2q 2015 Gmo Quarterly Update 2

GMO Quarterly Update June 30, 2015
GMO offers institutionallyoriented investment strategies. This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.
40 Rowes Wharf | Boston, Massachusetts 02110

(617) 330-7500 | www.gmo.com
GMO LLC 2015
GMO Capabilities
June 30, 2015
GMO Multi-Asset Class

Benchmark-Free Allocation
Global Allocation Absolute Return
Global Asset Allocation
Real Return Global Balanced Asset Allocation
Tax-Managed Global Balanced
Page
4
6
8
10
12
GMO Global Equities

Global All Country Equity Allocation
Global Developed Equity Allocation
Global Focused Equity
Quality
Resources
Page
14
16
18
20
22
GMO International Equities

International All Country Equity Allocation
International Developed Equity Allocation
Tax-Managed International Equities*
International Equity
International Active EAFE
International Active Foreign Small Companies
International Small Companies*
Page
24
26
GMO U.S. Equities

U.S. Equity Allocation
Page
34
28
30
32
GMO Emerging Equities

Emerging Markets
Emerging Countries*
Emerging Domestic Opportunities
Page
36
GMO Fixed Income

Global Bond
International Bond
Currency Hedged International Bond
Core Plus Bond
Emerging Country Debt*
Emerging Country Local Debt*
Emerging Country Debt U.S. Rates Hedged*
Debt Opportunities
Page
40
42
44
46
GMO Absolute Return

Fixed Income Hedge
Mean Reversion
Systematic Global Macro
Tactical Opportunities
Total Equities
Multi-Strategy*
Page
50
52
54
56
58
38
48
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities is not
included in this document. For information please contact GMO.
Performance of GMO Strategies and Benchmarks

June 30, 2015
2Q
2015
-0.31
0.87
Total Return Net of Fees

YTD
YTD Value
2015
Added
1.04
0.35
0.69
One
Year
-2.22
0.04
Average Annual Total Return

Five
Ten
Since
Year
Year
Inception
7.30
7.12
10.25
1.85
2.05
2.13
GMO Multi-Asset Class Strategies

Benchmark-Free Allocation
CPI
Inception
7/31/01
Global Allocation Absolute Return

CPI
7/31/01
-0.65
0.87
0.26
0.69
-0.43
-2.24
0.04
6.53
1.85
6.42
2.05
8.94
2.13
Global Asset Allocation

GMO Global Asset Allocation +
6/30/88
0.07
-0.35
1.31
1.77
-0.46
-2.75
1.21
8.34
9.13
6.00
5.68
9.46
8.04
Real Return Global Balanced Asset Allocation

GMO Real Return Global Balanced AA Blended +
6/30/04
-0.82
-0.14
0.16
1.63
-1.47
-2.93
1.33
8.22
8.64
6.05
5.29
6.61
5.52
Tax-Managed Global Balanced

GMO Tax-Managed Global Balanced Index
12/31/02
-0.55
-0.08
1.45
1.80
-0.35
-1.05
1.38
7.56
9.00
5.47
5.61
7.36
6.99
GMO Global Equity Strategies

Global All Country Equity Allocation
MSCI ACWI ++
Inception
12/31/93
2Q
2015
0.35
0.35
YTD
2015
3.29
2.66
YTD Value
Added
0.63
One
Year
-4.12
0.71
Five
Year
11.63
12.23
Ten
Year
6.80
6.36
Since
Inception
8.90
7.39
Global Developed Equity Allocation

MSCI World +
3/31/87
0.62
0.31
3.74
2.63
1.11
-3.20
1.43
12.75
13.10
6.69
6.38
9.30
7.41
Global Focused Equity

MSCI ACWI
12/31/11
-1.47
0.35
1.20
2.66
-1.46
-7.75
0.71
Quality
S&P 500
2/29/04
-1.46
0.28
-1.05
1.23
-2.28
5.28
7.42
Resources
MSCI ACWI Commodity Producers
12/31/11
2.61
-0.79
1.44
-5.15
6.59
-24.53
-26.03
GMO International Equity Strategies

International All Country Equity Allocation
MSCI ACWI ex USA +
Inception
2/28/94
2Q
2015
1.24
0.53
YTD
2015
4.83
4.03
YTD Value
Added
0.80
One
Year
-8.83
-5.26
Five
Year
8.49
7.82
Ten
Year
5.73
5.48
Since
Inception
7.33
5.60
International Developed Equity Allocation

MSCI EAFE ++
11/30/91
1.03
0.62
5.48
5.52
-0.04
-9.01
-4.22
10.37
9.54
5.64
5.30
8.12
6.29
International Equity
MSCI EAFE +
MSCI EAFE
3/31/87
0.83
0.62
0.62
5.23
5.52
5.52
-0.29
-8.99
-4.22
-4.22
9.15
9.59
9.54
4.44
4.69
5.12
7.94
7.04
5.34
International Active EAFE

MSCI EAFE
5/31/81
3.38
0.62
9.25
5.52
3.73
-4.64
-4.22
8.46
9.54
4.43
5.12
11.61
8.90
Int'l. Active Foreign Small Companies

S&P Developed ex-U.S. Small Cap
1/31/95
2.70
4.61
9.40
9.25
0.15
-5.76
-1.62
11.49
12.02
8.34
7.46
11.00
7.42
GMO U.S. Equity Strategies

U.S. Equity Allocation
Russell 3000 +++
Inception
2/28/89
2Q
2015
-0.73
0.14
YTD
2015
-0.16
1.94
YTD Value
Added
-2.10
One
Year
3.85
7.29
Five
Year
15.71
17.48
Ten
Year
6.45
8.05
Since
Inception
10.56
10.24
13.12
12.83
15.66
17.34
7.32
7.89
6.58
7.53
-1.09
-4.47
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Copyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written
permission from GMO.
Performance of GMO Strategies and Benchmarks

June 30, 2015
GMO Emerging Equity Strategies

Emerging Markets
S&P/IFCI Composite
MSCI Emerging Markets
Inception
12/31/93
Emerging Domestic Opportunities

MSCI Emerging Markets
3/31/11
GMO Fixed Income Strategies

Global Bond*
J.P. Morgan GBI Global
Inception
12/31/95
International Bond
J.P. Morgan GBI Global ex U.S.
2Q
2015
1.09
1.84
0.69
Total Return Net of Fees

YTD
YTD Value
2015
Added
1.31
-2.72
4.03
2.95
One
Year
-9.18
-3.71
-5.12
Average Annual Total Return

Five
Ten
Since
Year
Year
Inception
2.23
6.16
7.18
4.69
9.09
5.79
3.68
8.11
5.14
-1.24
0.69
2.45
2.95
-0.50
-0.77
-5.12
4.38
-1.77
2Q
2015
-2.07
-1.68
YTD
2015
-4.35
-3.43
YTD Value
Added
-0.92
One
Year
-6.44
-7.46
Five
Year
4.17
1.35
Ten
Year
3.59
3.37
Since
Inception
5.36
4.55
12/31/93
-2.38
-1.54
-6.97
-5.56
-1.41
-13.38
-13.22
3.58
0.32
3.40
2.80
6.17
4.76
Currency Hedged International Bond

J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) +
9/30/94
-5.39
-4.95
-2.41
-1.31
-1.10
5.32
5.18
6.91
5.08
4.63
4.81
7.85
6.82
Core Plus Bond

Barclays U.S. Aggregate
4/30/97
-2.01
-1.68
-0.87
-0.10
-0.77
2.49
1.86
6.17
3.35
4.44
4.44
5.89
5.59
Debt Opportunities
J.P. Morgan U.S. 3 Month Cash
10/31/11
0.58
0.10
1.21
0.20
1.01
2.35
0.37
GMO Absolute Return Strategies

Fixed Income Hedge
J.P. Morgan U.S. 3 Month Cash
Inception
8/31/05
2Q
2015
-7.38
0.10
YTD
2015
-12.90
0.20
YTD Value
Added
-13.10
One
Year
0.50
0.37
Five
Year
6.44
0.50
Ten
Year
Since
Inception
-0.25
2.06
Mean Reversion
Citigroup 3-Mo. T-Bill
2/28/02
-0.81
0.00
-3.47
0.01
-3.48
-8.09
0.02
-0.23
0.06
2.25
1.34
5.94
1.38
Systematic Global Macro

3/31/02
-4.30
0.00
1.70
0.01
1.69
4.74
0.02
4.71
0.06
6.54
1.34
7.14
1.36
Tactical Opportunities
9/30/04
-2.32
0.00
-9.72
0.01
-9.73
-4.78
0.02
-6.62
0.06
-6.77
1.34
-7.00
1.40
Total Equities
9/30/00
-0.39
0.00
2.89
0.01
2.88
-3.45
0.02
6.17
0.06
2.31
1.34
5.88
1.65
6.32
0.51
* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
GMO Benchmark-Free Allocation Strategy

June 30, 2015
STRATEGY PROFILE
PERFORMANCE NET OF FEES
Group Exposures (%)1
Total Return (%)
100
U.S. Quality, 6.2

