan
exU.S.(Hedged)thereafter.

J.P.MorganGBIGlobalexU.S.Index

TheJ.P.MorganGBIGlobalexU.S.IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofnonU.S.
governmentbondswithmaturitiesofoneyearormore.

J.P.MorganU.S.3MonthCashIndex

TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthree
monthU.S.dollarEurodeposits.ThedurationoftheIndexisgenerally90days.

MSCIACWI

TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependently
maintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
noliabilityhereunder.

60

BenchmarksandIndices
March31,2015

FullName

Description

MSCIACWI++

TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindex
comprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

MSCIACWICommodityProducers

TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducers
withintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

MSCIACWIexUSA+Index

TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelike
proxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwill
varyslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproduced
orusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.

MSCIEAFEIndex

TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.

MSCIEAFE+Index

TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
Series,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

MSCIEAFE++Index

TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,
Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccount
benchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedon
amonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
preparedorapprovedthisreport,andhasnoliabilityhereunder.

MSCIEmergingMarketsIndex

TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedand
widelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
noliabilityhereunder.

MSCIWorld+Index

TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandard
IndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCI
World(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMO
andmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

61

BenchmarksandIndices
March31,2015

FullName

Description

Russell3000+++Index

TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyofthe
accountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMO
andmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofany
dataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthird
partylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedto
theRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.

S&P500Index

TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.
S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.

S&PDevelopedexU.S.SmallCapIndex

TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthe
smallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof
$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization
(float)oftheBMIineachcountry.

S&P/IFCICompositeIndex

TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarkets
stocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.

62