1q 2015 Gmo Quarterly Update

GMOQuarterlyUpdate March31,2015
GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship Manager.Fornewbusinessinquiries,please
contactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.com
Thisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.
40RowesWharf|Boston,Massachusetts02110
(617)3307500| www.gmo.com
GMOLLC2015
GMOCapabilities
March31,2015
GMOMultiAssetClass
BenchmarkFreeAllocation
GlobalAllocationAbsoluteReturn
GlobalAssetAllocation
RealReturnGlobalBalancedAssetAllocation
TaxManagedGlobalBalanced
Page
4
6
8
10
12
GMOGlobalEquities
GlobalAllCountryEquityAllocation
GlobalDevelopedEquityAllocation
GlobalFocusedEquity
Quality
Resources
Page
14
16
18
20
22
GMOInternationalEquities
InternationalAllCountryEquityAllocation
InternationalDevelopedEquityAllocation
TaxManagedInternationalEquities*
InternationalEquity
InternationalActiveEAFE
InternationalActiveForeignSmallCompanies
InternationalSmallCompanies*
Page
24
26
GMOU.S.Equities
U.S.EquityAllocation
Page
34
28
30
32
GMOEmergingEquities
EmergingMarkets
EmergingCountries*
EmergingDomesticOpportunities
Page
36
GMOFixedIncome
GlobalBond
InternationalBond
CurrencyHedgedInternationalBond
CorePlusBond
EmergingCountryDebt*
EmergingCountryLocalDebt*
DebtOpportunities
Page
40
42
44
46
GMOAbsoluteReturn
EmergingCountryDebtLong/Short*
FixedIncomeHedge
MeanReversion
SystematicGlobalMacro
TacticalOpportunities
TotalEquities
MultiStrategy*
Page
38
48
50
52
54
56
58
*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnot
includedinthisdocument.ForinformationpleasecontactGMO.
PerformanceofGMOStrategiesandBenchmarks
March31,2015
1Q
2015
1.35
0.17
TotalReturnNetofFees
YTD
YTDValue
2015
Added
1.35
1.52
0.17
One
Year
1.44
0.04
AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
6.10
7.51
10.47
1.60
2.01
2.10
GMOMultiAssetClassStrategies
BenchmarkFreeAllocation
CPI
Inception
7/31/01
GlobalAllocationAbsoluteReturn
CPI
7/31/01
0.92
0.17
0.92
0.17
1.09
1.56
0.04
5.59
1.60
6.79
2.01
9.16
2.10
GlobalAssetAllocation
GMOGlobalAssetAllocation+
6/30/88
1.24
2.13
1.24
2.13
0.89
0.76
5.61
6.71
7.67
6.25
5.90
9.55
8.13
RealReturnGlobalBalancedAssetAllocation
GMORealReturnGlobalBalancedAABlended+
6/30/04
0.98
1.77
0.98
1.77
0.79
1.06
4.83
6.77
7.07
6.29
5.41
6.86
5.67
TaxManagedGlobalBalanced
GMOTaxManagedGlobalBalancedIndex
12/31/02
2.02
1.89
2.02
1.89
0.13
2.40
5.40
6.24
7.57
5.74
5.81
7.56
7.14
GMOGlobalEquityStrategies
GlobalAllCountryEquityAllocation
MSCIACWI++
Inception
12/31/93
1Q
2015
2.93
2.31
YTD
2015
2.93
2.31
YTDValue
Added
0.62
One
Year
0.17
5.42
Five
Year
8.68
9.30
Ten
Year
6.94
6.41
Since
Inception
8.99
7.47
GlobalDevelopedEquityAllocation
MSCIWorld+
3/31/87
3.10
2.31
3.10
2.31
0.79
0.82
6.03
9.63
10.01
6.79
6.39
9.36
7.47
GlobalFocusedEquity
MSCIACWI
12/31/11
2.71
2.31
2.71
2.31
0.40
1.34
5.42
Quality
S&P500
2/29/04
0.42
0.95
0.42
0.95
0.53
10.78
12.73
Resources
MSCIACWICommodityProducers
12/31/11
1.14
4.39
1.14
4.39
3.25
18.67
18.52
GMOInternationalEquityStrategies
InternationalAllCountryEquityAllocation
MSCIACWIexUSA+
Inception
2/28/94
1Q
2015
3.54
3.49
YTD
2015
3.54
3.49
YTDValue
Added
0.05
One
Year
4.68
1.04
Five
Year
5.34
4.84
Ten
Year
5.69
5.40
Since
Inception
7.36
5.64
InternationalDevelopedEquityAllocation
MSCIEAFE++
11/30/91
4.40
4.88
4.40
4.88
0.48
4.95
0.92
7.03
6.16
5.55
5.14
8.17
6.34
InternationalEquity
MSCIEAFE+
MSCIEAFE
3/31/87
4.36
4.88
4.88
4.36
4.88
4.88
0.52
5.02
0.31
0.92
5.89
5.83
6.16
4.37
4.51
4.95
7.98
7.08
5.36
InternationalActiveEAFE
MSCIEAFE
5/31/81
5.68
4.88
5.68
4.88
0.80
5.00
0.92
4.55
6.16
3.99
4.95
11.60
8.95
Int'l.ActiveForeignSmallCompanies
S&PDevelopedexU.S.SmallCap
1/31/95
6.52
4.43
6.52
4.43
2.09
6.49
2.76
8.91
8.53
8.04
6.91
11.00
7.27
GMOU.S.EquityStrategies
U.S.EquityAllocation
Russell3000+++
Inception
2/28/89
1Q
2015
0.57
1.80
YTD
2015
0.57
1.80
YTDValue
Added
1.23
One
Year
8.15
12.75
Five
Year
12.86
14.64
Ten
Year
6.77
8.23
Since
Inception
10.69
10.33
14.72
13.76
13.03
14.47
7.52
8.01
6.87
7.68
1.95
4.57
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Copyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written
permission from GMO.
PerformanceofGMOStrategiesandBenchmarks
March31,2015
GMOEmergingEquityStrategies
EmergingMarkets
S&P/IFCIComposite
MSCIEmergingMarkets
Inception
12/31/93
EmergingDomesticOpportunities
MSCIEmergingMarkets
3/31/11
GMOFixedIncomeStrategies
GlobalBond*
J.P.MorganGBIGlobal
Inception
12/31/95
InternationalBond
J.P.MorganGBIGlobalexU.S.
1Q
2015
0.21
2.15
2.24
TotalReturnNetofFees
YTD
YTDValue
2015
Added
0.21
1.94
2.15
2.24
One
Year
2.86
1.65
0.44
AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
0.06
6.47
7.21
2.58
9.41
5.77
1.75
8.48
5.16
3.74
2.24
3.74
2.24
1.50
6.10
0.44
4.98
2.05
1Q
2015
2.33
1.79
YTD
2015
2.33
1.79
YTDValue
Added
0.54
One
Year
1.54
3.73
Five
Year
5.19
1.98
Ten
Year
3.69
3.43
Since
Inception
5.55
4.70
12/31/93
4.70
4.08
4.70
4.08
0.62
8.22
9.50
4.42
0.63
3.38
2.69
6.37
4.89
CurrencyHedgedInternationalBond
J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+
9/30/94
3.15
3.83
3.15
3.83
0.68
14.66
13.56
8.92
6.59
5.65
5.76
8.24
7.18
CorePlusBond
BarclaysU.S.Aggregate
4/30/97
1.17
1.61
1.17
1.61
0.44
7.29
5.72
7.53
4.41
4.97
4.93
6.10
5.77
DebtOpportunities
J.P.MorganU.S.3MonthCash
10/31/11
0.62
0.09
0.62
0.09
0.53
3.49
0.35
GMOAbsoluteReturnStrategies
FixedIncomeHedge
J.P.MorganU.S.3MonthCash
Inception
8/31/05
1Q
2015
5.95
0.09
YTD
2015
5.95
0.09
YTDValue
Added
6.04
One
Year
10.03
0.35
Five
Year
8.33
0.50
Ten
Year
Since
Inception
0.54
2.11
MeanReversion
Citigroup3Mo.TBill
2/28/02
2.69
0.01
2.69
0.01
2.70
8.12
0.03
0.58
0.07
2.22
1.41
6.13
1.40
SystematicGlobalMacro
Citigroup3Mo.TBill
3/31/02
6.26
0.01
6.26
0.01
6.25
8.70
0.03
6.50
0.07
7.48
1.41
7.64
1.40
TacticalOpportunities
Citigroup3Mo.TBill
9/30/04
7.58
0.01
7.58
0.01
7.59
7.42
0.03
6.37
0.07
7.02
1.41
6.95
1.44
TotalEquities
Citigroup3Mo.TBill
9/30/00
3.29
0.01
3.29
0.01
3.28
0.63
0.03
5.75
0.07
2.36
1.41
6.01
1.68
6.62
0.52
* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
GMOBenchmarkFreeAllocationStrategy
March31,2015
STRATEGYPROFILE
PERFORMANCENETOFFEES
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,6.9
U.S.OpportunisticValue,2.7
EuropeValue, 9.8
Japan,2.4
EmergingMarkets, 17.8
MergerArbitrage,5.4
SpecialOpportunity,3.1
Systematic GlobalMacro,5.1
InterestRates& FX,21.1
AssetBacked Securities,4.0
EmergingDebt,4.6
AlphaOnly,10.1
Cash&CashEquiv.,7.0
80
60
40
20
0
U.S.Equity
Intl.DevelopedEquity
EmergingEquity
AlternativeStrategies
FixedIncome
AbsoluteReturn
1Q2015
YTD2015
AnnualTotalReturn(%)
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Cash
EquityRegionalWeights(%)
Emerging
44.4
EuropeexUK
14.5
Japan
OtherInternational
6.0
12
10
8
6
4
2
0
10.1
UnitedStates
24.0
EquityCharacteristics
Strategy
Price/EarningsHist1YrWtdMed
15.6 x
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed
9.5 %
Strategy
6.30
0.96
Drawdown
(3/31/106/30/10)
1.60
1.44
2.10
2.01
0.04
5YR
10YR
Strategy
Benchmark
ITD
ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocation
Composite(theComposite).PriortoJanuary1,2012,theaccountsinthe
Compositeservedastheprincipalcomponentofabroaderrealreturnstrategy.
BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasa
standaloneinvestment.
5.91
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.
2.1 years
5.7%
71.5%
1.7%
7.7%
7.51
6.10
Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
2.9 %
Std.Deviation
SharpeRatio
BB
B
<B
NR
6.0%
2.7%
4.2%
0.6%
The groups indicated above represent exposures determined pursuant to