U.S. Opportunistic Value, 3.4
Europe Value, 10.1
Japan, 2.3
Emerging Markets, 17.2
Merger Arbitrage, 5.5
Special Opportunity, 3.0
Systematic Global Macro, 5.0
Cross-Sectional Rates & FX, 20.8
Asset Backed Securities, 3.9
Credit Opportunities, 1.6
Emerging Debt, 4.6
Alpha Only, 7.2
Cash & Cash Equiv., 9.1
80
60
40
20
0
U.S. Equity
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
2Q 2015
YTD 2015
Annual Total Return (%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Cash
Equity Regional Weights (%)

Emerging
43.1
Europe ex UK
5.7
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45
15
10.2
United States
10.25
10
23.9
7.30
5
0.04
Equity Characteristics
Price/Earnings - Hist 1 Yr Wtd Med
Price/Book - Hist 1 Yr Wtd Avg
Strategy
14.9 x
-5
10.2 %
Market Cap - Weighted Median $Bil

Dividend Yield - Hist 1 Yr Wtd Avg
Bond Portfolio3
Bond Portfolio Duration
Credit Ratings
AAA
AA
A
BBB
2.13
2.05
5YR
10YR
Strategy
Benchmark
ITD
Performance data quoted represents past performance and is not predictive of

future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
3.1 %
Strategy
5.87
1.23
Drawdown
(3/30/12-5/31/12)
1.85
$36.6
Std. Deviation
Sharpe Ratio
7.12
-2.22
1YR
1.3 x
Return on Equity - Hist 1 Yr Med
The chart above shows the past performance of the Benchmark-Free Allocation
Composite (the Composite). Prior to January 1, 2012, the accounts in the
Composite served as the principal component of a broader real return strategy.
Beginning January 1, 2012, accounts in the composite have been managed as a
standalone investment.
-4.63
0.0 years
The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is published
monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and
services.
BB
5.8%
B
2.0%
<B
4.9%
NR
0.6%
SD
0.6%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
asset-backed exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the asset-backed portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
5.4%
71.7%
1.4%
7.7%

(617) 330-7500 | www.gmo.com
GMO LLC 2015
1.31
11.24
10.35
3.60
4.58
19.86
-12.07
10.93
12.75
16.32
Annualized Return (%)
1.8
United Kingdom
5-Year Risk Profile
Benchmark
0.87
0.69
15.3
Japan
Other International
Strategy
-0.31
1.04
GMO Benchmark-Free Allocation Strategy

June 30, 2015
QUARTERLY ATTRIBUTION
Performance (%)
Net of Fees, USD (Rep Account)
Equity
Alts
Bonds
Cash
-0.38
Gross of Fees, USD (Rep Account)
-0.25
CPI Index (prelim through most recent month-end)
+0.55
Value Added
-0.80
Equity
Alts
Bonds
Cash

(617) 330-7500 | www.gmo.com
GMO LLC 2015
GMO Global Allocation Absolute Return Strategy

June 30, 2015
STRATEGY PROFILE

100
Total Return (%)

U.S. Quality, 9.4
Europe Value, 11.5
Japan, 3.4
Risk Premium, 2.1
Special Opportunity, 3.2
Emerging Debt, 4.6
Alpha Only, 1.3
Multi Strategy, 20.2
80
60
40
20
0
U.S. Equity
Emerging Equity
Fixed Income
Absolute Return
2Q 2015
YTD 2015
Cash
Emerging
Benchmark
0.87
0.69
1.80
10.04
9.42
4.22
3.02
14.92
-7.19
9.99
11.01
13.54
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

31.7
Europe ex UK
Strategy
-0.65
0.26
19.5
Japan
8.6
Other International
2.0
8.94
10
United Kingdom
6.53
10.2
United States
28.1
6.42
1.85
2.13
2.05
0.04
0
Strategy
Price/Earnings - Hist 1 Yr Wtd Median

10.5 %

-3.82
0.1 years
BB
5.9%
B
2.0%
<B
4.6%
NR
0.6%
SD
0.6%
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
4.8%
72.5%
1.4%
7.6%

(617) 330-7500 | www.gmo.com
GMO LLC 2015
Strategy
Benchmark
ITD
The CPI (Consumer Price Index) for All Urban Consumers US All Items is published
monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and
services.
Bond Portfolio3
Credit Ratings
AAA
AA
A
BBB
10YR

3.3 %
Strategy
5.23
1.24
Drawdown
(3/30/12-5/31/12)
5YR
$30.4
Std. Deviation
Sharpe Ratio
-2.24
1YR
1.5 x
5-Year Risk Profile
-5
16.1 x
GMO Global Allocation Absolute Return Strategy

June 30, 2015
Perform ance (%)

Equity
Alts
Bonds
Cash
-0.66
-0.41
CPI Index (prelim through most recent month-end)
+0.55
Value Added
-0.96
Equity
Alts
Bonds
Cash

(617) 330-7500 | www.gmo.com
GMO LLC 2015
GMO Global Asset Allocation Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)
100
U.S. Quality, 12.3

Europe Value, 17.8
Japan, 5.2
Other Int'l. Opportunistic Value, 1.4
Risk Premium, 2.5
Emerging Debt, 4.5
Alpha Only, 7.1
80
60
40
20
0
U.S. Equity
Emerging Equity
Fixed Income
Absolute Return

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Cash

Emerging
24.5
10.6
Europe ex UK
Japan
2.2
Other International
United Kingdom
10.2
7.9
7.3
15.6
4.87
13.60
12.13
-1.80
11.05
24.14
-27.72
9.26
13.41
5.99
Strategy
Benchmark
16.3 x
19.5 x
1.5 x
2.1 x
10.5 %
14.6 %
$32.6
3.3 %
8.04
5.68
1.21
0
-5
-2.75
1YR
5YR
10YR
Strategy
Benchmark
ITD
$39.5
2.5 %
5-Year Risk Profile 2

Strategy
0.66
0.84
0.92
1.09
7.60
9.46
9.13
6.00
Benchmark
0.00
1.00
1.00
1.04
8.69
The GMO Global Asset Allocation Index + is an internally maintained benchmark

computed by GMO, comprised of (i) GMO blended benchmark of Global Asset
Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset
Allocation (Blend) Index thereafter. The GMO blended benchmark of Global Asset
Allocation Composite is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard
Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for
each market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blended by
GMO and maintained on a monthly basis. The GMO Global Asset Allocation (Blend)
Index is an internally maintained benchmark computed by GMO, comprised of
65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and
35% the Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy,
adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the
prior written permission of S&P or its third party licensors. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not
prepared or approved this report, and has no liability hereunder.
0.1 years
BB
6.1%
B
2.1%
<B
5.5%
NR
0.6%
SD
0.6%
2 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
6.0%
69.8%
1.7%
7.8%

(617) 330-7500 | www.gmo.com
GMO LLC 2015
8.34
10
51.5
Benchmark
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Bond Portfolio3
Credit Ratings
AAA
AA
A
BBB
1.24
12.38
11.11
2.13
7.93
24.15
-20.83
7.94
12.30
9.06
15
Benchmark
-0.35
1.77
28.0
United States
Strategy
23.1
12.0
7.0
Strategy
0.07
1.31
2Q 2015
YTD 2015
GMO Global Asset Allocation Strategy

June 30, 2015
Performance (%)
Equity
Alts
Bonds
Cash
+0.00
+0.03
GMO Global Asset Allocation Index
-0.35
Value Added
+0.39
Equity
Alts
Bonds
Cash

(617) 330-7500 | www.gmo.com
GMO LLC 2015
GMO Real Return Global Balanced Asset Allocation Strategy

June 30, 2015
STRATEGY PROFILE

100
Total Return (%)

U.S. Quality, 11.5
Europe Value, 15.5
Japan, 4.6
80
60
40

Emerging Debt, 3.2
20
Multi Strategy, 29.0

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005

U.S. Equity
Emerging Equity
Fixed Income
Absolute Return
Cash

Emerging
26.6
0.0
Europe ex UK
Japan
Other International
2.1
United Kingdom
9.6
8.9
21.8
17.5
8.2
11.4
7.9
United States
Strategy
2.00
13.68
10.65
3.16
5.00
13.02
-11.36
7.63
13.26
8.09
4.22
14.95
10.42
-1.76
8.94
19.17
-25.17
7.87
13.69
6.82
8.22
8.64
6.05
28.5
57.6
5.29
6.61
5.52
5
1.33
Benchmark

Strategy
Benchmark
16.3 x
19.8 x
1.5 x
2.2 x
10.7 %
14.9 %
$31.9
3.3 %
-5
Strategy
1.18
0.81
0.87
1.17
6.97
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
-2.93
1YR
5YR
10YR
Strategy
Benchmark
ITD
$45.1
2.5 %

