GMO Quarterly Update Q2 2014

GMO offers institutionally-oriented global investment strategies.
For client inquiries, please contact your Client Relationship

Manager. For new business inquiries, please contact your Relationship Manager or Holly Carson at (617) 346-7501 or
holly.carson@gmo.com
This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.
GMO Capabilities
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included in
this document. For information please contact GMO.
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 Allocation 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 Allocation 26
Tax-Managed International Equities*
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
1
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 Macro 54
Tactical Opportunities 56
Total Equities 58
Multi-Strategy*
1
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 of
management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume
the reinvestment of dividends and other income.
Copyright 2014 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any
means, without written permission from GMO.
Total Return Net of Fees Average Annual Total Return
GMO Multi-Asset Class Inception 2Q YTD YTD Value One Five Ten Since
Strategies/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 9.85
CPI 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 Since
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 Since
International All Country Equity Alloc. 2/28/94 5.91 7.89 2.35 26.40 12.16 8.72 8.20
International Developed Equity Allocation 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 Since
U.S. Equity Allocation 2/28/89 3.34 5.53 -1.60 18.05 16.46 6.90 10.83
2
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 of
management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume
the reinvestment of dividends and other income.
* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
Total Return Net of Fees Average Annual Total Return
GMO Emerging Equities Inception 2Q YTD YTD Value One Five Ten Since
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 5.66
Emerging 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 Since
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 Since
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
As of June 30, 2014
GMO 2014
GMO Benchmark-Free Allocation Strategy
Inception: 7/31/01; Benchmark: Consumer Price Index
1
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and
other income.
The chart above shows the past performance of the Benchmark-Free Allocation Composite (the Composite). Prior to January 1, 2012, the accounts in the Composite
served as the principal component of a broader real return strategy. Beginning January 1, 2012, accounts in the composite have been managed as a standalone investment.
2
The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is published monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and services.
3
The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time.
4
The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of the
Strategy.
5
Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative
cumulative portfolio return from peak to trough. Risk profile data is net.
Performance Net of Fees
1

5-Year Risk Profile
5

Bond Portfolio
4

Equity Regional Weights (%)
4
Group Exposures (%)
3,4

Equity Characteristics
4

Other Equity
Absolute Return
Cash U.S. Equity
Intl. Developed Equity
Emerging Equity
Fixed Income
St r at egy
Price/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
J apan
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% <B 12.0%
BBB 20.2% NR 1.4%
St r at egy
Std. Deviation 6.21
Sharpe Ratio 1.50
Drawdown
(4/30/10-6/30/10)
-5.91
0
20
40
60
80
100
U.S. Quality, 10.7
Europe Value, 14.5
Other Int'l. Opportunistic Value, 0.8
Emerging Markets, 8.4
Cash & Cash Equiv., 19.5
Debt Opportunities, 5.0
Risk Premium, 3.9
J apan, 3.0
U.S. Opportunistic Value, 3.3
Alpha Only, 15.9
TIPS, 5.0
Emerging Country Debt, 3.5
Systematic Global Macro Opportunity, 6.5
Tot al Ret ur n (%) Aver age Annual Tot al Retur n (%)
2Q YTD One Five Ten Since
2014 2014 Year Year Year Inception
Strategy 3.43 4.69 11.83 9.39 9.33 11.28
Benchmark
2
0.87 1.33 2.04 2.08 2.30 2.29
Annual Tot al Retur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.96 16.32 12.75 10.93 -12.07 19.86 4.58 3.60 10.35 11.24
Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56
4
As of June 30, 2014
GMO 2014
Quarterly Strategy Attribution
other income.
GMO Benchmark-Free Allocation Strategy
5
As of June 30, 2014
GMO 2014
GMO Global Allocation Absolute Return Strategy
1
other income.
2
The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist
of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
Strategy.
4
1

5-Year Risk Profile
5

Bond Portfolio
4

4
Group Exposures (%)
3,4

4

Other Equity
Absolute Return
Cash U.S. Equity
Emerging Equity
Fixed Income
St r at egy
Std. 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
J apan
Other International
United Kingdom
United States
Strategy
St r at egy
Price/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% <B 5.3%
BBB 9.5% NR 0.7%
Strategy 3.22 4.42 10.97 8.28 8.39 9.85
Benchmark
2
0.87 1.33 2.04 2.08 2.30 2.29
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 15.29 13.54 11.01 9.99 -7.19 14.92 3.02 4.22 9.42 10.04
Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56
0
20
40
60
80
100
U.S. Quality, 10.5
Europe Value, 14.4
Cash & CashEquiv., 3.3
Asset AllocationBond, 17.0
Risk Premium, 4.0
J apan, 3.1
Alpha Only, 5.0
Multi Strategy, 20.0
Special Situations, 0.4
6
As of June 30, 2014
GMO 2014
other income.
GMO Global Allocation Absolute Return Strategy
7
As of June 30, 2014
GMO 2014
GMO Global Asset Allocation Strategy
Inception: 6/30/88; Benchmark: GMO Global Asset Allocation Index
1

1
other income.
2
The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist
of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
4
Strategy.
5
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R
2
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.
1

5-Year Risk Profile
5

Bond Portfolio
4

4
Group Exposures (%)
3,4

4

Other Equity
Absolute Return
Cash U.S. Equity
Emerging Equity
Fixed Income
Tot al Retur n (%) Aver age Annual Total Retur n (%)
Strategy 3.70 5.47 14.81 10.86 7.59 9.96
Benchmark
2
3.99 5.45 16.25 11.23 6.40 8.31
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 egy Benchmar k
Alpha 1.45 0.00
Beta 0.84 1.00
R
2
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
J apan
Other International
United Kingdom
United States
Strategy Benchmark
Price/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% <B 6.6%
BBB 10.7% NR 0.7%
0
20
40
60
80
100
U.S. Quality, 12.9
Europe Value, 20.9
Asset Allocation Bond, 17.0
Risk Premium, 2.5
J apan, 4.4
Alpha Only, 11.2
ABS (Direct), 0.1
Special Situations, 0.5
8
As of June 30, 2014
GMO 2014
other income.
GMO Global Asset Allocation Strategy
Inception: 6/30/88; Benchmark: GMO Global Asset Allocation Index
9
As of June 30, 2014
GMO 2014
GMO Real Return Global Balanced Asset Allocation Strategy
Inception: 6/30/04; Benchmark: Blended Benchmark
1
other income.
2
The GMO blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each
market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
3
4
Strategy.
5
2
1

5-Year Risk Profile
5

Bond Portfolio
4

4
Group Exposures (%)
3,4

4

Strategy 3.26 5.25 13.91 9.79 7.62 7.62
Benchmark
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
Alpha 1.87 0.00
Beta 0.78 1.00
R
2
0.90 1.00
Other Equity
Absolute Return
Cash U.S. Equity
Emerging Equity
Fixed Income
0
20
40
60
80
100
U.S. Quality, 11.9
Europe Value, 19.0
Cash &Cash Equiv., 1.0
Asset Allocation Bond, 15.0
Risk Premium, 2.2
J apan, 4.0
Multi Strategy, 29.0
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
J apan
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% <B 4.9%
BBB 9.4% NR 0.7%
10
As of June 30, 2014
GMO 2014
other income.
GMO Real Return Global Balanced Asset Allocation Strategy
Inception: 6/30/04; Benchmark: Blended Benchmark
11
As of June 30, 2014
GMO 2014
GMO Tax-Managed Global Balanced Strategy
Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
1
other income.
2
The GMO Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standard
Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
3
4
Strategy.
5
2
1

