Gmo 2011-Q1

GMO
Quarterly Update
First Quarter 2011

GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S., developed international, and emerging markets. For client inquiries, please contact your Client Relationship Manager. For new business inquiries, please contact your Relationship Manager or Holly Carson at (617) 346-7501 or holly.carson@gmo.com
Contents
Global Market Review ................................................................. 6 Asset Allocation............................................................................ 7 Performance Review and Outlook............................................. 9 Strategy Performance Details.................................................... 20 Table of Benchmarks ................................................................. 72
GMO Quarterly Update
2011 Performance of GMO Strategies and Benchmarks

Total Return Net of Fees Average Annual Total Return One Year 10.38 15.65 16.08 15.15 7.65 15.65 12.58 18.26 20.31 22.67 36.38 30.08 23.93 24.28 10.40 17.41 One Year 9.71 10.42 24.21 22.08 10.82 8.21 10.42 13.92 12.55 10.42 12.48 10.42 3.25 2.28 9.03 2.41 17.94 19.94 10.42 12.16 10.42 Five Year 0.85 2.62 0.03 1.38 2.71 2.62 1.62 4.34 0.36 3.32 1.53 5.25 1.96 1.39 0.45 3.19 Five Year 0.60 1.30 6.17 3.69 0.35 0.39 1.30 3.04 2.14 1.30 1.17 1.30 -0.84 -1.44 -2.53 -4.24 3.15 3.91 1.30 1.65 1.30 Ten Year 2.23 3.29 3.43 4.53 n/a n/a 1.68 2.99 7.47 9.56 6.47 7.54 10.78 11.33 2.06 3.58 Ten Year 7.54 5.39 14.24 11.01 8.23 5.88 5.39 n/a n/a n/a n/a n/a 4.37 1.43 n/a n/a 12.70 11.13 5.39 8.98 5.39 Since Inception 10.92 10.67 3.74 3.70 2.84 4.18 9.49 9.22 11.15 11.56 6.09 6.81 9.67 10.70 3.12 3.37 Since Inception 12.76 9.47 12.43 7.74 8.54 7.40 5.40 8.05 6.35 6.92 9.18 7.62 7.56 5.94 -1.56 -2.83 9.90 7.16 5.60 8.35 5.05
GMO U.S. Equity Strategies/Benchmarks

U.S. Core S&P 500 Intrinsic Value Russell 1000 Value Quality S&P 500 Growth Russell 1000 Grow th Small/M id Cap Value Russell 2500 Value + Small/M id Cap Growth Russell 2500 Grow th Real Estate MSCI U.S. REIT Tax-M anaged U.S. Equities Russell 3000 +
Inception Date 9/30/85 5/31/99 2/29/04 12/31/88 12/31/91 12/31/96 5/31/96 7/31/98
1Q 2011 4.42 5.92 8.33 6.46 3.48 5.92 4.34 6.03 8.02 7.68 14.34 9.83 6.58 6.49 3.92 6.38 1Q 2011 4.03 3.36 3.86 4.52 4.16 4.55 3.36 1.78 2.22 3.36 3.67 3.36 0.43 0.89 -1.51 -4.44 1.59 2.96 3.36 4.05 3.36
YTD 2011 4.42 5.92 8.33 6.46 3.48 5.92 4.34 6.03 8.02 7.68 14.34 9.83 6.58 6.49 3.92 6.38 YTD 2011 4.03 3.36 3.86 4.52 4.16 4.55 3.36 1.78 2.22 3.36 3.67 3.36 0.43 0.89 -1.51 -4.44 1.59 2.96 3.36 4.05 3.36
YTD Value Added -1.50 1.88 -2.44 -1.69 0.34 4.51 0.09 -2.46
GMO International Equity Strategies/Benchmarks

International Active EAFE MSCI EAFE Int'l. Active Foreign Small Companies S&P Developed ex-U.S. Small Cap International Intrinsic Value MSCI EAFE Value MSCI EAFE International Growth MSCI EAFE Grow th MSCI EAFE International Core Equity MSCI EAFE Currency Hedged Int'l. Equity MSCI EAFE (Hedged) Japan Equity MSCI Japan IMI++ Int'l. Small Companies MSCI EAFE Small Cap + MSCI EAFE Tax-M anaged Int'l. Equities MSCI EAFE
Inception Date 5/31/81 1/31/95 3/31/87
YTD Value Added 0.67 -0.66 -0.39
11/30/01
-0.44
1/31/02 6/30/95 12/31/05 10/31/91
0.31 -0.46 2.93 -1.38
8/31/98
0.68
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. A GIPS compliant presentation is available at www.gmo.com. Copyright 2011 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written permission from GMO.

Total Return Net of Fees Average Annual Total Return One Year 22.06 19.51 18.46 22.28 19.51 18.46 One Year 13.17 13.45 12.81 13.45 16.08 15.14 13.45 One Year 9.97 5.12 13.48 7.91 0.14 0.15 16.21 9.83 5.51 0.52 13.80 8.15 17.62 8.65 12.74 11.01 5.34 0.15 Five Year 9.08 11.66 10.70 8.70 11.66 10.70 Five Year 2.07 2.08 0.97 2.08 3.20 3.02 2.08 Five Year 3.76 6.03 n/a n/a n/a n/a 6.73 8.23 2.69 4.23 5.74 7.56 8.23 8.26 n/a n/a n/a n/a Ten Year 18.76 18.47 16.79 18.16 18.47 16.79 Ten Year 8.88 4.21 5.99 4.21 n/a n/a n/a Ten Year 5.14 5.56 n/a n/a n/a n/a 8.28 8.27 4.24 4.51 7.03 7.49 14.31 10.15 n/a n/a n/a n/a Since Inception 10.24 7.47 6.91 11.57 10.22 8.92 Since Inception 9.00 1.49 7.30 5.71 7.11 6.58 6.08 Since Inception 5.86 6.22 4.36 6.42 0.20 0.14 7.49 6.44 7.87 6.94 6.18 5.83 16.66 11.84 4.96 8.78 6.32 0.14
GMO Emerging Equity Strategies/Benchmarks

Emerging M arkets S&P/IFCI Composite MSCI Emerging Markets Emerging Countries S&P/IFCI Composite MSCI Emerging Markets
Inception Date 12/31/93
1Q 2011 4.70 1.70 2.05 4.90 1.70 2.05 1Q 2011 6.20 4.80 4.68 4.80 3.93 3.71 4.80 1Q 2011 1.47 0.42 2.92 2.08 0.03 0.04 1.87 0.87 -0.37 -0.97 1.66 0.54 2.45 1.02 2.65 2.70 1.98 0.04
YTD 2011 4.70 1.70 2.05 4.90 1.70 2.05 YTD 2011 6.20 4.80 4.68 4.80 3.93 3.71 4.80 YTD 2011 1.47 0.42 2.92 2.08 0.03 0.04 1.87 0.87 -0.37 -0.97 1.66 0.54 2.45 1.02 2.65 2.70 1.98 0.04
YTD Value Added 3.00
9/30/97
3.20
GMO Global Equity Strategies/Benchmarks

Global Active Equity MSCI World Global Equity MSCI World Global Growth MSCI World Grow th MSCI World
Inception Date 8/31/00 7/31/96 7/31/04
YTD Value Added 1.41 -0.11 0.22
GMO Fixed Income Strategies/Benchmarks

Core Plus Bond Barclays Capital U.S. Aggregate Inflation Indexed Plus Bond Barclays Capital U.S. Treasury Inflation Notes U.S. Treasury Citigroup 3-Mo. T-Bill International Bond J.P. Morgan Non-U.S. Gov't. Bond Currency Hedged Int'l. Bond J.P. Morgan Non-U.S. Gov't. Bond (Hedged) (ex-Japan) + Global Bond* J.P. Morgan Global Gov't. Bond Emerging Country Debt* J.P. Morgan EMBI Global +
Emerging Country Local Debt Investment**
Inception Date 4/30/97 5/31/06 3/31/09 12/31/93 9/30/94
YTD Value Added 1.04 0.84 -0.01 1.00 0.60
12/31/95 4/30/94 2/29/08 3/31/09
1.12 1.43 -0.04 1.94
J.P. Morgan GBI-EM Diversified Asset Allocation Bond Citigroup 3-Mo. T-Bill
* 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. ** Returns for the composite are based on estimated market values for the period from and including October 2008 through February 2009.
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. A GIPS compliant presentation is available at www.gmo.com.