Benchmark
0.00
1.00
1.00
1.07
7.99
The GMO Real Return Global Balanced Asset Allocation Blended Index + is an
internally maintained benchmark computed by GMO, comprised of (i) GMO
blended benchmark of Real Return Global Balanced Asset Allocation Composite
through 06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO
blended benchmark of Real Return Global Balanced Asset Allocation Composite is
comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding
tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each
market exposure they have. For each underlying account benchmark, the
GMO and maintained on a monthly basis. The RRGBAL Blended Index is comprised
of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax),
20% Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill Index.
The index is internally blended by GMO and maintained on a monthly basis. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability
hereunder.
Bond Portfolio3
0.0 years
BB
5.4%
B
1.9%
<B
4.5%
NR
0.6%
SD
0.5%
4.8%
73.9%
1.4%
7.0%

(617) 330-7500 | www.gmo.com
GMO LLC 2015
Benchmark
-0.14
1.63

10

Credit Ratings
AAA
AA
A
BBB
Strategy
-0.82
0.16
2Q 2015
YTD 2015
10
GMO Real Return Global Balanced Asset Allocation Strategy

June 30, 2015
Perform ance (%)

Net of Fees, USD
-0.83
-0.58
GMO Real Return Global Balanced Asset Allocation Blended Index + -0.14
Value Added
Equity
Bonds
Cash
Equity
-0.44
Bonds
Cash

(617) 330-7500 | www.gmo.com
GMO LLC 2015
11
GMO Tax-Managed Global Balanced Strategy

June 30, 2015
STRATEGY PROFILE

100
Total Return (%)
U.S. Quality, 10.8

Europe Value, 13.6
Japan, 3.8
Risk Premium, 2.3
Emerging Country Debt, 2.0
80
60
40

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Municipal Bonds, 34.3

20
Multi-Strategy, 13.7
0
U.S. Equity
Emerging Equity
Fixed Income
Absolute Return
Cash

Emerging
Europe ex UK
Japan
Other International
United Kingdom
32.6
10.6
0.6
8.0
7.9
15.6
29.8
United States
Strategy
10
8
6
4
2
0
-2
51.5
Benchmark
Strategy
Benchmark
16.9 x
19.5 x
Price/Cash Flow - Hist 1 Yr Wtd Median
9.1 x
13.3 x
1.6 x
2.1 x
11.5 %
14.6 %

$31.5
2.9 %
Strategy
-0.14
0.86
0.95
1.07
7.03
9.00
7.36
5.47
6.99
5.61
1.38
-1.05
5YR
10YR
Strategy
Benchmark
ITD
The GMO Tax-Managed Global Balanced Index is an internally computed

benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI
standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (68) Index. MSCI data may not be reproduced or used for any other purpose. MSCI
provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
$39.5
2.5 %
Benchmark
0.00
1.00
1.00
1.11
8.03
The groups indicated above represent exposures determined pursuant to


(617) 330-7500 | www.gmo.com
GMO LLC 2015
5.02
12.78
11.47
-0.27
9.99
23.90
-25.89
7.12
12.95
5.91


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
2.02
10.86
9.71
1.34
6.88
14.29
-14.95
7.16
12.08
9.91
7.56
1YR
Benchmark
-0.08
1.80
21.9
7.3
7.2
7.0
Strategy
-0.55
1.45
2Q 2015
YTD 2015
12
GMO Tax-Managed Global Balanced Strategy

June 30, 2015
Equity
Alts
Performance (%)
Bonds
Cash
-0.58
-0.33
Tax-Managed Global Balanced Index
-0.08
Value Added
-0.24
Equity
Alts
Bonds
Cash

(617) 330-7500 | www.gmo.com
GMO LLC 2015
13
GMO Global All Country Equity Allocation Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)

Strategy
0.35
3.29
100
2Q 2015
YTD 2015
U.S. Quality, 27.9
80
Benchmark
0.35
2.66

60

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Europe Value, 32.6
40
Japan, 9.6
20
0
U.S. Equity
Emerging Equity
Cash
Top Country Weights (%)

32.7
United States
United Kingdom
Japan
France
Germany
51.5
11.3
7.0
9.6
7.9
7.2
15
12.23
Strategy
0.63
0.90
0.95
0.93
12.42
Index
0.00
1.00
1.00
0.90
13.45
Strategy
Index
16.7 x
19.5 x
1.6 x
2.1 x

11.5 %
$38.3
Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Nissan Motor Co. Ltd. Japan
Johnson & Johnson United States
Total
8.90
7.39
6.36
0.71
0
-5
3.2 %
Sector
Energy
Energy
Energy
Consumer Disc.
Health Care
-4.12
1YR
5YR
10YR
Strategy
Benchmark
ITD

Characteristics
6.80
Benchmark
The MSCI ACWI ++ Index is an internally maintained benchmark computed by

GMO, comprised of (i) GMO blended benchmark of Global All Country Equity
Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO
blended benchmark of Global All Country Equity Allocation Composite is
comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. The MSCI ACWI (All Country World) Index (MSCI Standard Index
Series, net of withholding tax) is an independently maintained and widely
published index comprised of global developed and emerging markets. MSCI data
may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability
hereunder.
14.6 %
$39.5
2.5 %
% of Equity
2.2
2.2
1.8
1.6
1.6
9.4

3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.

(617) 330-7500 | www.gmo.com
GMO LLC 2015
11.63
10
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
4.17
23.46
16.34
-6.87
12.94
34.45
-41.82
10.38
20.34
9.95
3.4
5.0
3.1
Strategy
-0.69
21.33
14.74
-1.29
10.12
24.19
-31.41
11.12
18.87
12.51
14
GMO Global All Country Equity Allocation Strategy

June 30, 2015
Performance (%)
U.S.
Intl
EM
+0.47
+0.50
MSCI ACWI
+0.35
Value Added
+0.15
U.S.
Intl
EM

(617) 330-7500 | www.gmo.com
GMO LLC 2015
15
GMO Global Developed Equity Allocation Strategy

June 30, 2015
STRATEGY PROFILE

100
Total Return (%)

U.S. Quality, 31.2
80
60
40
Europe Value, 38.1
20
Japan, 11.3
0
U.S. Equity

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Emerging Equity
Cash

36.6
United States
57.6
13.2
United Kingdom
7.9
11.3
8.9
8.4
Japan
France
Strategy
12.75
15
13.10
9.30
7.41
6.38
1.43
0
Strategy
0.78
0.91
0.95
1.03
12.34
Benchmark
0.00
1.00
1.00
0.99
13.19
Strategy
Benchmark
17.2 x
19.8 x
1.7 x
2.2 x
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
-5

12.1 %
$52.8
3.1 %
Sector
Energy
Energy
Energy
Consumer Disc.
Health Care
-3.20
1YR
5YR
10YR
Strategy
Benchmark
ITD

Characteristics
Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
Johnson & Johnson United States
Total
4.94
26.68
15.84
-5.52
11.77
29.97
-40.70
9.02
20.05
9.42
6.69
Benchmark
The MSCI World + Index is an internally maintained benchmark computed by

GMO, comprised of (i) GMO blended benchmark of Global Developed Equity
Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI
Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of Global Developed Equity Allocation Composite is comprised of a
weighted average of account benchmarks; many of the account benchmarks
consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or
some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is
internally blended by GMO and maintained on a monthly basis. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.
14.9 %
$45.1
2.5 %
% of Equity
2.5
2.5
2.1
1.9
1.8
10.8


(617) 330-7500 | www.gmo.com
GMO LLC 2015
0.32
25.82
14.14
-0.40
9.25
20.55
-33.19
9.69
20.22
12.26
10
Benchmark
0.31
2.63
3.8
5.8
3.4
Germany
Strategy
0.62
3.74
2Q 2015
YTD 2015
16
GMO Global Developed Equity Allocation Strategy

June 30, 2015
Performance (%)
U.S.
Intl
EM
+0.54
+0.45
MSCI World
+0.31
Value Added
+0.14
U.S.
Intl
EM

(617) 330-7500 | www.gmo.com
GMO LLC 2015
17
GMO Global Focused Equity Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Region Weights (%)

Australia/New Zealand
Canada
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
United States
Cash + Unrealized G/L
3.5
2.4
3.2
3.2
0.0
1.6
8.6
10.6
17.2
15.6
8.0
7.9
8.0
7.0
Strategy
10.3
0.0
10.5
24.3
11.1
14.5
13.1
8.7
5.7
1.9
-2.4
-9.4
Risk Profile Since 12/31/11

2014
2013
2012
49.5
51.5
1.9
0.0
Strategy
Index
GICS Sector Weights (%)
Under/Overweight vs. Index
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech.
Materials
Telecom. Services
Utilities
3.1
2.3
-1.3
4.2
-0.7
3.4
2.0
-1.2
Index
12.7
9.4
7.4
22.0
12.4
10.3
13.8
5.3
3.7
3.1
Strategy
-2.71
1.24
0.85
0.94
13.95
Index
16.1 x
19.5 x
8.4 x
13.3 x
1.5 %
2.1 %
Top Ten Holdings2

Company
Mitsubishi Tokyo Financial Group Inc.
ITT Corp
Methanex Corp.
LyondellBasell Industries N.V. Cl A
Ardmore Shipping Corp.
Capital One Financial Corp.
Allergan plc
National-Oilwell Inc.
Sumitomo Mitsui Financial Group Inc.
Pfizer Inc.
Total
$2.2
13.12
12.83
0.71
0
-5
-10
-7.75
1YR
ITD
Strategy
Index