5-Year Risk Profile
5

4
Group Exposures (%)
3,4

4

Other Equity
Absolute Return
Cash U.S. Equity
Emerging Equity
Fixed Income
Strategy 2.92 4.61 13.40 8.92 6.90 8.12
Benchmark
2
3.89 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 12.78
Alpha -0.02 0.00
Beta 0.82 1.00
R
2
0.96 1.00
0
20
40
60
80
100
U.S. Quality, 13.1
Europe Value, 19.9
Municipal Bonds, 32.0
Risk Premium, 2.1
J apan, 3.5
Multi-Strategy, 13.3
U.S. Small, 0.1
15.2
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
J apan
Other International
United Kingdom
United States
Strategy Benchmark
Price/Cash Flow - Hist 1 Yr Wtd Med 1.7 x 1.7 x
12
As of June 30, 2014
GMO 2014
other income.
GMO Tax-Managed Global Balanced Strategy
Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
13
As of June 30, 2014
GMO 2014
5-Year Risk Profile
5

Top Holdings
4,6

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

Characteristics
4

1

GMO Global All Country Equity Allocation Strategy
Inception: 12/31/93; Benchmark: MSCI All Country World Index
1
other income.
2
The GMO blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
3
4
Strategy.
5
2
6
Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
Tot al Ret ur n (%) Aver age Annual Tot al Ret ur n (%)
Strategy 4.91 7.06 22.57 14.13 8.79 9.58
Benchmark
2
5.04 6.19 23.10 14.62 7.35 7.73
Annual Tot al Ret ur n (%)
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
Alpha 1.29 0.00
Beta 0.88 1.00
R
2
0.97 1.00
0
20
40
60
80
100
U.S. Quality, 26.8
Europe Value, 39.3
J apan, 8.4
U.S. Equity
Emerging Equity
Cash
Company Count r y Sect or % of Equi t 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
J apan
Germany
Strategy Benchmark
14
As of June 30, 2014
GMO 2014
other income.
GMO Global All Country Equity Allocation Strategy
Inception: 12/31/93; Benchmark: MSCI All Country World Index
15
As of June 30, 2014
GMO 2014
5-Year Risk Profile
5

Top Holdings
4,6

4
Group Exposures (%)
3,4

Characteristics
4

1

1
other income.
2
The GMO blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may
not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
4
Strategy.
5
2
6
GMO Global Developed Equity Allocation Strategy
Inception: 3/31/87; Benchmark: MSCI World Index
Strategy 4.79 7.58 24.57 14.87 8.44 9.79
Benchmark
2
4.86 6.18 24.05 15.00 7.13 7.64
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
R
2
0.97 1.00
0
20
40
60
80
100
U.S. Quality, 26.6
Europe Value, 42.0
J apan, 9.0
U.S. Equity
Emerging Equity
Cash
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
J apan
Germany
Strategy Benchmark
16
As of June 30, 2014
GMO 2014
other income.
GMO Global Developed Equity Allocation Strategy
Inception: 3/31/87; Benchmark: MSCI World Index
17
As of June 30, 2014
GMO 2014
GMO Global Focused Equity Strategy
Inception: 12/31/11
1
Top Ten Holdings
2,5

Sector Weights
5

GICS Sectors
Region Weights
5

1
other income.
2
Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.
3
The Global Focused Equity Strategy does not have a benchmark. The Strategy has been compared to the MSCI All Country World Index in an effort to compare and
contrast the Strategy versus a broad global equity index. The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other
purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Risk Profile Since 12/31/11
4
Characteristics
5

Strategy 5.38 6.15 32.21 N/A N/A 22.72
Benchmark
3
5.04 6.18 22.95 N/A N/A 18.05
2012 2013
Strategy 19.71 31.29
Benchmark 16.13 22.80
Alpha 0.35 0.00
Beta 1.24 1.00
R
2
0.85 1.00
Samsung Electronics 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%
Price/Cash Fl ow - Hist 1 Yr Wtd Med 11.0 x 12.8 x
Dividend Yiel d - Hist 1 Yr Wtd Avg 1.9 % 2.5 %
Under wei ght /Over wei ght
Regi on Agai nst Benchmar k (%)
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
Sect or Agai nst Benchmar k St r at egy Benchmar k
Consumer Discretionary 15.7 % 11.6 %
Consumer Staples 1.7 9.6
Energy 14.3 10.2
Financials 17.0 21.3
Health Care 8.1 10.6
Industrials 11.8 10.7
Information Technology 15.4 12.8
Materials 11.7 6.1
Telecom. Services 2.3 3.8
Utilities 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
As of June 30, 2014
GMO 2014
other income.
GMO Global Focused Equity Strategy
Inception: 12/31/11
The Global Focused Equity Strategy rose 5.4% net of fees for the quarter. The strategys reference benchmark, MSCI All Country
World 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 companies
have 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 the
intermediate term. As the last legacy airline to merge, AAL has company-specific catalysts, including cost synergies and re-fleeting fuel
inefficient aircraft, but also has committed to announcing a plan for reducing elevated cash levels through a significant share
repurchase 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 data
continued to surprise on the upside. We view the de-rating as significantly overdone and think the market is underestimating the
recovery potential in stocks such as Topps given the depths of the recent recession. As a consequence, we recently added to the
position. For United, despite poor execution in the wake of its merger with Continental Airlines, the company still offers the most
robust 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 United
Continental is poised to close this margin gap in the coming years. The company has announced over $2 billion of internal cost
opportunities that it will complete in the next three years. It has significant opportunities to improve its yield management results as
well as its route optimization and scheduling system. The severe weather in the first quarter and subsequent earnings miss caused
investors to lose confidence in this management team, but we believe that the stock offers significant upside with any earnings
recovery.
19
As of June 30, 2014
GMO 2014
GMO Quality Strategy
Inception: 2/29/04; Benchmark: S&P 500 Index
GICS Sectors
5-Year Risk Profile
4

Top Holdings
3,5

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

Characteristics
3

1

1
other income.
2
The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,
adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.
3
Strategy.
4
2
5
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
R
2
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
16.1
13.2
10.5
18.9
3.5
2.4
3.2
0 10 20 30 40
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
Debt/Equity Wtd Med 0.5 x 0.8 x
Company Sect or % of Equi t y
Microsoft Corp. Information Technology 5.0
Philip Morris Int'l. Inc. Consumer Staples 4.8
Oracle Corp. Information Technology 4.6
Johnson & Johnson Health Care 4.4
Apple Inc. Information Technology 4.3
Total 23.1
Strategy 3.69 5.77 17.59 15.85 6.89 6.71
Benchmark
2
5.23 7.14 24.61 18.83 7.78 7.54
20
As of June 30, 2014
GMO 2014
other income.
GMO Quality Strategy
Inception: 2/29/04; Benchmark: S&P 500 Index
21
As of June 30, 2014
GMO 2014
GMO Resources Strategy
Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index
1