proprietary methodologies and are subject to change over time.
Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
2
(617)3307500| www.gmo.com
GMOLLC2015
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45
$33.2
DividendYieldHist1YrWtdAvg
BondPortfolio
BondPortfolioDuration
CreditRatings
AAA
AA
A
BBB
1.31
11.24
10.35
3.60
4.58
19.86
12.07
10.93
12.75
16.32
10.47
1YR
1.4 x
MarketCapWeightedMedian$Bil
5YearRiskProfile
Benchmark
0.17
0.17
AnnualizedReturn(%)
1.0
UnitedKingdom
Strategy
1.35
1.35
GMOBenchmarkFreeAllocationStrategy
March31,2015
QUARTERLYATTRIBUTION
(617)3307500| www.gmo.com
GMOLLC2015
GMOGlobalAllocationAbsoluteReturnStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,10.6
EuropeValue, 11.6
Japan,3.6
OtherInt'l.OpportunisticValue,1.1
RiskPremium,2.1
SpecialOpportunity,3.1
SystematicGlobalMacro,3.6
Interest Rates&FX,19.8
EmergingDebt,4.6
AlphaOnly,1.4
Multi Strategy,20.0
Cash&Cash Equiv.,1.5
80
60
40
20
0
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
1Q2015
YTD2015
Emerging
Cash
29.6
9.0
UnitedStates
Strategy
Price/EarningsHist1YrWtdMedian
10.7 %
$30.1
2
Strategy
5.57
0.99
Drawdown
(3/31/106/30/10)
3
2.4 years
BB
B
<B
NR
5YR
10YR
Strategy
Benchmark
ITD
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.
4.95
5.2%
71.4%
1.6%
8.0%
2.10
2.01
0.04
3.1 %
Std.Deviation
SharpeRatio
1.60
1.56
1YR
1.6 x
5.59
16.6 x
6.79
30.1
CreditRatings
AAA
AA
A
BBB
9.16
10
2.1
UnitedKingdom
6.2%
2.8%
4.2%
0.7%

2
(617)3307500| www.gmo.com
GMOLLC2015
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
3.45
AnnualizedReturn(%)
8.9
OtherInternational
BondPortfolio
1.80
10.04
9.42
4.22
3.02
14.92
7.19
9.99
11.01
13.54
20.4
Japan
5YearRiskProfile
Benchmark
0.17
0.17
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
EuropeexUK
Strategy
0.92
0.92
GMOGlobalAllocationAbsoluteReturnStrategy
March31,2015
Perform ance (%)
Equity
Alts
Bonds
Cash
Net of Fees, USD (Rep Account)
+0.93
Gross of Fees, USD (Rep Account)
+1.18
CPI Index (prelim through most recent month-end)
-0.41
Value Added
+1.59
Equity
Alts
Bonds
Cash
(617)3307500| www.gmo.com
GMOLLC2015
GMOGlobalAssetAllocationStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,13.4
EuropeValue, 17.7
Japan,5.5
Risk Premium,2.7
SystematicGlobalMacro, 3.1
InterestRates&FX,20.2
EmergingDebt,4.6
AlphaOnly,7.0
Cash&CashEquiv.,5.7
80
60
40
20
0
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Cash
Emerging
22.8
10.4
EuropeexUK
Japan
2.4
OtherInternational
UnitedKingdom
10.5
7.7
24.0
16.0
29.7
UnitedStates
12
10
8
6
4
2
0
51.6
Benchmark
Strategy
Benchmark
16.7 x
19.7 x
1.6 x
2.2 x
10.9 %
14.9 %
$34.9
5YearRiskProfile
3.1 %
Strategy
0.12
0.86
0.93
0.82
8.14
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
$39.7
Benchmark
0.00
1.00
1.00
0.83
9.13
2.3 years
BB
B
<B
NR
5.61
6.71
8.13
7.67
6.25
5.90
0.76
5YR
10YR
Strategy
Benchmark
ITD
TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmark
computedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAsset
AllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAsset
Allocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAsset
AllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;
manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandard
IndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
weightingofeachmarketindexwillvaryslightly.Theindexisinternallyblendedby
GMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)
IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof
65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and
35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
preparedorapprovedthisreport,andhasnoliabilityhereunder.
6.3%
2.7%
4.7%
0.7%

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2
(617)3307500| www.gmo.com
GMOLLC2015
4.87
13.60
12.13
1.80
11.05
24.14
27.72
9.26
13.41
5.99
2.4 %
6.4%
69.0%
1.9%
8.2%
1.24
12.38
11.11
2.13
7.93
24.15
20.83
7.94
12.30
9.06
9.55
1YR
BondPortfolio
CreditRatings
AAA
AA
A
BBB
Benchmark
2.13
2.13
AnnualizedReturn(%)
7.5
10.5
6.9
Strategy
Strategy
1.24
1.24
1Q2015
YTD2015
GMOGlobalAssetAllocationStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
GMORealReturnGlobalBalancedAssetAllocationStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,12.6
EuropeValue, 15.5
Japan,4.8
80
60
20
0
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
InterestRates&FX,16.1
AssetBackedSecurities,2.8
EmergingDebt,3.3
40
MultiStrategy,29.0
Cash&CashEquiv.,0.6
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
Cash
Emerging
24.9
0.0
EuropeexUK
Japan
OtherInternational
UnitedKingdom
2.3
10.0
8.6
22.8
17.8
8.4
10
7.7
UnitedStates
Strategy
8
30.1
57.6
Strategy
Benchmark
16.6 x
20.1 x
1.6 x
2.3 x
10.9 %
15.1 %
$33.2
7.07
6.86
6.29
5.67
5.41
4.83
3.1 %
Strategy
0.88
0.83
0.88
0.89
7.50
1.06
0
1YR
$45.4
5YR
10YR
Strategy
Benchmark
ITD
2.4 %
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Benchmark
0.00
1.00
1.00
0.83
8.48
TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isan
internallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationComposite
through06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholding
tax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
GMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprised
of60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),
20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.
TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
2.3 years
CreditRatings
AAA
5.3%
BB
5.8%
AA
72.7%
B
2.6%
A
1.6%
<B
4.0%
BBB
7.4%
NR
0.6%
1 The groups indicated above represent exposures determined pursuant to
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
(617)3307500| www.gmo.com
GMOLLC2015
4.22
14.95
10.42
1.76
8.94
19.17
25.17
7.87
13.69
6.82
BondPortfolio
2.00
13.68
10.65
3.16
5.00
13.02
11.36
7.63
13.26
8.09
6.77
5YearRiskProfile
Benchmark
1.77
1.77
AnnualizedReturn(%)
Benchmark
Strategy
0.98
0.98
1Q2015
YTD2015
10
GMORealReturnGlobalBalancedAssetAllocationStrategy
March31,2015
Perform ance (%)
Net of Fees, USD
Equity
Bonds
Cash
+0.98
Gross of Fees, USD (Rep Account)
+1.23
GMO Real Return Global Balanced Asset Allocation Blended Ind
+1.77
Value Added
-0.54
Equity
Bonds
Cash
(617)3307500| www.gmo.com
GMOLLC2015
11
GMOTaxManagedGlobalBalancedStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,13.1
EuropeValue, 16.2
Japan,4.1
RiskPremium,2.6
EmergingCountryDebt,2.0
80
60
40
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
MunicipalBonds,34.1
20
0
MultiStrategy,13.3
Cash&CashEquiv.,0.9
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
Cash
Emerging
EuropeexUK
Japan
OtherInternational
UnitedKingdom
23.4
10.4
1.2
8.4
7.7
16.0
5.40
6
4
33.0
51.6
6.24
7.56
5.74
7.14
5.81
2.40
Benchmark
Strategy
17.2 x
19.7 x
10.7 x
13.9 x
1.7 x
2.2 x
13.1 %
14.9 %
$34.2
2.8 %
Strategy
0.24
0.85
0.96
0.83
7.39
10YR
Strategy
Benchmark
ITD
TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputed
benchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCI
standardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(6
8)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasno
liabilityhereunder.
$39.7
2.4 %
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
5YR
Benchmark
Price/CashFlowHist1YrWtdMedian
Benchmark
0.00
1.00
1.00
0.89
8.46

(617)3307500| www.gmo.com
GMOLLC2015
5.02
12.78
11.47
0.27
9.99
23.90
25.89
7.12
12.95
5.91
2
1YR
5YearRiskProfile
2.02
10.86
9.71
1.34
6.88
14.29
14.95
7.16
12.08
9.91
7.57
UnitedStates
Benchmark
1.89
1.89
AnnualizedReturn(%)
26.0
7.5
8.0
6.9
Strategy
Strategy
2.02
2.02
1Q2015
YTD2015
12
GMOTaxManagedGlobalBalancedStrategy
March31,2015
Performance(%)
NetofFees,USD(RepAccount)
Equity
Alts
Bonds
Cash
+2.00
GrossofFees,USD(RepAccount)
+2.25
TaxManagedGlobalBalancedIndex
+1.89
ValueAdded
+0.36
Equity
Alts
Bonds
Cash
(617)3307500| www.gmo.com
GMOLLC2015
13
GMOGlobalAllCountryEquityAllocationStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,29.3
80
60
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
EuropeValue, 31.8
40
Japan,9.9
Cash&CashEquiv.,1.2
20
0
U.S.Equity
EmergingEquity
Cash
TopCountryWeights(%)
33.8
UnitedStates
Japan
UnitedKingdom
France
Germany
5YearRiskProfile
51.6
9.9
7.7
9.9
6.9
7
2
Strategy
0.26
0.90
0.96
0.65
13.17
Benchmark
0.00
1.00
1.00
0.65
14.24
Strategy
Benchmark
16.9 x
19.7 x
1.6 x
2.2 x
12.1 %
14.9 %
$40.2
9.30
8.99
6.94
5.42
7.47
6.41
3.0 %
0.17
0
1YR
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIACWI++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquity
AllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMO
blendedbenchmarkofGlobalAllCountryEquityAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndex
Series,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
$39.7
2.4 %
Country
UnitedKingdom
France
UnitedStates
UnitedStates
UnitedKingdom
4.17
23.46
16.34
6.87
12.94
34.45
41.82
10.38
20.34
9.95
Characteristics
Sector
%ofEquity
Energy
2.0
Energy
2.0
HealthCare
1.9
ConsumerDiscretiona
1.7
Energy
1.7
9.3