Index
0.00
1.00
1.00
1.22
10.44
Strategy
4.16
22.80
16.13
10
The Global Focused Equity Strategy does not have a benchmark. The Strategy has
been compared to the MSCI All Country World Index in an effort to compare and
contrast the Strategy versus a broad global equity index. The MSCI ACWI (All
Country World) Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of global
developed and emerging markets. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved
this report, and has no liability hereunder.
Characteristics
Index
0.35
2.66
-3.24
31.29
19.71

15
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
$2.5
% of Equity
2.4
2.3
2.3
2.3
2.3
2.3
2.3
2.3
2.3
2.3
23.1
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios


(617) 330-7500 | www.gmo.com
GMO LLC 2015
Strategy
-1.47
1.20
2Q 2015
YTD 2015
18
GMO Global Focused Equity Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
19
GMO Quality Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)

Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
5.1
0.4
0.0
12.8
9.1
7.9
8.0
10.1
1.2
3.1
2.0
2.3
0.0
2.8
Strategy
16.6
15.5

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
23.9
34.4
19.7
Benchmark
Region Weights (%)

Non US
17.8
0.0
Cash

20
81.1
US
100.0
1.2
0.0
10
Benchmark
12.54
25.47
11.81
11.84
5.48
19.89
-24.08
6.04
12.69
-0.79
15.66
13.69
32.39
16.00
2.11
15.06
26.46
-37.00
5.49
15.80
4.91
17.34
7.32
7.89
7.53
6.58
Strategy
1.91
0.79
0.87
1.55
10.09
Benchmark
0.00
1.00
1.00
1.45
11.90
Strategy
Benchmark
19.8 x
20.2 x
3.9 x
2.8 x
1YR

20.0 %
$116.1
17.5 %
0.6 x
1.0 x
2.3 %
2.1 %
Sector
Health Care
Consumer Staples
10YR
Strategy
Benchmark
ITD
The S&P 500 Index is an independently maintained and widely published index
comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,
adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the
prior written permission of S&P or its third party licensors.
$83.1
Debt/Equity Wtd Med
5YR

Characteristics
Top Holdings2
Company
Johnson & Johnson
Microsoft Corp.
Procter & Gamble Co.
Oracle Corp.
Google Inc.
Total
7.42
5.28
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
% of Equity
4.7
4.6
4.5
4.3
4.3
22.4


(617) 330-7500 | www.gmo.com
GMO LLC 2015
Benchmark
0.28
1.23
15
Strategy
5-Year Risk Profile
Strategy
-1.46
-1.05
2Q 2015
YTD 2015
25.0
20
GMO Quality Strategy

June 30, 2015
Performance (%)
-1.38
-1.30
S&P 500
+0.28
Value Added
-1.58

(617) 330-7500 | www.gmo.com
GMO LLC 2015
21
GMO Resources Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)

18.5
18.4
United Kingdom
Russia
13.0
3.4
Japan
7.9
2.3

2014
2013
2012
6.2
4.9
5.9
3.9
Australia
France
Strategy
0.0
0.0
1.0
2.1
0.0
0.0
0.0
0.0
8.1
0.0
0.0
0.0
0.0
0.0
4.6
0.0
Strategy
0
-5
-10
-15
-20
-25
-30
65.0
68.1
-14.69
3.31
1.96
21.3
29.9
-4.47
-24.53
-26.03
Strategy
3.83
1.10
0.96
-0.06
18.41
Benchmark
0.00
1.00
1.00
-0.28
16.37
Strategy
Benchmark
14.1 x
14.1 x
Earnings/Share - F'cast LT Median Growth Rate
5.7 x
6.4 x
7.7 %
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard
Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of listed large and mid capitalization commodity
producers within the global developed and emerging markets. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.
Characteristics
$22.6
4.7 %
Sector
Energy
Energy
Energy
Energy
Energy
Benchmark

Benchmark
ITD
Strategy
Country
Russia
United Kingdom
France
Russia
China
-1.09
1YR
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
9.7 %
$41.5
3.8 %
% of Equity
5.1
4.9
4.9
4.9
4.8
24.6


(617) 330-7500 | www.gmo.com
GMO LLC 2015
-16.78
4.39
9.23
Consumer Staples
Energy
Financials
Health Care
Industrials
Materials
Utilities
Top Holdings2
Company
Gazprom OAO
BP PLC
Total S.A.
LukOil OAO
CNOOC Ltd.
Total
Benchmark
-0.79
-5.15
Benchmark
Risk Profile Since 12/31/11
Strategy
2.61
1.44
2Q 2015
YTD 2015
22
GMO Resources Strategy

June 30, 2015
Performance (%)
+2.92
+2.78
-0.79
Value Added
+3.58

(617) 330-7500 | www.gmo.com
GMO LLC 2015
23
GMO International All Country Equity Allocation Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)
100
Strategy
1.24
4.83
2Q 2015
YTD 2015
80
Benchmark
0.53
4.03
Europe Value, 48.8

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
60
Japan, 14.4
40
20

0
Emerging Equity
Cash

United Kingdom
14.5
14.4
Japan
France
6.9
7.4
6.4
Germany
Taiwan
Benchmark
7.82
5.73
5.48
7.33
5.60
-5

Strategy
0.80
0.98
0.97
0.54
15.54
Benchmark
0.00
1.00
1.00
0.50
15.54
Strategy
Benchmark
14.8 x
18.1 x
1.3 x
1.7 x
8.3 %
10.8 %
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
-10
$23.2
3.8 %
Sector
Energy
Energy
Energy
Consumer Disc.
Health Care
-5.26
-8.83
1YR
5YR
10YR
Strategy
Benchmark
ITD

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

by GMO, comprised of (i) GMO blended benchmark of International All Country
Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index
(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of International All Country Equity Allocation Composite is comprised
of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. MSCI data may not be reproduced or used for any other purpose.
MSCI provides no warranties, has not prepared or approved this report, and has
no liability hereunder.
$24.5
2.9 %
% of Equity
3.2
3.2
2.7
2.5
2.2
13.8


(617) 330-7500 | www.gmo.com
GMO LLC 2015
8.49
10
5
Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
AstraZeneca PLC
United Kingdom
Total
-3.88
15.47
16.90
-13.63
10.82
40.16
-45.26
16.08
26.94
16.71
16.3
10.7
5.2
2.8
Strategy
16.9
-6.21
16.71
16.82
-11.31
12.74
27.77
-40.96
17.39
25.91
19.03
24
GMO International All Country Equity Allocation Strategy

June 30, 2015
Performance (%)
Intl
+1.27
+1.14
MSCI ACWI ex USA
+0.53
Value Added
+0.62
Intl
EM
EM

(617) 330-7500 | www.gmo.com
GMO LLC 2015
25
GMO International Developed Equity Allocation Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)
100
Strategy
1.03
5.48
2Q 2015
YTD 2015
80
Europe Value, 64.7
60

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
40
Japan, 19.2
20
0
Emerging Equity
Cash

22.3
20.3
19.2
22.9
United Kingdom
Japan
France
9.7
9.9
8.9
Germany
Strategy
15
-4.90
22.78
17.32
-12.14
7.93
32.16
-43.33
11.58
26.62
14.41
9.54
5.64
8.12
6.29
5.30
Benchmark
0
-5
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Strategy
1.23
0.96
0.96
0.68
15.24
Benchmark
0.00
1.00
1.00
0.61
15.60
Strategy
Benchmark
15.8 x
19.1 x
1.3 x
1.7 x
-10

7.8 %
$28.5
3.7 %
Sector
Energy
Energy
Energy
Consumer Disc.
Health Care
-4.22
-9.01
1YR
5YR
10YR
Strategy
Benchmark
ITD

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

GMO, comprised of (i) GMO blended benchmark of International Developed Equity
Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe, Australasia,
and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter.
The GMO blended benchmark of International Developed Equity Allocation
Composite is comprised of a weighted average of account benchmarks; many of
the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East)
(MSCI Standard Index Series, net of withholding tax) or some like proxy for each
market exposure they have. For each underlying account benchmark, the
GMO and maintained on a monthly basis. MSCI data may not be reproduced or
used for any other purpose. MSCI provides no warranties, has not prepared or
approved this report, and has no liability hereunder.
10.6 %
$30.4
3.0 %
% of Equity
4.3
4.3
3.5
3.3
2.9
18.3


(617) 330-7500 | www.gmo.com
GMO LLC 2015
10.37
10
Top Holdings3
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
AstraZeneca PLC
United Kingdom
Total
-6.03
24.13
17.09
-9.45
10.58
19.84
-38.39
12.69
25.50
15.56
4.7
3.5
Spain
5-Year Risk Profile
14.2
Benchmark
0.62
5.52
26
GMO International Developed Equity Allocation Strategy

June 30, 2015
Performance (%)
Intl
EM
+1.22
+1.07
MSCI EAFE
+0.62
Value Added
+0.45
Intl
EM