3

4

Top Holdings
3,5

Sector Weights (%)
3

Characteristics
3

1
other income.
2
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of listed large and mid capitalization commodity producers within the global developed and emerging markets. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
Strategy.
4
2
5
2012 2013
Strategy 9.23 4.39
Benchmark 1.96 3.31
Alpha 4.09 0.00
Beta 1.05 1.00
R
2
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
J apan
Russia
Norway
Strategy Benchmark
0.0
1.7
76.0
0.0
0.0
10.2
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
Earnings/Share - Forecast LT Median Growth Rate 6.0 x 7.0 x
Petroleo Brasileiro S/A Brazil Energy 5.1
Chevron Corp. United States Energy 5.0
CNOOC Ltd. China Energy 4.9
Total 25.0
Strategy 10.58 11.86 29.14 N/A N/A 10.22
Benchmark
2
9.28 9.39 24.97 N/A N/A 5.83
22
As of June 30, 2014
GMO 2014
other income.
GMO Resources Strategy
Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index
23
As of June 30, 2014
GMO 2014
GMO International All Country Equity Allocation Strategy
Inception: 2/28/94; Benchmark: MSCI All Country World ex USA Index
1
other income.
2
The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) ex USA (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market
exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
3
4
Strategy.
5
2
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.
6
1

5-Year Risk Profile
5

Top Holdings
4,6

4
Group Exposures (%)
3,4

Strategy 5.91 7.89 26.40 12.16 8.72 8.20
Benchmark
2
5.01 5.54 21.78 11.07 7.69 6.17
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
Characteristics
4

DaimlerChrysler AG Germany Consumer Discretionary 2.0
Telefonica S.A. Spain Telecommunication Services 2.0
Total 14.7
St r a t egy Benchmar k
Al pha 1.41 0.00
Beta 0.97 1.00
R
2
0.98 1.00
Shar pe Rati o 0.73 0.66
Std. Devi ati on 16.48 16.76
0
20
40
60
80
100
U.S. Quality, 0.2
Europe Value, 59.1
J apan, 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
J apan
Germany
Italy
Strategy Benchmark
24
As of June 30, 2014
GMO 2014
other income.
GMO International All Country Equity Allocation Strategy
Inception: 2/28/94; Benchmark: MSCI All Country World ex USA Index
25
As of June 30, 2014
GMO 2014
GMO International Developed Equity Allocation Strategy
Inception: 11/30/91; Benchmark: MSCI EAFE Index
1

Group Exposures (%)
3

Strategy 5.54 9.02 30.16 13.28 8.31 8.96
Benchmark
2
4.09 4.78 23.57 11.82 7.20 6.79
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 Profile
5

Top Holdings
4,6

4

Characteristics
4

Al pha 2.19 0.00
Beta 0.94 1.00
R
2
0.97 1.00
Total 17.3
1
other income.
2
The GMO blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may
not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
4
Strategy.
5
2
6
U.S. Equity
Emerging Equity
Cash
0
20
40
60
80
100
U.S. Quality, 0.1
Europe Value, 69.0
J apan, 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
J apan
Germany
Italy
Strategy Benchmark
26
As of June 30, 2014
GMO 2014
other income.
GMO International Developed Equity Allocation Strategy
27
As of June 30, 2014
GMO 2014
GMO International Equity Strategy
1

(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 Profile
5

Top Holdings
4,6

4

Characteristics
4

1
other income.
2
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published
index comprised of international large and mid capitalization stocks. The MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained benchmark
computed by GMO, comprised of (i) the MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) through
06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
4
Strategy.
5
2
6
Total 19.2
0
20
40
60
80
100
Europe Value, 76.4
J apan, 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
J apan
Germany
Italy
Strategy Benchmark
Tot al Ret ur n (%) Aver age Annual Total Retur n (%)
Strategy 5.22 8.73 32.01 11.75 7.07 8.62
MSCI EAFE
2
4.09 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
Annual Total Retur n (%)
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
St r at egy MSCI EAFE +
Alpha 1.39 0.00
Beta 0.92 1.00
R
2
0.98 1.00
28
As of June 30, 2014
GMO 2014
other income.
GMO International Equity Strategy
(The GMO International Equity Strategy was formerly known as the GMO International Intrinsic Value Strategy. GMO renamed the Strategy on June 30,
2014.)
29
As of June 30, 2014
GMO 2014
GMO International Active EAFE Strategy
1
Top Overweight Holdings
2,5

5-Year Risk Profile
4

1
other income.
2
3
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published
index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Region Weights
5

Characteristics
5

Strategy 2.99 1.93 21.97 10.39 6.34 12.15
Benchmark
3
4.09 4.78 23.57 11.77 6.93 9.32
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
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
-5.4
5.7
6.0
-2.6
-2.0
-2.7
0.9
-10 -5 0 5 10
Energy 13.2 7.3
Materials 4.0 8.0
Utilities 10.0 3.9
6.1
-0.7
-4.0
4.2
-2.4
-5.8
-0.6
5.9
-4.4
1.6
-10 -5 0 5 10
Al pha -1.40 0.00
Beta 1.00 1.00
R
2
0.98 1.00
Peugeot S.A. 3.2%
Sumitomo Mitsui Financial 3.1%
Mitsubishi Tokyo Financial 3.0%
Samsung Electronics 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
As of June 30, 2014
GMO 2014
other income.
GMO International Active EAFE Strategy
The International Active EAFE Strategy gained 3.0% net of fees in the second quarter, 1.1 percentage points behind the MSCI EAFE
index, which returned +4.1%.

Country selection was behind the benchmark. Our positioning in Continental Europe subtracted from returns, particularly overweight
positions 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. On
the positive side, stock selection in Continental Europe helped returns.
31
As of June 30, 2014
GMO 2014
GMO Intl. Active Foreign Small Companies Strategy
Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
1
Top Overweight Holdings
2,5

5-Year Risk Profile
4

1
other income.
2
3
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the
S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float)
of at least the local equivalent of $100 million USD. The S&P Developed ex-U.S. Small Cap Index represents the bottom 15% of available market capitalization (float) of
the BMI in each country.
4
2
5
Strategy.
Sector Weights
5
Region Weights
5

Characteristics
5

GICS Sectors
Strategy 1.90 5.02 25.85 17.31 11.13 11.94
Benchmark
3
3.40 7.24 29.95 15.47 9.64 7.90
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
Canada
Emerging
Europe ex UK
Japan
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
Energy 7.5 4.9
Health Care 3.4 6.0
Materials 9.5 10.3
Utilities 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
Al pha 2.49 0.00
Beta 0.96 1.00
R
2
0.98 1.00
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
As of June 30, 2014
GMO 2014
other income.
The International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index by 1.5
percentage 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, particularly
overweight 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 Strategy
Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
33
As of June 30, 2014
GMO 2014
GMO U.S. Equity Allocation Strategy
Inception: 2/28/89; Benchmark: Russell 3000 Index
GICS Sectors
1
other income.
2
The GMO blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of
S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data contained or
reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure,
copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this
material or for any inaccuracy in GMOs presentation thereof.
3
4
Strategy.
5
2
6
1

