GMO Quarterly Update Q2 2014
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Transcript of GMO Quarterly Update Q2 2014
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8/12/2019 GMO Quarterly Update Q2 2014
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GMO offers institutionally-oriented global investment strategies. For client inquiries, please contact your Client RelationshipManager. For new business inquiries, please contact your Relationship Manager or Holly Carson at (617) 346-7501 [email protected]
This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.
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GMO Capabilit ies
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included inthis document. For information please contact GMO.
GMO Multi-Asset Class Page
Benchmark-Free Allocation 4
Global Allocation Absolute Return 6
Global Asset Allocation 8
Real Return Global Balanced Asset Allocation 10
Tax-Managed Global Balanced 12
GMO Global Equities Page
Global All Country Equity All ocation 14
Global Developed Equity Allocation 16
Global Focused Equity 18
Quality 20
Resources 22
GMO International Equities Page
International All Country Equity Allocation 24
International Developed Equity All ocation 26
Tax-Managed International Equi ties*
International Equity 28
International Active EAFE 30
International Active Foreign Small Companies 32
International Small Companies*
GMO U.S. Equities Page
U.S. Equity Allocation 34
GMO Emerging Equities Page
Emerging Markets 36
Emerging Countries*
Emerging Domestic Opportunities 38
GMO Fixed Income Page
Global Bond 40
International Bond 42
Currency Hedged International Bond 44
Core Plus Bond 46
Emerging Country Debt*
Emerging Country Local Debt*
Debt Opportunities 48
GMO Absolute Return Page
Emerging Country Debt Long/Short*
Fixed Income Hedge 50
Mean Reversion 52
Systematic Global Macr o 54
Tactical Opportunities 56
Total Equities 58
Multi-Strategy*
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2014 Performance of GMO Strategies and Benchmarks
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction ofmanagement fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assumethe reinvestment of dividends and other income.
Copyright 2014 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by anymeans, without written permission from GMO.
otal Return Net of Fees Average Annual Total Return
GMO Multi-Asset Class Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
Benchmark-Free Allocation 7/31/01 3.43 4.69 3.36 11.83 9.39 9.33 11.28
CPI 0.87 1.33 2.04 2.08 2.30 2.29
Global Allocation Absolute Return 7/31/01 3.22 4.42 3.10 10.97 8.28 8.39 9.85CPI 0.87 1.33 2.04 2.08 2.30 2.29
Global Asset Allocation 6/30/88 3.70 5.47 0.02 14.81 10.86 7.59 9.96
Blended Benchmark 3.99 5.45 16.25 11.23 6.40 8.31
Real Return Global Balanced Asset Alloc. 6/30/04 3.26 5.25 0.72 13.91 9.79 7.62 7.62
Blended Benchmark 3.31 4.53 14.96 10.08 5.95 5.95
Tax-Managed Global Balanced 12/31/02 2.92 4.61 -0.85 13.40 8.92 6.90 8.12
GMO Tax-Managed Global Balanced Index 3.89 5.46 15.71 10.93 6.33 7.48
GMO Global Equities Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
Global All Country Equity Allocation 12/31/93 4.91 7.06 0.87 22.57 14.13 8.79 9.58
Blended Benchmark 5.04 6.19 23.10 14.62 7.35 7.73
Global Developed Equity Allocation 3/31/87 4.79 7.58 1.40 24.57 14.87 8.44 9.79
Blended Benchmark 4.86 6.18 24.05 15.00 7.13 7.64
Global Focused Equity 12/31/11 5.38 6.15 -0.03 32.21 N/A N/A 22.72
MSCI ACWI 5.04 6.18 22.95 N/A N/A 18.05
Quality 2/29/04 3.69 5.77 -1.36 17.59 15.85 6.89 6.71
S&P 500 5.23 7.14 24.61 18.83 7.78 7.54
Resources 12/31/11 10.58 11.86 2.47 29.14 N/A N/A 10.22
MSCI ACWI Commodity Producers 9.28 9.39 24.97 N/A N/A 5.83
GMO International Equities Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
International All Country Equity Alloc. 2/28/94 5.91 7.89 2.35 26.40 12.16 8.72 8.20
Blended Benchmark 5.01 5.54 21.78 11.07 7.69 6.17
Inter national Devel oped Equity Al location 11/30/91 5.54 9.02 4.24 30.16 13.28 8.31 8.96
Blended Benchmark 4.09 4.78 23.57 11.82 7.20 6.79
International Equity 3/31/87 5.22 8.73 2.72 32.01 11.75 7.07 8.62
MSCI EAFE + 4.73 6.01 26.86 11.24 6.71 7.48
MSCI EAFE 4.09 4.78 23.57 11.77 6.93 6.18
International Active EAFE 5/31/81 2.99 1.93 -2.85 21.97 10.39 6.34 12.15
MSCI EAFE 4.09 4.78 23.57 11.77 6.93 9.32
Int'l. Active Foreign Small Companies 1/31/95 1.90 5.02 -2.22 25.85 17.31 11.13 11.94
S&P Developed ex-U.S. Small Cap 3.40 7.24 29.95 15.47 9.64 7.90
GMO U.S. Equities Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
U.S. Equity Allocation 2/28/89 3.34 5.53 -1.60 18.05 16.46 6.90 10.83
Blended Benchmark 5.23 7.14 24.86 19.15 8.05 10.36
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2014 Performance of GMO Strategies and Benchmarks
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction ofmanagement fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assumethe reinvestment of dividends and other income.
* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
otal Return Net of Fees Average Annual Total Return
GMO Emerging Equities Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
Emerging Markets 12/31/93 8.13 4.95 -1.87 13.39 8.51 11.07 8.05
S&P/IFCI Composite 7.51 6.82 16.00 10.14 12.91 6.28
MSCI Emerging Markets 6.60 6 .14 14.31 9.24 11.94 5 .66Emerging Domestic Opportunities 3/31/11 5.60 2.94 -3.20 5.56 N/A N/A 6.01
MSCI Emerging Markets 6.60 6.14 14.31 N/A N/A -0.71
GMO Fixed Income Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
Global Bond* 12/31/95 3.07 7.33 2.28 8.97 9.22 5.20 6.04
J.P. Morgan GBI Global 2.28 5.05 6.50 3.80 4.96 5.24
International Bond 12/31/93 3.43 8.80 2.73 12.88 9.91 5.92 7.23
J.P. Morgan GBI Global ex U.S. 2.68 6.07 8.92 3.80 5.06 5.72
Currency Hedged Int'l. Bond 9/30/94 3.00 8.03 1.91 8.81 9.88 5.37 7.98
J.P. Morgan GBI Global 2.62 6.12 7.56 5.46 5.38 6.91
ex-Japan ex U.S. (Hedged) +Core Plus Bond 4/30/97 2.59 5.74 1.81 6.44 9.90 5.06 6.10
Barclays U.S. Aggregate 2.04 3.93 4.37 4.85 4.93 5.81
Debt Opportunities 10/31/11 1.70 3.19 3.02 6.08 N/A N/A 7.84
J.P. Morgan U.S. 3 Month Cash 0.08 0.17 0.36 N/A N/A 0.57
GMO Absolute Return Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
Fixed Income Hedge 8/31/05 1.40 5.99 5.81 2.51 8.96 N/A -0.34
J.P. Morgan U.S. 3 Month Cash 0.08 0.17 0.36 0.53 N/A 2.26
Mean Reversion 2/28/02 -0.84 0.06 0.04 -4.29 0.30 4.49 7.17
Citigroup 3-Mo. T-Bill 0.01 0.02 0.04 0.08 1.54 1.49
Systematic Global Macro 3/31/02 -0.67 1.41 1.39 4.79 7.11 6.71 7.34
Citigroup 3-Mo. T-Bill 0.01 0.02 0.04 0.08 1.54 1.49
Tactical Opportunities 9/30/04 -5.01 -7.51 -7.53 -14.93 -12.25 N/A -7.22
Citigroup 3-Mo. T-Bill 0.01 0.02 0.04 0.08 N/A 1.55
Total Equities 9/30/00 2.53 3.68 3.66 17.12 6.87 3.54 6.59
Citigroup 3-Mo. T-Bill 0.01 0.02 0.04 0.08 1.54 1.77
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As of June 30, 2014
GMO 2014
GMO Benchmark-Free Allocation StrategyInception: 7/31/01; Benchmark: Consumer Price Index
1Performance 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 andother income.
The chart above shows the past performance of the Benchmark-Free Allocation Composite (the Composite). Prior to January 1, 2012, the accounts in the Compositeserved 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.
2The 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 (orinflation) paid by urban consumers for a representative basket of goods and services.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Std. 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.
Performance Net of Fees1
5-Year Risk Profi le5
Bond Portfolio4
Equity Regional Weights (%)4Group Exposures (%)3,4
Equity Characteristics4
Other Equity
Absolute Return
CashU.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
StrategyPrice/Earnings - Hist 1 Yr Wtd Med 15.5 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x
Return on Equity - Hist 1 Yr Med 11.1 %
Market Cap - Weighted Median $Bil $40.1
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 %
20.8
27.8
7.5
1.5
8.2
34.3
0 10 20 30 40
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy
Bond Portfolio Duration 5.6 years
Credit Ratings
AAA 3.3% BB 10.5%
AA 40.5% B 6.4%A 5.8%
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As of June 30, 2014
GMO 2014
GMO Global Allocation Absolute Return StrategyInception: 7/31/01; Benchmark: Consumer Price Index
1Performance 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 andother income.
2The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consistof 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 eachunderlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCIdata 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.
3The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
4Std. 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 negativecumulative portfolio return from peak to trough. Risk profile data is net.
Performance Net of Fees1
5-Year Risk Profi le5
Bond Portfolio4
Equity Regional Weights (%)4Group Exposures (%)3,4
Equity Characteristics4
Other Equity
Absolute Return
CashU.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
StrategyStd. Deviation 5.28
Sharpe Ratio 1.55
Drawdown
(3/31/10-6/30/10) -4.95
20.6
27.7
7.6
1.6
8.2
34.4
0 10 20 30 40
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy
StrategyPrice/Earnings - Hist 1 Yr Wtd Med 15.5 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x
Return on Equity - Hist 1 Yr Med 11.0 %
Market Cap - Weighted Median $Bil $41.3
Dividend Yield - Hist 1 Yr Wtd Avg 3.2 %
Bond Portfolio Duration 2.4 years
Credit Ratings
AAA 1.4% BB 5.0%
AA 72.3% B 3.2%A 2.6%
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As of June 30, 2014
GMO 2014
Quarterly Strategy Attribut ion
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 andother income.
GMO Global Allocation Absolute Return StrategyInception: 7/31/01; Benchmark: Consumer Price Index
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As of June 30, 2014
GMO 2014
GMO Global Asset Allocation StrategyInception: 6/30/88; Benchmark: GMO Global Asset Allocation Index
Performance Net of Fees1
1Performance 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 andother income.
2The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consistof 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 eachunderlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCIdata 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.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.
Performance Net of Fees1
5-Year Risk Profi le5
Bond Portfolio4
Equity Regional Weights (%)4Group Exposures (%)3,4
Equity Characteristics4
Other Equity
Absolute Return
CashU.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 3.70 5.47 14.81 10.86 7.59 9.96Benchmark
23.99 5.45 16.25 11.23 6.40 8.31
Annu al Tota l Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 13.55 9.06 12.30 7.94 -20.83 24.15 7.93 2.13 11.11 12.38
Benchmark 10. 26 5. 99 13.41 9 .26 -27. 72 24. 14 11.05 -1 .80 12. 13 13. 60
St r at eg y B en ch ma rkAlpha 1.45 0.00
Beta 0.84 1.00
R2
0.95 1.00
Sharpe Ratio 1.31 1.17
Std. Deviation 8.22 9.57
15.8
31.4
8.6
1.8
9.3
33.1
10.9
16.8
7.4
8.3
7.8
48.9
0 20 40 60
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy Benchmark
St r at eg y Ben ch ma rkPrice/Earnings - Hist 1 Yr Wtd Med 15.5 x 18.4 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 x
Return on Equity - Hist 1 Yr Med 11.0 % 14.3 %
Market Cap - Weighted Median $Bil $41.3 $40.0
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.5 %
Bond Portfolio Duration 2.4 years
Credit Ratings
AAA 1.8% BB 5.6%
AA 68.1% B 3.3%A 3.2%
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As of June 30, 2014
GMO 2014
Quarterly Strategy Attribut ion
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 andother income.
GMO Global Asset Allocation StrategyInception: 6/30/88; Benchmark: GMO Global Asset Allocation Index
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As of June 30, 2014
GMO 2014
GMO Real Return Global Balanced Asset Allocation StrategyInception: 6/30/04; Benchmark: Blended Benchmark
1Performance 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 andother income.
2The GMO blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks 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 eachmarket exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO andmaintained 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 thisreport, and has no liability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.