(617) 330-7500 | www.gmo.com
GMO LLC 2015
27
GMO International Equity Strategy

June 30, 2015
STRATEGY PROFILE

100
Total Return (%)

2Q 2015
YTD 2015
80
60
Europe Value, 71.9

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
40
20
Japan, 21.3
0
Cash

24.8
20.3
21.3
22.9
United Kingdom
Japan
France
9.7
11.0
8.9
Germany
Spain
3.5
-4.90
22.78
17.32
-12.14
7.75
31.78
-43.38
11.17
26.34
13.54
Benchmark
MSCI EAFE +
0.62
5.52
-3.79
22.95
17.69
-12.17
3.25
34.23
-44.09
5.96
30.38
13.80
7.94
4.44 5.12 4.69
5.34
10YR
ITD
7.04
0
Strategy
0.03
0.95
0.97
0.57
15.82
Benchmark
0.00
1.00
1.00
0.58
16.42
Strategy
Benchmark
16.4 x
19.1 x
6.4 x
12.1 x
1.4 x
1.7 x
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
-5
-10
7.6 %
$30.4
3.7 %
1YR
5YR
MSCI EAFE
MSCI EAFE +

The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
published index comprised of international large and mid capitalization stocks. The
MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained
benchmark computed by GMO, comprised of (i) the MSCI EAFE (Europe,
Australasia, and Far East) Value Index (MSCI Standard Index Series, net of
withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia,
and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter.
MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability
hereunder.
10.6 %
$30.4
3.0 %
Sector
Energy
Energy
Energy
Consumer Disc.
Health Care
-4.22 -4.22
-8.99
Strategy
Characteristics
% of Equity
4.8
4.8
3.9
3.7
3.2
20.4


(617) 330-7500 | www.gmo.com
GMO LLC 2015
-5.96
25.62
12.98
-10.18
7.53
21.41
-40.31
10.21
25.78
13.98
9.15 9.54 9.59
10
Top Holdings
Company
Country
Total S.A.
France
Royal Dutch Shell
United Kingdom
BP PLC
United Kingdom
AstraZeneca PLC
United Kingdom
Total
MSCI EAFE
0.62
5.52

15
5.2
Strategy
5-Year Risk Profile
15.8
Strategy
0.83
5.23
28
GMO International Equity Strategy

June 30, 2015
Performance (%)
+1.21
+0.99
MSCI EAFE
+0.62
Value Added
+0.37

(617) 330-7500 | www.gmo.com
GMO LLC 2015
29
GMO International Active EAFE Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Region Weights (%)

3.0
Emerging
0.0
7.0
6.4
21.0
22.9
Japan
1.9
4.7
0.0
4.7
Strategy

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
19.8
20.3
United Kingdom
Benchmark

Under/Overweight vs. Benchmark
Consumer Disc.
0.6
Consumer Staples
-5.7
Energy
-0.7
Financials
7.0
Health Care
-3.7
Industrials
-4.3
Information Tech.
3.6
Materials
-6.4
Telecom. Services
8.1
Utilities
1.6
Strategy
13.8
5.2
4.5
33.2
7.5
8.3
8.3
1.0
13.0
5.2
Benchmark
13.2
10.9
5.2
26.2
11.2
12.6
4.7
7.4
4.9
3.6
15
Benchmark
0.00
1.00
1.00
0.61
15.60
Strategy
Benchmark
16.2 x
19.1 x
8.3 x
12.1 x
1.4 x
1.7 x
3.0 %
3.0 %
11.61
8.90
4.43
5.12
0
-10
-4.64
-4.22
1YR
5YR
10YR
Strategy
Benchmark
ITD

The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
published index comprised of international large and mid capitalization stocks.
MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability
hereunder.
Top Overweight Holdings

Company
Sumitomo Mitsui Financial Group Inc.
Mitsubishi Tokyo Financial Group Inc.
AstraZeneca PLC
Nippon Telegraph & Telephone Corp.
Vodafone Group PLC
Roche Holding AG
Zurich Financial Services AG
Asciano Group
Allianz AG Holding
Telecom Italia S.p.A.
-4.90
22.78
17.32
-12.14
7.75
31.78
-43.38
11.17
26.34
13.54
9.54
Characteristics
3.8
3.6
3.2
2.6
2.3
2.2
1.9
1.8
1.7
1.6

2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.

(617) 330-7500 | www.gmo.com
GMO LLC 2015
8.46
10
-5
Strategy
-1.18
1.01
0.98
0.53
15.97
-11.03
24.11
14.92
-11.65
5.01
25.53
-41.24
10.58
27.52
13.52

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Benchmark
0.62
5.52
43.1
45.2
Europe ex UK
Southeast Asia
Strategy
3.38
9.25
2Q 2015
YTD 2015
30
GMO International Active EAFE Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
31
GMO International Active Foreign Small Companies Strategy

June 30, 2015
STRATEGY PROFILE
Region Weights (%)

Canada
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
Total Return (%)
0.0
5.8
5.1
4.3
7.3
4.9
1.9
0.0
37.2
37.9
21.5
20.3
9.8
4.3
Strategy

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
20.1
19.5
Benchmark

Under/Overweight vs. Benchmark Strategy
Consumer Disc.
10.3
28.4
Consumer Staples
-3.4
2.3
Energy
0.8
3.6
Financials
25.1
3.1
Health Care
2.5
-5.3
18.4
Industrials
-2.4
6.8
Information Tech.
-2.0
10.0
Materials
0.2
2.1
Telecom. Services
0.5
0.7
Utilities
-1.6
Benchmark
18.1
5.7
2.8
22.0
7.8
20.8
8.8
9.8
1.6
2.3
Benchmark
0.00
1.00
1.00
0.75
16.02
15
11.49
-3.42
26.06
18.55
-14.49
21.96
45.07
-47.67
7.32
29.42
22.10
12.02
11.00
8.34
10
7.46
7.42
Strategy
Benchmark
17.8 x
21.8 x
11.5 x
13.6 x
1.5 x
1.7 x
2.4 %
2.3 %
-5
-10
-1.62
-5.76
1YR
5YR
10YR
Strategy
Benchmark
ITD

Characteristics
Top Overweight Holdings2

Company
Asciano Group
Mediaset S.p.A.
Faurecia S.A.
Telefonica Deutschland Holding AG
Filtrona PLC
Kaba Holding AG
Tyman Plc
Amplifon S.p.A.
Incitec Pivot Ltd.
Takara Leben Co. Ltd.
-9.53
28.92
21.64
-15.21
24.76
47.63
-45.91
8.00
36.24
18.91
0
Strategy
-0.14
0.97
0.97
0.73
15.70
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Benchmark
4.61
9.25
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and
widely published index comprised of the small capitalization stock component of
the S&P Broad Market Index (BMI). The BMI includes listed shares of companies
from developed and emerging countries with a total available market
capitalization (float) of at least the local equivalent of $100 million USD. The S&P
Developed ex-U.S. Small Cap Index represents the bottom 15% of available market
capitalization (float) of the BMI in each country.
1.6
1.6
1.4
1.4
1.4
1.3
1.3
1.3
1.3
1.3
S&P does not guarantee the accuracy, adequacy, completeness or availability of

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


(617) 330-7500 | www.gmo.com
GMO LLC 2015
Strategy
2.70
9.40
2Q 2015
YTD 2015
32
GMO International Active Foreign Small Companies Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
33
GMO U.S. Equity Allocation Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)

Strategy
-0.73
-0.16
100
2Q 2015
YTD 2015
80
60

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
U.S. Quality, 84.5
40
20
0
U.S. Equity
Cash

Consumer Staples
Energy
Financials
Health Care
Industrials
Materials
Utilities
9.8
12.8
17.5
9.1
8.8
7.9
2.5
16.6
20.0
15.5
8.8
10.1
19.7
1.3
3.1
0.0
2.3
0.0
2.8
Strategy
20
31.3
20.1 x
20.2 x
3.5 x
2.8 x
19.8 %
17.5 %
Strategy
1.61
0.81
0.91
1.52
10.31
6.45
10.24
8.05
3.85
5YR
10YR
Strategy
Benchmark
ITD

future performance. Returns are shown after the deduction of management
fees, transaction costs and other expenses, but before custody charges,
withholding taxes, and other indirect expenses. The returns assume the
reinvestment of dividends and other income.
The Russell 3000 +++ Index is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of U.S. Equity Allocation
Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended
benchmark of U.S. Equity Allocation Composite is comprised of a weighted average
of account benchmarks; many of the account benchmarks consist of S&P 500,
Russell 3000 or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly
basis. S&P does not guarantee the accuracy, adequacy, completeness or
availability of any data or information and is not responsible for any errors or
omissions from the use of such data or information. Reproduction of the data or
information in any form is prohibited except with the prior written permission of
S&P or its third party licensors. Russell Investment Group is the source and owner
of the trademarks, service marks and copyrights related to the Russell Indexes.
Russell is a trademark of Russell Investment Group.
$83.1
2.1 %
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Benchmark
0.00
1.00
1.00
1.43
12.16
Top Holdings3
Company
Sector
% of Equity
Johnson & Johnson
Health Care
4.8
Microsoft Corp.
4.3
Chevron Corp.
Energy
4.3
Apple Inc.
4.3
Amazon.com Inc.
4.2
Total
21.9