3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
(617)3307500| www.gmo.com
GMOLLC2015
8.68
Benchmark
TopHoldings
Company
RoyalDutchShell
TotalS.A.
ExpressScriptsHldg.
Amazon.comInc.
BPPLC
Total
0.69
21.33
14.74
1.29
10.12
24.19
31.41
11.12
18.87
12.51
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Benchmark
2.31
2.31
AnnualizedReturn(%)
10
3.4
5.8
3.3
Strategy
Strategy
2.93
2.93
1Q2015
YTD2015
14
GMOGlobalAllCountryEquityAllocationStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
15
GMOGlobalDevelopedEquityAllocationStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
80
U.S.Quality,31.8
60
40
EuropeValue, 37.5
20
Japan,11.7
Cash&CashEquiv.,1.3
0
U.S.Equity
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
EmergingEquity
Cash
36.6
UnitedStates
UnitedKingdom
France
Strategy
12
10
8
6
4
2
0
Benchmark
Strategy
0.44
0.92
0.96
0.73
13.16
Benchmark
0.00
1.00
1.00
0.71
14.06
Strategy
Benchmark
17.3 x
20.1 x
1.7 x
2.3 x
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
12.4 %
$52.0
2.9 %
10.01
9.36
6.79
6.03
7.47
6.39
0.82
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIWorld+Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCI
StandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofa
weightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)or
somelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.Theindexis
internallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.
15.1 %
$45.4
2.4 %
Sector
%ofEquity
Energy
2.3
Energy
2.3
HealthCare
2.1
Energy
2.0
ConsumerDiscretiona
2.0
10.7

(617)3307500| www.gmo.com
GMOLLC2015
4.94
26.68
15.84
5.52
11.77
29.97
40.70
9.02
20.05
9.42
TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
ExpressScriptsHldg. UnitedStates
BPPLC
UnitedKingdom
NissanMotorCo.Ltd. Japan
Total
0.32
25.82
14.14
0.40
9.25
20.55
33.19
9.69
20.22
12.26
9.63
1YR
Characteristics
Benchmark
2.31
2.31
AnnualizedReturn(%)
3.8
6.9
3.7
Germany
5YearRiskProfile
57.6
11.7
8.6
11.6
7.7
8.3
Japan
Strategy
3.10
3.10
1Q2015
YTD2015
16
GMOGlobalDevelopedEquityAllocationStrategy
March31,2015
Performance(%)
U.S.
Intl
EM
+2.77
+2.62
MSCIWorld
+2.31
ValueAdded
+0.31
U.S.
Intl
EM
(617)3307500| www.gmo.com
GMOLLC2015
17
GMOGlobalFocusedEquityStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
Strategy
2.71
2.71
Underweight/OverweightAgainstIndex
Australia/NewZealand
Canada
0.2
Emerging
3.2
EuropeexUK
2.1
Japan
0.5
SoutheastAsia
1.6
UnitedKingdom
UnitedStates
2.7
Cash+UnrealizedG/L
GICSSectorWeights(%)
Under/Overweightvs.Index
ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities
2014
2013
2012
1.9
4.8
0.6
8.0
1.0
1.3
0.2
5.6
6.2
RiskProfileSince12/31/11
1Q2015
YTD2015
3.5
6.9
2.4
1.3
Strategy
13.2
1.7
8.5
20.2
12.3
16.1
7.8
12.2
6.0
1.9
10
Strategy
2.36
1.24
0.85
1.03
14.25
Index
17.2 x
19.7 x
9.0 x
13.9 x
1.6 %
$2.0
ITD
Strategy
Index
TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhas
beencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareand
contrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(All
CountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedofglobal
developedandemergingmarkets.MSCIdatamaynotbereproducedorusedfor
anyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapproved
thisreport,andhasnoliabilityhereunder.
2.2 %
$2.4
%ofEquity
2.6
2.5
2.5
2.5
2.5
2.5
2.5
2.5
2.4
2.4
24.9

(617)3307500| www.gmo.com
GMOLLC2015
1.34
1YR
TopTenHoldings
Company
MallinckrodtPLC
MichaelKorsHoldingsLtd.
AppleInc.
ActavisPLC
GeneralMotorsCo.
AnthemInc
ITTCorp
CapitalProductPartnersLP
HalliburtonCo.
LyondellBasellIndustriesN.V.ClA
Total
5.42
0
5
Index
0.00
1.00
1.00
1.29
10.59
Strategy
13.76
Characteristics
4.16
22.80
16.13
14.72
15
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
3.24
31.29
19.71
AnnualizedReturn(%)
20
Index
12.6
9.7
7.5
21.5
12.1
10.5
14.0
5.3
3.6
3.2
Index
2.31
2.31
18
GMOGlobalFocusedEquityStrategy
March31,2015
The Global Focused Equity Strategy climbed 2.7% net of fees for the quarter. The Strategys reference benchmark, MSCI All Country World index rose
2.3%.
Positive contributions came from holdings in Toll Holdings in Australia, Peugeot in France, and Anthem and Capital Product Partners in the United
States. Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held
position in the company. Toll was slowly restructuring while waiting for a cyclical upswing in business volumes. In addition to investors becoming
excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for
Peugeot, which is geared to Europe. Anthem continues to perform well as regulatory uncertainty around managed care companies subsides, as well as
strong demand for their services, and the companys attractive capital return and reasonable valuation. Capital Product Partners exposure to
improving volume and pricing power in the product tanker markets as well as its attractive 10% dividend yield helped the name outperform.
Negative contribution came from National Oilwell Varco (NOV) in the United Sates, Bluescope Steel in Australia, and Gran Tierra Energy in Canada.
The continued uncertainty facing the oil markets negatively impacted our shares in NOV, an oil services firm, and Bluescope fell with the declining
price of steel. Additionally, Gran Tierra, a Canadian based exploration and production company with Latin American assets, sold off on negative well
results that prompted a write-down in 2P reserves (proven reserves + probable reserves).
(617)3307500| www.gmo.com
GMOLLC2015
19
GMOQualityStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
0.5
0.0
1.6
3.2
1.7
2.3
0.0
3.0
12.6
24.8
9.7
8.0
16.2
24.3
14.9
8.0
10.4
19.7
Strategy
1Q2015
YTD2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
33.5
Benchmark
RegionWeights(%)
NonUS
18.3
0.0
100.0
1.1
0.0
15
5YearRiskProfile
Benchmark
10.78
12.73
13.03
14.47
7.52
8.01
7.68
6.87
0
Strategy
1.39
0.80
0.88
1.18
11.00
Benchmark
0.00
1.00
1.00
1.12
12.86
Strategy
Benchmark
20.9 x
20.1 x
4.1 x
2.8 x
1YR
19.2 %
$112.8
18.0 %
0.6 x
1.0 x
2.1 %
2.0 %
Sector
HealthCare
HealthCare
ConsumerStaples
10YR
Strategy
Benchmark
ITD
TheS&P500Indexisanindependentlymaintainedandwidelypublishedindex
comprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.
$77.1
Debt/EquityWtdMed
5YR
Characteristics
TopHoldings
Company
ExpressScriptsHoldingCo
OracleCorp.
Johnson&Johnson
GoogleInc.(ClA)
CocaColaCo.
Total
13.69
32.39
16.00
2.11
15.06
26.46
37.00
5.49
15.80
4.91
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
%ofEquity
5.4
4.6
4.5
4.3
4.3
23.1

(617)3307500| www.gmo.com
GMOLLC2015
12.54
25.47
11.81
11.84
5.48
19.89
24.08
6.04
12.69
0.79
10
Strategy
Benchmark
0.95
0.95
AnnualizedReturn(%)
20
80.6
US
Cash
Strategy
0.42
0.42
5.6
20
GMOQualityStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
21
GMOResourcesStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
16.9
17.9
12.4
UnitedKingdom
Russia
3.3
Japan
10.5
2.2
6.3
3.3
6.2
China
UnitedStates
Strategy
2014
2013
2012
41.1
14.69
3.31
1.96
0.0
0.0
1.5
2.0
5
10
15
20
Strategy
3.00
1.08
0.95
0.11
17.48
Benchmark
0.00
1.00
1.00
0.29
15.74
Strategy
Benchmark
10.8 x
12.6 x
Earnings/ShareF'castLTMedianGrowthRate
5.8 x
6.8 x
9.9 %
10.7 %
$23.7
4.6 %
TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandard
IndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedoflistedlargeandmidcapitalizationcommodity
producerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.
$42.4
3.8 %
Country
Russia
China
Russia
UnitedKingdom
UnitedKingdom
Sector
Energy
Energy
Energy
Energy
Energy
ITD
Benchmark
Characteristics
18.52
Strategy
Benchmark
18.67
1YR
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
1.95
4.57
63.8
68.2
0.0
0.0
0.0
0.0
10.6
0.0
0.0
0.0
18.4
29.7
0.0
0.0
5.8
0.0
Strategy
%ofEquity
5.1
4.9
4.9
4.8
4.8
24.5

(617)3307500| www.gmo.com
GMOLLC2015
16.78
4.39
9.23
AnnualizedReturn(%)
ConsumerStaples
Energy
Financials
HealthCare
Industrials
Materials
Utilities
TopHoldings
Company
GazpromOAO
CNOOCLtd.
LukOilOAO
BPPLC
RoyalDutchShell
Total
Benchmark
4.39
4.39
Benchmark
Strategy
1.14
1.14
1Q2015
YTD2015
22
GMOResourcesStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
23
GMOInternationalAllCountryEquityAllocationStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
Strategy
3.54
3.54
1Q2015
YTD2015
80
Benchmark
3.49
3.49
EuropeValue, 49.4
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
60
Japan,15.4
40
20
Cash&CashEquiv.,1.0
0
EmergingEquity
Cash
15.3
15.9
15.3
14.2
Japan
UnitedKingdom
France
Germany
6.8
Strategy
10
5
Benchmark
Strategy
0.56
0.99
0.97
0.32
16.21
Benchmark
0.00
1.00
1.00
0.30
16.15
Strategy
Benchmark
16.0 x
18.6 x
1.3 x
1.7 x
7.8 %
11.2 %
10
$22.9
3.6 %
5.40
7.36
5.64
1.04
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIACWIexUSA+Indexisaninternallymaintainedbenchmarkcomputed
byGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositeiscomprised
ofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
noliabilityhereunder.
$25.4
2.8 %
%ofEquity
3.1
3.1
2.6
2.6
2.1
13.5