5-Year Risk Profile
5

Top Holdings
4,6

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

Characteristics
4

Strategy 3.34 5.53 18.05 16.46 6.90 10.83
Benchmark
2
5.23 7.14 24.86 19.15 8.05 10.36
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
13.2
10.5
18.9
3.5
2.4
3.2
0 10 20 30 40
Consumer Staples
Energy
Financials
Health Care
Industrials
Materials
Utilities
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 17.7 x 19.5 x
Return on Equity - Hist 1 Yr Median 21.8 % 17.4 %
Dividend Yield - Hist 1 Yr Wtd Avg 2.1 x 2.0 x
Company Sect or %of Equi t y
Oracle Corp. Information Technology 5.3
Philip Morris Int'l. Inc. Consumer Staples 5.0
Chevron Corp. Energy 5.0
Microsoft Corp. Information Technology 4.7
Int'l. Business Machines Information Technology 4.3
Total 24.3
Alpha 1.19 0.00
Beta 0.80 1.00
R
2
0.90 1.00
34
As of June 30, 2014
GMO 2014
other income.
GMO U.S. Equity Allocation Strategy
Inception: 2/28/89; Benchmark: Russell 3000 Index
35
As of June 30, 2014
GMO 2014
GMO Emerging Markets Strategy
Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index
1
Top Ten Holdings
2,5

5-Year Risk Profile
4

1
other income.
2
3
The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. S&P does not guarantee the
accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.
Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Region Weights
5

Characteristics
5

Strategy 8.13 4.95 13.39 8.51 11.07 8.05
Benchmark
3
7.51 6.82 16.00 10.14 12.91 6.28
Annual Total Ret ur n (%)
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
Alpha -1.87 0.00
Beta 1.02 1.00
R
2
0.98 1.00
Samsung Electronics Co. Ltd. 3.9%
Gazprom OAO 2.9%
China Construction 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%
Return on Equity - Hist 1 Yr Avg 12.2 % 11.4 %
Number of Equity Holdings 430 2,199
Under wei ght/Over wei ght
Developed
East 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
Energy 17.7 9.6
Health Care 1.1 2.4
Industrials 3.3 7.5
Materials 8.6 9.1
Utilities 9.2 3.3
5.9
6.8
-0.5
-4.0
-4.2
-1.3
-0.5
8.1
-6.5
-3.8
-10 -5 0 5 10
36
As of June 30, 2014
GMO 2014
other income.
GMO Emerging Markets Strategy
Inception: 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/IFCI
Composite 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, continuing
recovery 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 in
Taiwans 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 of
2014 and speculation of a change in leadership lifted the market as the current government is seen as prone to micro-managing the
economy. Investors expect the opposition to be less inclined to intervene in state-run companies and more focused on reining in
inflation. 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 party
singlehandedly won a majority of seats, a feat unattained in the last 30 years. Narendra Modi, the newly elected prime minister, is
expected to quickly take concrete steps to boost economic growth. Our underweight in Indian Energy and Industrials hurt
performance.

The Russian stock market continued its run on the back of easing tensions with Ukraine. Russian president Putin asked lawmakers to
revoke his authority to use force in Ukraine - a conciliatory gesture after his meeting with the Ukrainian president. Also helping the
market was a jump in oil prices amid turmoil in Iraq and Syria. A $400 billion contract awarded to energy exporter OAO Gazprom to
supply 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 a
year earlier in May, exceeding expectations. The central bank maintained interest rates at 1.875%. Our overweight in Taiwan IT added
to performance.

The stock market in Turkey rebounded after the ruling party won local elections. Investors read that as a sign that the political crisis
that began last December was coming to an end. The central bank unexpectedly cut its repurchase rate to 9.5% from 10% and floated
the possibility of further rate cuts. Toward the end of the quarter, the stock market gave back some of its gains on political tension in
Iraq, a key trading partner, and on rising oil prices, a driver of its worrisome current account deficit. Our overweight in Turkish
Financials helped performance.

Stock selection was additive to performance with particularly strong selection in China Financials and India Financials.
37
As of June 30, 2014
GMO 2014
GMO Emerging Domestic Opportunities Strategy
Inception: 3/31/11
1
Top Ten Holdings
2,6

4

GICS Sectors
1
other income.
2
3
The Emerging Domestic Opportunities Strategy does not have a benchmark. The Strategy has been compared to the MSCI Emerging Markets Index in an effort to
compare and contrast the Strategy versus a broad emerging markets index. The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or
used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4
2
5
Weights are based on exposure, which will include the impact from hedges held, if any.
6
Strategy.
Sector Weights
6
Region Weights
5,6

Characteristics
6

Strategy 5.60 2.94 5.56 N/A N/A 6.01
Benchmark
3
6.60 6.14 14.31 N/A N/A -0.71
2011 2012 2013
Strategy -8.99 24.33 3.80
Benchmark -20.06 18.22 -2.60
Alpha 6.54 0.00
Beta 0.76 1.00
R
2
0.83 1.00
Sharpe Ratio 0.38 -0.04
Colgate-Palmolive Co. 3.6%
HDFC Bank Ltd. 2.7%
Nestle S.A. 2.5%
Yum! Brands Inc. 2.5%
Lupin Ltd. 2.3%
Abbott Laboratories 2.2%
Copa Holdings S.A. (Cl A) 2.1%
Grupo Financiero Banorte 1.9%
Unilever PLC 1.8%
British American Tobacco 1.8%
Total 23.4%
Return on Equity - Hist 1 Yr Avg 13.9 % 11.8 %
Number of Equity Holdings 126 835
Developed
East Asia
Europe
Latin/South America
Mideast/Africa
South Asia
23.1
-26.0
-5.4
-4.7
-2.8
14.3
1.6
-40 -20 0 20 40
Energy 2.2 10.8
Health Care 7.4 1.8
Industrials 9.8 6.5
Materials 4.2 8.7
Utilities 3.7 3.6
0.1
-1.5
-4.5
-10.8
3.3
5.6
-0.9
-8.6
13.1
4.3
-20 -10 0 10 20
38
As of June 30, 2014
GMO 2014
other income.
The Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the worlds
non-developed markets. The strategy uses fundamental analysis within a structured approach to select countries, sectors, and stocks
that we believe are the most likely to benefit from the rising demand for goods and services in emerging markets.

Emerging markets went on a bull run in the second quarter. Investor sentiment was boosted by the low valuations, continuing
recovery 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 in
Taiwans factory output. Country returns varied over the quarter, ranging from a 15.1% jump in Turkey to a 10.8% drop in Greece.
Domestic demand driven sector returns were all positive and more clustered, varying from a 10.3% leap in Utilities to a more modest
4.1% for Consumer Staples.

The Emerging Domestic Opportunities Strategy rose 5.6% net of fees in the second quarter.

Investor sentiment in Brazil improved with continuing drops in the governments approval rating. Elections are due in October of
2014 and speculation of a change in leadership lifted the market as the current government is seen as prone to micro-managing the
economy. Investors expect the opposition to be less prone to intervene in state-run companies and more focused on reining in
inflation. Our exposure to Brazilian Industrials contributed to performance.

The Indian stock market soared after national elections delivered a much stronger mandate than expected. The winning party
singlehandedly won a majority of seats, a feat unattained in the last 30 years. Narendra Modi, the newly elected prime minister, is
expected to quickly take concrete steps to boost economic growth. Our investments in Indian sectors such as Financials, Health Care,
Industrials, and Consumer Discretionary boosted performance.

The stock market in Qatar was hit hard by the turmoil in Iraq. Also having a significant impact were fears that the countrys right to
host the 2022 soccer World Cup might be at risk. A FIFA panel is looking into the allegations of corruption behind the awarding of
the games. Our holdings in Qatar Financials hurt the portfolio.