(617) 330-7500 | www.gmo.com
GMO LLC 2015
7.29
0
Benchmark
2.1 %
17.48
10.56
10
Strategy
$118.2
5-Year Risk Profile
15.71
1YR
12.76
32.85
16.21
1.58
16.26
27.46
-37.15
5.39
15.71
5.53
15
Characteristics
9.82
27.95
12.25
9.91
7.43
20.54
-27.87
2.25
9.93
3.68
Benchmark
Benchmark
0.14
1.94
34
GMO U.S. Equity Allocation Strategy

June 30, 2015
Performance (%)
-0.80
-0.68
S&P 500
+0.28
Value Added
-0.96

(617) 330-7500 | www.gmo.com
GMO LLC 2015
35
GMO Emerging Markets Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)

China
16.2
Taiwan
15.9
12.3
13.0
14.1
11.5
Korea
Brazil
Russia
6.8
3.5
26.1

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
11.4
Strategy
Benchmark
Under/Overweight vs. Benchmark Strategy Benchmark
9.7
10.2
Consumer Disc.
-0.5
2.3
7.9
Consumer Staples
-5.6
7.3
Energy
6.1 13.4
31
27.8
Financials
3.2
1.5
3.1
Health Care
-1.6
3
8.2
Industrials
-5.2
19.1
18.6
Information Tech.
0.5
4.1
7.3
Materials
-3.2
7.9
6.1
Telecom. Services
1.8
8.1
3.3
Utilities
4.8
1
5-Year Risk Profile
Strategy
Benchmark
-2.54
0.00
Alpha
1.02
1.00
Beta
0.97
1.00
R2
0.12
0.26
Sharpe Ratio
18.39
17.81
Std. Deviation
Characteristics
Strategy
Benchmark
10.1 x
16.0 x
6.8 x
11.2 x
1.1 x
1.5 x
Return on Equity - Hist 1 Yr Avg
13.2 %
10.3 %
$5.7
$6.7
Number of Equity Holdings
416
2,523

Top Ten Holdings2
Company
Samsung Electronics Co. Ltd.
HDFC Bank Ltd.
Surgutneftegaz
China Construction Bank Corp.
Industrial & Commercial Bank of China Ltd.
Bank of China Ltd.
Gazprom OAO
3.8 %
Benchmark
1.84
4.03
-5.92
-5.19
15.19
-16.95
20.20
71.89
-55.74
37.22
29.51
40.15
-1.12
-0.57
18.89
-19.03
20.64
81.03
-53.74
40.28
35.11
35.19

15
10
5
0
-5
-10
-15
2.23
4.69
6.16
9.09
7.18
5.79
-3.71
-9.18
1YR
5YR
10YR
Strategy
Benchmark
ITD

The S&P/IFCI Composite Index is an independently maintained and widely
published index comprised of emerging markets stocks. S&P does not guarantee
the accuracy, adequacy, completeness or availability of any data or information
and is not responsible for any errors or omissions from the use of such data or
information. Reproduction of the data or information in any form is prohibited
except with the prior written permission of S&P or its third party licensors.
2.5 %
% of Equity
4.5
4.3
3.9
2.9
2.8
2.2
2.0
Hon Hai Precision Industry Co. Ltd.

1.9
Hyundai Motor Co. Ltd.
1.7
LukOil OAO
1.6
Total
27.8

(617) 330-7500 | www.gmo.com
GMO LLC 2015
Strategy
1.09
1.31
2Q 2015
YTD 2015
36
GMO Emerging Markets Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
37
GMO Emerging Domestic Opportunities Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)

16.9
China
India
9.6
Thailand
2.3
United States
12.6

2014
2013
2012
2011
7.5
6.7
0.0
Strategy
Benchmark
Under/Overweight vs. Index
Strategy
13.5
Consumer Disc.
4.5
Consumer Staples
15.6 23.7
2.6
Energy
-5.8
28.2
Financials
-1.6
9.9
Health Care
7.4
6
Industrials
-0.9
4
Information Tech.
-13.9
2.9
Materials
-4.0
6.4
Telecom. Services
-0.9
2.9
Utilities
-0.4
Risk Profile Since 3/31/11 2
Strategy
5.62
Alpha
0.71
Beta
0.80
R2
0.31
Sharpe Ratio
13.95
Std. Deviation
Characteristics
Strategy
Index
9.0
8.1
8.4
29.8
2.5
6.9
17.9
6.9
7.3
3.3
Strategy
15.6 x
18.0 x
10.8 x
2.8 x
1.5 x
Return on Equity - Hist 1 Yr Avg
15.1 %
10.9 %
$3.9
$9.1
Number of Equity Holdings
127
838

Top Ten Holdings3
Company
Industrial & Commercial Bank of China Ltd.
HDFC Bank Ltd.
Unilever PLC
Abbott Laboratories
Colgate-Palmolive Co.
Anheuser-Busch InBev
TRUE Telecommunication Growth Infrastruc
2.4 %
2.6 %
-2.19
-2.60
18.22
-20.06
4.38
-1.77
ITD
Index

The Emerging Domestic Opportunities Strategy does not have a benchmark. The
Strategy has been compared to the MSCI Emerging Markets Index in an effort to
compare and contrast the Strategy versus a broad emerging markets index. The
MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax)
is an independently maintained and widely published index comprised of global
emerging markets large and mid capitalization stocks. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not
Index
22.0 x
Index
0.69
2.95
-0.30
3.80
24.33
-8.99

6
4
2
0
-2
-0.77
-4
-6
-5.12
1YR
Index
0.00
1.00
1.00
-0.10
17.55
% of Equity
3.4
3.1
2.9
2.9
2.8
2.5
2.0
Mega Financial Holding Co.

2.0
Maruti Udyog Ltd.
2.0
Baidu.com Inc.
1.7
Total
25.3
1 Weights are based on exposure, which will include the impact from hedges held,
if any.

(617) 330-7500 | www.gmo.com
GMO LLC 2015
Strategy
-1.24
2.45
2Q 2015
YTD 2015
13.4
7.7
Taiwan
24.8
38
GMO Emerging Domestic Opportunities Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
39
GMO Global Bond Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Global Rates Contribution to Active Duration

Australia
Denmark
Mexico
Sweden
Japan
Switzerland
United States
Eurozone
United Kingdom
0.7
0.4
0.3
0.0
-0.1
-0.2
-0.3

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-0.9
-1.1
Portfolio Overlay Currency Positions (%)1
DNK
0.08%
GBR
0.07%
AUS
-0.22%
JPN
-0.23%
CHE
-2.70%
EUR
21%
-10
8%
0%
3%
Strategy
2.75
1.06
0.86
0.71
5.78
Benchmark
0.00
1.00
1.00
0.25
5.06
Strategy
Maturity
6.1
0 %
7.4 Yrs.
All currency positions are versus USD

The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
the assetbacked portion of the portfolio, credit ratings are derived by using the
2

(617) 330-7500 | www.gmo.com
GMO LLC 2015
5.36
4.55
-7.46
5YR
10YR
Strategy
Benchmark
ITD
The J.P. Morgan GBI Global Index is an independently maintained and widely
published index comprised of government bonds of developed countries with
maturities of one year or more.
Characteristics
Emerging Cntry Debt Exp.
3.37

dividends and other income. Returns for one of the accounts in the composite are
based on estimated market values for the period from and including October 2008
through February 2009.
Modified Duration
-6.44
1YR
6%
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
3.59
1.35
-5
1%
Under B
0.67
-4.50
1.30
7.22
6.42
1.91
12.00
10.81
5.94
-6.53
61%
BB
4.17
AA
BBB
4.98
-2.56
6.36
8.30
14.14
20.30
-14.93
2.58
7.94
-5.84
10
Portfolio Rating Breakdown (%)2
Benchmark
-1.68
-3.43
-12.60%
AAA
Strategy
-2.07
-4.35
2Q 2015
YTD 2015
40
GMO Global Bond Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
41
GMO International Bond Strategy

June 30, 2015
STRATEGY PROFILE

Australia
-0.02
Japan
-0.04
United Kingdom

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-0.05
Eurozone
-0.06
-0.07

EUR
0.57%
JPN
-0.20%
GBR
Strategy
-2.38
-6.97
2Q 2015
YTD 2015
-0.03
Sweden
Denmark
Total Return (%)

Benchmark
-1.54
-5.56
1.30
-0.57
6.21
6.71
15.18
20.59
-13.95
3.66
9.33
-8.08
-2.53
-5.08
0.85
5.91
6.78
3.94
11.39
11.30
6.84
-9.24
-0.31%
10
Portfolio Rating Breakdown (%)
6.17
3.58
3.40
0.32
4.76
2.80
AAA
-5
28%
-10
AA
56%
-15
-13.38
-13.22
1YR
A
BBB
0%
10YR
Strategy
Benchmark
ITD
16%

Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Strategy
3.25
1.05
0.88
0.46
7.72
Benchmark
0.00
1.00
1.00
0.04
6.93
The J.P. Morgan GBI Global ex U.S. Index is an independently maintained and
widely published index comprised of non-U.S. government bonds with maturities
of one year or more.
Characteristics
Strategy
Modified Duration
7.9
Maturity
9.9 Yrs.