(617)3307500| www.gmo.com
GMOLLC2015
5.69
Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare
4.84
4.68
1YR
Characteristics
TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
AstraZenecaPLC
UnitedKingdom
Total
5.34
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
3.88
15.47
16.90
13.63
10.82
40.16
45.26
16.08
26.94
16.71
AnnualizedReturn(%)
9.0
5.3
5.0
China
5YearRiskProfile
10.9
7.0
6.21
16.71
16.82
11.31
12.74
27.77
40.96
17.39
25.91
19.03
24
GMOInternationalAllCountryEquityAllocationStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
25
GMOInternationalDevelopedEquityAllocationStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
Strategy
4.40
4.40
1Q2015
YTD2015
80
EuropeValue, 63.4
60
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
40
Japan,19.8
Cash&CashEquiv.,1.2
20
0
EmergingEquity
Cash
Japan
19.8
UnitedKingdom
19.7
19.8
France
9.5
Italy
2.3
4.90
22.78
17.32
12.14
7.93
32.16
43.33
11.58
26.62
14.41
10
7.03
6.16
8.17
5.55
6.34
5.14
5
0
Benchmark
Strategy
1.11
0.96
0.97
0.43
16.06
Benchmark
0.00
1.00
1.00
0.37
16.44
Strategy
Benchmark
16.5 x
19.3 x
1.3 x
1.8 x
10
7.6 %
$26.6
3.5 %
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIEAFE++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyof
theaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)
(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
GMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedor
usedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.
11.1 %
$29.8
2.9 %
Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare
4.95
1YR
Characteristics
TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
AstraZenecaPLC
UnitedKingdom
Total
0.92
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
%ofEquity
3.9
3.9
3.4
3.3
2.7
17.2

(617)3307500| www.gmo.com
GMOLLC2015
6.03
24.13
17.09
9.45
10.58
19.84
38.39
12.69
25.50
15.56
AnnualizedReturn(%)
11.6
4.2
Strategy
5YearRiskProfile
14
9.7
Germany
22.2
Benchmark
4.88
4.88
26
GMOInternationalDevelopedEquityAllocationStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
27
GMOInternationalEquityStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
1Q2015
YTD2015
80
60
EuropeValue, 70.6
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
40
20
Japan, 22.0
OtherInt'l. OpportunisticValue,6.1
Cash&CashEquiv.,1.3
0
Cash
22.0
22.2
21.9
19.8
Japan
UnitedKingdom
France
2.3
10
4.7
Strategy
5YearRiskProfile
4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
13.54
5.89 6.16 5.83
5
Benchmark
Strategy
0.36
0.95
0.97
0.35
16.61
Benchmark
0.00
1.00
1.00
0.33
17.29
Strategy
Benchmark
16.5 x
19.3 x
6.3 x
12.2 x
1.4 x
1.8 x
7.7 %
11.1 %
$29.2
7.98
4.37 4.95 4.51
5.36
10YR
ITD
7.08
3.5 %
10
5.02
1YR
5YR
Strategy
MSCIEAFE
MSCIEAFE+
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.The
MSCIEAFE+(Europe,Australasia,andFarEast)Indexisaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,
Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
$29.8
2.9 %
Sector
Energy
Energy
Energy
ConsumerDisc.
HealthCare
0.92 0.31
Characteristics
TopHoldings
Company
Country
RoyalDutchShell
UnitedKingdom
TotalS.A.
France
BPPLC
UnitedKingdom
AstraZenecaPLC
UnitedKingdom
Total
3.79
22.95
17.69
12.17
3.25
34.23
44.09
5.96
30.38
13.80
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
%ofEquity
4.4
4.4
3.7
3.7
3.0
19.2

(617)3307500| www.gmo.com
GMOLLC2015
5.96
25.62
12.98
10.18
7.53
21.41
40.31
10.21
25.78
13.98
MSCIEAFE+
4.88
4.88
AnnualizedReturn(%)
13.0
9.5
Italy
MSCIEAFE
4.88
4.88
15.7
9.7
Germany
Strategy
4.36
4.36
28
GMOInternationalEquityStrategy
March31,2015
(617)3307500| www.gmo.com
GMOLLC2015
29
GMOInternationalActiveEAFEStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
Strategy
5.68
5.68
Underweight/OverweightAgainstBenchmark
1Q2015
YTD2015
3.2
Emerging
7.1
EuropeexUK
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
1.5
Japan
1.1
SoutheastAsia
2.7
UnitedKingdom
2.9
Cash+UnrealizedG/L
4.2
Under/Overweightvs.Benchmark Strategy
ConsumerDisc.
14.0
0.9
ConsumerStaples
6.3
4.7
Energy
1.3
3.8
Financials
10.3 36.3
HealthCare
8.6
2.8
Industrials
4.7
8.0
InformationTech.
4.5
9.4
Materials
4.6
2.9
Telecom.Services
6.3
11.0
Utilities
1.9
5.5
5YearRiskProfile
Benchmark
13.1
11.0
5.1
26.0
11.4
12.7
4.9
7.5
4.7
3.6
Benchmark
0.00
1.00
1.00
0.37
16.44
Strategy
Benchmark
11.60
8.95
10
4.55
16.4 x
19.3 x
8.3 x
12.2 x
1.4 x
1.8 x
2.9 %
2.9 %
10
3.99
4.95
0.92
5.00
1YR
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
TopOverweightHoldings
Company
MitsubishiTokyoFinancialGroupInc.
SumitomoMitsuiFinancialGroupInc.
TelecomItaliaS.p.A.
ZurichFinancialServicesAG
AstraZenecaPLC
MediasetS.p.A.
AllianzAGHolding
AssicurazioniGeneraliS.p.A.
AscianoGroup
ImperialTobaccoGroupPLC
6.16
Characteristics
4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
13.54
15
5
Strategy
1.64
1.01
0.98
0.27
16.71
11.03
24.11
14.92
11.65
5.01
25.53
41.24
10.58
27.52
13.52
AnnualizedReturn(%)
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
4.2
4.2
2.1
2.1
2.1
2.0
1.9
1.8
1.8
1.7

2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
(617)3307500| www.gmo.com
GMOLLC2015
Benchmark
4.88
4.88
30
GMOInternationalActiveEAFEStrategy
March31,2015
The International Active EAFE Strategy gained 5.7% net of fees in the first quarter; the Strategy was 0.8 percentage points ahead of the MSCI EAFE
index, which rose 4.9%.
Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were less exposed to
the United Kingdom than the benchmark. In addition, while our weight in Europe is slightly lower than that of the benchmark, we have an overweight
position in the eurozone. In January we hedged the account such that the exposure of the portfolio to the euro was closer to that of the benchmark, and
the hedge against the euro was positive in the quarter.
Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Australia, and Hong Kong outperformed.
In Europe, performance was led by Peugeot, Banca Popolare di Milano, and Deutsche Telekom. In addition to investors becoming excited about
European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which
is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger
consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. European telecom companies did well, especially Deutsche
Telekom. There are several reasons we like these names, among them that that the consolidation of the industry within markets has started, and their
regulatory environment has finally become a tailwind after many years of holding them back. These companies stand to benefit from a market repair
scenario, where a data consumption boom drives a rebound in the ARPU.
Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in
the company. In Hong Kong, Cheung Kong Holdings, historically a holding company for the operating assets of famed investor Li Ka Shing,
announced a reorganization that will consolidate all of the property assets into one listed company, and all non-property into a separate listing. This
could mean a narrowing of the large discount to NAV at which the stock has traditionally traded.
On the negative side, stock selection in Japan hurt returns. Hitachi Ltd. fell on news that it would buy Italian company Finmeccanica's rail and signal
assets. While the market had anticipated the transaction, the price was a negative surprise.
(617)3307500| www.gmo.com
GMOLLC2015
31
GMOInternationalActiveForeignSmallCompaniesStrategy
March31,2015
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
Canada
Emerging
EuropeexUK
Japan
SoutheastAsia
UnitedKingdom
Cash+UnrealizedG/L
4.5
5.0
4.8
7.3
3.6
3.6
ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities
5YearRiskProfile
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
0.9
Under/Overweightvs.Benchmark
7.7
2.4
0.4
3.9
4.7
1.6
1.0
0.7
0.0
2.3
Strategy
25.4
3.1
2.3
26.8
2.6
19.8
7.8
10.7
1.5
0.0
Benchmark
17.7
5.5
2.7
22.9
7.3
21.4
8.8
10.0
1.5
2.3
15
3.42
26.06
18.55
14.49
21.96
45.07
47.67
7.32
29.42
22.10
8.53
11.00
8.04
7.27
6.91
5
0
Strategy
0.74
0.96
0.98
0.54
16.32
Benchmark
0.00
1.00
1.00
0.50
16.82
Strategy
Benchmark
20.4 x
21.9 x
11.2 x
13.4 x
1.5 x
1.7 x
2.1 %
2.2 %
5
10
2.76
6.49
1YR
5YR
10YR
Strategy
Benchmark
ITD
TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthesmallcapitalizationstockcomponentof
theS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarket
capitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&P
DevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarket
capitalization(float)oftheBMIineachcountry.
1.8
1.6
1.5
1.5
1.5
1.5
1.4
1.4
1.3
1.3
S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityof
anydataorinformationandisnotresponsibleforanyerrorsoromissionsfromthe
useofsuchdataorinformation.Reproductionofthedataorinformationinany
formisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdparty
licensors.