Performance Net of Fees1
5-Year Risk Profi le5
Bond Portfolio4
Equity Regional Weights (%)4Group Exposures (%)3,4
Equity Characteristics4
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 3.26 5.25 13.91 9.79 7.62 7.62Benchmark 2 3.31 4.53 14.96 10.08 5.95 5.95
Annu al Tota l Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 10.11 8.09 13.26 7.63 -11.36 13.02 5.00 3.16 10.65 13.68
Benchmark 7.45 6.82 13.69 7.87 - 25.17 19.17 8.94 -1.76 10.42 14.95
St r at eg y B en ch ma rkAlpha 1.87 0.00
Beta 0.78 1.00
R2
0.90 1.00
Sharpe Ratio 1.33 1.13
Std. Deviation 7.29 8.82
Other Equity
Absolute Return
CashU.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
0
20
40
60
80
100 U.S. Quality, 11.9
Europe Value, 19.0
Other Int'l. Opportunistic Value, 1.1
Emerging Markets, 7.3
Cash & Cash Equiv., 1.0
Debt Opportunities, 2.8
Asset Allocation Bond, 15.0
Risk Premium, 2.2
Japan, 4.0
U.S. Opportunistic Value, 3.6
Multi Strategy, 29.0
Emerging Country Debt, 3.1
15.7
31.3
8.6
1.8
9.2
33.4
0.0
18.9
8.3
9.3
8.8
54.8
0 20 40 60
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy Benchmark
St r at eg y Ben ch ma rkPrice/Earnings - Hist 1 Yr Wtd Med 15.5 x 18.7 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 2.2 x
Return on Equity - Hist 1 Yr Med 11.0 % 14.5 %
Market Cap - Weighted Median $Bil $42.0 $46.2
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.4 %
Bond Portfolio Duration 2.5 years
Credit Ratings
AAA 1.3% BB 5.1%
AA 73.0% B 3.3%A 2.4%
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As of June 30, 2014
GMO 2014
Quarterly Strategy Attribut ion
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 andother income.
GMO Real Return Global Balanced Asset Allocation StrategyInception: 6/30/04; Benchmark: Blended Benchmark
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As of June 30, 2014
GMO 2014
GMO Tax-Managed Global Balanced StrategyInception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
1Performance 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 andother income.
2The GMO Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standardIndex 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.3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.
Performance Net of Fees1
5-Year Risk Profi le5
Equity Regional Weights (%)4Group Exposures (%)3,4
Equity Characteristics4
Other Equity
Absolute Return
CashU.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 2.92 4.61 13.40 8.92 6.90 8.12Benchmark
23.89 5.46 15.71 10.93 6.33 7.48
Annu al Tota l Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 12.73 9.91 12.08 7.16 -14.95 14.29 6.88 1.34 9.71 10.86
Benchmark 10.02 5.91 12.95 7 .12 - 25.89 23.90 9.99 -0 .27 11.47 12.7 8
St r at eg y B en ch ma rkAlpha -0.02 0.00
Beta 0.82 1.00
R2
0.96 1.00
Sharpe Ratio 1.18 1.21
Std. Deviation 7.50 9.00
0
20
40
60
80
100 U.S. Quality, 13.1
Europe Value, 19.9
Other Int'l. Opportunistic Value, 1.2
Emerging Markets, 7.1
Cash & Cash Equiv., 2.8
Municipal Bonds, 32.0
Emerging Country Debt, 2.3Risk Premium, 2.1
Japan, 3.5
U.S. Opportunistic Value, 2.6
Multi-Strategy, 13.3
U.S. Small, 0.115.2
31.9
7.3
2.3
10.1
33.2
10.9
16.8
7.4
8.3
7.8
48.9
0 20 40 60
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy Benchmark
St r at eg y Ben ch ma rkPrice/Earnings - Hist 1 Yr Wtd Med 16.0 x 16.0 x
Price/Cash Flow - Hist 1 Yr Wtd Med 1.7 x 1.7 x
Price/Book - Hist 1 Yr Wtd Avg 1.7 x 1.7 x
Return on Equity - Hist 1 Yr Med 13.1 % 13.1 %
Market Cap - Weighted Median $Bil $41.3 $41.3
Dividend Yield - Hist 1 Yr Wtd Avg 3.0 % 3.0 %
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As of June 30, 2014
GMO 2014
Quarterly Strategy Attribut ion
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 andother income.
GMO Tax-Managed Global Balanced StrategyInception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
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As of June 30, 2014
GMO 2014
5-Year Risk Profi le5
Top Holdings4,6
Top Country Weights (%)4Group Exposures (%)3,4
Characteristics4
Performance Net of Fees1
GMO Global All Country Equity Allocation StrategyInception: 12/31/93; Benchmark: MSCI All Country World Index
1Performance 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 andother income.
2The GMO blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure theyhave. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on amonthly 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 noliability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 4.91 7.06 22.57 14.13 8.79 9.58Benchmark 2 5.04 6.19 23.10 14.62 7.35 7.73
An nu al To ta l Return (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.62 12.51 18.87 11.12 -31.41 24.19 10.12 -1.29 14.74 21.33
Benchmark 14.86 9.95 20.34 10.38 -41.82 34.45 12.94 -6.87 16.34 23.46
St ra teg y B en ch ma r k
Alpha 1.29 0.00
Beta 0.88 1.00
R2
0.97 1.00
Sharpe Ratio 1.06 0.98
Std. Deviation 13.25 14.83
0
20
40
60
80
100
U.S. Quality, 26.8
Europe Value, 39.3
Other Int'l. Opportunistic Value, 2.2Emerging Markets, 12.8Cash & Cash Equiv., 2.3
Japan, 8.4
U.S. Opportunistic Value, 8.2
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 15.6 x 18.4 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 x
Return on Equity - Hist 1 Yr Med 11.2 % 14.3 %
Market Cap - Weighted Median $Bil $46.6 $40.0
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.5 %
ompany oun ry ec or o qu y
Total S.A. France Energy 2.8
Royal Dutch Shell PLC United Kingdom Energy 2.4
Oracle Corp. United States Information Technology 1.9
BP PLC United Kingdom Energy 1.9
Philip Morris International United States Consumer Staples 1.8
Total 10.8
35.4
9.7
9.0
8.3
8.2
48.9
3.7
7.8
7.4
3.4
0 20 40 60
United States
France
United Kingdom
Japan
Germany
Strategy Benchmark
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Quarterly Strategy Attribut ion
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 andother income.
GMO Global All Country Equity Allocation StrategyInception: 12/31/93; Benchmark: MSCI All Country World Index
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5-Year Risk Profi le5
Top Holdings4,6
Top Country Weights (%)4Group Exposures (%)3,4
Characteristics4
Performance Net of Fees1
1Performance 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 andother income.