The credit ratings above may encompass emerging debt, developed rates, and
2

(617) 330-7500 | www.gmo.com
GMO LLC 2015
5YR
42
GMO International Bond Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
43
GMO Currency Hedged International Bond Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)

Australia
Denmark
Mexico
Canada
United States
Sweden
Switzerland
Eurozone
United Kingdom
0.6
0.3
0.3
0.0
-0.1
-0.1
-0.2

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-1.0
-1.1

GBR
0.51%
AUS
-0.19%
CHE
Strategy
-5.39
-2.41
2Q 2015
YTD 2015
Benchmark
-4.95
-1.31
16.59
0.14
11.34
7.97
11.70
18.81
-13.56
-4.00
2.45
7.25
13.10
0.65
8.07
6.10
3.71
2.90
9.22
3.42
1.79
6.54
-2.72%
EUR
-11.85%
10
AAA
42%
AA
A
28%
Below B
5.08
4.63
6.82
4.81
2
1YR
21%
6%
5YR
10YR
Strategy
Benchmark
ITD
0%
3%


Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
Strategy
1.44
1.08
0.83
1.32
5.17
Benchmark
0.00
1.00
1.00
1.15
4.36
The J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)+ is an internally maintained
benchmark computed by GMO, comprised of (i) the J.P. Morgan GBI Global ex U.S.
(Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S.
(Hedged) thereafter.
Characteristics
Strategy
Modified Duration
6.5
Maturity
8.3 Yrs.


(617) 330-7500 | www.gmo.com
GMO LLC 2015
5.18
BBB
5.32
0%
BB
7.85
6.91
44
GMO Currency Hedged International Bond Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
45
GMO Core Plus Bond Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Contribution to Duration
U.S. Treasuries
Government Related
Corporate
Securitized
Emerging Debt
2.0
2Q 2015
YTD 2015
0.5
1.7
1.4

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
0.2

Australia
0.6
Denmark
0.4
Mexico
0.3
Switzerland
-0.2
United States
-0.6
Eurozone
-0.8
United Kingdom
-1.0

0.30%
-0.18%
CHE
-11.95%

AAA
75%
BBB
1%
BB
B
Below B
5-Year Risk Profile
0%
4%
Strategy
1.88
1.29
0.75
1.48
4.14
Benchmark
0.00
1.00
1.00
1.18
2.79
Characteristics
Strategy
4.3
Maturity
5.7 Yrs.
1 All currency positions are versus USD

(617) 330-7500 | www.gmo.com
GMO LLC 2015
5.59
4.44
3.35
2.49
1.86
5YR
10YR
Strategy
Benchmark
ITD
The Barclays U.S. Aggregate Index is an independently maintained and widely

published index comprised of U.S. fixed rate debt issues having a maturity of at
least one year and rated investment grade or higher.
Modified Duration
5.89
4.44

6%
Alpha
Beta
R2
Sharpe Ratio
Std. Deviation
6.17
1YR
AA
1%
5.97
-2.03
4.22
7.84
6.54
5.93
5.24
6.97
4.33
2.43
12%
9.31
0.07
9.07
9.89
13.24
20.90
-18.00
-1.01
5.76
3.95
-2.71%
EUR
-1.68
-0.10
GBR
AUS
-2.01
-0.87
46
GMO Core Plus Bond Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
47
GMO Debt Opportunities Strategy

June 30, 2015
STRATEGY PROFILE
Total Return (%)
United States
98.8
United Kingdom
0.9
Chile
0.3
2Q 2015
YTD 2015
2014
2013
2012
2011
Risk Profile Since 10/31/11 1

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

8
Strategy
1.73
3.62
Strategy
0.58
1.21
Benchmark
0.10
0.20
4.35
5.76
11.90
0.16
0.35
0.40
0.82
0.12
6.32
6
4
-1.23
2.35
0.51
0.37
0
1YR
ITD
Strategy
Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

Benchmark

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

(617) 330-7500 | www.gmo.com
GMO LLC 2015
48
GMO Debt Opportunities Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
49
GMO Fixed Income Hedge Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Currency Exposure (%)

Net Exposure
UK
2Q 2015
YTD 2015
Australia

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-1
Switzerland
-18
Euro Area -83
Country Exposure (%)

Net Exposure
Australia
54
Denmark
Benchmark
0.10
0.20
22.28
-3.79
10.07
15.85
11.03
21.63
-25.45
-23.39
-4.61
1.45
0.35
0.40
0.82
0.44
0.45
1.45
4.12
5.70
5.25
1.32
33
Mexico

8
28
Switzerland
-12
U.S.
-13
Euro
U.K.
Strategy
-7.38
-12.90
-51
6.44
2.06
0.50
0.50
0.37
-80
-0.25
-2
1YR
5YR
Strategy
Performance Attribution (%)
ITD
Benchmark
Net Contribution
Yield Curve
5.5
Mortgage
0.0
Swaption Volatility
0.0
Cash
-1.1
Opportunistic
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and
widely published index comprised of three month U.S. dollar Euro-deposits. The
duration of the Index is generally 90 days.
-2.2
Cross Market
Currency Performance

-3.6
-6.1

Std. Deviation
Sharpe Ratio
Drawdown
(2/27/15-4/30/15)
Strategy
11.24
0.57
-20.37


(617) 330-7500 | www.gmo.com
GMO LLC 2015
50
GMO Fixed Income Hedge Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
51
GMO Mean Reversion Strategy

June 30, 2015
STRATEGY PROFILE
Equity Exposure (%): Vol Balanced Quality

Position
Absolute Weight
Total Return (%)
High Quality
2Q 2015
YTD 2015
64.0
S&P 500 ex. Fins
Int'l. Value

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
16.0
EM Value
9.0
S&P Mid
-10.0
Russell 2000
-15.7
Currency Hedge*
-17.0
Fixed Income & Inflation Exposure (%)1

Position
-4.73
-0.62
5.98
6.77
-8.61
-13.43
18.43
18.63
5.63
6.97
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

10
Absolute Weight
Euro Rates <10 Yr.
59.0
Australian Rates <5 Yr.

U.S. Rates 10 Yr.
Australian Rates
15.0
-5
13.0
-10
1.38
1.34
-0.23
-8.09
1YR
-29.0
Euro Rates >10 Yr.
0.06
0.02
-19.0
Japan Rates
2.25
19.0
U.S. Rates <2 Yr.
5.94
35.0
New Zealand Rates
5YR
10YR
Strategy
Benchmark
ITD
-59.0
Currency Exposure (%)

Position

Absolute Weight
Indian Rupee
19.0
Brazilian Real
2.0
Israeli Shekel
The Citigroup 3-Month Treasury Bill Index is an independently maintained and

widely published index comprised of short-term U.S. Treasury bills.
-10.0
Euro
-14.0
-19.0
Other Exposure (%)

Position
Absolute Weight
Credit Opportunies Fund
5.0

Std. Deviation
Sharpe Ratio
Drawdown
(5/31/13-6/30/15)
Strategy
5.34
-0.06
-13.28
Displayed in local 10-year equivalents

2

(617) 330-7500 | www.gmo.com
GMO LLC 2015
Benchmark
0.00
0.01
-64.0
Equity Exposure (%): Global Relative Value

Position
Absolute Weight
Commodity FX
Strategy
-0.81
-3.47
52
GMO Mean Reversion Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
53
GMO Systematic Global Macro Strategy

June 30, 2015
STRATEGY PROFILE
Equity Market Selection (%)

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

Net Weight
2Q 2015
YTD 2015
30.0
17.0
15.0
5.0
5.0
5.0
5.0
5.0
3.5
3.3

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-5.0
-5.0
-5.0
-8.0
70.8
Bond Market Selection (%)

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

8
1.2
Currency Selection (%)

Currency
Net Weight
4.74
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
7.14
6.54
4.71
1.36
1.34
26.0
0.02
0.06
10.0
1YR
-16.0
-20.0
5YR
10YR
Strategy
Benchmark
ITD
-53.0
Commodity Market Selection (%)

Commodity

Net Weight
0.5
-2.0
-2.5
-2.5
-2.5
-5.0
-5.0
-19.0

Std. Deviation
Sharpe Ratio
Drawdown
(5/29/15-6/30/15)
Strategy
6.72
0.69
-4.54


(617) 330-7500 | www.gmo.com
GMO LLC 2015
4.44
9.58
0.73
5.79
10.37
15.28
-3.88
15.06
8.39
4.63
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
Cocoa
Soybeans
Gasoline
Copper
Wheat
Gold
Corn
Net Commodity
Benchmark
0.00
0.01
50.0
1.2
U.S. Dollar *
Euro
British Pound
Australian Dollar
Net Cash **
Strategy
-4.30
1.70
54
GMO Systematic Global Macro Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
55
GMO Tactical Opportunities Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)
Region Weights (%)