(617)3307500| www.gmo.com
GMOLLC2015
9.53
28.92
21.64
15.21
24.76
47.63
45.91
8.00
36.24
18.91
8.91
10
Characteristics
TopOverweightHoldings
Company
MediasetS.p.A.
AscianoGroup
GrandCityPropertiesSA
IncitecPivotLtd.
FaureciaS.A.
SopraGroup
KabaHoldingAG
TAGImmobilienAG
FiltronaPLC
NexityS.A.
Benchmark
4.43
4.43
AnnualizedReturn(%)
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Strategy
6.52
6.52
1Q2015
YTD2015
1.1
32
GMOInternationalActiveForeignSmallCompaniesStrategy
March31,2015
The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 2.1 percentage points in the
first quarter, gaining 6.5% net of fees while the benchmark rose 4.4%.
Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were more exposed to
Italy than the benchmark. Less exposure in Canada also helped performance. In addition, while our weight in Europe is slightly higher than that of
benchmark, we have a larger overweight position in the eurozone. In January we hedged the Strategy such that the exposure of the portfolio to the euro
was closer to that of the benchmark, and the hedge against the euro contributed positively in the quarter.
Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Japan, and Australia outperformed. In Europe, performance was led
by Peugeot and Banca Popolare di Milano. In addition to investors becoming excited about European recovery, positive auto data, especially out of
Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks,
including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca
Popolare di Milano drove up the share price. In Japan, Aoyama Trading used its stockpile of cash to initiate a share repurchase. Australian logistics
company Toll outperformed because it received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held
position in the company.
On the negative side, stock selection in Canada hurt returns. Capstone Mining fell as copper prices have been weak due to faltering demand,
particularly from emerging markets. Additionally, Gran Tierra Energy, a Canadian based exploration and production company with Latin American
assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).
(617)3307500| www.gmo.com
GMOLLC2015
33
GMOU.S.EquityAllocationStrategy
March31,2015
STRATEGYPROFILE
GroupExposures(%)
TotalReturn(%)
Strategy
0.57
0.57
100
1Q2015
YTD2015
80
60
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
U.S.Quality,85.5
40
20
Cash&CashEquiv.,1.5
0
U.S.Equity
Cash
ConsumerStaples
Energy
Financials
HealthCare
Industrials
Materials
Utilities
9.9
12.6
18.7
9.7
9.9
8.0
2.2
16.2
21.3
14.9
8.6
10.4
28.0
19.7
1.4
3.2
0.0
2.3
0.0
3.0
Strategy
10
20.9 x
20.1 x
3.7 x
2.8 x
18.8 %
18.0 %
Strategy
0.85
0.82
0.91
1.14
11.25
$77.1
2.0 %
Benchmark
0.00
1.00
1.00
1.11
13.13
TopHoldings
Company
Sector
%ofEquity
ExpressScriptsHoldingCo
HealthCare
5.6
Amazon.comInc.
5.0
Johnson&Johnson
HealthCare
4.6
AppleInc.
4.4
ChevronCorp.
Energy
4.3
Total
23.9
1 The groups indicated above represent exposures determined pursuant to
(617)3307500| www.gmo.com
GMOLLC2015
10.69
8.15
6.77
8.23
10.33
5YR
10YR
Strategy
Benchmark
ITD
futureperformance.Returnsareshownafterthedeductionofmanagement
fees,transactioncostsandotherexpenses,butbeforecustodycharges,
withholdingtaxes,andotherindirectexpenses.Thereturnsassumethe
reinvestmentofdividendsandotherincome.
TheRussell3000+++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocation
Compositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverage
ofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,
Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthly
basis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessor
availabilityofanydataorinformationandisnotresponsibleforanyerrorsor
omissionsfromtheuseofsuchdataorinformation.Reproductionofthedataor
informationinanyformisprohibitedexceptwiththepriorwrittenpermissionof
S&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandowner
ofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.
RussellisatrademarkofRussellInvestmentGroup.
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
14.64
0
Benchmark
1.9 %
12.86
Strategy
$116.5
5YearRiskProfile
12.75
15
1YR
12.76
32.85
16.21
1.58
16.26
27.46
37.15
5.39
15.71
5.53
AnnualizedReturn(%)
Characteristics
9.82
27.95
12.25
9.91
7.43
20.54
27.87
2.25
9.93
3.68
20
Benchmark
Benchmark
1.80
1.80
34
GMOU.S.EquityAllocationStrategy
March31,2015
Performance(%)
+0.62
+0.73
S&P500
+0.95
ValueAdded
0.22
(617)3307500| www.gmo.com
GMOLLC2015
35
GMOEmergingMarketsStrategy
March31,2015
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
Strategy
0.21
0.21
1Q2015
YTD2015
Developed
0.7
EastAsia
5.8
Europe
14.7
Latin/SouthAmerica
0.0
Mideast/Africa
6.8
SouthAsia
3.1
Cash+UnrealizedG/L
0.3
Under/Overweightvs.Benchmark Strategy Benchmark
ConsumerDisc.
8.1
10.5
2.4
ConsumerStaples
1.8
7.8
6.0
Energy
14.9
6.9
8.0
30.2
27.3
Financials
2.9
1.2
2.9
HealthCare
1.7
2.7
8.2
Industrials
5.5
17.9
19.4
InformationTech.
1.5
6.8
7.4
Materials
0.6
9.1
6.3
Telecom.Services
2.8
7.2
3.3
Utilities
3.9
1
5YearRiskProfile
Strategy
Benchmark
2.71
0.00
Alpha
1.02
1.00
Beta
2
0.97
1.00
R
0.01
0.14
SharpeRatio
18.61
17.90
Std.Deviation
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
Benchmark
2.15
2.15
5.92
5.19
15.19
16.95
20.20
71.89
55.74
37.22
29.51
40.15
1.12
0.57
18.89
19.03
20.64
81.03
53.74
40.28
35.11
35.19
AnnualizedReturn(%)
15
9.41
10
6.47
7.21
5.77
2.58
1.65
0
5
0.06
2.86
1YR
5YR
10YR
Strategy
Benchmark
ITD
Characteristics
Strategy
Benchmark
10.4 x
16.2 x
6.3 x
10.6 x
1.1 x
1.6 x
ReturnonEquityHist1YrAvg
11.7 %
10.9 %
$6.6
$6.6
NumberofEquityHoldings
425
2,523
2
TopTenHoldings
Company
SamsungElectronicsCo.Ltd.
HDFCBankLtd.
Surgutneftegaz
ChinaConstructionBankCorp.
Industrial&CommercialBankofChinaLt
BankofChinaLtd.
HyundaiMotorCo.Ltd.
3.9 %
TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguarantee
theaccuracy,adequacy,completenessoravailabilityofanydataorinformation
andisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataor
information.Reproductionofthedataorinformationinanyformisprohibited
exceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
2.5 %
%ofEquity
5.2
4.0
3.6
2.9
2.8
2.3
1.8
ChinaMobileLtd.
1.8
LukOilOAO
1.8
GazpromOAO
1.8
Total
28.0
(617)3307500| www.gmo.com
GMOLLC2015
36
GMOEmergingMarketsStrategy
March31,2015
The Emerging Markets Strategy gained 0.2% net of fees in the first quarter, underperforming the 2.2% rise in the S&P/IFCI Composite by 1.9%. Overall,
country-sector allocation detracted 1.2% and stock selection lost 0.6%.
Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives
including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a
major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia
to a 29.3% drop in Greece. Sector returns were more clustered, varying from an 8.5% rise in IT to a fall of 3.2% for Utilities.
Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In
addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has
ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rating is hampering the administrations ability to
implement its measures. Our overweights in Brazil sectors such as Utilities, Materials, and Telecommunications detracted from performance.
Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a
continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts
have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our underweight in China IT and
Consumer Discretionary hurt performance.
The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner.
Investor sentiment was also lifted by a truce in Ukraine. Our overweight in Russia Energy and Financials helped performance.
Stocks in Greece dropped on continuing worries over the tussle between Greece and its creditors to recraft its bailout package. The government had
obtained an extension by backing away from election pledges to ease budget cuts and restructure debt. However, it has yet to produce a revised
economic plan that satisfies creditors. Our underweight in Greece Financials added to performance.
Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising
political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts
within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our overweight in Turkey Financials
negatively impacted performance.
Stock selection detracted from performance. Segments such as Russia Energy and Turkey Materials had particularly strong selection while areas such as
Korea Consumer Discretionary and India Financials saw especially weak selection.
(617)3307500| www.gmo.com
GMOLLC2015
37
GMOEmergingDomesticOpportunitiesStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
Underweight/OverweightAgainstIndex
1Q2015
YTD2015
Developed
14.1
EastAsia
16.8
Europe
2.9
Latin/SouthAmerica
8.6
Mideast/Africa
5.1
SouthAsia
10.3
Cash+UnrealizedG/L
8.9
Under/Overweightvs.Index
Strategy
Index
ConsumerDisc.
13.1
9.4
3.7
ConsumerStaples
8.1
13.2 21.3
Energy
2.9
8.0
5.1
Financials
25.8
28.5
2.7
12
2.3
HealthCare
9.7
7.7
6.8
Industrials
0.9
4.3
19.1
InformationTech. 14.8
3.9
7.0
Materials
3.1
6.8
7.3
Telecom.Services
0.5
2.4
3.3
Utilities
0.9
2
Strategy
Index
6.47
0.00
Alpha
0.73
1.00
Beta
2
0.81
1.00
R
0.35
0.12
SharpeRatio
14.26
17.52
Std.Deviation
Characteristics
Strategy
Index
22.1 x
16.0 x
18.8 x
10.5 x
2.9 x
1.6 x
ReturnonEquityHist1YrAvg
15.7 %
11.6 %
$4.0
$9.1
NumberofEquityHoldings
122
836
3
TopTenHoldings
Company
ColgatePalmoliveCo.
HDFCBankLtd.
LupinLtd.
Industrial&CommercialBankofChinaLtd.
AbbottLaboratories
AnheuserBuschInBev
Baidu.comInc.
2.3 %
2.6 %
2014
2013
2012
2011
Index
2.24
2.24
0.30
3.80
24.33
8.99
AnnualizedReturn(%)
8
6.10
6
4
0.44
2
0
2
4
1YR
2.19
2.60
18.22
20.06
4.98
2.05
ITD
Strategy
Index
TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.The
StrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinaneffortto
compareandcontrasttheStrategyversusabroademergingmarketsindex.The
MSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)
isanindependentlymaintainedandwidelypublishedindexcomprisedofglobal
emergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
%ofEquity
4.6
3.9
3.5
3.4
2.6
2.4
2.3
TRUETelecommunicationGrowthInfrastruc
1.9
BrillianceChnaAutmtiveHldgs
1.8
BDOUnibankInc
1.7
Total
28.1
1 Weights are based on exposure, which will include the impact from hedges held,
if any.
(617)3307500| www.gmo.com
GMOLLC2015
Strategy
3.74
3.74
38
GMOEmergingDomesticOpportunitiesStrategy
March31,2015
The Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the world's non-developed
markets. The Strategy uses fundamental analysis within a structured approach to select countries, sectors, and stocks that we believe are the most likely
to benefit from the rising demand for goods and services in emerging markets.
Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives
including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a
major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia
to a 29.3% drop in Greece. Domestic demand driven sector returns were more clustered, varying from a 6.7% rise in Health Care to a fall of 3.2% for
Utilities.
The Emerging Domestic Opportunities Strategy rose 3.7% net of fees in the first quarter.
Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In
addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has
ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rate is hampering the administrations ability to implement
its measures. Our investments in Brazil Financials and Industrials negatively impacted performance.
Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a
continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts
have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our positions in China Consumer
Discretionary added to performance.
Stocks in India rallied over the quarter, especially at the onset (India was the best market performer in January). The central bank lowered its main
interest rate in January, adding to the effect of the ECB stimulus. The IMF declared that India would be the worlds fastest growing major economy
through 2017. Later in the quarter, the stock market dropped after Prime Minster Modis party suffered a defeat in local elections. The results were seen
as portending stronger opposition to Modis economic reforms. Our exposure to Indian sectors such as Health Care, Industrials, Consumer Staples, and
Financials boosted performance.
Philippines has benefited from a goldilocks scenario of fast economic growth but controlled inflation. The central bank held interest rates steady. It
forecast that the economy might grow as much as 8% in 2015, with lower than expected inflation on the back of robust domestic demand and higher
public spending. Our holdings in Philippine Financials and Consumer Staples contributed to performance.
The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner.
Investor sentiment was also lifted by a truce in Ukraine. Our exposure to Russia Consumer Staples helped performance.
Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising
political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts
within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our positions in Turkey Financials hurt
performance.
(617)3307500| www.gmo.com
GMOLLC2015
39
GMOGlobalBondStrategy
March31,2015
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
Emerging
14.8
Europe
13.4
NorthAmerica
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
12.7
Pacific
12.1
CurrencyWeights(%)
Emerging
3.8
Europe
25.3
NorthAmerica
4.98
2.56
6.36
8.30
14.14
20.30
14.93
2.58
7.94
5.84
0.67
4.50
1.30
7.22
6.42
1.91
12.00
10.81
5.94
6.53
AnnualizedReturn(%)
0.0
8
6
4
2
0
2
4
6
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Strategy
3.10
1.06
0.85
0.89
5.77
Benchmark
0.00
1.00
1.00
0.38
5.04
EmergingCntryDebtExp.
Maturity
3.69
1.98
4.70
3.43
1.54
3.73
5YR
10YR
Strategy
Benchmark
ITD
dividendsandotherincome.Returnsforoneoftheaccountsinthecompositeare
basedonestimatedmarketvaluesfortheperiodfromandincludingOctober2008
throughFebruary2009.
Strategy
ModifiedDuration
5.55
5.19
1YR
Characteristics
8.7
5 %
7.4 Yrs.
TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofgovernmentbondsofdevelopedcountrieswith
maturitiesofoneyearormore.
Region weights are duration adjusted.