2 The GMO blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlyingaccount 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 maynot be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
GMO Global Developed Equity Allocation StrategyInception: 3/31/87; Benchmark: MSCI World Index
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 4.79 7.58 24.57 14.87 8.44 9.79Benchmark 2 4.86 6.18 24.05 15.00 7.13 7.64
An nu al To ta l Return (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.36 12.26 20.22 9.69 -33.19 20.55 9.25 -0.40 14.14 25.82
Benchmark 13.64 9.42 20.05 9.02 -40.70 29.97 11.77 -5.52 15.84 26.68
St ra teg y B en ch ma r k
Alpha 1.51 0.00
Beta 0.89 1.00
R2
0.97 1.00
Sharpe Ratio 1.12 1.02
Std. Deviation 13.19 14.58
0
20
40
60
80
100
U.S. Quality, 26.6
Europe Value, 42.0
Other Int'l. Opportunistic Value, 2.4Emerging Markets, 9.6Cash & Cash Equiv., 2.3
Japan, 9.0
U.S. Opportunistic Value, 8.2
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 15.7 x 18.7 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 2.2 x
Return on Equity - Hist 1 Yr Med 11.1 % 14.5 %
Market Cap - Weighted Median $Bil $46.7 $46.2
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.4 %
Company Country Sector % of Equi ty
Total S.A. France Energy 3.0
Royal Dutch Shell PLC United Kingdom Energy 2.5
BP PLC United Kingdom Energy 2.0
Oracle Corp. United States Information Technology 1.9
Philip Morris International United States Consumer Staples 1.8
Total 11.2
35.1
10.4
9.6
8.9
8.8
54.8
4.1
8.8
8.3
3.8
0 20 40 60
United States
France
United Kingdom
Japan
Germany
Strategy Benchmark
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Quarterly Strategy Attribut ion
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 andother income.
GMO Global Developed Equity Allocation StrategyInception: 3/31/87; Benchmark: MSCI World Index
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GMO Global Focused Equity StrategyInception: 12/31/11
Performance Net of Fees1 Top Ten Holdings2,5
Sector Weights5
GICS Sectors
Region Weights 5
1Performance 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 andother income.
2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The 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 anindependently maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any otherpurpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4Alpha 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.
5The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
Risk Profile Since 12/31/114 Characteristics5
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 5.38 6.15 32.21 N/A N/A 22.72Benchmark 3 5.04 6.18 22.95 N/A N/A 18.05
An nu al To ta l Retur n (%)
2012 2013
Str ategy 19.71 31.29
Benchmark 16.13 22.80
St ra teg y Ben ch ma rk
Alpha 0.35 0.00
Beta 1.24 1.00
R2 0.85 1.00Sharpe Ratio 1.56 1.67
Std. Deviation 14.54 10.81
Samsung Elect ronics Co. 3 .6%
ITT Corp 2.3%
Comcast Corp. 2.3%
China Unicom Ltd. 2.3%
TriMas Corp. 2.3%
National-Oilwell Inc. 2.2%
Methanex Corp. 2.2%
Capital Product Partners LP 2.2%
MagnaChip Semiconductor 2.2%
KapStone Paper & Pack. 2.2%
Total 23.8%
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 16.0 x 18.4 x
Pri ce/Cash Flow- Hist 1 Yr Wtd Med 11.0 x 12.8 x
Price/Book - Hist 1 Yr Wtd Avg 1.7 x 2.1 x
Dividend Yield - Hist 1 Yr Wtd Avg 1.9 % 2.5 %
Underweight/Overweighteg on ga ns enc mar
Australia/New Zealand
Canada
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
United States
Cash + Unrealized G/L
2.2
0.0
-0.2
-1.0
-0.2
0.6
-1.0
-3.3
2.6
-4 -2 0 2 4
Underweight/Overweightec or ga ns enc mar ra egy enc mar
Consumer Discretionary 15.7 % 11.6 %Consumer Staples 1.7 9.6Energy 14.3 10.2Financials 17.0 21.3Health Care 8.1 10.6Industrials 11.8 10.7Information Technology 15.4 12.8Materials 11.7 6.1Telecom. Serv ices 2.3 3.8Utilities 1.9 3.4-1.5
-1.5
5.6
2.6
1.1
-2.5
-4.3
4.1
-7.9
4.1
-10 -5 0 5 10
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GMO 2014
Quarterly Strategy Attribut ion
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 andother income.
GMO Global Focused Equity StrategyInception: 12/31/11
The Global Focused Equity Strategy rose 5.4% net of fees for the quarter. The strategys reference benchmark, MSCI All CountryWorld index gained 5.0%.
Large positive contributions came from holdings in Suncor Energy in Canada and American Airlines in the United States. Suncor,Canada's largest oil and gas company, outperformed over the quarter as the oil price rose. Concerns about increasing violence in Iraq
have boosted the Energy sector as the higher oil price has increased profits and shipment bottlenecks for the Canadian companieshave been addressed. American Airlines (AAL) continues to be a significant beneficiary of industry-wide improvements. In particular,higher load factors, better base and ancillary pricing, and capacity discipline all drive margin expansion and earnings growth in theintermediate term. As the last legacy airline to merge, AAL has company-specific catalysts, including cost synergies and re-fleeting fuelinefficient aircraft, but also has committed to announcing a plan for reducing elevated cash levels through a significant sharerepurchase plan.
The largest detractors from performance were Topps Tiles in the United Kingdom and United Continental in the United States.Topps Tiles fell due to investors selling interest-rate-sensitive stocks in anticipation of imminent rate rises as U.K. economic datacontinued to surprise on the upside. We view the de-rating as significantly overdone and think the market is underestimating therecovery potential in stocks such as Topps given the depths of the recent recession. As a consequence, we recently added to theposition. For United, despite poor execution in the wake of its merger with Continental Airlines, the company still offers the mostrobust earnings recovery in the industry, as it is poised to nearly double earnings from 2014 to 2016. It is true that it has squandered
favorable industry conditions, and though it has the same revenue base as Delta, it is half as profitable. We believe that UnitedContinental is poised to close this margin gap in the coming years. The company has announced over $2 billion of internal costopportunities that it will complete in the next three years. It has significant opportunities to improve its yield management results aswell as its route optimization and scheduling system. The severe weather in the first quarter and subsequent earnings miss causedinvestors to lose confidence in this management team, but we believe that the stock offers significant upside with any earningsrecovery.
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GMO Quality StrategyInception: 2/29/04; Benchmark: S&P 500 Index
GICS Sectors
5-Year Risk Profi le4
Top Holdings3,5
Sector Weights (%)3Region Weights (%)3
Characteristics3
Performance Net of Fees1
1Performance 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 andother income.
2The 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 accuracyadequacy, 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.