Total Return Net of Fees Average Annual Total Return One Year 8.77 11.29 5.97 9.60 3.12 7.77 -8.40 2.65 11.75 14.42 10.78 13.45 14.20 12.89 12.07 10.42 9.28 16.81 -6.75 13.45 2.87 0.15 20.29 14.03 -3.21 0.15 7.74 10.43 Five Year 4.93 4.23 4.60 3.36 5.39 7.37 n/a n/a 3.67 2.84 2.19 2.08 3.38 3.37 1.53 1.53 1.13 2.88 n/a n/a n/a n/a 3.93 3.44 1.54 2.10 4.03 3.88 Ten Year 8.26 5.12 n/a n/a n/a n/a n/a n/a 8.69 5.08 7.84 4.18 11.01 8.06 9.24 5.88 3.58 3.76 n/a n/a n/a n/a n/a n/a 3.72 2.12 n/a n/a Since Inception 10.15 8.36 6.79 5.06 10.30 7.53 -8.82 2.18 9.24 7.33 9.37 7.19 8.35 6.29 8.66 6.59 10.15 9.67 -3.06 20.54 9.18 0.97 4.88 4.27 4.05 3.39 8.40 7.27
GMO Asset Allocation Strategies/Benchmarks

Global Balanced Asset Allocation Blended Benchmark Real Return Global Balanced Asset Alloc. Blended Benchmark Global Allocation Absolute Return CPI Plus 5% Real Return Asset Allocation CPI Global All Country Equity Allocation Blended Benchmark Global Developed Equity Allocation Blended Benchmark International All Country Equity Alloc. Blended Benchmark
Inception Date 6/30/88 6/30/04 7/31/01 12/31/09 12/31/93 3/31/87 2/28/94
1Q 2011 2.72 3.03 2.10 2.99 1.42 2.71 1.13 1.47 3.55 4.57 3.52 4.80 3.40 3.38 3.01 3.36 4.07 6.20 -0.59 4.80 4.44 0.04 2.78 2.26 -1.42 0.04 2.13 2.88
YTD 2011 2.72 3.03 2.10 2.99 1.42 2.71 1.13 1.47 3.55 4.57 3.52 4.80 3.40 3.38 3.01 3.36 4.07 6.20 -0.59 4.80 4.44 0.04 2.78 2.26 -1.42 0.04 2.13 2.88
YTD Value Added -0.30 -0.89 -1.29 -0.34 -1.02 -1.28 0.02 -0.35 -2.13 -5.38 4.40 0.53 -1.46 -0.75
International Developed Equity Allocation 11/30/91 Blended Benchmark U.S. Equity Allocation Blended Benchmark Flexible Equities MSCI World Special Situations Citigroup 3-Mo. T-Bill Alternative Asset Opportunity Alternative Asset Opportunity Index Alpha Only Citigroup 3-Mo. T-Bill Tax-M anaged Global Balanced Tax-Managed Global Balanced Index 2/28/89 12/31/08 8/31/07 4/30/05 7/31/94 12/31/02

GMO Absolute Return Strategies/Benchmarks
Aggressive Long/Short Citigroup 3-Mo. T-Bill Tactical Opportunities Citigroup 3-Mo. T-Bill Emerging Country Debt Long/Short J.P. Morgan U.S. 3 Month Cash Currency Hedge J.P. Morgan U.S. 3 Month Cash Fixed Income Hedge J.P. Morgan U.S. 3 Month Cash Emerging Currency Hedge J.P. Morgan U.S. 3 Month Cash M ean Reversion Citigroup 3-Mo. T-Bill Systematic Global M acro Citigroup 3-Mo. T-Bill Completion Citigroup 3-Mo. T-Bill M ulti-Strategy Citigroup 3-Mo. T-Bill Tax-M anaged Absolute Return Citigroup 3-Mo. T-Bill Inception Date 9/30/00 9/30/04 3/31/96 7/31/03 8/31/05 3/31/06 2/28/02 3/31/02 8/31/07 10/31/02 3/31/01 Total Return Net of Fees 1Q YTD YTD Value 2011 2011 Added 2.53 0.04 -5.82 0.04 0.29 0.09 1.01 0.09 1.27 0.09 4.55 0.09 1.13 0.04 -3.85 0.04 3.86 0.04 0.03 0.04 -0.25 0.04 2.53 0.04 -5.82 0.04 0.29 0.09 1.01 0.09 1.27 0.09 4.55 0.09 1.13 0.04 -3.85 0.04 3.86 0.04 0.03 0.04 -0.25 0.04 2.49 -5.85 0.20 0.92 1.18 4.46 1.10 -3.89 3.82 0.00 -0.29 Average Annual Total Return One Five Ten Since Year Year Year Inception 5.29 0.15 -20.00 0.15 9.07 0.48 2.49 0.48 7.07 0.48 9.53 0.48 -5.78 0.15 1.66 0.15 -3.04 0.15 -1.49 0.15 -1.61 0.15 0.89 2.10 -7.59 2.10 5.29 3.16 -1.57 3.16 -6.05 3.16 5.18 3.16 2.96 2.10 7.45 2.10 n/a n/a 2.03 2.10 -3.81 2.10 2.54 2.12 n/a n/a 9.48 2.83 n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a -0.83 2.12 6.06 2.30 -9.52 2.30 11.47 3.90 0.51 2.91 -4.89 3.27 5.18 3.16 8.58 2.01 7.59 2.01 14.01 0.97 2.83 2.03 -0.83 2.12

The sunny disposition conveyed by investors was quickly challenged, however, as geopolitical risks burst onto the scene. Early in the quarter, what started as an individual protest against police brutality in Tunisia rapidly spiraled into a regional firestorm that looked to threaten every regime from Rabat to Damascus. It is impossible to predict how the various Middle Eastern crises will be resolved, but oil markets were quick to price in a hefty political risk premium, with crude oil rising almost 17%. Investors fraying nerves were further shocked toward the end of the quarter as Northern Japan was devastated by a massive earthquake and subsequent tsunami. Almost 14% of Japans electrical capacity was knocked out and a number of industrial global supply chains whiplashed by the sudden prospect of disappearing inventory. Coincident with these global upheavals was a further deterioration of the debt problems in the euro zones peripheral markets. Having spent the summer claiming that Portugal was not Greece, the Portuguese government bowed to the inevitable and by the end of March was in the process of requesting a financial bailout. Ardent claims that Spain is not Portugal look even more threadbare. Further cold water was poured by the Peoples Bank of China, which accelerated its program of rate hikes in the face of inflating real estate and food prices. With all of this uncertainty crammed into just three months, the real surprise perhaps is how little asset markets were impacted. Despite some impressive shortterm volatility, risky asset prices have remained remarkably firm. It is conceivable that asset prices are being driven to an ever-increasing degree by super generous liquidity and the associated lack of moral hazard than by fundamentals over the short to medium term. As the end of the second round of quantitative easing in the U.S. draws near, the implications for asset markets are stark. Indeed, since January 2009, 90% of the movements in the Feds stock of assets have come alongside rising equity and commodity prices.
Global Market Review

With the specter of a double-dip recession shrinking in the rear-view mirror, investors started 2011 on a reasonably confident footing. Corporate earnings continued to recover, inflation expectations were normalizing, and even the permanently lagging unemployment numbers seemed to indicate that some kind of recovery was underway. However, if one stared long enough, it was not hard to find danger signs. A stumbling U.S. housing market, accelerating commodity prices, and creeping inflation in emerging markets come to mind. But, if one chose to squint instead of stare, it might have appeared that the global economy was perhaps entering a more constructive phase.
Global Balanced Asset Allocation: One Example Recommendations as of March 31, 2011 Benchmark: 65% MSCI ACWI Index / 35% Barclays Capital Aggregate Benchmark
Fixed Income 35.0% U.S. Equities 27.8%
GMO Active Weighting Decisions
U.S. Equities -3.2%
Emerging Equities 8.9%
International Equities 28.3%

Int'l. Equities -3.9%
GMO Allocation
Cash & Special Equivalents 2.4% Situations 4.3% Alpha Only 14.0% Asset Allocation Bond 4.3% Emerging Country Debt 0.5% Strategic Fixed Income 10.5% Domestic Bond 3.0% Emerging Markets 12.0% Flexible Equities 1.1%
Quality 24.6%
Emerging Equities +3.1%
International Intrinsic Value 4.4% International Growth 4.3% International Core Equity 14.6%
Fixed Income +4.0%
-10%
-5%
0%
5%
10%
Note: Asset Allocation ranges are 20% for U.S. and international equities and -10%/+15% for fixed income.