(617)3307500| www.gmo.com
GMOLLC2015
Benchmark
1.79
1.79
21.4
Pacific
5YearRiskProfile
Strategy
2.33
2.33
1Q2015
YTD2015
40
GMOGlobalBondStrategy
March31,2015
The Global Bond Strategy returned -2.3% net of fees during the first quarter, underperforming the J.P. Morgan GBI Global index return of -1.8% by
0.5%. The U.S. dollars advance versus almost all developed market currencies accounted for all of the negative index returns, as the 20-bp fall in the
yield of the J.P. Morgan GBI Global index resulted in a +2.1% return in the index when measured in local currency terms.
The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government
markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K.,
+2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K.,
gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future
put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.
Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves
flattened while the rest steepened.
The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials
removed patience from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is
in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECBs QE program and
uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Swedens Riksbank unexpectedly cut its repo rate by 0.15% to
-0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. During
the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.
In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currencys
cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it
weakened in February and March, ending the quarter up only 2.3%.
Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly
offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF)
and GMO World Opportunity Overlay (WOOF).
Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategys
long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the
month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month,
it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted
our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the
shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the
long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed
in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the
overweight duration position in Brazil detracted.
The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions
from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.
(617)3307500| www.gmo.com
GMOLLC2015
41
GMOInternationalBondStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
Strategy
4.70
4.70
Emerging
Europe
1Q2015
YTD2015
14.8
18.1
NorthAmerica
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
0.5
Pacific
11.3
CurrencyWeights(%)
Emerging
3.9
Europe
25.4
NorthAmerica
21.3
Pacific
5YearRiskProfile
0.1
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
10
Benchmark
0.00
1.00
1.00
0.08
6.84
Maturity
0.63
4.89
2.69
0
10
15
8.22
9.50
1YR
5YR
10YR
Strategy
Benchmark
ITD
9.6
4 %
TheJ.P.MorganGBIGlobalexU.S.Indexisanindependentlymaintainedand
widelypublishedindexcomprisedofnonU.S.governmentbondswithmaturities
ofoneyearormore.
9.1 Yrs.

2
(617)3307500| www.gmo.com
GMOLLC2015
3.38
Strategy
2.53
5.08
0.85
5.91
6.78
3.94
11.39
11.30
6.84
9.24
6.37
4.42
Characteristics
ModifiedDuration
1.30
0.57
6.21
6.71
15.18
20.59
13.95
3.66
9.33
8.08
AnnualizedReturn(%)
Strategy
3.76
1.05
0.88
0.57
7.65
Benchmark
4.08
4.08
42
GMOInternationalBondStrategy
March31,2015
The International Bond Strategy returned -4.7% net of fees in the first quarter, underperforming the -4.1% return of the J.P. Morgan GBI Global ex U.S.
index by 0.6%. The U.S. dollars advance versus almost all developed market currencies accounted for all of the negative index returns, as the 22-bp fall
in the yield of the J.P. Morgan non-U.S. Government Bond index resulted in a +2.4% return in the index when measured in local currency terms.
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at
the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at
the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long
duration position in Brazil detracted.
(617)3307500| www.gmo.com
GMOLLC2015
43
GMOCurrencyHedgedInternationalBondStrategy
March31,2015
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
Emerging
14.9
Europe
24.0
NorthAmerica
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
0.3
Pacific
13.0
CurrencyWeights(%)
Emerging
3.8
Europe
24.9
NorthAmerica
20.8
Pacific
Strategy
3.15
3.15
1Q2015
YTD2015
0.3
Benchmark
3.83
3.83
16.59
0.14
11.34
7.97
11.70
18.81
13.56
4.00
2.45
7.25
13.10
0.65
8.07
6.10
3.71
2.90
9.22
3.42
1.79
6.54
AnnualizedReturn(%)
20
5YearRiskProfile
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
15
Strategy
1.91
1.07
0.79
1.83
4.83
Benchmark
0.00
1.00
1.00
1.62
4.02
Maturity
6.59
8.24
5.65
7.18
5.76
0
1YR
5YR
10YR
Strategy
Benchmark
ITD
9.1
5 %
TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+isaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theJ.P.MorganGBIGlobalexU.S.
(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapanexU.S.
(Hedged)thereafter.
8.9 Yrs.

2
(617)3307500| www.gmo.com
GMOLLC2015
8.92
Strategy
13.56
10
Characteristics
ModifiedDuration
14.66
44
GMOCurrencyHedgedInternationalBondStrategy
March31,2015
The Currency Hedged International Bond Strategy returned +3.2% net of fees in the first quarter, underperforming the J.P. Morgan GBI Global ex
Japan ex U.S. (Hedged) index total return of +3.8% by 0.7%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index fell by 42 basis
points during the quarter.
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the
shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the
long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the
overweight duration position in Brazil detracted.
(617)3307500| www.gmo.com
GMOLLC2015
45
GMOCorePlusBondStrategy
March31,2015
STRATEGYPROFILE
ContributiontoDuration
TotalReturn(%)
U.S.Treasuries
GovernmentRelated
Corporate
Securitized
EmergingDebt
2.1
1Q2015
YTD2015
0.5
1.7
Benchmark
1.61
1.61
9.31
0.07
9.07
9.89
13.24
20.90
18.00
1.01
5.76
3.95
5.97
2.03
4.22
7.84
6.54
5.93
5.24
6.97
4.33
2.43
1.1
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
0.1
GlobalRatesContributiontoDuration
Australia
Brazil
Denmark
Emergingdebt
Eurozone
Japan
Mexico
NewZealand
Switzerland
UnitedKingdom
UnitedStates
Strategy
1.17
1.17
0.7
0.4
0.6
0.2
0.3
0.3
0.4
0.4
0.3
1.3
0.1
1
PortfolioOverlayCurrencyPositions
AUD
BRL
CHF
EUR 20.26%
INR
JPY
KRW
NZD
SEK
PortfolioRatingBreakdown
AAA
AA
AA
BBB
BB
B
BelowB
NR
3
5YearRiskProfile
AnnualizedReturn(%)
0.53%
1.68%
3.94%
2.99%
0.45%
0.77%
6.10
5.72
4.41
4.97
5.77
4.93
4
2
0.14%
1.30%
1YR
27%
5YR
10YR
Strategy
Benchmark
ITD
61%
1%
2%
6%
0%
3%
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Characteristics
Strategy
1.92
1.28
0.75
1.83
4.09
TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofU.S.fixedratedebtissueshavingamaturityofat
leastoneyearandratedinvestmentgradeorhigher.
Benchmark
0.00
1.00
1.00
1.56
2.78
Strategy
ModifiedDuration
6.8
Maturity
4.3 Yrs.
1 All currency positions are versus USD
(617)3307500| www.gmo.com
GMOLLC2015
7.53
7.29
46
GMOCorePlusBondStrategy
March31,2015
The Core Plus Bond Strategy returned +1.2% net of fees during the first quarter, underperforming the +1.6% return of its benchmark, the Barclays U.S.
Aggregate index, by 0.4%. Falling U.S. Treasury yields contributed positively to index performance, followed by gains on tightening sector spreads.
U.S. interest rates fell, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 24 basis points to end the
quarter at 1.9%, and the 2 year yields fell by 12 basis points to end the quarter at 0.6%.
The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 2 basis points during the quarter, with spreads tightening by as
much as 8 basis points (MBS). Only ABS (+3 basis points) and U.S. Agency (+1 basis point) credit spreads widened during the quarter.
offset losses, followed by a small contribution provided by exposure to asset-backed securities held directly and indirectly through GMO Debt
Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).
15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at
the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at
the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is
in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long
duration position in Brazil detracted.
The currency strategy partly offset losses during the quarter. An active short position in euros drove currency gains, followed by small contributions
from short positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.
(617)3307500| www.gmo.com
GMOLLC2015
47
GMODebtOpportunitiesStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
Chile
0.5
Ireland
0.3
UnitedKingdom
0.9
1Q2015
YTD2015
UnitedStates
2014
2013
2012
2011
98.3
Std.Deviation
SharpeRatio
Drawdown
(5/31/136/30/13)
AnnualizedReturn(%)
8
Strategy
1.77
3.72
Strategy
0.62
0.62
Benchmark
0.09
0.09
4.35
5.76
11.90
0.16
0.35
0.40
0.82
0.12
6.62
6
4
1.23
3.49
0.52
0.35
0
1YR
ITD
Strategy