Taiwanese stocks were buoyed by rising optimism for the U.S. and Taiwan economies. Taiwans industrial output rose 5.2% from a
year earlier in May, exceeding expectations. The central bank maintained interest rates at 1.875%. Our positions in Taiwan Financials
added to performance.
GMO Emerging Domestic Opportunities Strategy
Inception: 3/31/11
39
As of June 30, 2014
GMO 2014
1

GMO Global Bond Strategy
Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index
1
other income. Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February
2009.
2
The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of
one year or more.
3
2
4
Strategy.
5
Region weights are duration adjusted.
5-Year Risk Profile
3

Currency Weights
4
Region Weights
4,5

Characteristics
4

Strategy 3.07 7.33 8.97 9.22 5.20 6.04
Benchmark
2
2.28 5.05 6.50 3.80 4.96 5.24
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 12.12 -5.84 7.94 2.58 -14.93 20.30 14.14 8.30 6.36 -2.56
Benchmark 10.10 -6.53 5.94 10.81 12.00 1.91 6.42 7.22 1.30 -4.50
Alpha 5.19 0.00
Beta 1.06 1.00
R
2
0.86 1.00
Modified Duration 6.7
Emerging Cntry Debt Exp. 4 %
Maturity 5.8 Yrs.
Agai nst Benchmar k (%)
Emerging
Europe
North America
Pacific
4.4
-4.5
6.1
-17.7
-20 -10 0 10 20
Euro
North America
Pacific
-9.5
16.2
-6.7
-20 -10 0 10 20
40
As of June 30, 2014
GMO 2014
other income.
The Global Bond Strategy returned +3.1% net of fees during the second quarter, outperforming the J.P. Morgan GBI Global index
return of +2.3% by 0.8%. The 16-basis-point fall in the index yield accounted for the bulk of positive index returns.

Against the backdrop of sluggish growth in most developed nations and geopolitical tensions in Iraq and Ukraine/Russia, major
country government bond markets rose for a second consecutive quarter. The yield on the J.P. Morgan Global Bond index fell by 16
basis points, ending the quarter at 1.9%. In local currency bond index terms, gains were the highest in Australia (+3.7%) and Sweden
(+2.8%) and the lowest in Japan (+0.8%). Australian bonds had their best quarter in two years, as the slowing economy and falling
iron ore prices put pressure on the Reserve Bank of Australia to keep rates low. In Sweden, the unemployment rate and Q1 GDP
came in weaker than expected and confidence figures were disappointing, pushing yields down during the quarter and supporting the
case for a Riksbank cut in July. In other bond markets, the euro area, Canada, U.S., U.K., and Switzerland posted total return gains of
+0.9% to +2.3%.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) flattened in Q2, with Australia and the U.K.
flattening the most.

In currencies, foreign currencies were mixed against the dollar during the quarter. Canadian dollar led gains, +3.6%; Canada's
consumer price index rose by 2% from a year ago, casting doubt on a further, near-term interest-rate cut by the Bank of Canada.
Sterling followed, posting +2.6% for the quarter as strong data and hawkish BoE comments boosted the currency. New Zealand
dollar gained +0.9% during the quarter; the Reserve Bank hiked policy rates in two 25-basis-point increments, ending the quarter at
3.25% and signaling no intention of slowing pace of future rate hikes. Conversely, Swedish krona was weak, -3.0%, as weak data fueled
speculation that the Riksbank will cut its target rate in July.

Apart from the New Zealand policy interest rate hikes, the European Central Bank cut rates by 10 basis points, to 0.15%, a historic
low.

Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Fund (DOF) and GMO World Opportunity
Overlay Fund (WOOF) contributed positively during the second quarter, leading gains. Exposure to emerging country debt via the
GMO Emerging Country Debt Fund also contributed positively, followed by gains provided by developed markets interest-rate
positioning.
GMO Global Bond Strategy
Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index
41
As of June 30, 2014
GMO 2014
GMO International Bond Strategy
Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index
1

1
other income.
2
The J.P. Morgan GBI Global ex U.S. Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of one
year or more.
3
2
4
Strategy.
5
5-Year Risk Profile
3

Currency Weights
4
Region Weights
4,5

Characteristics
4

Strategy 3.43 8.80 12.88 9.91 5.92 7.23
Benchmark
2
2.68 6.07 8.92 3.80 5.06 5.72
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 14.88 -8.08 9.33 3.66 -13.95 20.59 15.18 6.71 6.21 -0.57
Benchmark 12.04 -9.24 6.84 11.30 11.39 3.94 6.78 5.91 0.85 -5.08
Alpha 5.89 0.00
Beta 1.06 1.00
R
2
0.89 1.00
Maturity 6.8 Yrs.
Emerging
Europe
North America
Pacific
4.1
-3.6
6.8
-17.6
-20 -10 0 10 20
Euro
North America
Pacific
-10.9
17.1
-6.3
-20 -10 0 10 20
42
As of June 30, 2014
GMO 2014
other income.
The International Bond Strategy returned +3.4% net of fees in the second quarter, outperforming the J.P. Morgan GBI Global ex U.S.
index return of +2.7% by 0.8%. The 17-basis-point fall in the index yield accounted for the bulk of positive index returns.

(+2.8%) and the lowest in Japan (+0.8%). Australian bonds had their best quarter in two years, as the slowing economy and falling iron
ore prices put pressure on the Reserve Bank of Australia to keep rates low. In Sweden, the unemployment rate and Q1 GDP came in
weaker than expected and confidence figures were disappointing, pushing yields down during the quarter and supporting the case for a
Riksbank cut in July. In other bond markets, the euro area, Canada, U.S., U.K., and Switzerland posted total return gains of +0.9% to
+2.3%.


In currencies, foreign currencies were mixed against the dollar during the quarter. Canadian dollar led gains, +3.6%; Canadas
consumer price index rose by 2% from a year ago, casting doubt on a further, near-term interest-rate cut by the Bank of Canada.
Sterling followed, posting +2.6% for the quarter as strong data and hawkish BoE comments boosted the currency. New Zealand dollar
gained +0.9% during the quarter; the Reserve Bank hiked policy rates in two 25-basis-point increments, ending the quarter at 3.25%
and signaling no intention of slowing pace of future rate hikes. Conversely, Swedish krona was weak, -3.0%, as weak data fueled
speculation that the Riksbank will cut its target rate in July.

low.

positioning.
GMO International Bond Strategy
Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index
43
As of June 30, 2014
GMO 2014
GMO Currency Hedged International Bond Strategy
Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) Index
1

1
other income.
2
The J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)+ is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan GBI Global ex U.S.
(Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) thereafter.
3
2
4
Strategy.
5
5-Year Risk Profile
3

Currency Weights
4
Region Weights
4,5

Characteristics
4

Tot al Retur n (%) Aver age Annual Tot al Ret ur n (%)
Strategy 3.00 8.03 8.81 9.88 5.37 7.98
Benchmark
2
2.62 6.12 7.56 5.46 5.38 6.91
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 8.91 7.25 2.45 -4.00 -13.56 18.81 11.70 7.97 11.34 0.14
Benchmark 6.73 6.54 1.79 3.42 9.22 2.90 3.71 6.10 8.07 0.65
Alpha 3.77 0.00
Beta 1.12 1.00
R
2
0.76 1.00
Maturity 6.8 Yrs.
Emerging
Europe
North America
Pacific
4.6
-7.5
9.5
-17.2
-20 -10 0 10 20
Euro
North America
Pacific
-9.0
16.2
-7.2
-20 -10 0 10 20
44
As of June 30, 2014
GMO 2014
other income.
The Currency Hedged International Bond Strategy returned +3.0% net of fees in the second quarter, outperforming the J.P. Morgan
GBI Global ex Japan ex U.S. (Hedged) index total return of +2.6% by 0.4%. The yield of the J.P. Morgan GBI Global ex Japan ex
U.S. (Hedged) index fell by 26 basis points during the quarter.

iron ore prices put pressure on the Reserve Bank of Australia to keep rates low. In Sweden, the unemployment rate and Q1 GDP
+0.9% to +2.3%.