3The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
4Alpha 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.
5Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
An nu al To ta l Return (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 3.54 -0.79 12.69 6.04 -24.08 19.89 5.48 11.84 11.81 25.47
Benchmark 7.39 4.91 15.80 5.49 -37.00 26.46 15.06 2.11 16.00 32.39
St ra teg y B en ch ma r k
Alpha 1.33 0.00
Beta 0.77 1.00
R2
0.86 1.00
Sharpe Ratio 1.43 1.41
Std. Deviation 11.01 13.29
10.2
88.8
1.0
0.0
100.0
0.0
0 20 40 60 80 100
Non U.S.
U.S.
Cash
Strategy Benchmark
5.9
22.8
5.3
0.0
23.5
6.7
33.7
1.0
1.2
0.0
11.9
9.5
10.9
16.113.2
10.5
18.9
3.5
2.4
3.2
0 10 20 30 4
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
St r at eg y B en ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 19.6 x 19.5 x
Price/Book - Hist 1 Yr Wtd Avg 3.9 x 2.7 x
Return on Equity - Hist 1 Yr Med 20.1 % 17.4 %
Market Cap - Weighted Median $Bil $132.9 $68.3
Debt/Equity Wtd Med 0.5 x 0.8 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.2 % 2.0 %
Company Sector % of Equi ty
Microsoft Corp. Information Technology 5.0
Philip Morris Int'l. Inc. Consumer Staples 4.8Oracle Corp. Information Technology 4.6
Johnson & Johnson Health Care 4.4
Apple Inc. Information Technology 4.3
Total 23.1
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 3.69 5.77 17.59 15.85 6.89 6.71Benchmark 2 5.23 7.14 24.61 18.83 7.78 7.54
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Quarterly Strategy Attribut ion
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 andother income.
GMO Quality StrategyInception: 2/29/04; Benchmark: S&P 500 Index
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GMO Resources StrategyInception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index
Performance Net of Fees1
Top Country Weights (%)3
Risk Profile Since 12/31/114
Top Holdings3,5
Sector Weights (%)3
Characteristics3
1Performance 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 andother income.
2The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widelypublished index comprised of listed large and mid capitalization commodity producers within the global developed and emerging markets. MSCI data may not bereproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
4Alpha 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.
5Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
An nu al Tota l Retu rn (%)
2012 2013
Strategy 9.23 4.39
Benchmark 1.96 3.31
St r at eg y B en ch ma r k
Alpha 4.09 0.00
Beta 1.05 1.00
R2
0.96 1.00
Sharpe Ratio 0.64 0.39
Std. Deviation 16.01 14.93
17.5
12.3
11.9
10.1
8.6
38.8
18.5
1.8
3.5
1.2
0 10 20 30 40
United States
United Kingdom
Japan
Russia
Norway
Strategy Benchmark
0.0
1.7
76.0
0.0
0.010.2
0.0
6.8
0.0
5.3
0.0
1.5
70.5
0.0
0.0
0.0
0.0
28.0
0.0
0.0
0 20 40 60 80
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
GICS Sectors
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 12.2 x 14.2 x
Earni ngs/Share - Forecast LT Median Gr owth Rate 6.0 x 7.0 x
Return on Equity - Hist 1 Yr Med 10.5 % 11.6 %
Market Cap - Weighted Median $Bil $34.3 $59.1
Dividend Yield - Hist 1 Yr Wtd Avg 3.9 % 3.0 %
Company Country Sector % of Equi ty
Petroleo Brasileiro S/A Brazil Energy 5.1
Chevron Corp. United States Energy 5.0
BP PLC United Kingdom Energy 5.0Total S.A. France Energy 5.0
CNOOC Ltd. China Energy 4.9
Total 25.0
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 10.58 11.86 29.14 N/A N/A 10.22Benchmark 2 9.28 9.39 24.97 N/A N/A 5.83
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Quarterly Strategy Attribut ion
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 andother income.
GMO Resources StrategyInception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index
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GMO International All Country Equity Allocation StrategyInception: 2/28/94; Benchmark: MSCI All Country World ex USA Index
1Performance 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 andother income.
2The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI ACWI (All Country World Index) ex USA (MSCI Standard Index Series, net of withholding tax) or some like proxy for each marketexposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO andmaintained 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 thisreport, and has no liability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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; Standard Deviation is a measure of the volatility of a portfolio. Risk profile data is net.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
Performance Net of Fees1
5-Year Risk Profi le5
Top Holdings4,6
Top Country Weights (%)4Group Exposures (%)3,4
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 5.91 7.89 26.40 12.16 8.72 8.20Benchmark 2 5.01 5.54 21.78 11.07 7.69 6.17
An nua l To ta l Retur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 24.06 19.03 25.91 17.39 -40.96 27.77 12.74 -11.31 16.82 16.71
Benchmark 21.11 16.71 26.94 16.08 -45.26 40.16 10.82 -13.63 16.90 15.47
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
Characteristics4
Company Country Sector % of Equi ty
Total S.A. France Energy 4.2
Royal Dutch Shell PLC United Kingdom Energy 3.6
BP PLC United Kingdom Energy 2.9
DaimlerChrysler AG Germany Consumer Discretionary 2.0
Telefonica S.A. Spain Telecommunication Services 2.0
Total 14.7
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 14.2 x 16.9 x
Price/Book - Hist 1 Yr Wtd Avg 1.2 x 1.7 x
Return on Equity - Hist 1 Yr Med 9.4 % 11.7 %
Market Cap - Weighted Median $Bil $27.9 $26.1
Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 2.9 %
St r a t eg y B en ch ma rk
Alpha 1.41 0.00
Beta 0.97 1.00
R2
0.98 1.00
Sharpe Ratio 0.73 0.66
Std. Deviation 16.48 16.76
0
20
40
60
80
100 U.S. Quality, 0.2
Europe Value, 59.1
Other Int'l. Opportunistic Value, 3.3
Emerging Markets, 22.4
Cash & Cash Equiv., 2.4
Japan, 12.6
14.6
13.5
12.5
12.4
4.7
7.2
15.3
14.4
6.6
1.9
0 5 10 15 20
France
United Kingdom
Japan
Germany
Italy
Strategy Benchmark
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Quarterly Strategy Attribut ion
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 andother income.