Benchmark
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthreemonthU.S.dollarEurodeposits.The
durationoftheIndexisgenerally90days.
(617)3307500| www.gmo.com
GMOLLC2015
48
GMODebtOpportunitiesStrategy
March31,2015
The Debt Opportunities Strategy returned +0.6% net of fees, outperforming the return of the J.P. Morgan U.S. 3 Month Cash index by 0.5% for the first
quarter.
In the first quarter, securitized products were tighter across most asset classes, generally moving with the greater credit markets. Government bonds
rallied to the tight end of their local ranges into the end of March. Securitized products were led by CLOs in both primary and secondary trading. The
quarter ended with six new issue deals ($3.2 billion of paper), bringing a very brisk new issue pipeline to a year-to-date total of approximately $28
billion. According to Bank of America Global Research, secondary trading saw triple-A tighten by 12 basis points, while CLOs tightened by 40 basis
points in double-A and single-A, and triple-B tightened by 55 basis points. The technical conditions for leveraged loans are very positive as supply in
this asset class has trended down while demand for this paper (in the form of new CLOS) is at historically high levels.
Additionally, asset-backed securities outperformed during the quarter with triple-A Auto and Credit Card spreads tightening by 7 basis points each, to
finish at 26 and 38 basis points, respectively. Benchmark CMBS cash was relatively flat in the senior part of the structure, while mezzanine bond (-5
bps) and legacy AJs (-60 bps) outperformed. Non-Agency Subprime was broadly flat as an asset class. The sector continues to exhibit a lower level of
spread volatility than it has in the past.
At quarter-end, 36% of the strategys portfolio was rated AAA, although about 47% of the portfolio was rated single-A or better. Approximately 63% of
the strategy is invested in asset-backed securities (ABS), 10% in commercial mortgage-backed securities (CMBS), and 27% in cash or cash equivalents.
(617)3307500| www.gmo.com
GMOLLC2015
49
GMOFixedIncomeHedgeStrategy
March31,2015
STRATEGYPROFILE
CurrencyExposure(%)
TotalReturn(%)
NetContribution
India
Brazil
Australia
NewZealand
U.K.
Japan
SouthKorea
Sweden
Switzerland
EuroArea
1Q2015
YTD2015
19
10
4
1
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
1
3
5
8
25
131
CountryExposure(%)
NetContribution
Australia
Mexico
Denmark
NewZealand
Brazil
Euro
U.S.
Japan
CzechRepublic
Switzerland
UK 80
49
38
36
28
25
AnnualizedReturn(%)
12
10.03
10
8
6
4
2
0.35
0
1YR
14
12
8
8
21
PerformanceAttribution(%)
CrossMarket
20.0
CurrencyPerformance
Opportunistic
0.8
0.6
YieldCurve
0.0
5YearRiskProfile
Drawdown
(2/27/153/31/15)
Strategy
10.54
0.78
13.23

(617)3307500| www.gmo.com
GMOLLC2015
0.35
0.40
0.82
0.44
0.45
1.45
4.12
5.70
5.25
1.32
2.11
0.50
5YR
0.54
ITD
Benchmark
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthreemonthU.S.dollarEurodeposits.The
durationoftheIndexisgenerally90days.
Std.Deviation
SharpeRatio
22.28
3.79
10.07
15.85
11.03
21.63
25.45
23.39
4.61
1.45
13.3
Volatility
Benchmark
0.09
0.09
8.33
Strategy
NetContribution
Strategy
5.95
5.95
50
GMOFixedIncomeHedgeStrategy
March31,2015
The Fixed Income Hedge Strategy returned -6.0% net of fees in the first quarter of 2015, underperforming its benchmark, the J.P. Morgan U.S. 3 Month
Cash index, by 6.0%. Cross-market interest-rate strategies were responsible for losses during the quarter, while contributions from currency
performance partly offset these losses.
19-month, 1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. Further, the
ECBs purchases on the long end of the yield curve triggered a bull-flattening bias. In the U.K., gilts posted a fifth consecutive quarter of gains as falling
inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking
higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.
-9.2%. The 25-bp cut by Australias central bank reduced the currencys relative yield advantage, dragging the Australian dollar down by 6.6%. U.K.
sterling also fell versus the U.S. dollar, by 4.8% during the quarter, and, among emerging currencies, Brazilian real fell by 17.1%.
short long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor
interest-rate strategy performance during the quarter. A long duration position in Brazil also detracted, while long duration positions in Australia, New
Zealand, and Mexico added value. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of
March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears
that the floor is no longer in place and that the zero-bound or lower is a possibility even at the very long end of the curve. We have adjusted our
positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to
steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter
end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end
of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to
withstand further extreme market moves. During the month, the strategy re-structured many of the outright negative duration positions to more of a
steepener play. Still the same thesis that long-dated rates will likely rise, but now structured less as an absolute shift, and more as a relative one.
The currency strategy partly offset losses during the quarter. A short position in euros drove currency gains, followed by small contributions from short
positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.
(617)3307500| www.gmo.com
GMOLLC2015
51
GMOMeanReversionStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
EquityExposure(%)
Position
HighQuality
EAFEValue
EmergingValue
U.S.Mid
U.S.Small
S&P500ex.Fins
AbsoluteWeight
1Q2015
YTD2015
76.0
15.0
9.0
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
10.0
14.0
68.0
FixedIncome&InflationExposure(%)
Position
AbsoluteWeight
AntipodeanRates
48.0
U.S.Rates
48.0
EurRates
43.0
JapanRates
Strategy
2.69
2.69
Benchmark
0.01
0.01
4.73
0.62
5.98
6.77
8.61
13.43
18.43
18.63
5.63
6.97
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
76.0
AnnualizedReturn(%)
10
CurrencyExposure(%)
Position
IndianRupee
BrazilianReal
Euro
IsraeliShekel
SwissFranc
CommodityFX
AbsoluteWeight
2.22
17.0
1.41
1.40
0.58
4.0
5.0
5.0
10
8.12
1YR
10.0
5YR
10YR
Strategy
Benchmark
ITD
AbsoluteWeight
CreditOpportuniesFund
0.07
0.03
5.0
OtherExposure(%)
Position
6.13
5.0
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.
5YearRiskProfile
Std.Deviation
SharpeRatio
Drawdown
(5/31/133/31/15)
Strategy
5.45
0.12
12.57
Displayed in local 10year equivalents

2
(617)3307500| www.gmo.com
GMOLLC2015
52
GMOMeanReversionStrategy
March31,2015
Mean Reversion Strategy delivered a net return of -2.7% during the first quarter of 2015. Poor performance was driven primarily by a short position in
European rates.
In January of 2015, we incorporated a short position in eurozone rates (15-year rates 15 years out) as these rates hit new lows. Since adding the position,
eurozone rates have pushed lower, impacted by the ECBs quantitative easing program and a limited supply of long-dated eurozone bonds. This
position detracted 3.4% during the quarter.
Equity positions detracted, led by the quality vs. S&P 500 position, which subtracted 0.7% during the quarter as quality failed to keep up with the
broader market. International and emerging markets value vs. U.S. small and midcap detracted 0.1%. The tax inversion strategy, which finished in
January when the remaining deal closed, had a negligible impact on performance.
Yield compression and circular easing by the central banks have caused rising correlations across the rates and currency markets. It is unreasonable for
us to believe that we can construct a portfolio of uncorrelated spread trades. For that reason, today we are considering all fixed income positions as a
single portfolio (as we are with currency positions). Our long position in Australia and New Zealand bonds added 1.1%. Given that we already hold
short positions in eurozone and Japanese rates, the global rates short is not necessary. The Japanese rates short and U.S. 2s30s steepener each added
about 0.1%; we took out the steepener in favor of the more attractive eurozone rates short. The U.S. Treasuries vs. Bunds positon was relatively flat for
the quarter. We have eliminated the short Bunds position, as that view is currently well expressed by our existing eurozone rates short. We converted
the U.S. Treasuries position into a long U.S. rates position; that contributed 0.5%.
Currency positions were also a drag on performance, led by the impact of the euro/Swiss franc trade, which suffered in January as the Swiss National
Bank released the peg to the euro. Since then we have maintained the Swiss franc short relative to the U.S. dollar, which has recovered some of the loss.
Overall, that position detracted 0.6%. The Indian rupee long and commodity currency contributed 0.5% and 0.2%, respectively. The Israel shekel short
detracted 0.4%. The Brazilian real long and the euro short (which we added at the end of the quarter) each modestly contributed to performance. All
currency positions are now expressed relative to the U.S. dollar.
(617)3307500| www.gmo.com
GMOLLC2015
53
GMOSystematicGlobalMacroStrategy
March31,2015
STRATEGYPROFILE
EquityMarketSelection(%)
Country
TotalReturn(%)
NetWeight
UK
HongKong
Taiwan
Germany
Italy
Netherlands
Singapore
MSCIEmerging
U.S.
Australia
Canada
SouthAfrica
NetEquity
1Q2015
YTD2015
26.5
10.0
10.0
5.0
5.0
5.0
5.0
2.0
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
1.0
1.5
5.0
5.0
56.0
BondMarketSelection(%)
Country
U.S.
AssetBacked
Japan
43.0
NetBond
NetWeight
50.0
0.9
U.S.Dollar*
Euro
JapaneseYen
AustralianDollar
BritishPound
NetCash**
7.64
7.48
6.50
1.41
0.03
1.40
0.07
7.0
1YR
20.0
40.0
46.4
5YR
10YR
Strategy
Benchmark
ITD
NetWeight
2.5
2.5
2.5
5.0
5.0
5.0
Std.Deviation
SharpeRatio
Drawdown
(5/31/107/31/10)
Strategy
6.70
0.96
5.61

