GMO Quarterly Update Q2 2014

8/12/2019 GMO Quarterly Update Q2 2014

1/62

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.


2/62

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*

1


3/62

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


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


Global Developed Equity Allocation 3/31/87 4.79 7.58 1.40 24.57 14.87 8.44 9.79


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


Inter national Devel oped Equity Al location 11/30/91 5.54 9.02 4.24 30.16 13.28 8.31 8.96


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


2


4/62

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


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


3


5/62

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%


6/62


7/62

As of June 30, 2014

GMO 2014

GMO Global Allocation Absolute Return StrategyInception: 7/31/01; Benchmark: Consumer Price Index


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.



Bond Portfolio4



Other Equity

Absolute Return

CashU.S. 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 %


Credit Ratings

AAA 1.4% BB 5.0%

AA 72.3% B 3.2%A 2.6%


8/62

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

7


9/62

As of June 30, 2014

GMO 2014

GMO Global Asset Allocation StrategyInception: 6/30/88; Benchmark: GMO Global Asset Allocation Index



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.


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.



Bond Portfolio4



Other Equity

Absolute Return

CashU.S. 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 %


Credit Ratings

AAA 1.8% BB 5.6%

AA 68.1% B 3.3%A 3.2%


10/62

As of June 30, 2014

GMO 2014



GMO Global Asset Allocation StrategyInception: 6/30/88; Benchmark: GMO Global Asset Allocation Index

9


11/62

As of June 30, 2014

GMO 2014

GMO Real Return Global Balanced Asset Allocation StrategyInception: 6/30/04; Benchmark: Blended Benchmark


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.






Bond Portfolio4





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


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



Other Equity

Absolute Return

CashU.S. 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







Credit Ratings

AAA 1.3% BB 5.1%

AA 73.0% B 3.3%A 2.4%


12/62

As of June 30, 2014

GMO 2014



GMO Real Return Global Balanced Asset Allocation StrategyInception: 6/30/04; Benchmark: Blended Benchmark

11


13/62

As of June 30, 2014

GMO 2014

GMO Tax-Managed Global Balanced StrategyInception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index


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







Other Equity

Absolute Return

CashU.S. Equity


Emerging Equity

Fixed Income



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


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



0

20

40

60

80


Europe Value, 19.9




Municipal Bonds, 32.0

Emerging Country Debt, 2.3Risk Premium, 2.1

Japan, 3.5


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


Price/Cash Flow - Hist 1 Yr Wtd Med 1.7 x 1.7 x





12


14/62

As of June 30, 2014

GMO 2014



GMO Tax-Managed Global Balanced StrategyInception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index

13


15/62

As of June 30, 2014

GMO 2014


Top Holdings4,6

Top Country Weights (%)4Group Exposures (%)3,4

Characteristics4


GMO Global All Country Equity Allocation StrategyInception: 12/31/93; Benchmark: MSCI All Country World Index


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.



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.




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



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. 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





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

14


16/62

As of June 30, 2014

GMO 2014



GMO Global All Country Equity Allocation StrategyInception: 12/31/93; Benchmark: MSCI All Country World Index

15


17/62

As of June 30, 2014

GMO 2014


Top Holdings4,6


Characteristics4



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.




GMO Global Developed Equity Allocation StrategyInception: 3/31/87; Benchmark: MSCI World Index





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


Alpha 1.51 0.00

Beta 0.89 1.00

R2

0.97 1.00



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. Equity


Emerging Equity

Cash







Company Country Sector % of Equi ty




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

16


18/62

As of June 30, 2014

GMO 2014



GMO Global Developed Equity Allocation StrategyInception: 3/31/87; Benchmark: MSCI World Index

17


19/62

As of June 30, 2014

GMO 2014

GMO Global Focused Equity StrategyInception: 12/31/11

Performance Net of Fees1 Top Ten Holdings2,5

Sector Weights5

GICS Sectors

Region Weights 5


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.


Risk Profile Since 12/31/114 Characteristics5



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


Alpha 0.35 0.00

Beta 1.24 1.00

R2 0.85 1.00Sharpe Ratio 1.56 1.67


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%



Pri ce/Cash Flow- Hist 1 Yr Wtd Med 11.0 x 12.8 x



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

18


20/62

As of June 30, 2014

GMO 2014



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.

19


21/62

As of June 30, 2014

GMO 2014

GMO Quality StrategyInception: 2/29/04; Benchmark: S&P 500 Index

GICS Sectors


Top Holdings3,5

Sector Weights (%)3Region Weights (%)3

Characteristics3



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.



5Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.


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


Alpha 1.33 0.00

Beta 0.77 1.00

R2

0.86 1.00



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





Debt/Equity Wtd Med 0.5 x 0.8 x


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




20


22/62

As of June 30, 2014

GMO 2014



GMO Quality StrategyInception: 2/29/04; Benchmark: S&P 500 Index

21


23/62

As of June 30, 2014

GMO 2014

GMO Resources StrategyInception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index


Top Country Weights (%)3

Risk Profile Since 12/31/114

Top Holdings3,5

Sector Weights (%)3

Characteristics3


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.