Short-term volatility notwithstanding, the S&P 500 managed to climb an impressive 5.9% in the first three months of the year. The broader Russell 1000 Value and Growth indices climbed a little further, thanks to their wider mandates, but neither index particularly distinguished itself, with returns of 6.5% and 6.0%, respectively. With a market driven by the absence of moral hazard and enjoined by the central bank to speculate freely, it was no surprise to see small caps continue to rocket higher: the Russell 2000 posted a gain of 7.9%. With international indices substantially weighted toward Japan, developed market indices were negatively impacted by the fall in the Japanese market. In local currency terms, the EAFE index scraped by, returning +1.0%. For U.S.-dollar-based investors, however, the continuing drop in the currency meant the same index returned +3.4% for an unhedged EAFE investment. The Japanese market ended nearly 5% lower, which left the EAFE ex-Japan return up 5.7%, nearly on par with the S&P 500. Emerging market equities, no doubt more concerned about the negative impact from buoyant liquidity on their domestic inflation issues, returned a more pedestrian +1.7%. Bond market yields continued to edge higher, albeit at a much decelerating pace. The yield on the 10-year benchmark rose from 3.3% to 3.45% by the quarters close. Higher yields translated into a modest decline of 17 basis points for the J.P. Morgan U.S. Government Bond index. Although the J.P. Morgan non-U.S. Government Bond index managed a positive return of 87 basis points, part of this gain is attributable to a falling dollar over the same period. Improving credit conditions, however, helped the Barclays Capital U.S. Aggregate index post a gain of 42 basis points, aided in part, no doubt, by a slowly recovering municipal bond market, which managed to return +58 basis points. The J.P. Morgan EMBI Global managed to offset part of last quarters decline, rising 1.0% in the first quarter of 2011.
Asset Allocation
Review
With another strong quarter of returns for risky assets under our belts, it is worth asking if everything is, once again, overpriced. Determining whether all assets are expensive is more than an academic exercise. After all, we know that the usual suspect for a financial crisis is a dramatic fall in asset prices, which often happens after increasing debt levels have swollen prices far above fair value. Once the asset rout gets underway, debtors fear that they cannot roll their debts and creditors doubt whether they will ever be repaid. The subsequent recessions tend to be deeper and longer-lasting than average. At the end of the quarter, the S&P 500 stood at 1325. Over the last 10 years, the same index has produced an average of $56.6 of real earnings. Taken together, this means that the index finished the quarter with a cyclically adjusted price to earnings of 23.5 and suggests that the market is currently about 40% overvalued according to this popular and robust method. In a similar vein, nominal yields on the benchmark 10year government bond ended March at 3.45%. Assuming current inflation expectations of 2%, this also leaves government bonds handsomely overvalued, with poor expected returns going forward. Corporate debt is in a similar predicament, with credit spreads having narrowed ferociously over the last couple of years. These factors taken together make it appear that we are approaching levels from which large drops in asset prices could easily occur.
Strategies
From a strategic perspective, the current overpriced environment makes asset allocation decisions neither simple nor comfortable. Having established that we are once again in a world of narrow risk premiums, it is not hard to look back at history and pinpoint times where current valuations led to steep falls in prices. The problem, of course, is that we can also find previous episodes where markets continued to rally, albeit still delivering poor longer-term returns. This stark choice is made even more bleak by the dearth of safe assets
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offering reasonable returns to hold while sitting out the ongoing stock market levitation. As a result, we are forced to hold more equities than we would prefer at these absolute valuations for the simple reason that we could be in for a long sideways grind where growth eventually closes the valuation gap. In that scenario, real equity returns will likely be meager, but at least positive. One group that we refuse to hold, however, is global small cap stocks and, in particular, U.S. small caps. On our data, U.S. small cap stocks are now as expensive as we have ever seen them. Perhaps more surprising still is the deafening silence about this distinctly frothy group. Although the S&P 500 price index is still some way below its all-time high, U.S. small caps are within spitting distance of theirs: a high that was last reached with a booming global economy, strong employment, and a debt-driven consumption binge in full swing. Our broad strategies are: Maintain bias towards high quality stocks. While quality stocks were up this quarter, the party clearly passed them by. Though painful, their relative valuation has only gotten stronger. Quality stocks represent one of the few areas within U.S. equity markets that are trading at least somewhat near fair value, and that justifies an overweight. Remember what Quality represents companies that exhibit abnormally high ROEs, time-tested ROEs, and low levels of debt. These were NOT the characteristics of companies that QE2 was supposed to help, so its quite logical that they have not been as big a beneficiary. But any portfolio of stocks that continues to rely upon artificial intervention a junk-rally junkie, so to speak is eventually going to confront a nasty hangover. Maintain exposure to emerging markets, but be watchful. We are overweight emerging markets within global equity mandates as they represent a subasset class that we believe is priced to deliver very

decent absolute and relative returns. But we must be constantly vigilant. To our value ears, the growing consensus surrounding the spectacular growth stories in India and China and the rest of the emerging world are starting to sound eerily like shoeshine-boy stock tips. And were devoting quite a bit of time trying to discern whether this apparent improving profitability story (because profits, at the end of the day, are all that matter) is for real, or a mere play on a cyclical upswing in commodities and raw materials. Stay tuned. Bond pricing improvedbut not enough to get us excited. The back-up in yields this quarter continued to pull bond pricing closer to fair value, but hardly enough to change our opinion that bonds are still priced to deliver sub-par returns. And thats before we even confront the laundry list of possible headwinds: the end of QE2, the improving employment picture, rising commodity prices globally, continued uncertainty surrounding the state of affairs with Greece and Portugal, etc. Today, one has to look long and hard to find anything reasonably priced within the fixed income markets, so we continue to keep duration on the low end and try to keep our powder dry for the return of better pricing. Overweight more conservative low duration fixed income and cash/cash plus in balanced portfolios. Although our cash forecasts remain low in absolute terms, the relative attractiveness of holding larger-than-usual cash balances may be understated. When all asset class forecasts are low, the opportunity cost from holding cash is lower than when all asset forecasts are high. Holding cash at low valuations has the nice property that, should valuations correct, capital can be rapidly redeployed into riskier assets with higher expected returns. Consequently, we have overweighted cash/cash plus strategies in our balanced portfolios and even owned, where permitted, some cash/cash plus strategies in some of our

global accounts. We do not own cash plus strategies lightly, but with equities increasingly expensive and fixed income offering few opportunities, we prefer safety and the ability to fight another day. Invest in conservative absolute return strategies, where available. Ideally, absolute return strategies are often a pure play on manager skill. Therefore, the return streams should have little correlation to the movements of the markets. Such investment instruments can provide equity-like returns, while helping to diversify other parts of ones portfolio.
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returned +5.9% for the quarter in full, with small and mid cap indices faring even better. With headlines touting disaster, U.S. investors appeared to prefer detachment. Overseas turmoil received its fair share of attention, but U.S. stock returns reflected more optimism than fear. Wall Streeters pointed to a mlange of better-than-expected economic data as a collective rallying cry in their optimistic outlook. From retail sales to factory goods to business productivity, economic surveys painted a pleasing portrait of a domestic economic recovery. The perception of a rising economic tide lifted all boats. While Energy stocks responded to overseas woes with a market-leading gain, a U.S. company didnt need to be a perceived beneficiary from geopolitical turmoil to see its share price advance in the first quarter. All 10 GICS sectors within the S&P 500 posted positive returns during the quarter, with Energys +16.8% leading the way and the Consumer Staples sector the biggest relative laggard with a +2.8% first quarter return. The large cap S&P 500s +5.9% first quarter return was bested by the small/mid cap Russell 2500s 8.7% gain and the small cap Russell 2000s 7.9% advance. Within large cap, value indices beat growth indices, while in small and mid cap, growth outperformed value. Investment factor spreads within the market exhibited pro-risk bias. High quality large cap U.S. stocks lagged the market substantially while low quality outperformed modestly. Momentum metrics rode the pro-risk trend to positive quarterly returns and value measures delivered mostly positive relative performance as well, although those more exposed to high quality stocks struggled to keep up with the market.
Performance Review and Outlook

U.S. Equities Market Review
U.S. Equity Markets
First Quarter 2011 Performance
15%
10%
7.7% 5.9% 6.1% 6.5% 6.0%
9.8%
6.5%
5%
0% S&P 500 Dow Russell 1000 Russell 2500 MSCI Jones Value Growth Value Growth U.S. U.S. TSM REIT
The U.S. market began 2011 exhibiting the same optimistic mood that dominated the second half of 2010. U.S. investors shook off a mix of geopolitical trouble in oil-producing nations and a natural disaster and subsequent nuclear crisis in Japan to push the U.S. market to a third consecutive quarterly gain. While troubles in Libya and Egypt sent oil prices higher and the Japanese disaster produced a brief bout of equity risk aversion in March, neither event was enough to derail the U.S. markets first quarter trajectory. The S&P 500
Market Outlook
In the long run, investment returns have three sources: dividends, fundamental growth, and changes in price multiple. There are innumerable factors that influence a companys ability to pay dividends and grow, and the multiple the market is willing to pay for it. But at the heart of a value investment philosophy is an understanding of what is knowable, what is unknowable, the risks to both the known and unknown, and where we derive an edge. Our focus remains on understanding the
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U.S. Equities
Relative Performance of Selected Groups versus the S&P 500 Year-to-Date March 31, 2011
0.5
Largest 100
3.0 2.0
Russell 2500
0.0
1.0
Size
-0.5
0.0 -1.0
-1.0
-2.0
-1.5 12/10
1/11
2/11
3/11
-3.0 12/10
1/11
2/11
3/11
Investment Disciplines
1.5
Cheap on Price/Intrinsic Value
0.5 0.0 -0.5
High Price Momentum
1.0
0.5
-1.0
0.0
-1.5 -2.0 12/10
-0.5 12/10
1/11
2/11
3/11
1/11
2/11
3/11
1.0 0.0 -1.0
Consumer Discretionary
3.0 2.0 1.0 0.0
Financials
-2.0 -3.0
-1.0 -2.0 -3.0 12/10
Sectors
-4.0 12/10
1/11
2/11
3/11
1/11
2/11
3/11
4.0
Information Technology
4.0
MSCI U.S. REIT Index
2.0
2.0
0.0
0.0
-2.0
-2.0
-4.0 12/10
1/11
2/11
3/11
-4.0 12/10
1/11
2/11
3/11

knowable, acknowledging the unknown, weighing the associated risks, and finding investments trading for less than theyre worth.
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vulnerable loans, and generally more domestic exposure) and Technology (with worries of manufacturing disruptions). The spread of returns within the Japanese market was actually fairly wide, however, and defensive telecommunications stocks and some constructionrelated companies enjoyed robust positive returns. At a factor level, riskier stocks were punished within Japan. Smaller stocks underperformed, as did low price-to-book stocks and low quality stocks on GMOs metric (blending the level and stability of profitability along with low leverage). Energy was the best performing sector within EAFE, enjoying double-digit returns in aggregate as crude oil prices climbed 25% on the back of MENA unrest. Explorers and drillers did best, but integrated majors like Total, BG Group, Statoil, and Repsol were all up over 15% in dollar terms (with the first two being the top contributors to EAFEs overall return). Even Italian company ENI, with involvement in Libya, was up over 12%. BP was a notable laggard within the sector, delivering essentially flat returns. Telecommunication Services was the next best performing sector, led by Deutsche Telekom, which agreed to sell its T-Mobile USA business to AT&T. Telecom Italia and KPN in the Netherlands were also strong performers. Industrial stocks also gained, as did financial stocks as European investors saw value there even in an environment of concern over sovereign debt. Faith in the economic recovery gained strength over the quarter, which benefited many cyclical stocks in Europe and Asia ex-Japan. The worst performance was put in by the Information Technology sector. Troubles at Nokia were a major impact there as that stock fell nearly 18% in dollar terms. At the country level, the European periphery staged a bit of a comeback. Greece was the best performing market, up 15% in dollar terms, closely followed by Italy and Spain. Even Portugal, which has been much in the news for the quarter, rose 8.7%, while Ireland gained 9.0%. Every European market gained value, with Finland and Switzerland being the smallest gainers. In Asia, Hong Kong joined Japan as the other developed
International Equities Market Review