In currencies, foreign currencies were mixed against the dollar during the quarter. Canadian dollar led gains, +3.6%; Canada's
consumer price index rose by 2% from a year ago, casting doubt on a further, near-term interest-rate cut by the Bank of
Canada. Sterling followed, posting +2.6% for the quarter as strong data and hawkish BoE comments boosted the currency. New
Zealand dollar gained +0.9% during the quarter; the Reserve Bank hiked policy rates in two 25-basis-point increments, ending the
quarter at 3.25% and signaling no intention of slowing pace of future rate hikes. Conversely, Swedish krona was weak, -3.0%, as weak
data fueled speculation that the Riksbank will cut its target rate in July.

low.

positioning.
GMO Currency Hedged International Bond Strategy
Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) Index
45
As of June 30, 2014
GMO 2014
GMO Core Plus Bond Strategy
Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index
1

5-Year Risk Profile
3

1
other income.
2
The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one
year and rated investment grade or higher.
3
2
4
Strategy.
5
Currency Weights
4
Region Weights
4,5

Characteristics
4

Strategy 2.59 5.74 6.44 9.90 5.06 6.10
Benchmark
2
2.04 3.93 4.37 4.85 4.93 5.81
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 6.59 3.95 5.76 -1.01 -18.00 20.90 13.24 9.89 9.07 0.07
Benchmark 4.34 2.43 4.33 6.97 5.24 5.93 6.54 7.84 4.22 -2.03
Alpha 3.29 0.00
Beta 1.37 1.00
R
2
0.79 1.00
Maturity 4.5 Yrs.
Emerging
Europe
North America
Pacific
4.7
-7.8
8.7
-17.1
-20 -10 0 10 20
Euro
North America
Pacific
-10.0
17.2
-7.3
-20 -10 0 10 20
46
As of June 30, 2014
GMO 2014
other income.
GMO Core Plus Bond Strategy
Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index
The Core Plus Bond Strategy returned +2.6% net of fees during the second quarter, outperforming the +2.0% return of its
benchmark, the Barclays U.S. Aggregate index, by 0.5%. Tightening sector spreads and falling yields on the long end of the U.S.
Treasury curve contributed positively to index performance.

The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 6 basis points during the quarter, with spreads
tightening by as much as 21 basis points (CMBS) and by as little as 1 basis point (double-A credit).

U.S. interest rates were mixed, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 21
basis points to end the quarter at 2.5%, while 2-year yields rose by 3 basis points to end the quarter at 0.5%.

positioning and developed markets currency selection
47
As of June 30, 2014
GMO 2014
GMO Debt Opportunities Strategy
Inception: 10/31/11; Benchmark: J.P. Morgan U.S. 3 Month Cash Index
1

3

1
other income.
2
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration
of the Index is generally 90 days.
3
4
Strategy.
Country Weights
4

Strategy 1.70 3.19 6.08 N/A N/A 7.84
Benchmark
2
0.08 0.17 0.36 N/A N/A 0.57
2011 2012 2013
Strategy 0.16 11.90 5.76
Benchmark 0.12 0.82 0.40
St r at egy
Std. Deviation 1.85
Sharpe Ratio 4.22
Drawdown
(5/31/13-6/30/13)
-1.23
Australia
Ireland
Other
United Kingdom
United States
0.4
0.3
0.4
0.8
-2.0
-4 -2 0 2 4
48
As of June 30, 2014
GMO 2014
other income.
The Debt Opportunities Strategy returned +1.7% net of fees, outperforming the return of the J.P. Morgan U.S. 3 Month Cash index
by 1.6% for the second quarter.

During the second quarter, asset-backed spreads were flat to tighter across sectors. According to J.P. Morgan, credit card spreads for
five-year triple-B floaters decreased from 90 basis points to 71 basis points, auto loan spreads for three-year triple-B bonds were
unchanged at 120 basis points, and private student loan spreads for seven-year triple-A bonds decreased from 115 basis points to 100
basis points. Prices of the ABX subprime triple-A indexes were flat to up 4% with the lower collateral quality 2007 vintages
performing the best.
GMO Debt Opportunities Strategy
49
As of June 30, 2014
GMO 2014
1
other income.
2
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration
of the Index is generally 90 days.
3
4
Strategy.
1
5-Year Risk Profile
3

Performance Attribution
4
Country Weights
4

GMO Fixed Income Hedge Strategy
Strategy 1.40 5.99 2.51 8.96 N/A -0.34
Benchmark
2
0.08 0.17 0.36 0.53 N/A 2.26
2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.45 -4.61 -23.39 -25.45 21.63 11.03 15.85 10.07 -3.79
Benchmark 1.32 5.25 5.70 4.12 1.45 0.45 0.44 0.82 0.40
St r at egy
Std. Deviation 7.87
Sharpe Ratio 1.13
Drawdown
(4/30/13-8/31/13)
-12.05
Net Cont r i but i on (%)
Cross-Market
Tactical Duration Overlay
Yield Curve
Swaption Volatility
STRIPS vs. LIBOR
Other Opportunistic
Cash Mgmt/ABS/Fees/Other
2.9
0.1
0.0
-0.3
0.0
0.0
-1.3
-4 -2 0 2 4
Net Wei ght (%)
Asia/Pacific
North America
Europe
-160.1
72.8
34.5
-200 -100 0 100 200
50
As of June 30, 2014
GMO 2014
other income.
The Fixed Income Hedge Strategy returned +1.4% net of fees in the second quarter of 2014, outperforming its benchmark, the J.P.
Morgan U.S. 3 Month Cash index, by 1.3%. Cross-market strategies drove gains during the quarter, followed by a small contribution
from tactical duration position. Mortgage spreads and swaption volatility detracted.

iron-ore prices put pressure on the Reserve Bank of Australia to keep rates low. In Sweden, the unemployment rate and Q1 GDP
+0.9% to +2.3%.


In policy actions, the European Central Bank cut rates by 10 basis points, to 0.15%, a historic low.

The cross-market strategy posted gains due to long positions in the U.S., Sweden, and Australia. Short positions in Japan, Switzerland,
and the U.K. detracted, but were unable to fully offset gains. The slope strategy benefited from flattening euro and Swiss curves, but
this was offset by losses from the British pound curve. Opportunistic strategies added value given a steeper forward yield curve in the
U.S. Tactical Duration positioning added value; the strategy was long U.S. duration as U.S. Treasuries rallied.

A mortgage spread widening position detracted as spreads tightened. The swaption volatility strategy also detracted as both implied
and realized volatility continued to remain low in the U.S. interest rate market.