GMO International All Country Equity Allocation StrategyInception: 2/28/94; Benchmark: MSCI All Country World ex USA Index
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GMO International Developed Equity Allocation StrategyInception: 11/30/91; Benchmark: MSCI EAFE Index
Performance Net of Fees1
Group Exposures (%)3
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 5.54 9.02 30.16 13.28 8.31 8.96Benchmark 2 4.09 4.78 23.57 11.82 7.20 6.79
An nua l To ta l Retur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 24.89 15.56 25.50 12.69 -38.39 19.84 10.58 -9.45 17.09 24.13
Benchmark 21.17 14.41 26.62 11.58 -43.33 32.16 7.93 -12.14 17.32 22.78
5-Year Risk Profi le5
Top Holdings4,6
Top Country Weights (%)4
Characteristics4
St r a t eg y B en ch ma rk
Alpha 2.19 0.00
Beta 0.94 1.00
R2
0.97 1.00
Sharpe Ratio 0.82 0.69
Std. Deviation 16.11 16.93
ompany oun ry ec or o qu y
Total S.A. France Energy 4.9
Royal Dutch Shell PLC United Kingdom Energy 4.2
BP PLC United Kingdom Energy 3.4
DaimlerChrysler AG Germany Consumer Discretionary 2.4
Telefonica S.A. Spain Telecommunication Services 2.4
Total 17.3
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 14.2 x 17.5 x
Price/Book - Hist 1 Yr Wtd Avg 1.3 x 1.7 x
Return on Equity - Hist 1 Yr Med 9.7 % 11.2 %
Market Cap - Weighted Median $Bil $29.5 $35.4
Dividend Yield - Hist 1 Yr Wtd Avg 3.6 % 3.0 %
1Performance 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 andother income.
2The GMO blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlyingaccount 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 maynot be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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; Standard Deviation is a measure of the volatility of a portfolio. Risk profile data is net.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
0
20
40
60
80
100 U.S. Quality, 0.1
Europe Value, 69.0
Other Int'l. Opportunistic Value, 3.8
Emerging Markets, 9.6Cash & Cash Equiv., 2.7
Japan, 14.8
17.2
15.9
14.8
14.6
5.5
10.1
21.4
20.2
9.3
2.6
0 5 10 15 20 25
France
United Kingdom
Japan
Germany
Italy
Strategy Benchmark
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Quarterly Strategy Attribut ion
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 andother income.
GMO International Developed Equity Allocation StrategyInception: 11/30/91; Benchmark: MSCI EAFE Index
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GMO International Equity StrategyInception: 3/31/87; Benchmark: MSCI EAFE Index
Performance Net of Fees1
(The GMO International Equity Strategy was formerly known as the GMO International Intrinsic Value Strategy. GMO renamed the Strategy on June 30,
2014.)
Group Exposures (%)3
5-Year Risk Profi le5
Top Holdings4,6
Top Country Weights (%)4
Characteristics4
1Performance 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 andother income.
2The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely publishedindex comprised of international large and mid capitalization stocks. The MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained benchmarkcomputed by GMO, comprised of (i) the MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) through06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not bereproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 14.5 x 17.5 xPr ice/Cash Flow - Hist 1 Yr Wtd Med 6.5 x 10.9 xPrice/Book - Hist 1 Yr Wtd Avg 1.3 x 1.7 xReturn on Equity - Hist 1 Yr Med 9.8 % 11.2 %Market Cap - Weighted Median $Bil $36.1 $35.4Dividend Yield - Hist 1 Yr Wtd Avg 3.6 % 3.0 %
Company Country Sector % of Equi ty
Total S.A. France Energy 5.5Royal Dutch Shell PLC United Kingdom Energy 4.7
BP PLC United Kingdom Energy 3.8DaimlerChrysler AG Germany Consumer Discretionary 2.6Telefonica S .A. Spain Telecommunication Services 2.6
Total 19.2
0
20
40
60
80
100
Europe Value, 76.4
Other Int'l. Opportunistic Value, 4.1Cash & Cash Equiv., 3.0
Japan, 16.4
Intl. Developed Equity Cash
19.1
17.6
16.4
16.2
6.1
10.1
21.4
20.2
9.3
2.6
0 5 10 15 20 25
France
United Kingdom
Japan
Germany
Italy
Strategy Benchmark
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since
2014 2014 Year Year Year Inception
Strategy 5.22 8.73 32.01 11.75 7.07 8.62MSCI EAFE
24.09 4.78 23.57 11.77 6.93 5.70
MSCI EAFE + 2
4.73 6.01 26.86 11.24 6.71 7.48
Annu al Tota l Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 25.23 13 .98 25.78 10 .21 -40 .31 21.41 7 .53 -10.18 12.98 25.62
MSCI EAFE 20.25 13.54 26.34 11.17 -43.38 31.78 7 .75 -12.14 17.32 22.78
MSCI EAFE + 24.33 13.80 30.38 5.96 -44 .09 34.23 3.25 -12.17 17.69 22.95
Strategy MSCI EAFE +
Alpha 1.39 0.00
Beta 0.92 1.00
R2
0.98 1.00
Sharpe Ratio 0.70 0.62
Std. Deviation 16.72 17.96
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Quarterly Strategy Attribut ion
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 andother income.
Quarterly Strategy Attribution
GMO International Equity StrategyInception: 3/31/87; Benchmark: MSCI EAFE Index
(The GMO International Equity Strategy was formerly known as the GMO International Intrinsic Value Strategy. GMO renamed the Strategy on June 30,
2014.)
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GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index
Performance Net of Fees1 Top Overweight Holdings2,5
5-Year Risk Profi le4
1Performance 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 andother income.
2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The 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, hasnot prepared or approved this report, and has no liability hereunder.
4Alpha 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; Standard Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
5The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
Sector Weights5
GICS Sectors
Region Weights 5
Characteristics5
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 2.99 1.93 21.97 10.39 6.34 12.15Benchmark 3 4.09 4.78 23.57 11.77 6.93 9.32
An nua l To ta l Return (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 22.33 13.52 27.52 10.58 -41.24 25.53 5.01 -11.65 14.92 24.11
Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78
Underweight/Overweight
Regi on Agai nst Benchmark (%)
Australia/New Zealand
Emerging
Europe ex UK
JapanSoutheast Asia
United Kingdom
Cash + Unrealized G/L
-5.4
5.7
6.0
-2.6
-2.0
-2.7
0.9
-10 -5 0 5 10
Underweight/OverweightSector Agai nst Benchmark Strategy Benchmark
Consumer Discretionary 13.5 % 11.9 %Consumer Staples 6.7 11.1Energy 13.2 7.3Financials 24.7 25.3Health Care 4.7 10.5Industrials 10.3 12.7Information Technology 8.6 4.4Materials 4.0 8.0Telecom. Serv ices 4.2 4.9Utilities 10.0 3.96.1
-0.7
-4.04.2
-2.4
-5.8
-0.6
5.9-4.4
1.6
-10 -5 0 5 10
St r a teg y B en ch ma rk
Alpha -1.40 0.00
Beta 1.00 1.00
R2
0.98 1.00Sharpe Ratio 0.60 0.69
Std. Deviation 17.09 16.90
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 16.3 x 17.5 x
Pri ce/Cash Flow - Hist 1 Yr Wtd Med 7.5 x 10.9 x
Price/Book - Hist 1 Yr Wtd Avg 1.4 x 1.7 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.9 % 3.0 %
Peugeot S.A. 3.2%
Sumitomo Mitsui Financial 3.1%
Mitsubishi Tokyo Financial 3.0%
Samsung Elect ronics Co. 3 .0%
E.ON AG 2.9%
RWE AG 2.0%Eni S.p.A. 1.9%
Nokia Corp. 1.8%
Repsol YPF S.A. 1.4%
British American Tobacco 1.3%
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Quarterly Strategy Attribut ion
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 andother income.
GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index
The International Active EAFE Strategy gained 3.0% net of fees in the second quarter, 1.1 percentage points behind the MSCI EAFEindex, which returned +4.1%.
Country selection was behind the benchmark. Our positioning in Continental Europe subtracted from returns, particularly overweightpositions in Italy and France, which underperformed in the quarter.
Stock selection also lagged the benchmark in the second quarter. Holdings in the United Kingdom and Japan underperformed. Onthe positive side, stock selection in Continental Europe helped returns.
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GMO Intl. Active Foreign Small Companies StrategyInception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
Performance Net of Fees1 Top Overweight Holdings2,5
5-Year Risk Profi le4
1Performance 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 andother income.
2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The 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) ofthe BMI in each country.
4Alpha 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; Standard Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
5The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
Sector Weights 5Region Weights5
Characteristics5
GICS Sectors
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 1.90 5.02 25.85 17.31 11.13 11.94Benchmark 3 3.40 7.24 29.95 15.47 9.64 7.90
An nu al To ta l Retur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 29.30 18.91 36.24 8.00 -45.91 47.63 24.76 -15.21 21.64 28.92
Benchmark 28.73 22.10 29.42 7.32 -47.67 45.07 21.96 -14.49 18.55 26.06
St ra teg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 19.2 x 20.2 x
Pri ce/Cash Flow - Hist 1 Yr Wtd Med 11.4 x 12.2 x
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 1.6 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.1 % 2.3 %
Underweight/Overweight
Regi on Agai nst Benchmark (%)
Australia/New Zealand
Canada
Emerging
Europe ex UKJapan
Southeast Asia
United Kingdom
Cash + Unrealized G/L
0.6
-2.5
3.7
3.5
-2.8
-3.5
-1.2
2.3
-6 -3 0 3 6
Underweight/Overweightec or ga ns enc mar ra egy enc mar
Consumer Discretionary 21.9 % 16.4 %Consumer Staples 3.2 5.6Energy 7.5 4.9Financials 20.9 21.6
Health Care 3.4 6.0Industrials 24.2 23.0Information Technology 8.4 8.8Materials 9.5 10.3Telecom. Serv ices 0.9 1.2Utilities 0.0 2.3-2.3
-0.3
-0.8
-0.4
1.2-2.6
-0.7
2.6
-2.4
5.5
-6 -3 0 3 6
St r a t eg y B en ch ma rk
Alpha 2.49 0.00
Beta 0.96 1.00
R2
0.98 1.00Sharpe Ratio 1.03 0.89
Std. Deviation 16.66 17.20
Mediobanca Banca di Credito 1.4%
Capstone Mining Corp. 1.3%
Credito Emiliano S.p.A. 1.2%
Asciano Group 1.2%
NuVista Energy Ltd. 1.2%
Incitec Pivot Ltd. 1.2%Groupe Steria S.C.A. 1.2%
Rheinmetall AG 1.2%
Precision Drilling Corp. 1.1%
Vicat S .A. 1.1%
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Quarterly Strategy Attribut ion
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 andother income.
The International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index by 1.5percentage points in the second quarter, gaining 1.9% net of fees while the benchmark rose 3.4%.
Country selection was behind the benchmark in the quarter. Our positioning in Continental Europe hurt returns, particularlyoverweight positions in Italy and France, which underperformed in the quarter. An underweight position in Japan also subtracted from
returns.
Stock selection outperformed the benchmark, but it was not enough to offset the negative country selection. Our holdings in Japan,Australia, and the emerging markets outperformed. Stock selection in Continental Europe and the United Kingdom hurt performance.
GMO Intl. Active Foreign Small Companies StrategyInception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
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GMO U.S. Equity Allocation StrategyInception: 2/28/89; Benchmark: Russell 3000 Index
GICS Sectors
1Performance 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 andother income.
2The GMO blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist ofS&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 varyslightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data contained orreflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure,copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of thismaterial or for any inaccuracy in GMOs presentation thereof.
3The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.4The 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.5Alpha 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.6Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
Performance Net of Fees1
5-Year Risk Profi le5
Top Holdings4,6
Sector Weights (%)4Group Exposures (%)3,4
Characteristics4
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 3.34 5.53 18.05 16.46 6.90 10.83Benchmark 2 5.23 7.14 24.86 19.15 8.05 10.36
Annu al Total Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 10.74 3.68 9.93 2.25 -27.87 20.54 7.43 9.91 12.25 27.95
Benchmark 11.45 5.53 15.71 5.39 - 37.15 27.46 16 .26 1.58 16.21 32.85
0
20
40
60
80
100
U.S. Quality, 74.9
U.S. Opportunistic Value, 23.1
Cash & Cash Equiv., 1.9
U.S. Equity Cash
5.1
17.1
12.7
5.3
18.9
6.3
33.5
1.2
0.0
0.0
11.9
9.5
10.9
16.1
13.210.5
18.9
3.5
2.4
3.2
0 10 20 30 4
Consumer Discretionary
Consumer Staples
Energy
Financials
Health CareIndustrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
St r at eg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Median 17.7 x 19.5 xPrice/Book - Hist 1 Yr Wtd Avg 3.2 x 2.7 x
Return on Equity - Hist 1 Yr Median 21.8 % 17.4 %
Market Cap -Weighted Median $Bil $132.9 $68.3
Dividend Yield - Hist 1 Yr Wtd Avg 2.1 x 2.0 x
ompany ec or o qu y
Oracle Corp. Information Technology 5.3
Philip Morris Int 'l. Inc. Consumer St aples 5.0
Chevron Corp. Energy 5.0
Microsoft Corp. Informat ion Technology 4.7
Int'l. Business Machines Information Technology 4.3
Total 24.3
St ra teg y Ben ch ma rk
Alpha 1.19 0.00
Beta 0.80 1.00
R2
0.90 1.00
Sharpe Ratio 1.44 1.40
Std. Deviation 11.38 13.57
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Quarterly Strategy Attribut ion
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 andother income.