International Equity Markets
First Quarter 2011 Performance
10%
6.5%
5%
1.0%
3.4%
2.1%
2.0% 2.8%
1.7%
0%
-2.8%
-5%
In Local Terms In Dollars
-4.9%
-10% EAFE
MSCI Pacific Europe ex-Japan
Japan
S&P/IFCI Composite (Emerging)
The first quarter of 2011 was a turbulent one around the world. Unrest in the Middle East and North Africa (MENA) led to rising oil prices. The earthquake in Japan had tragic consequences. And within Europe the debt crisis was front and center in the minds of investors. Yet despite this sea of troubles, equity prices held up. The MSCI EAFE index of developed international stocks returned +3.4% in U.S. dollar terms. Outside of Japan, the return was close to the U.S. market return with the EAFE ex-Japan index gaining 5.7%; MSCI Japan lost 4.9%. Japan tumbled following the devastating earthquake, tsunami, and nuclear crisis, with MSCI Japan losing 5.8% from March 11 to quarters end, over which period EAFE ex-Japan rose 3.3%. Within Japan, the most obvious casualty was Tokyo Electric Power (TEPCO), operator of the damaged Fukushima nuclear reactor, which lost three quarters of its market value amid speculation of nationalization. TEPCO is heavily levered, and so solvency is certainly a concern. Outside of Utilities, the worst performing sectors in Japan were Financials (with real estate exposure, potentially
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market to suffer a decline, though Hong Kongs was by less than a percent. New Zealand suffered from its own earthquake, but still was up over 4%, as was Australia. Currency returns helped boost dollar-based investors equity returns, as the EAFE index was up only 1% when measured in local currencies. Euro-bloc currencies were the strongest. The two earthquake currencies of the yen and New Zealand dollar were the only ones with appreciable declines. The yen had a wild ride, appreciating to a record high below 78 against the U.S. dollar after the earthquake before subsequently falling back with intervention (and sanity?). Value stocks generally outperformed, with the MSCI Value index beating MSCI Growth by 4.5% to 2.2%. This was largely driven by Europe, where small caps also outperformed. Small stocks underperformed by enough elsewhere to hold the MSCI Small Cap index slightly below EAFE, with a return of +3.0%
GMO Quarterly Update Emerging Market Equities Market Review

Emerging markets began the year underperforming developed markets as investors focused on signs of overheating in the asset class. Central banks in the major economies such as Brazil, China, India, and Russia implemented monetary tightening measures in response to rising inflation. The protests that began in Tunisia resulted in the ouster of Egyptian President Mubarak and triggered uprisings in several other nations in the region, most notably in Libya. More bad news came in the form of an earthquake and tsunami that left Japan reeling from the considerable toll in lives and property, as well as concerns over radiation leaks from damaged reactors. However, the end of the quarter saw investors looking past these events to focus on macroeconomics and corporate earnings. The U.S. economy added more jobs than forecast in March, causing the unemployment rate to unexpectedly drop to a 2-year low of 8.8%. Chinas manufacturing growth accelerated, South Korean exports rose strongly, and the Russian economy posted a good fourth quarter. The quarter saw country performances as diverse as a 20.2% jump in Hungary and a 23.2% fall in Egypt. Among sectors, the spread was tighter, with Energy leaping 11.9% and Health Care dropping 4.9%. Oil prices spiked to a 30-month high in March as demand pressures from improving economic performance in the U.S. and China, the major consumers, met supply pressures emanating from the instability in the Middle East. Employment data in the U.S. suggested that the recovery is gathering momentum. Payrolls increased by 216,000 workers in March after a revised 194,000 gain the prior month. In China, manufacturing growth accelerated for the first time in four months. The Purchasing Managers Index rose to 53.4 in March from 52.2 in February. Meanwhile, the strife in Libya showed no indication of an early resolution as NATO-backed rebels engaged in heavy fighting with Qaddafis supporters. The wave of unrest that toppled the leaders
Outlook
The main components of the MSCI EAFE index are Europe and Japan, and so investing in developed international equities comes with the baggage of significant exposure either to troubled or stagnant economies with poor demographics and uncertain growth prospects, or a choice of either natural disaster or, perhaps, a manmade one in the form of Japans financial system. But many of the individual companies located in those countries have better prospects. And price matters as much, or more, than growth in assessing prospective investment return. The fall in Japanese equities seemed extreme in light of the estimates of the actual damage to productive capability. While destruction of capital can hardly be a good thing, if there is one country that could use less capital, it would be Japan. While value spreads have tightened a bit within the quarter in Europe, they are wide enough to provide reasonable stock picking opportunities.

of Tunisia and Egypt spread to several countries including Bahrain, Syria, and Yemen. Our Energy sector overweight in countries such as Hungary, Korea, Russia, and Thailand is a reflection of its cheapness and positive momentum. The Hungarian stock market advanced on reports that the government would announce plans to improve the budget balance. The government had relied on temporary industry taxes and the effective nationalization of private pension portfolios to reach budget targets in the past rather than imposing austerity directly on the populace. Investor sentiment was cheered by leaks suggesting it would now backtrack and move to cut unemployment benefits and reduce spending on pensions and on drug subsidies. While the actual announcement turned out to be a letdown for the markets, Hungary still posted the best quarterly return in the asset class. Hungary has a government debt level of 80% of gross domestic product and has exceeded the European Unions 3% budget deficit guideline every year since joining the bloc in 2004. Egyptian President Hosni Mubarak was ousted from power on February 11, plunging the country into a political crisis. Voters approved changes in a referendum in March that included presidential term limits, wider judicial oversight of elections, and fewer restrictions on presidential candidates. The military, which has had interim authority since Mubarak ceded power, said the first presidential elections would be held in October or November. Plans are underway to draft a new constitution as well. The turmoil has hurt the economy, with growth slowing, many tourists staying away, and factory output hit by strikes. The Finance Ministry expects gross domestic product to be below 3.5% this year compared with a forecast of 5.8% before the revolution. Korean exports sidestepped the unrest in the Middle East and the Japanese earthquake to scale new heights in March. Shipments to China, the largest consumer of Korean goods, increased 9.2% from a year earlier and exports to the U.S. jumped 13.5%. Despite some strengthening recently, the Korean won has lagged its
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peers. Thats aided competitiveness at companies, providing a significant tailwind in a nation where exports are equivalent to about half of the economy. Korea has been a major beneficiary of the recent positive news flow in the U.S. The consumer price index rose 4.7% from a year earlier, accelerating from a 4.5% pace in February. The central bank raised the benchmark rate by a quarter of a percentage point to 3% in March, following an increase of the same amount in January. India has seen investors increasingly concerned about rising inflation and its effect on corporate earnings. The government forecast that the economy would expand as much as 9.25% in the year starting April 1, the fastest pace since 2008. The central bank raised the benchmark rate in March, making it the eighth move in a year. India imports three-quarters of its energy needs and the surge in oil prices has compounded inflationary pressures. Non-food manufacturing inflation, which reflects the strength in consumer demand, accelerated to 6.1% in February from 4.8% in the previous month. On the fiscal front, the government has proposed increasing spending by 13.4%, but also announced a lower target for the budget deficit of 4.6% of gross domestic product from 5.1% in the prior 12 months. Our models have considered India to be expensive for several quarters and this is reflected in the underweights in Indian Consumer Discretionary, Industrials, Utilities, and Materials.
Outlook
This outlook discusses some of the country/sectors where we see notable developments.
Brazilian Credit
Brazils newly elected government is attempting to steer a booming economy through the choppy waters of rising inflation and a strengthening currency. The latter was the focus initially. Finance Minister Mantega, credited with coining the term currency war, was quite vocal on the perils of a loose U.S. monetary policy. However, confronted with the scarier demon of inflation, the government seems to have raised the white flag on currency appreciation. Mantega acknowledged that a
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strong currency would help curb inflation and felt that its strengthening is unavoidable. While a strong currency hurts exporters, the damage inflicted by inflation would be more widespread. Brazil, in particular, has painful memories of the damage caused by runaway inflation. The central banks weekly survey of economists suggests that expectations for inflation this year have reached 6.3%, approaching the governments target range of 4.5%, plus or minus 2%. Real interest rates are already the highest of any large economy. This has forced Brazil to resort to taxes on consumer credit and other ad hoc measures. Brazil doubled a tax on consumer credit to 3%. The government aims to slow credit from its current 21% annual growth down to 12% to 15%. We are close to neutral on Brazil (on average across its sectors).