A currency strategy ramped up at the end of the quarter, where a euro short posted a small loss.
GMO Fixed Income Hedge Strategy
51
As of June 30, 2014
GMO 2014
GMO Mean Reversion Strategy
Inception: 2/28/02; Benchmark: Citigroup 3-Month T-Bill Index
1
other income.
2
The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.
3
4
Strategy.
5
Displayed in local 10-year equivalents.
1
5-Year Risk Profile
3

Fixed Income & Inflation Exposure
4,5

Currency Exposure
4
Other Exposure
4

Strategy -0.84 0.06 -4.29 0.30 4.49 7.17
Benchmark
2
0.01 0.02 0.04 0.08 1.54 1.49
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 11.42 6.97 5.63 18.63 18.43 -13.43 -8.61 6.77 5.98 -0.62
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
Equity Exposure
4

St r at egy
Std. Deviation 6.28
Sharpe Ratio 0.03
Drawdown
(1/31/10-12/31/10)
-10.68
Posi t i on Absol ut e %
Euro
Indian Rupee
Emerging Currencies
Commodity Currencies
Israeli New Shekel
Asia Currency Basket
Swiss Francs
16.6
12.4
4.8
-4.8
-9.5
-10.0
-14.3
-20 -10 0 10 20
Credit Opportunies Fund 5.0
-6 -3 0 3 6
AUD 10 Yr. Bonds
Kiwi 10 Yr. Bonds
U.S. 10 Yr. Bonds
Canadian Rates
UK 10 Yr. Bonds
German Bunds
Japanese Interest Rates
30.0
16.8
15.4
-5.0
-5.0
-30.6
-48.5
-80 -40 0 40 80
U.S. Equities
Financials
S&P 500
87.4
15.5
-96.0
-200 -100 0 100 200
52
As of June 30, 2014
GMO 2014
other income.
Mean Reversion Strategy delivered a net return of -0.8% during the second quarter of 2014. Both stocks and bonds delivered positive
performance during the quarter with the S&P 500 up +5.2%, MSCI EAFE up +4.1%, MSCI Emerging Markets up +6.6%, and
Barclays U.S. Aggregate up +2.0%.

The most significant performance driver for the quarter was the Quality vs. S&P 500 spread trade, which contributed -1.0% as high
quality stocks underperformed the broader U.S. equity market during the quarter. This negative performance was partially offset by
the anti-China trade, which contributed +0.5% as China underperformed the broader Emerging Markets universe during the quarter.

Our bond positions added value during the quarter. It was a good quarter for bonds globally, with 10-year U.S. Treasury yields falling
0.2% and German Bunds yields down 0.3%. Australia and New Zealand bonds experienced a strong rally with yields on their 10-year
bonds down 0.5% and 0.2%, respectively. Our long Australia and New Zealand trade added about +0.5% during the quarter. JGBs
trailed in the rally with only a marginal drop in yields; our short position relative to global bonds added +0.2%. The short German
Bunds position detracted from performance by -0.2%; we increased this position during the month.

The currency positions had a negative impact on performance during the quarter. The rupee was up during the quarter, but did not
keep up with Asian currencies; that trade detracted 0.2%. The Israeli shekel strengthened during the quarter; our short detracted 0.2%
from performance. The Australian, New Zealand, and Canadian dollars all strengthened; our commodity currency short position
detracted 0.1%. Both the Chinese yuan short and the euro/Swiss franc trade detracted marginally from performance during the
quarter.

Credit Opportunities was up +3.1% during the second quarter, contributing positively to overall performance.

We continue to be concerned about the credit and fixed asset bubble in China, however China is not the only emerging market that is
overextended on credit. Further, Chinese stocks are not particularly expensive; in fact, many stocks that we might short for the anti-
China trade currently appear cheap based on traditional valuation measures. For these reasons, we closed out our anti-China equity
trade and our short position in the Chinese yuan during the quarter. Both of those positions have contributed positively to strategy
performance year to date with the anti-China trade adding +0.7% and the Chinese yuan short adding +0.5%.
GMO Mean Reversion Strategy
53
As of June 30, 2014
GMO 2014
GMO Systematic Global Macro Strategy
1
other income.
2
3
4
Strategy.
1
5-Year Risk Profile
3

Bond Market Selection
4

Currency Selection
4

Commodity Markets
4

Equity Market Selection
4

Strategy -0.67 1.41 4.79 7.11 6.71 7.34
Benchmark
2
0.01 0.02 0.04 0.08 1.54 1.49
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.33 4.63 8.39 15.06 -3.88 15.28 10.37 5.79 0.73 9.58
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
St r at egy
Std. Deviation 6.65
Sharpe Ratio 1.06
Drawdown
(5/31/10-7/31/10)
-5.61
Count r y Net Wei ght (%)
United Kingdom
Italy
MSCI Emerging
Taiwan
Netherlands
France
Singapore
VIX
Australia
Japan
Net Equity Markets
24.5
20.0
19.5
15.0
11.0
5.0
5.0
-2.3
-2.5
-38.0
57.3
-80 -40 0 40 80
Count r y Net Wei ght (%)
United States
Asset Backed
Japan
Net Bond Markets
30.0
0.9
-50.0
-19.1
-60 -30 0 30 60
Cur r ency Net Wei ght (%)
U.S. Dollar *
Swedish Krona
Canadian Dollar
Net Cash **
20.0
-5.0
-15.0
-36.9
-60 -30 0 30 60
Commodi t y Net Wei ght (%)
Soybeans
Natural Gas
Cattle
Cocoa
Cotton
Crude Oil
Heating Oil
Corn
Wheat
Hogs
Soy Oil
Copper
Gasoline
Gold
Net Commodity
13.3
5.0
3.3
2.5
2.5
0.8
-0.3
-1.5
-1.5
-2.0
-2.5
-5.0
-5.8
-10.0
-1.3
-20 -10 0 10 20
54
As of June 30, 2014
GMO 2014
other income.
The Systematic Global Macro Strategy returned -0.7% net of fees over the June quarter on negative market selection.

Commodity market selection cost 1.4%, due mostly to a long position in soybeans, which fell 8.6% in the month of June. Long
positions in natural gas and cotton also lost value. Equity market selection cost 1.2% as our largest short position in Japan advanced
2.3%, outperforming a large long position in Italy. Currency selection cost 1.1% as the Canadian and Australian dollars, held short,
advanced against the greenback.

Asset allocation was positive. With global equity markets advancing 4.9% (as measured by the MSCI World Net Returns Index in
USD), our net long equity markets allocation contributed 2.3% to portfolio return. Other positions that added value included short
positions in Japanese bonds and VIX futures.