Net Weight
Non US
US
2Q 2015
YTD 2015
22.2

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
-22.1

Net Weight
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Tech.
Materials
Telecom. Services
Utilities
-20.4
31.0
-12.4
-0.4
4.7
-4.3
22.5
-8.6
-1.4
-10.5
Long
6.3
34.5
0.0
0.0
31.4
10.7
44.5
1.4
3.0
0.0
Short
26.7
3.5
12.4
0.4
26.7
15.0
22.0
10.0
4.4
10.5
Strategy
-2.32
-9.72
Benchmark
0.00
0.01
-2.47
-9.65
-18.36
27.51
-25.31
-41.61
36.52
17.87
-1.65
-13.24
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00

1.40
1.34
0.06
0.02
-2
-4
-6

Strategy
15.30
-0.44
Std. Deviation
Sharpe Ratio
Drawdown
(9/30/11-6/30/15)
% Negative Earnings
-38.83
Long
Short
20.1 x
21.1 x
0.0 %
52.1 %
4.1 %
3.1 %
19.8 %
$116.7
0.6 x
1.4 x
132 %
132 %
2.3 %
1.3 %
10YR
Strategy
Benchmark
-7.00
ITD

6.8 %
% Long/Short
-6.77
5YR

$9.3
Debt/Equity Wtd Med


(617) 330-7500 | www.gmo.com
GMO LLC 2015
-6.62
1YR
Characteristics
Price/Earnings - Excl Neg Earnings Hist 1 Yr Wtd Med
-4.78
-8
56
GMO Tactical Opportunities Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
57
GMO Total Equities Strategy

June 30, 2015
STRATEGY PROFILE

Total Return (%)1
Strategy Exposure (%)1

Equities
85.0
Merger Arbitrage
Other
2Q 2015
YTD 2015
14.0
1.0
Total
Region Exposure (%)1
U.S.
66.0
34.0
Total
Benchmark
0.00
0.01
-2.71
17.49
8.64
0.40
3.51
-7.47
14.26
-5.37
-1.90
3.56
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
Annual Total Return (%)2

2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
100.0
Non-U.S.
Strategy
-0.39
2.89
100.0

1
Total exposure to downside equity moves, excluding effect of hedges and short
positions, as a percent of total net assets.
8
6
4
2
0
-2
-4
6.17
5.88
2.31
0.02
-3.45
1YR
1.65
1.34
0.06
5YR
10YR
Strategy
Benchmark
ITD


(617) 330-7500 | www.gmo.com
GMO LLC 2015
58
GMO Total Equities Strategy

June 30, 2015

(617) 330-7500 | www.gmo.com
GMO LLC 2015
59
Benchmarks and Indices

June 30, 2015
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or indexplus strategy. Actual composition of a strategys portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and
expenses. One cannot invest directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is shown in the
strategys prospectus. GMO may change a strategys benchmark from time to time.
Full Name
Description
Barclays U.S. Aggregate Index
The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate
debt issues having a maturity of at least one year and rated investment grade or higher.
Citigroup 3-Month T-Bill Index
The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of shortterm U.S. Treasury bills.
CPI Index
The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an
indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.
GMO Global Asset Allocation Index +
The GMO Global Asset Allocation Index + is an internally maintained benchmark computed by GMO, comprised of (i) GMO
blended benchmark of Global Asset Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset Allocation
(Blend) Index thereafter. The GMO blended benchmark of Global Asset Allocation Composite is comprised of a weighted
average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index
Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO
and maintained on a monthly basis. The GMO Global Asset Allocation (Blend) Index is an internally maintained benchmark
computed by GMO, comprised of 65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and 35% the
Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or
information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the
data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.
MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or
approved this report, and has no liability hereunder.
GMO Real Return Global Balanced Asset

Allocation Blended Index +
The GMO Real Return Global Balanced Asset Allocation Blended Index + is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of Real Return Global Balanced Asset Allocation Composite through
06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO blended benchmark of Real Return Global
Balanced Asset Allocation Composite is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting
of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. The
RRGBAL Blended Index is comprised of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax), 20%
Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill Index. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
GMO Tax-Managed Global Balanced Index
The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country
World Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data
may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
J.P. Morgan GBI Global
The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government
bonds of developed countries with maturities of one year or more.
J.P. Morgan GBI Global ex Japan ex U.S.

(Hedged) +
The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO,
comprised of (i) the J.P. Morgan GBI Global ex U.S. (Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan
ex U.S. (Hedged) thereafter.
J.P. Morgan GBI Global ex-U.S. Index
The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S.
government bonds with maturities of one year or more.
J.P. Morgan U.S. 3 Month Cash Index
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three
month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days.
MSCI ACWI
The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently
maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has
60

June 30, 2015
Full Name
Description
MSCI ACWI ++
The MSCI ACWI ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of Global All Country Equity Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global All Country
Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World Index) (MSCI Standard Index Series, net of withholding tax) or some like proxy for
each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly basis. The MSCI ACWI (All Country World)
Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index
comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose.
MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of listed large and mid capitalization commodity producers
within the global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI
provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI ACWI ex USA + Index
The MSCI ACWI ex USA + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of International All Country Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index
(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of International All Country
Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like
proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will
vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced
or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability
hereunder.
MSCI EAFE Index
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
MSCI EAFE + Index
The MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained benchmark computed by GMO,
comprised of (i) the MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of
withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index
Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides
no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI EAFE ++ Index
The MSCI EAFE ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of International Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe,
Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of International Developed Equity Allocation Composite is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East) (MSCI Standard Index
Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on
a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not
MSCI Emerging Markets Index
The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and
widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has
MSCI World + Index
The MSCI World + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of Global Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI Standard
Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global Developed Equity Allocation
Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI
World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each
and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
61

June 30, 2015
Full Name
Description
Russell 3000 +++ Index
The Russell 3000 +++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended
benchmark of U.S. Equity Allocation Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended
benchmark of U.S. Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each
and maintained on a monthly basis. S&P does not guarantee the accuracy, adequacy, completeness or availability of any
data or information and is not responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third
party licensors. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to
the Russell Indexes. Russell is a trademark of Russell Investment Group.
S&P 500 Index
The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks.
S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in
any form is prohibited except with the prior written permission of S&P or its third party licensors.
S&P Developed ex-U.S. Small Cap Index
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the
small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies
from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of
$100 million USD. The S&P Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization
(float) of the BMI in each country.
S&P/IFCI Composite Index
The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets
stocks. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not
responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in
any form is prohibited except with the prior written permission of S&P or its third party licensors.
62

2q 2015 Gmo Quarterly Update 2

Transféré par

Informations du document

Copyright

Formats disponibles

Partager ce document

Partager ou intégrer le document

Options de partage

Avez-vous trouvé ce document utile ?

Ce contenu est-il inapproprié ?

Droits d'auteur :

Formats disponibles

2q 2015 Gmo Quarterly Update 2

Transféré par

Droits d'auteur :

Formats disponibles

GMO Quarterly Update June 30, 2015

40 Rowes Wharf | Boston, Massachusetts 02110

GMO Multi-Asset Class

GMO Global Equities

GMO International Equities

GMO U.S. Equities

GMO Emerging Equities

GMO Fixed Income

GMO Absolute Return

Performance of GMO Strategies and Benchmarks

Total Return Net of Fees

Average Annual Total Return

GMO Multi-Asset Class Strategies

Global Allocation Absolute Return

Global Asset Allocation

Real Return Global Balanced Asset Allocation

Tax-Managed Global Balanced

GMO Global Equity Strategies

Global Developed Equity Allocation

Global Focused Equity

GMO International Equity Strategies

International Developed Equity Allocation

International Active EAFE

Int'l. Active Foreign Small Companies

GMO U.S. Equity Strategies

Performance of GMO Strategies and Benchmarks

GMO Emerging Equity Strategies

Emerging Domestic Opportunities

GMO Fixed Income Strategies

Total Return Net of Fees

Average Annual Total Return

Currency Hedged International Bond

Core Plus Bond

GMO Absolute Return Strategies

Systematic Global Macro

GMO Benchmark-Free Allocation Strategy

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

U.S. Quality, 6.2

Equity Regional Weights (%)

Market Cap - Weighted Median $Bil

Performance data quoted represents past performance and is not predictive of

Return on Equity - Hist 1 Yr Med

40 Rowes Wharf | Boston, Massachusetts 02110

Annualized Return (%)

5-Year Risk Profile

GMO Benchmark-Free Allocation Strategy

Gross of Fees, USD (Rep Account)

CPI Index (prelim through most recent month-end)

40 Rowes Wharf | Boston, Massachusetts 02110

GMO Global Allocation Absolute Return Strategy

PERFORMANCE NET OF FEES

Group Exposures (%)1

Total Return (%)

Annual Total Return (%)

Equity Regional Weights (%)

Annualized Return (%)

Price/Earnings - Hist 1 Yr Wtd Median

Market Cap - Weighted Median $Bil

40 Rowes Wharf | Boston, Massachusetts 02110

Performance data quoted represents past performance and is not predictive of

Return on Equity - Hist 1 Yr Med

5-Year Risk Profile