Indian Inflation
The Indian economy has recovered smartly from the global financial crisis as evidenced by the GDP growth of 8.6% last year, close to the average of the five years preceding the crisis. However, inflationary pressures have also reemerged with an 8.3% year-on-year rise posted in February 2011. Non-food manufacturing inflation, viewed by the central bank as a reflection of demand-side pressures, increased from its trough of minus 2.4% in July 2009 to 6.1% in February 2011. Salaries in India may jump the most in the Asia Pacific region in 2011, according to a survey by consultant Aon Hewitt. Spending under the governments National Rural Employment Guarantee Act has surged almost four-fold to 399 billion rupees. Furthermore, India relies on imports to meet three-quarters of its energy needs. The central bank raised rates in March for the eighth time in a year, boosting the repurchase rate to 6.75% after raising the inflation forecast twice since late January. Domestically, India faces structural supply and capacity bottlenecks that contribute to a fast pass-through of input price rises, making the threat of supply pressures widening into more generalized inflation real and significant. A combination of liquidity measures and rate actions saw the overnight call money rate increase by more than 300 basis points over the course of the year. Rather than do this in large spurts, the Reserve Bank opted for small (25 basis points), changes in rates over time. The rationale has been to contain the spread of inflationary pressures from food and energy while not disrupting the recovery of economic growth. We are underweight most sectors in India due to its low scores on value and momentum.
Chinese Property
Chinese Premier Wen Jiabao has emphasized the overarching importance of keeping housing affordable and maintaining stability in consumer prices. Consumer prices in February climbed 4.9% from a year earlier, exceeding the governments annual inflation target of 4%. While the 1-year deposit rate was hiked to 3.25%, it has lagged the pace of consumer price gains, incentivizing households to consider assets such as real estate. Housing prices gained for 19 consecutive months through December. Prices rose 0.6% in March with 82 out of 100 cities showing an increase according to SouFun Holdings Ltd., owner of the nations biggest real estate website. China has tightened property related measures such as the minimum down payment several times. Taxes have been introduced on residential properties in Shanghai and Chongqing. About 40 Chinese cities said they would cap new home prices below disposable per capita income growth. Wen Jiabao has declared that the government would severely punish irregularities in the real estate market and hold local officials accountable for maintaining stable home prices. We are underweight most Chinese sectors, with Telecoms being a notable exception. The drivers have been its expensiveness and poor momentum.
Russian Energy
Unrest in the Middle East and the nuclear crisis in Japan have been generally positive for Russian energy in both the short and long term. The turmoil in the Middle East caused energy prices to spike in the first quarter, boosting Russias economy. Russia has not been bashful

about using the protests to present itself as a more reliable alternative to Middle Eastern energy suppliers. On a longer-term perspective, the nuclear crisis in Japan has led to a re-opening of the debate on the merits of nuclear power. If several Japanese power plants stay out of operation, the countrys gas consumption could rise significantly next year. While output from Russias field near Japan is mostly committed under long-term contracts, increased Japanese demand could transform the economics of developing other reserves in the area. Similarly, German Chancellor Angela Merkels pledge to revisit nuclear power could make Germany more reliant on alternatives. Russian gas would be one of the easiest ways to meet Germanys climate goals and keep Europes largest economy running. Nuclear energy provides about one quarter of the power generated in Germany. Interestingly, ex-chancellor Gerhard Schroeder heads Gazprom-owned Nord Stream. Nord Stream is responsible for an undersea pipeline to Germany, which is due to start delivering Russian gas to European consumers in October. Our overweight in Russian energy, the largest country/sector bet in our portfolio, is a result of its deep value and its strong momentum.
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curve actually steepened during the quarter: real 2-year yields fell by 94 basis points, real 10-year yields fell by only 1 basis point, and longer-dated real yields (>20 years) rose by 10 basis points. The unresolved budget debate in the U.S. weighed on all long-term U.S. Treasuries.
2011 Return Decomposition

Spread/Spot Moves Carry Bond Term Structure
4% 3% 2% 1% 0% -1% -2% U.S. Gov't. EMBIG Bonds (Emerging (GBI) External Debt)
Local Term Structures USD Term Structure Em erging FX Em erging Sovereign Credit DM FX
GBI exGBI-EMD (Emerging U.S. (G10 Gov't. Debt Local ex-U.S.) Debt)
Fixed Income Review

Global nominal government bonds sold off again in the first quarter, and the U.S. dollar weakened broadly. Rising global inflation expectations, particularly in emerging countries, dented enthusiasm for nominal government bonds and added to expectations that emerging countries would allow currency appreciation to offset the rise in U.S. dollar-based commodity prices. As a result, emerging currencies fared better than G10 currencies relative to the U.S. dollar. Global inflation-linked government bonds outperformed their nominal counterparts during the quarter. In the U.S., TIPS returned +2.1%, while nominal Treasuries returned -0.2%. A decline in the real yield of TIPS boosted returns, although the real yield
Once again, the quarters most notable bond market laggards were the so-called PIIGS-country bonds in Europe. The European debt crisis intensified again in March of Q1, with Portuguese and Irish bond yields reaching record highs since the euros launch. Portuguese bond market total returns fell by 9% during the quarter, given the countrys Standard & Poors sovereign credit rating downgrade to BBB- and the looming possibility of a financial bailout. In Ireland, bond market total returns fell by 6%, given the discovery of a 24 billion shortfall on a recent round of bank stress tests. Core euro zone debt markets, including Germany and France, also fell during the quarter, but on a smaller scale, by 0.4% to 2.4%. Spanish bonds decoupled from the rest of the PIIGS, returning +2.1% as Spanish banks made efforts to boost capital. Greek bonds were nearly flat in total return terms, as high running spreads offset the price declines.
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European Government Bond Total Returns 1Q 2011
2.1% 0.5% 0.2% -0.4% -2.0% -2.3% -2.4% -5.7% -8.6%

Sharply higher yields were seen in countries where food-and-energy prices have been raising headline inflation numbers, namely Indonesia, Turkey, Israel, Brazil, and South Africa. In the G10, Canadian yields rose as the Bank of Canada was less downbeat about the recoverys endurance. In the euro zone, well telegraphed statements about interest rate increases by the ECB lifted rates. Given the rise in yields during the quarter, bond market returns were weak everywhere: U.S. bonds (GBI series) returned -0.2%. U.S. term structure contributed 0.2% to the emerging external debt return (EMBIG series), given that benchmarks relatively long (6.6 year) duration. Local term structures detracted 0.7% from emerging local debt returns (GBI-EMD series) and -0.8% from the return to international developed bonds (GBIex U.S. series). In currencies, apart from idiosyncratic circumstances, the foreign currencies gained relative to the U.S. dollar fairly broadly. Central and Eastern European currencies led, with Hungarian forint +10.9%, Romanian leu +9.1%, and Czech crown +8.1%, bolstered in part by the rise in the euro relative to the dollar. The euro gained 5.8%, despite the slow-motion European sovereign debt crisis. In peripheral Europe, CDS spreads widened anew amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades.
It a ly
ce G er m an N y et he rl a nd s
ec e
la nd Ire
ai n
G re
Fr an
Sp
lg i
Be
Source: J.P. Morgan
In terms of yield levels, interest rates rose in most markets. An exception in the G10 was New Zealand, where the Reserve Bank unexpectedly cut policy interest rates by 50 basis points in the wake of the Christchurch earthquake. In emerging, rates fell notably in Hungary and Russia. In Hungarys case, positive news regarding fiscal reform drew investment flows to that market. In Russia, the reason was less clear, since the central banks own forecast for inflation is well above the current level of yields.
First Quarter 2011 Change in Interest Rates (10Y DM, 5Y EM)

1 .6 1 .3 0.9 0.3 0.4 0.1 -0.1 0.0 0.2 0.2 0.3 0.4 0.5 0.6 0.7 0.9 1 .0
Po
rtu ga l
um
0.1 0.2 -0.1 -0.3
0.2
0.2
0.2
0.2
0.3
0.2
0.3
-0.2 -0.4
Ne w
Hu ng ar Ru y ss Sin ia ga po re Ta iwa Ho n ng Ko ng Ma lay si a Ko re Po a lan d Cz Chin ec h. a R GB ep. I -E Th MD ail an d Me xic o Ch i le S. Afr i ca Br az il Isr ae Tu l Ind rkey on es ia
Ze al a Au n d str ali a Ja pa n U. Sw S. Sw eden it ze rla nd GB I UK No rw ay Eu Ca ro na da

Elsewhere, most currencies shrugged off a seemingly endless barrage of unexpected global events: political turmoil in the Middle East; the earthquake in New Zealand; the earthquake/tsunami/nuclear catastrophe in Japan; and a sudden hawkishness among policymakers at the Federal Reserve and ECB. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. Unsettling political events served as the backdrop for declines in the Egyptian pound and the Peru new sol. Following closely on the heels of the dramatic events in Tunisia, popular uprising led to the departure of Egyptian President Hosni Mubarak. The stock exchange was closed for much of the quarter, and currency trading was extremely limited. By quarter end, a historic referendum was held regarding changes to the constitution, paving the way for parliamentary and presidential elections. In Peru, polls revealed an alarming rise in the popularity of leftist candidate Ollanta Humala. With the election approaching on April 10, market participants, recalling the severe sell-offs associated with the rise of this same candidate in the 2006 elections, sold Peruvian assets. Naturally, liquidity dropped as well. NDF forward points flipped from implying a forward premium for PEN to a forward discount.
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Chilean peso was another notable laggard, -2.0%. Chile announced a massive fx intervention program, apparently desperate to avoid capital controls, the effectiveness of which has been extensively questioned by Chilean policymakers subsequent to their 1990s experiments with them. In G10, Swedish krona led gains, +6.6%, while New Zealand dollar lagged, -2.4%. Central banks in Sweden and New Zealand were the only ones of the G10 to change policy interest rates during the quarter. The Swedes raised theirs by 25 basis points amidst a healthy economic environment, and the New Zealanders cut theirs by 50 basis points anticipating that the February Christchurch earthquake would add to the uncertain economic environment. The Japanese yen fell by 2.1%, pushed lower by coordinated G7 intervention. The yen briefly hit multiple-decade highs as the market feared repatriation flows would flow after the March 11 earthquake, tsunami, and subsequent nuclear catastrophe.
First Quarter 2011 Currency Spot Returns