The strategy holds a net long exposure to equity markets, favoring attractively priced European markets and emerging markets. We
hold a meaningful net short bond allocation, positioned to profit from U.S. bonds outperforming Japanese bonds. The strategy is long
the U.S. dollar against the Canadian dollar. In commodities we hold long positions in agriculture, offset by short positions in metals.
GMO Systematic Global Macro Strategy
55
As of June 30, 2014
GMO 2014
GMO Tactical Opportunities Strategy
1
other income.
2
3
Strategy. Exposure information is not normalized and shown as a percent of total net assets.
4
1

5-Year Risk Profile
4
Characteristics
3

Sector Exposure
3
Region Weights
3

GICS Sectors
Strategy -5.01 -7.51 -14.93 -12.25 N/A -7.22
Benchmark
2
0.01 0.02 0.04 0.08 N/A 1.55
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy -7.57 -13.24 -1.65 17.87 36.52 -41.60 -25.31 27.51 -18.36 -9.64
Benchmark 0.44 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
Sect or Net Wei ght Long Shor t
Energy 7.2 20.1
Financials 0.0 14.3
Materials 1.4 12.5
Utilities 0.0 13.1 -13.1
-3.0
-11.1
28.5
-5.1
18.0
-14.3
-12.9
29.7
-19.5
-40 -20 0 20 40
St r at egy
Std. Deviation 18.25
Sharpe Ratio -0.68
Drawdown
(6/30/09-6/30/14)
-47.96
Long Shor t
P/E - Ex Neg Earn Hist 1 Yr Wtd Med 19.6 x 25.1 x
% Negative Earnings 1.2 % 38.1 %
Debt/Equity Wtd Med 0.5 x 1.5 x
% Long/Short 137 % 140 %
Regi on Net Wei ght
U.S.
Non-U.S.
14.5
-17.2
-20 -10 0 10 20
56
As of June 30, 2014
GMO 2014
other income.
The Tactical Opportunities Strategy lost 5.0% net of fees in the second quarter of 2014. The positive contributions from the long
portfolio failed to offset the negative impacts of the short portfolio in the second quarter.

Quality stocks underperformed the broad market (S&P 500) in the second quarter while the market favored companies with higher
fundamental volatility and price volatility over companies with low fundamental volatility and price volatility.

Large cap stocks lost to the broad market both within quality and the larger universe yet outperformed small cap stocks. The
components of quality - low leverage, stable and high profits - had mixed results for the quarter. Low leverage and high profitability
were a push with the broad market, while low profit volatility decidedly underperformed.

In the long portfolio, U.S. high quality stocks underperformed non-U.S. high quality stocks. The top contributors in the long portfolio
were Health Care, Consumer Staples, and Information Technology. The top individual stocks contributing to returns were Apple,
AstraZeneca, and Cisco Systems.

The only detracting sector for the quarter was Consumer Discretionary, which posted modest negative returns. Oracle, Express
Scripts, and IBM detracted the most in their respective sectors.

The opposite was seen in the short portfolio, with all sectors detracting from performance. Short exposure within Energy followed by
Consumer Discretionary caused the majority of the negative returns for the quarter.

The strategys average net exposure for the quarter remained neutral.
GMO Tactical Opportunities Strategy
57
As of June 30, 2014
GMO 2014
GMO Total Equities Strategy
1
other income.
2
3
Strategy.
4
Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets.
1

Exposure
3,4

Strategy 2.53 3.68 17.12 6.87 3.54 6.59
Benchmark
2
0.01 0.02 0.04 0.08 1.54 1.77
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.07 3.56 -1.90 -5.37 14.26 -7.47 3.51 0.40 8.64 17.49
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
By St r at egy (%)
Equities
Merger Arbitrage
Volatility
Other
Total
41.8
37.4
20.8
0.0
100.0
By Regi on (%)
U.S.
Non-U.S.
Total
52.5
47.5
100.0
58
As of June 30, 2014
GMO 2014
other income.
GMO Total Equities Strategy
Global equities posted strong gains during the second quarter, as the potent combination of improving economic growth and
continued stimulus from central banks around the globe gave investors cause for optimism. While geopolitical concerns remained a
prominent story, headlined this quarter by sectarian violence in Iraq, they weren't enough to deter investor appetite for equity risk. The
MSCI ACWI index quarterly return of +5.0% was driven by broad gains across the global equity market. Japanese and emerging
market equities led the pack, with the MSCI Japan index gaining 6.7% and the MSCI Emerging Markets index adding 6.6% during the
quarter. U.K. equities were similarly strong, with the MSCI U.K. index returning +6.1%. The U.S. market, as measured by the S&P
500, returned +5.2%, while the MSCI Europe index gained 3.3%.

The Total Equities Strategy returned +2.5% net of fees for the period, with the majority of the positive absolute result driven by
exposure to Equities and Volatility.

Our equities strategies posted a +4.9% return for the period, a result that modestly trailed the MSCI ACWI index.

Our volatility strategies posted a +3.3% return for the quarter while merger arbitrage delivered a +0.7% return for the period.
59
Full Name Description
Barclays U.S. Aggregate Index The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues
having a maturity of at least one year and rated investment grade or higher.
Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S.
Treasury bills.
CPI Index The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of
changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.
GMO Blended Global All
Country Equity Allocation
Index
The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding
tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or
used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
GMO Blended Global Asset
Allocation Index
The blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or
some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will
vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
GMO Blended Global
Developed Equity Allocation
Index
The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for
each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The
index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other
GMO Blended International
All Country Equity Allocation
Index
The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series,
net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting
of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
GMO Blended International
Developed Equity Allocation
Index
The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like
proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly.
The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other
GMO Blended Real Return
Global Balanced Asset
Allocation Index
The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays
Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly
basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved
this report, and has no liability hereunder.
GMO Blended U.S. Equity
Allocation Index
The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all
trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure,
copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the
formatting or configuration of this material or for any inaccuracy in GMOs presentation thereof.
GMO Tax-Managed Global
Balanced Index
The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World
Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability
hereunder.
J.P. Morgan GBI Global The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of
developed countries with maturities of one year or more.
J.P. Morgan GBI Global ex
Japan ex U.S. (Hedged) +
The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO, comprised
of (i) the J.P. Morgan GBI Global ex U.S. (Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)
thereafter.
J.P. Morgan GBI Global ex-
U.S. Index
The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S.
government bonds with maturities of one year or more.
J.P. Morgan U.S. 3 Month Cash
Index
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S.
dollar Euro-deposits. The duration of the Index is generally 90 days.
Benchmarks and Indices
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no
strategy is managed as an index strategy or index-plus strategy. Actual composition of a strategys portfolio may differ to
varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and expenses. One cannot invest
directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is
shown in the strategys prospectus. GMO may change a strategys benchmark from time to time.
60
Full Name Description
MSCI ACWI The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and
widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other
MSCI ACWI Commodity
Producers
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of listed large and mid capitalization commodity producers within the
global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI EAFE Index The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently
maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced
or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
Russell 3000 Index The Russell 3000 Index is an independently maintained and widely published index comprised of the stocks of the 3,000 largest U.S.
companies based on total market capitalization. These companies represent approximately 98% of the total market capitalization of the
U.S. equity market. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the
Russell Indexes. Russell is a trademark of Russell Investment Group.
S&P 500 Index The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does
not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or
omissions from the use of such data or information. Reproduction of the data or information in any form is prohibited except with the
prior written permission of S&P or its third party licensors.
S&P Developed ex-U.S. Small
Cap Index
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small
capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed
and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P
Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country.
S&P/IFCI Composite Index The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks.
S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not responsible for any
errors or omissions from the use of such data or information. Reproduction of the data or information in any form is prohibited except
with the prior written permission of S&P or its third party licensors.
61

GMO Quarterly Update Q2 2014

Enviado por

Dados do documento

Direitos autorais

Formatos disponíveis

Compartilhar este documento

Compartilhar ou incorporar documento

Opções de compartilhamento

Você considera este documento útil?

Este conteúdo é inapropriado?

Direitos autorais:

Formatos disponíveis

GMO Quarterly Update Q2 2014

Enviado por

Direitos autorais:

Formatos disponíveis

GMO offers institutionally-oriented global investment strategies.

For client inquiries, please contact your Client Relationship

Você também pode gostar