GMO U.S. Equity Allocation StrategyInception: 2/28/89; Benchmark: Russell 3000 Index
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GMO Emerging Markets StrategyInception: 12/31/93; Benchmark: S&P/IFCI Composite Index
Performance Net of Fees1 Top Ten Holdings2,5
5-Year Risk Profi le4
1Performance 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 andother income.
2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The 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.
4Alpha 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.
5The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.
Sector Weights5
GICS Sectors
Region Weights5
Characteristics5
Total Return (%) Average Annual Total Return (%)
2Q YTD One Five Ten Since2014 2014 Year Year Year Inception
Strategy 8.13 4.95 13.39 8.51 11.07 8.05Benchmark 3 7.51 6.82 16.00 10.14 12.91 6.28
Annu al Tota l Retu rn (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 26.54 40.15 29.51 37.22 -55.74 71.89 20.20 -16.95 15.19 -5.19
Benchmark 28.11 35.19 35.11 40.28 -53.74 81.03 20.64 -19.03 18.89 -0.57
St ra teg y B en ch ma rk
Alpha -1.87 0.00
Beta 1.02 1.00R
20.98 1.00
Sharpe Ratio 0.43 0.53
Std. Deviation 19.67 18.96
Samsung Electronics Co. Ltd. 3.9%
Gazprom OAO 2.9%
China Const ruct ion Bank 2.7%
China Mobile Ltd. 2.6%
Surgutneftegaz 2.6%LukOil OAO 2.5%
KGHM Polska Miedz S.A. 2.3%
Ind. & Comm. Bank of China 2.3%
Banco do Brasil S.A. 2.1%
Bank of China Ltd. 2.0%
Total 25.9%
St r at eg y Ben ch ma rk
Price/Earnings - Hist 1 Yr Wtd Med 10.6 x 16.2 x
Price/Cash Flow - Hist 1 Yr Wtd Med 5.9 x 10.0 xPrice/Book - Hist 1 Yr Wtd Avg 1.1 x 1.5 x
Return on Equity - Hist 1 Yr Avg 12.2 % 11.4 %
Market Cap -Weighted Median $Bil $6.7 $7.3
Number of Equity Holdings 430 2,199
Dividend Yield - Hist 1 Yr Wtd Avg 4.1 % 2.7 %
Underweight/Overweight
Region Against Benchmark (%)
DevelopedEast Asia
Europe
Latin/South America
Mideast/Africa
South Asia
Cash + Unrealized G/L
1.3
-8.3
13.9
-1.5
-4.1
-1.5
0.2
-20 -10 0 10 20
Underweight/Overweight
Sector Against Benchmark Strategy Benchmark
Consumer Discretionary 6.4 % 10.2 %
Consumer Staples 1.8 8.3Energy 17.7 9.6Financials 24.9 25.4Health Care 1.1 2.4Industrials 3.3 7.5Information Technology 13.9 17.9Materials 8.6 9.1
Telecom. Services 13.1 6.3Utilities 9.2 3.35.9
6.8
-0.5
-4.0
-4.2
-1.3
-0.5
8.1
-6.5
-3.8
-10 -5 0 5 10
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Quarterly Strategy Attribut ion
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 andother income.
GMO Emerging Markets StrategyInception: 12/31/93; Benchmark: S&P/IFCI Composite Index
The Emerging Markets Strategy jumped 8.1% net of fees in the second quarter, outperforming the 7.5% rise in the S&P/IFCIComposite by 0.6%. Overall, country-sector allocation gained 0.4% and stock selection added 0.2%.
Emerging markets went on a bull run in the second quarter. Investor sentiment was boosted by the low valuations, continuingrecovery in the U.S., reduced political uncertainty in Ukraine, and an overwhelming mandate for the winning party in Indian elections.
Also helping were reports in June of Chinese manufacturing rising at the fastest pace in seven months and a robust expansion inTaiwans factory output. Country returns varied over the quarter, ranging from a 15.1% jump in Turkey to a 10.8% drop in Greece.Sector returns were all positive and more clustered, varying from an 11.2% leap in IT to a more modest return of +3.8% for Materials.
Investor sentiment in Brazil improved with continuing drops in the governments approval rating. Elections are due in October of2014 and speculation of a change in leadership lifted the market as the current government is seen as prone to micro-managing theeconomy. Investors expect the opposition to be less inclined to intervene in state-run companies and more focused on reining ininflation. Our overweight in Brazilian Utilities contributed to performance.
The Indian stock market soared after national elections delivered a much stronger mandate than expected. The winning partysinglehandedly won a majority of seats, a feat unattained in the last 30 years. Narendra Modi, the newly elected prime minister, isexpected to quickly take concrete steps to boost economic growth. Our underweight in Indian Energy and Industrials hurtperformance.
The Russian stock market continued its run on the back of easing tensions with Ukraine. Russian president Putin asked lawmakers torevoke his authority to use force in Ukraine - a conciliatory gesture after his meeting with the Ukrainian president. Also helping themarket was a jump in oil prices amid turmoil in Iraq and Syria. A $400 billion contract awarded to energy exporter OAO Gazprom tosupply fuel to China over 30 years also brought some cheer. Our overweight in Russian Energy boosted performance.
Taiwanese stocks were buoyed by rising optimism for the U.S. and Taiwan economies. Taiwans industrial output rose 5.2% from ayear earlier in May, exceeding expectations. The central bank maintained interest rates at 1.875%. Our overweight in Taiwan IT addedto performance.
The stock market in Turkey rebounded after the ruling party won local elections. Investors read that as a sign that the political crisisthat began last December was coming to an end. The central bank unexpectedly cut its repurchase rate to 9.5% from 10% and floatedthe possibility of further rate cuts. Toward the end of the quarter, the stock market gave back some of its gains on political tension inIraq, a key trading partner, and on rising oil prices, a driver of its worrisome current account deficit. Our overweight in TurkishFinancials helped performance.
Stock selection was additive to performance with particularly strong selection in China Financials and India Financials.
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8/12/2019 GMO Quarterly Update Q2 2014
39/62
As of June 30, 2014
GMO 2014
GMO Emerging Domestic Opportunities StrategyInception: 3/31/11
Performance Net of Fees1 Top Ten Holdings2,6
Risk Profile Since 3/31/114
GICS Sectors
1Performance 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 andother income.
2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The Emerging Domestic Opportunities Strategy does not have a benchmark. The Strategy has been compared to the MSCI Emerging Markets Index in an eff