1 0.9 7.4 4.1 4.2 8.1 9.1
5.1 2.1 2.4 1 1 .6 .9
5.8
6.6 3.5 3.5 2.8 3.1
0.9
0.7 0.9 -0.1 0.2 0.3 -0.3 -0.9 -0.7
1 1 2.0 2.0 .6 .8
-2.4 -2.1
-2.0 -2.6 -2.1 -2.0
Ze ala n Ja d Au pan GB stra I e lia Sw x-U .S it z erl . an Ca d na da U No K rw ay Eu Sw r o ed en
Ne w
Eg S. ypt A Ar frica ge nti na C Th hile ail a Ta nd iwa T n Ho urk ey ng Ko ng Pe ru Ind ia Ph Chi ilip na p Sin ines ga p Ma ore lay si a Br az Is il GB rael I Co -EMD lom bia K Ind orea on es Po ia lan Me d xic Cz Russ o ec h. ia Ro Rep. ma Hu nia ng ary
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In credit markets, emerging debt spreads (EMBIG series) widened by 10 basis points to 299 basis points during the quarter. That said, most of the spread widening was due to compositional changes: during the quarter, the EMBIG added bonds from high-spread countries such as Belarus, Jamaica, Ukraine, Venezuela, Nigeria, and Lebanon, while dropping entirely the lone bond from low-spread Tunisia. The EMBIGs S&P rating fell by one notch to BB+ this quarter as a result of these changes. Liquidity in the emerging cash bond market improved and the average bid-offer spread narrowed to 62 basis points at the end of the quarter from 89 at the beginning. New issuance of $81 billion was second only to the record high of $88 billion in the third quarter of 2010. Emerging debt spreads remained narrower than the peripheral European country spreads (Greece 990; Ireland 640). Indeed, neighboring Hungary, whose debt/ GDP statistics would qualify it as a PIIG, had a 5-year CDS at quarter end of 257 basis points. During the quarter, Hungary hit the road meeting global investors and then issued a series of large U.S. dollar bonds. The biggest index gainers were Ivory Coast (+8.3%), Ecuador (+7.4%), Georgia (+6.1%), and Hungary (+5.5%). The Ivory Coast bond rebounded at the end of

March from heavy losses earlier in the quarter as the internationally recognized president-elect took up arms, and his forces quickly overran most of the country. Ecuador benefited from higher oil prices. Georgia has made good progress with structural reforms, supported by an IMF loan. Hungarys new government has taken steps to cut its fiscal deficit by cutting spending. The worst performers of the quarter were Belarus (-10.2%), Egypt (-6.5%), Pakistan (-2.4%), and Dominican Republic (-1.9%). Belarus was criticized by the IMF and downgraded by the ratings agencies for its unsustainable balance of payments deficit. Egypt and Pakistan both experienced political conflict well-covered by the media. Dominican Republic suffered from its dependence on imported oil. In asset-backeds, the market was unchanged overall, although mixed across various sectors. According to J.P. Morgan, credit card spreads declined from 27 basis points to 22 basis points, auto spreads rose from 32 basis points to 40 basis points, and student loan spreads were flat at 40 basis points. The ABX subprime indices followed the same trend, with price changes on the triple-A tranches ranging from negative 3% to positive 4%.
First Quarter 2011 J.P. Morgan EMBIG Returns by Country

5.5 6.1 4.5 5.2 3.4 3.6 4.0 2.6 2.7 2.7 3.0 2.0 2.1 2.4 1 1 1 1 1 1 1 1 .0 .0 .4 .4 .8 .9 .9 .9 -0.2 0.0 0.6 0.7 0.8 0.8 .9 -2.4 -1 -6.5 -1 0.2 -1 -1 -1 -0.9-0.8 .4 .4 .3 -0.6-0.6 -0.6-0.5 -0.5 7.4 8.3
lar u E s Pa gyp Do kist t m. an Le Rep ba . n Tu on Ar rke g y Sr entin iL a Ind ank on a es Be ia Tu lize nis ia Pe Ph Ch ru in il El ippin a Sa es lva do Ch r Po ile lan So B d ut h raz A il Ma frica lay EM sia Bu BIG lg Pa aria na m Me a xic Cr oa o Ga tia Co bo lom n Nig bia Ur eria ug u Jo ay rda Cr n oa Gh tia an a Ru Iraq s U k si a rai Vi e n e t na Ka Se m za rbia k Ve hsta ne n z Ja uela ma H u i ca n Ge gary o E rgi Ivo cuad a ry Co or as t
Be
GMO Quarterly Update Strategies

In another strong quarter, nearly all of the fixed income strategies delivered positive alpha. Developed markets strategies witnessed gains across all sub strategies: currency positioning, interest-rate market selection, emerging debt exposure, and further recovery in the asset-backed portfolios used as cash sweeps. In interest rates we reintroduced our global interest-rate slope strategy. In emerging debt strategies, security selection was a winner across strategies, although country selection (in external debt) and interest-rate selection (in local currency debt) were detractors. Finally, the collateral pools continued to churn out positive excess returns, delivering alpha to all of the strategies in direct proportion to the strategys exposure.
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Change in Central Bank Policy Rates, 3-Month LIBOR & Inflation 1Q11 (Basis Points)
73 58 24 0 0 0 0 1 0 -3 50 30 13 0 1 0 7 44 30 25 0 6 73 55
0 -5
-33 -50 -50
Policy Change 3-Month LIBOR Consensus Inflation Forecast for 1-Yr. Ahead
ad a Sw itz erl an d No rw ay Sw ed en
U. S.
Outlook
As the first quarter closed, the inflation/deflation debate was, as in Q1 2008, raging. Below we update the chart we used at that time, which compares the change in policy rates, deposit rates, and consensus 1-year-ahead inflation expectations in the G10. Like Q1 2008, inflation expectations are rising solidly nearly everywhere. Also like Q1 2008, only Sweden and the ECB seem to be concerned (Sweden raised its policy rate, and the ECB was widely expected to do so, as evidenced by the rise in LIBOR). In emerging, again also like Q1 2008, inflationsensitive central banks in China, Taiwan, Central Europe, Russia, and Poland, Russia, Romania, Czech Republic, Peru, and Egypt, among others, were tightening policy.
The difference between now and then, however, is the supposed coordination among policymakers that has existed since the financial crisis that erupted later that year. Unfortunately, policy coordination breaks down when not everyone faces the same economic condition, which had been the case when these policy coordination pledges were made. To equalize or at least counteract the effects of asynchronous policy shifts, many countries are resorting to capital controls and other measures, these days with the endorsement of the IMF. Widespread changes in the rules of cross-border investing make generating an outlook fairly difficult. We keep our portfolios tilted toward those currencies, interest-rate, credit markets, and instruments that we believe represent good value. At quarter end that included a continued underweight in the U.S. dollar, both against most G10 currencies and most emerging ones. In rates, we remained underweight duration overall, with a notable underweight in Japan. In credit, we still see value in asset-backed securities and emerging debt.
Disclaimer: The views expressed herein are through the period ending March 31, 2011, and are subject to change at any time based on market and other conditions. This is not an offer or solicitation for the purchase or sale of any security, is not intended to be investment advice and should not be construed as such. References to specific securities and issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities.
Eu ro
UK Au str ali a Ne w Ze al a nd
ntr ies
Ja pa
Co u
Ca n
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GMO U.S. Core Strategy

Inception: 9/30/85; Benchmark: S&P 500 Index Performance1
Total Return Net of Fees (%) Average Annual Total Return (%)
As of March 31, 2011

Top Ten Holdings2,5
One Year 10.38 15.65 Five Year 0.85 2.62 Ten Year 2.23 3.29 Since Inception 10.92 10.67
1Q 2011 Strategy Benchmark

3
YTD 2011 4.42 5.92
4.42 5.92
Annual Total Return Net of Fees (%)
2001
2002
2003 26.64 28.69
2004 9.85 10.88
2005 3.66 4.91
2006 9.75 15.80
2007
2008
2009 21.41 26.46
2010 8.96 15.06
Strategy -7.87 -19.73 Benchmark -11.88 -22.10
1.65 -30.17 5.49 -37.00
Pfizer Inc. Microsoft Corp. Wal-Mart Stores Inc. Google Inc. (Cl A) Oracle Corp. Int'l. Business Machines Merck & Co Inc Procter & Gamble Co. Coca-Cola Co. Johnson & Johnson Total
5.0% 4.7% 4.2% 4.0% 3.8% 2.8% 2.7% 2.7% 2.7% 2.6% 35.2%
Risk Profile Since 9/30/854

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark -2.5 Consumer Discretionary 7.9 % 10.4 % 10.7 Consumer Staples 20.9 10.2 -8.4 Energy 4.9 13.3 -13.3 Financials 2.5 15.8 15.3 26.3 Health Care 11.0
Alpha Beta 2 R Sharpe Ratio
1.23 0.92 0.96 0.48
0.00 1.00 1.00 0.41
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
16.4 2.9 2.2 20.7 $89.6
x x % %
16.7 2.3 1.9 16.5 $49.8
x x % %
Industrials Information Technology Materials Telecom. Services Utilities

-20
-6.4 10.0 -2.7 0.5 -3.1 -10 0 10 20
4.9 28.1 1.0 3.5 0.1
11.3 18.1 3.7 3.0 3.2