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



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 Staples

Energy

Financials

Health Care

Industrials


Materials


Utilities

Strategy Benchmark

GICS Sectors

Strategy Benchmark


Earni ngs/Share - Forecast LT Median Gr owth Rate 6.0 x 7.0 x





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



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

22


24/62

As of June 30, 2014

GMO 2014



GMO Resources StrategyInception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index

23


25/62

As of June 30, 2014

GMO 2014

GMO International All Country Equity Allocation StrategyInception: 2/28/94; Benchmark: MSCI All Country World ex USA Index


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.



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.



Top Holdings4,6





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


Emerging Equity

Cash

Characteristics4





DaimlerChrysler AG Germany Consumer Discretionary 2.0

Telefonica S.A. Spain Telecommunication Services 2.0

Total 14.7







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



0

20

40

60

80


Europe Value, 59.1




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

24


26/62

As of June 30, 2014

GMO 2014



GMO International All Country Equity Allocation StrategyInception: 2/28/94; Benchmark: MSCI All Country World ex USA Index

25


27/62

As of June 30, 2014

GMO 2014

GMO International Developed Equity Allocation StrategyInception: 11/30/91; Benchmark: MSCI EAFE Index


Group Exposures (%)3




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


Top Holdings4,6


Characteristics4


Alpha 2.19 0.00

Beta 0.94 1.00

R2

0.97 1.00



ompany oun ry ec or o qu y




DaimlerChrysler AG Germany Consumer Discretionary 2.4

Telefonica S.A. Spain Telecommunication Services 2.4

Total 17.3








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.



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


Emerging Equity

Cash

0

20

40

60

80


Europe Value, 69.0


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

26


28/62

As of June 30, 2014

GMO 2014



GMO International Developed Equity Allocation StrategyInception: 11/30/91; Benchmark: MSCI EAFE Index

27


29/62

As of June 30, 2014

GMO 2014

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.)

Group Exposures (%)3


Top Holdings4,6


Characteristics4


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.




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 %


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


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


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



28


30/62

As of June 30, 2014

GMO 2014



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.)

29


31/62

As of June 30, 2014

GMO 2014

GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index

Performance Net of Fees1 Top Overweight Holdings2,5



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.


Sector Weights5

GICS Sectors

Region Weights 5

Characteristics5




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 (%)


Emerging

Europe ex UK

JapanSoutheast Asia

United Kingdom


-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




Pri ce/Cash Flow - Hist 1 Yr Wtd Med 7.5 x 10.9 x



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%

30


32/62

As of June 30, 2014

GMO 2014



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.

31


33/62

As of June 30, 2014

GMO 2014

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



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.


Sector Weights 5Region Weights5

Characteristics5

GICS Sectors




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



Pri ce/Cash Flow - Hist 1 Yr Wtd Med 11.4 x 12.2 x




Regi on Agai nst Benchmark (%)


Canada

Emerging

Europe ex UKJapan

Southeast Asia

United Kingdom


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


Alpha 2.49 0.00

Beta 0.96 1.00

R2

0.98 1.00Sharpe Ratio 1.03 0.89


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%

32


34/62

As of June 30, 2014

GMO 2014



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

33


35/62

As of June 30, 2014

GMO 2014

GMO U.S. Equity Allocation StrategyInception: 2/28/89; Benchmark: Russell 3000 Index

GICS Sectors


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.






Top Holdings4,6

Sector Weights (%)4Group Exposures (%)3,4

Characteristics4




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. 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 Staples

Energy

Financials

Health CareIndustrials


Materials


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


Alpha 1.19 0.00

Beta 0.80 1.00

R2

0.90 1.00



34


36/62

As of June 30, 2014

GMO 2014



GMO U.S. Equity Allocation StrategyInception: 2/28/89; Benchmark: Russell 3000 Index

35


37/62

As of June 30, 2014

GMO 2014

GMO Emerging Markets StrategyInception: 12/31/93; Benchmark: S&P/IFCI Composite Index




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.



Sector Weights5

GICS Sectors

Region Weights5

Characteristics5





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



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/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



Region Against Benchmark (%)

DevelopedEast Asia

Europe

Latin/South America

Mideast/Africa

South Asia


1.3

-8.3

13.9

-1.5

-4.1

-1.5

0.2

-20 -10 0 10 20


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

36


38/62

As of June 30, 2014

GMO 2014



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.

37


39/62

As of June 30, 2014

GMO 2014

GMO Emerging Domestic Opportunities StrategyInception: 3/31/11


Risk Profile Since 3/31/114

GICS Sectors


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

GMO Quarterly Update Q2 2014

Documents

Transcript of GMO Quarterly Update Q2 2014