(617)3307500| www.gmo.com
GMOLLC2015
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
33.0
20.0
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
5YearRiskProfile
4.44
9.58
0.73
5.79
10.37
15.28
3.88
15.06
8.39
4.63
NetWeight
CommodityMarketSelection(%)
Commodity
CrudeOil
Copper
Wheat
HeatingOil
Gold
Corn
NetCommodity
17.5
Benchmark
0.01
0.01
AnnualizedReturn(%)
8.70
10
7.9
CurrencySelection(%)
Currency
Strategy
6.26
6.26
54
GMOSystematicGlobalMacroStrategy
March31,2015
The Systematic Global Macro Strategy returned +6.3% net of fees over the March quarter as currency, equity, bond, and commodity market positions
added value.
Currency positions added 3.3% as the U.S. dollar, held long, strengthened against short positions in the Swedish krona, British pound, and Australian
dollar.
Our net long allocation to equities contributed 1.6% as global markets (i.e., MSCI World Net Returns Index in USD) advanced 2.3% over the first
quarter. Equity market selection added a further 1.5%, due mostly to the outperformance of European markets, held long. However, a long position in
VIX futures, which cost 0.9%, subtracted the most value over the quarter.
Bond positions added 1.3% due to our large short position in 10-year JGB futures underperforming a long position in U.S. 10-year Treasury note
futures.
Commodity market positions added 1.0% as we held a net short exposure and they weakened 5.9% according to the Bloomberg Commodity Index.
The Strategy maintains a large long exposure to equity markets, a net short allocation to commodity markets, and a small net long bond allocation. We
removed a small long position in VIX futures and mostly removed long positions in U.S. and emerging markets, but other equity market allocations
remain unchanged: long positions are concentrated in European markets and Asia ex-Japan. We also made adjustments to our currency positions.
While sentiment continues to support a long position in the U.S. dollar, which we hold against short positions in the British pound and the Australian
dollar, we have extended our short position in pounds and established a meaningful long position in the euro.
(617)3307500| www.gmo.com
GMOLLC2015
55
GMOTacticalOpportunitiesStrategy
March31,2015
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
NetWeight
NonUS
US
1Q2015
YTD2015
23.5
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
26.5
NetWeight
ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities
21.7
29.3
12.7
2.1
9.1
4.1
22.8
9.5
2.4
11.8
Long
6.7
33.1
0.2
0.0
33.6
11.2
44.5
2.2
2.3
0.0
Short
28.4
3.8
12.9
2.1
24.5
15.3
21.7
11.7
4.7
11.8
Strategy
7.58
7.58
Benchmark
0.01
0.01
2.47
9.65
18.36
27.51
25.31
41.61
36.52
17.87
1.65
13.24
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
AnnualizedReturn(%)
1.44
1.41
0.07
0.03
0
2
4
5YearRiskProfile
8
Strategy
15.67
0.41
Std.Deviation
SharpeRatio
Drawdown
(9/30/113/31/15)
1YR
20.9 x
22.6 x
%NegativeEarnings
0.4 %
48.0 %
4.1 %
3.2 %
19.2 %
8.3 %
Price/EarningsExclNegEarningsHist1YrWtdMed
$112.8
0.6 x
1.4 x
%Long/Short
134 %
137 %
2.0 %
1.4 %

(617)3307500| www.gmo.com
GMOLLC2015
10YR
6.95
ITD
Benchmark
$10.8
Debt/EquityWtdMed
7.02
Characteristics
Short
5YR
Strategy
37.38
Long
6.37
7.42
56
GMOTacticalOpportunitiesStrategy
March31,2015
The Tactical Opportunities Strategy lost 7.6% net of fees in the first quarter of 2015.
High quality stocks within the U.S. lagged the broader market in the first quarter with the three identifiers of quality all being mixed; high profitability
won, low leverage was a push, and low profit volatility lagged.
Large cap stocks lagged small caps, both within the broader market and the quality universe. Our positions in international quality companies had a
positive impact during the quarter.
The top contributors in the long portfolio were Health Care and Information Technology. UnitedHealth Group and Covidien were among the top
contributors.
The largest absolute detractor in the long portfolio was Consumer Staples, with Procter & Gamble and Philip Morris International leading the way.
Short exposure within Health Care and Information Technology drove the majority of the absolute negative returns from the short portfolio while short
exposure within Utilities had a positive contribution to return.
The strategys average net exposure for the quarter remained neutral.
(617)3307500| www.gmo.com
GMOLLC2015
57
GMOTotalEquitiesStrategy
March31,2015
STRATEGYPROFILE
1
StrategyExposure(%)
TotalReturn(%)
Equities
84.0
MergerArbitrage
1Q2015
YTD2015
14.0
Other
2.0
Benchmark
0.01
0.01
2.71
17.49
8.64
0.40
3.51
7.47
14.26
5.37
1.90
3.56
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
3.00
Total
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
100.0
RegionExposure(%)
NonU.S.
U.S.
Strategy
3.29
3.29
75.0
25.0
Total
100.0
AnnualizedReturn(%)
1
Total exposure to downside equity moves, excluding effect of hedges and short
positions, as a percent of total net assets.
6.01
5.75
6
4
2.36
0.03
1.68
1.41
0.07
0
2
0.63
1YR
5YR
10YR
Strategy
Benchmark
ITD
(617)3307500| www.gmo.com
GMOLLC2015
58
GMOTotalEquitiesStrategy
March31,2015
In dollar terms, global equities generally posted modest gains during the first quarter as central bankers took center stage and commodity prices
continued to deflate. As international markets rose, the dollar strengthened considerably against most currencies with the exception of the yen.
International developed markets produced strong returns in local terms, bolstered by the onset of quantitative easing in the eurozone and by the
continuation of Abenomics in Japan. The U.S. market delivered barely positive returns as Fed watchers focused on if and when the rate tightening cycle
might begin, and the economy under-delivered on optimistic growth expectations. At quarter end, the MSCI All Country World index registered a
gain of 2.3%. MSCI EAFE was up 4.9%. The strongest performing major developed market was Japan, with MSCI Japan up 10.2%. Among the major
markets, the U.K. had the weakest dollar returns with MSCI U.K. down 1.0%. The S&P 500 returned +1.0% for the quarter, and MSCI Europe was up
3.5% in dollar terms. Emerging markets trailed developed international markets; MSCI Emerging returned +2.2% for the quarter.
The Total Equities Strategy returned +3.3% net of fees for the quarter, with the majority of the return driven by exposure to Equities.
Our equities strategy contributed 3.1% to the strategys total return. Exposure to Japan Value and U.S. opportunistic value helped the strategy top the
MSCI ACWI index by 1.0%. Exposure to U.S. quality detracted for the quarter.
Merger arbitrage contributed 0.4% to the strategy as two major deals closed during the quarter; Allergan-Actavis and Covidien-Medtronic. Total
Equities did not have exposure to the volatility strategy during the quarter.
(617)3307500| www.gmo.com
GMOLLC2015
59
BenchmarksandIndices
March31,2015
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or index
plus strategy. Actual composition of a strategys portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and
expenses. One cannot invest directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is shown in the
strategys prospectus. GMO may change a strategys benchmark from time to time.
FullName
Description
BarclaysU.S.AggregateIndex
TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.fixedrate
debtissueshavingamaturityofatleastoneyearandratedinvestmentgradeorhigher.
Citigroup3MonthTBillIndex
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofshort
termU.S.Treasurybills.
CPIIndex
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasan
indicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
GMOGlobalAssetAllocationIndex+
TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation
(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweighted
averageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndex
Series,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMO
andmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)Indexisaninternallymaintainedbenchmark
computedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%the
BarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataor
informationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthe
dataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.
GMORealReturnGlobalBalancedAsset
AllocationBlendedIndex+
TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough
06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobal
BalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3
MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweighting
ofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.The
RRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%
BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOand
maintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
GMOTaxManagedGlobalBalancedIndex
TheTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountry
WorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.
J.P.MorganGBIGlobal
TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofgovernment
bondsofdevelopedcountrieswithmaturitiesofoneyearormore.
J.P.MorganGBIGlobalexJapanexU.S.
(Hedged)+
TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theJ.P.MorganGBIGlobalexU.S.(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapan
exU.S.(Hedged)thereafter.
J.P.MorganGBIGlobalexU.S.Index
TheJ.P.MorganGBIGlobalexU.S.IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofnonU.S.
governmentbondswithmaturitiesofoneyearormore.
J.P.MorganU.S.3MonthCashIndex
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthree
monthU.S.dollarEurodeposits.ThedurationoftheIndexisgenerally90days.
MSCIACWI
TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependently
maintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
60
March31,2015
FullName
Description
MSCIACWI++
TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindex
comprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
MSCIACWICommodityProducers
TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducers
withintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
MSCIACWIexUSA+Index
TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelike
proxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwill
varyslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproduced
orusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
MSCIEAFEIndex
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.
MSCIEAFE+Index
TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
Series,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
MSCIEAFE++Index
TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,
Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccount
benchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedon
amonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
MSCIEmergingMarketsIndex
TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedand
widelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
MSCIWorld+Index
TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandard
IndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCI
World(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreach
andmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
61
March31,2015
FullName
Description
Russell3000+++Index
TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyofthe
accountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
andmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofany
dataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthird
partylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedto
theRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.
S&P500Index
TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.
S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
S&PDevelopedexU.S.SmallCapIndex
TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthe
smallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof
$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization
(float)oftheBMIineachcountry.
S&P/IFCICompositeIndex
TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarkets
stocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
62

1q 2015 Gmo Quarterly Update

Загружено:

Сведения о документе

Авторское право

Доступные форматы

Поделиться этим документом

Поделиться или встроить документ

Параметры публикации

Этот документ был вам полезен?

Это неприемлемый материал?

Авторское право:

Доступные форматы

1q 2015 Gmo Quarterly Update

Загружено:

Авторское право:

Доступные форматы

GMOQuarterlyUpdate March31,2015

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

Net of Fees, USD (Rep Account)

Gross of Fees, USD (Rep Account)

CPI Index (prelim through most recent month-end)

The groups indicated above represent exposures determined pursuant to

Gross of Fees, USD (Rep Account)

GMO Real Return Global Balanced Asset Allocation Blended Ind

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

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

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

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

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

5.89 6.16 5.83

The groups indicated above represent exposures determined pursuant to

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

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

Region weights are duration adjusted.

Region weights are duration adjusted.

Region weights are duration adjusted.

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

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

Displayed in local 10year equivalents

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

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

Вам также может понравиться