GICS Sectors
Quarterly Strategy Attribution U.S. Core Strategy returned +4.4% for the first quarter of 2011, trailing the +5.9% return of the S&P 500 index. The Sector selection detracted from relative returns for the quarter. The strategy saw positive returns relative to the benchmark attributable to its underweight positions in Financials and Utilities. Overweight positions in Information Technology and Consumer Staples and an underweight in Energy were among the detractors. Stock selection also detracted from relative returns. Selections in Health Care, Energy, and Telecommunication Services added to returns versus the benchmark while picks in Information Technology, Financials, and Consumer Staples detracted. Individual stocks adding to relative returns in the first quarter included overweight positions in Pfizer, UnitedHealth Group, and ConocoPhillips. Stock selections detracting from returns versus the benchmark included overweight positions in Microsoft, Wal-Mart Stores, and Merck.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
21
GMO Intrinsic Value Strategy

Inception: 5/31/99; Benchmark: Russell 1000 Value Index Performance1

Top Ten Holdings2,5

3
YTD 2011 8.33 6.46
One Year 16.08 15.15
Five Year 0.03 1.38
Ten Year 3.43 4.53
Since Inception 3.74 3.70
8.33 6.46
2001
2002
2003 30.42 30.03
2004 12.12 16.49
2005 5.57 7.05
2006 13.61 22.24
2007
2008
2009 19.42 19.69
2010 11.86 15.51
Strategy 3.84 -15.63 Benchmark -5.59 -15.52
-3.73 -34.51 -0.17 -36.85
Pfizer Inc. UnitedHealth Group Inc. ConocoPhillips Exxon Mobil Corp. Microsoft Corp. Oracle Corp. AT&T Inc. Apple Inc. Google Inc. (Cl A) Wal-Mart Stores Inc. Total
3.8% 3.6% 3.4% 3.4% 3.2% 3.1% 2.9% 2.9% 2.8% 2.3% 31.4%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -2.1 Consumer Discretionary 5.9 % 8.0 % 1.8 Consumer Staples 11.2 9.4 -1.3 Energy 12.5 13.8 -14.6 Financials 12.3 26.9 12.5 Health Care 24.9 12.4 -2.0 Industrials 7.4 9.4 Sector
0.66 0.92 0.94 0.11
0.00 1.00 1.00 0.07
Characteristics5
Strategy Benchmark
15.3 2.2 2.1 17.3 $50.4
x x % %
16.0 1.7 2.1 11.5 $38.4
x x % %
Information Technology Materials Telecom. Services Utilities

-20
13.8 -2.4 -0.2 -5.7 -10 0 10 20
19.1 0.8 4.9 0.9
5.3 3.2 5.1 6.6

GICS Sectors
Quarterly Strategy Attribution Intrinsic Value Strategy returned +8.3% for the first quarter of 2011, leading the +6.5% return of the Russell 1000 Value index. The Sector selection detracted modestly from relative returns for the quarter. The strategys underweight positions in Utilities and Financials added to relative returns. Underweight positions in Materials and Energy and an overweight in Information Technology detracted from returns versus the benchmark. Stock selection added to relative returns. Selections in Health Care, Energy, and Financials added to returns versus the benchmark while picks in Information Technology detracted. Individual names adding to relative returns included overweight positions in UnitedHealth Group, ExxonMobil, and ConocoPhillips. Stock selections detracting from relative returns included overweight positions in Microsoft, Google, and Wal-Mart Stores.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-tobook ratios and lower forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
22
GMO Quality Strategy

Inception: 2/29/04; Benchmark: S&P 500 Index Performance1

Top Ten Holdings2,4
One Year 7.65 15.65 Five Year 2.71 2.62 Ten Year n/a n/a Since Inception 2.84 4.18

3
YTD 2011 3.48 5.92
3.48 5.92
2004 Strategy Benchmark 3.54 7.39
2005 -0.78 4.91
2006 12.69 15.80
2007
2008
2009 19.90 26.46
2010 5.48 15.06
6.04 -24.08 5.49 -37.00
Oracle Corp. Johnson & Johnson Microsoft Corp. Philip Morris Int'l. Inc. Pfizer Inc. Coca-Cola Co. Apple Inc. Wal-Mart Stores Inc. Exxon Mobil Corp. Procter & Gamble Co. Total
6.2% 5.9% 5.8% 5.6% 4.8% 4.5% 4.0% 3.7% 3.5% 3.0% 47.0%
Characteristics4
Strategy Benchmark

Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 15.6 x Price/Book - Hist 1 Yr Wtd Avg 3.2 x 2.6 % Dividend Yield - Hist 1 Yr Wtd Avg 23.4 % Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil $152.1 0.6 x Debt/Equity - Wtd Med
16.7 2.3 1.9 16.5 $49.8 0.9
x x % % x
-0.33 0.72 0.87 0.09
0.00 1.00 1.00 0.13
Regional Weights4
Cash 3.4% Int'l. Equities 13.6%
Sector
Sector Weights4
Underweight/Overweight Against Benchmark Strategy Benchmark -8.4 Consumer Discretionary 2.0 % 10.4 % 20.6 Consumer Staples 30.8 10.2 -3.6 Energy 9.7 13.3 -15.8 Financials 0.0 15.8 15.9 Health Care 26.9 11.0 -9.6 Industrials 1.7 11.3
U.S. Equities 83.0%

-40
9.9 -3.7 -2.2 -3.2 -20 0 20 40
28.0 0.0 0.8 0.0
18.1 3.7 3.0 3.2

GICS Sectors
Quarterly Strategy Attribution

Quality Strategy gained 3.5% in the first quarter, trailing the +5.9% return of the S&P 500. The yields continued to create an environment that incentivized investors to buy riskier assets, thus further pushing up prices on already overpriced risky Low stocks. This pattern continues to have a negative relative performance effect on mega cap high quality stocks. continued risk appetite in the market has investors favoring smaller and mid cap stocks while overlooking high quality stocks. An overwhelming A influence in the strategys returns continues to be size: exposure to non-mega cap stocks with market valuations below $25 billion averaged only 4% for the quarter while exposure to stocks with market capitalizations greater than $25 billion averaged 96%. For the quarter, this tilt to mega cap had a negative impact on returns. High quality lagged low quality and within quality, investors holding mega cap quality stocks in lieu of non-mega cap quality stocks fell behind. GMO defines mega cap high quality as quality stocks that are found in the largest 100 stocks by market cap. To have won in quality space, it would have meant buying overpriced small and mid cap quality. Relative to the S&P 500, both sector exposure and stock selection had negative impacts. Variation in sector weights between the two resulted in a -0.8% impact, and the impact from stock selection was -1.5%. greatest positive impact to the strategy was the result of the absence of Financials as this sector lagged the market by nearly 3%. The greatest The negative impacts were shared by our overweighting in Consumer Staples and underweighting in Energy. While Energy was the best performing sector in the S&P 500, advancing over 16%, it was low quality energy companies driving these returns. Its largest components, ExxonMobil and Chevron quality U.S. energy stocks owned by the strategy posted strong returns that resulted in a relative impact of +0.11%, but the remaining 41 stocks all low quality had a -0.81% impact.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
23
GMO Growth Strategy

Inception: 12/31/88; Benchmark: Russell 1000 Growth Index Performance1

Top Ten Holdings2,5

3
YTD 2011 4.34 6.03
4.34 6.03
2001
2002
2003 28.27 29.75
2004 4.66 6.30
2005 3.93 5.26
2006 2.44 9.07
2007
2008
2009 24.64 37.21
2010 12.02 16.71
5.99 -30.42 11.81 -38.44
Apple Inc. Exxon Mobil Corp. Microsoft Corp. Int'l. Business Machines Google Inc. (Cl A) Oracle Corp. Coca-Cola Co. QUALCOMM Inc. Wal-Mart Stores Inc. Philip Morris Int'l. Inc. Total
7.0% 5.1% 3.6% 3.5% 3.3% 2.9% 2.7% 2.4% 2.2% 2.2% 34.9%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -1.7 Consumer Discretionary 12.6 % 14.3 % 16.6 25.9 Consumer Staples 9.3 -5.5 Energy 6.4 11.9 -4.1 Financials 0.6 4.7 0.1 Health Care 10.0 9.9 -7.8 Industrials 5.8 13.6 Sector
1.18 0.93 0.94 0.37
0.00 1.00 1.00 0.31
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 17.0 Earnings/Share - F'cast LT Med Growth 12.9 1.6 Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med 25.4 $78.0 Market Cap - Weighted Median $Bil
x x % %
18.5 13.8 1.4 22.1 $40.0
x x % %

-20
6.2 -4.3 0.7 -0.1 -10 0 10 20
36.4 0.8 1.5 0.0
30.2 5.1 0.8 0.1

GICS Sectors
Quarterly Strategy Attribution Growth Strategy returned +4.3% in the first quarter of 2011, trailing the +6.0% return of its benchmark, the Russell 1000 Growth The index. Sector selection detracted from relative returns. Underweight positions in Materials and Consumer Discretionary added to relative returns while an overweight in Consumer Staples and underweight positions in Industrials and Energy were among the detractors. Stock selection also detracted from relative returns for the quarter. Selections in Information Technology, Health Care, and Consumer Discretionary were among the detractors. Individual stocks adding to returns included overweight positions in Este Lauder and Apple and not owning Ford Motor. Selections detracting from relative returns included overweight positions in Microsoft, Johnson & Johnson, and Wal-Mart Stores.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher priceto-book ratios and higher forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
24
GMO Small/Mid Cap Value Strategy

Inception: 12/31/91; Benchmark: Russell 2500 Value + Index Performance1

Top Ten Holdings2,5

3
YTD 2011 8.02 7.68
One Year 20.31 22.67
Five Year 0.36 3.32
Ten Year 7.47 9.56
8.02 7.68
2002 -11.48 -9.87
2003 45.26 44.93
2004 20.80 21.58
2005 7.95 7.74
2006 10.86 20.18
2007
2008
2009 13.64 27.68
2010 25.88 24.82
-12.37 -26.97 -7.27 -31.99
CenturyTel Inc. 1.3% Autoliv Inc. 1.3% Coventry Health Care Inc. 1.2% Torchmark Corp. 1.2% Herbalife Ltd. 1.2% PETsMART Inc. 1.2% Endo Pharmaceuticals 1.2% Ball Corp. 1.2% Energizer Holdings Inc. 1.1% TRW Automotive Holdings 1.0% Total 11.9%

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark 14.5 Consumer Discretionary 24.2 % 9.7 % 4.8 Consumer Staples 8.1 3.3 -6.5 Energy 3.4 9.9 -16.2 Financials 15.3 31.5 8.2 Health Care 14.2 6.0 2.3 Industrials 14.4 12.1
0.60 0.94 0.93 0.52
0.00 1.00 1.00 0.50
Characteristics5
Strategy Benchmark
16.7 1.9 1.0 13.3 $2.9
x x % %
21.7 1.6 1.8 7.9 $2.7
x x % %

-20
3.9 -2.2 0.6 -9.4 -10 0 10 20
12.5 5.4 1.7 0.8
8.6 7.6 1.1 10.2

GICS Sectors
Quarterly Strategy Attribution Small/Mid Cap Value Strategy returned +8.0% in the first quarter of 2011, leading its benchmark, the Russell 2500 Value index, The which returned +7.7%. Sector selection detracted from returns relative to the benchmark. An underweight in Financials and an overweight in Health Care added to relative returns while an underweight in Energy and overweight positions in Consumer Discretionary and Consumer Staples detracted. Stock selection added to relative returns for the quarter. Selections in Consumer Discretionary, Consumer Staples, and Industrials added to returns versus the benchmark while picks in Energy, Telecommunication Services, and Health Care detracted. Individual stocks adding to relative returns included overweight positions in Weight Watchers International, Fossil, and Amerigroup. Individual names detracting from relative returns included overweight positions in American International Group, CenturyLink, and Autoliv.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 2500 Value + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii) the Russell 2500 Value Index thereafter. The Russell 2500 Value and Russell 2500 Indices are a trademark/service mark of the Frank Russell Company. Russell is a trademark of the Frank Russell Company. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
25
GMO Small/Mid Cap Growth Strategy

Inception: 12/31/96; Benchmark: Russell 2500 Growth Index Performance1

Top Ten Holdings2,5

3
YTD 2011 14.34 9.83
One Year 36.38 30.08
Five Year 1.53 5.25
Ten Year 6.47 7.54
14.34 9.83
2001
2002
2003 44.10 46.32
2004 13.12 14.59
2005 9.56 8.17
2006 6.69 12.26
2007
2008
2009 22.79 41.66
2010 33.05 28.86
1.81 -41.40 9.69 -41.50
TIBCO Software Inc. Atmel Corp. Herbalife Ltd. Acme Packet Inc. Riverbed Technology Inc. Fossil Inc. Wabco Holdings Inc. Chipotle Mexican Grill Inc. RPC Inc. Tractor Supply Co. Total
5.1% 4.4% 3.9% 3.6% 3.6% 3.0% 2.8% 2.8% 2.7% 2.6% 34.5%

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark 2.7 Consumer Discretionary 21.3 % 18.6 % 2.2 Consumer Staples 5.2 3.0 0.1 Energy 5.8 5.7 -3.2 Financials 3.6 6.8 -7.0 Health Care 8.6 15.6 0.2 Industrials 17.9 17.7
0.15 0.90 0.95 0.15
0.00 1.00 1.00 0.15
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
25.2 17.0 0.4 23.1 $4.0
x x % %
25.4 16.6 0.6 15.2 $2.8
x x % %

-10
9.1 33.6 -2.5 -1.2 -0.3 -5 0 5 10
3.8 0.3 0.0
24.5 6.3 1.5 0.3

GICS Sectors
Quarterly Strategy Attribution Small/Mid Cap Growth Strategy returned +14.3% in the first quarter of 2011, topping the +9.8% return of its benchmark, the The Russell 2500 Growth index. Sector selection had a positive impact on returns versus the benchmark. An overweight in Consumer Staples and an underweight in Health Care added to relative returns. Stock selection added to relative returns for the quarter. Selections in Consumer Discretionary, Information Technology, and Industrials added to relative returns while picks in Consumer Staples detracted. Individual stocks adding to relative returns included overweight positions in Tibco Software, Acme Packet, and Weight Watchers International. Individual names detracting from relative performance included overweight positions in NxStage Medical and Entropic Communications and not owning Green Mountain Coffee Roasters.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 2500 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 2500 Index with higher priceto-book ratios and higher forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
26
GMO Real Estate Strategy

Inception: 5/31/96; Benchmark: MSCI U.S. REIT Index Performance1

Top Ten Holdings2,5

3
YTD 2011 6.58 6.49
6.58 6.49
2001 Strategy 9.53 Benchmark 12.83
2002 1.86 3.64
2003 34.03 36.74
2004 30.64 31.49
2005 11.27 12.13
2006
2007
2008
2009 24.54 28.61
2010 27.40 28.48
35.39 -17.15 -33.17 35.92 -16.82 -37.97
Simon Property Group Inc. Public Storage Vornado Realty Trust Equity Residential Boston Properties Inc. AvalonBay Communities Inc. HCP Inc. Host Marriott Corp. Ventas Inc. Macerich Co. Total
12.5% 6.0% 5.7% 5.5% 5.2% 4.2% 4.1% 3.8% 3.6% 2.4% 53.0%

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark 0.1 -1.2 0.0 -0.5 1.2 0.2 0.2 -2 -1 0 1 2
GICS Sub-Industries
-0.15 0.97 0.99 0.33

5
0.00 1.00 1.00 0.34
Strategy Benchmark
Characteristics
Dividend Yield - Hist 1 Yr Wtd Avg Market Cap - Weighted Median $Bil Price/Earnings - Excl Neg Earnings
Hist 1 Yr Wtd Avg
Strategy
Benchmark
3.4 % $9.0 48.1 x 18.3 x 2.6 %
3.5 % $6.5 49.7 x 17.8 x 2.3 %
Diversified Industrial Mortgage Office Residential Retail Specialized
7.5 % 4.9 0.0 16.0 17.7 25.9 28.0
7.4 % 6.1 0.0 16.5 16.5 25.7 27.8
Price/Cash Flow - Hist 1 Yr Wtd Med Return on Assets - 5 Yr Avg
Quarterly Strategy Attribution Real Estate Strategy returned +6.6% for the first quarter of 2011, leading the +6.5% return of the MSCI U.S. REIT index. The Sector selection detracted modestly from returns relative to the MSCI U.S. REIT index. An underweight position in the Industrial sub-industry was the leading sub-industry position detracting from returns versus the benchmark. Stock selection added modestly to returns relative to the MSCI U.S. REIT index. Selections in the Office and Retail sub-industries added to relative returns while picks in Specialized detracted. In terms of individual names, an overweight in Simon Property Group, an underweight in Piedmont Office Realty Trust, and not owning General Growth Properties added to relative returns. Underweight positions in Duke Realty and Health Care REIT and not owning Strategic Hotels & Resorts detracted from relative returns.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI U.S. REIT Index is an independently maintained and widely published index comprised of equity securities issued by REITs. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
27
GMO Tax-Managed U.S. Equities Strategy

Inception: 7/31/98; Benchmark: Russell 3000 + Index Performance1

Top Ten Holdings2,6
1Q 2011 Before-Tax Strategy 3 Benchmark 4 After-Tax Strategy Benchmark

2001
YTD 2011 3.92 6.38 3.92 6.32

2003 25.18 28.69 2004 9.17 10.88 2005 4.54 4.91 2006 10.04 15.80
One Year 10.40 17.41 10.12 17.09

2007
Five Year 0.45 3.19 0.16 2.87

2008
Ten Year 2.06 3.58 1.75 3.28

2009 19.73 28.34
Since Inception 3.12 3.37 2.78 3.02

2010
3.92 6.38 3.92 6.32

2002
Pfizer Inc. Microsoft Corp. Oracle Corp. Google Inc. (Cl A) Wal-Mart Stores Inc. Procter & Gamble Co. Johnson & Johnson Coca-Cola Co. Merck & Co Inc Int'l. Business Machines Total
4.9% 4.6% 4.4% 4.3% 4.2% 3.9% 3.7% 3.6% 2.8% 2.8% 39.2%
2.61 -30.78 5.21 -37.31
8.81 16.93

Strategy Benchmark
Sector Weights6
Underweight/Overweight Against Benchmark Strategy Benchmark -3.8 Consumer Discretionary 7.5 % 11.3 % 15.3 24.1 Consumer Staples 8.8 -10.1 Energy 2.3 12.4 -14.1 Financials 2.0 16.1 17.6 28.8 Health Care 11.2 -6.5 Industrials 5.4 11.9 Sector
0.35 0.83 0.90 0.06
0.00 1.00 1.00 0.04
Characteristics6
Strategy Benchmark
16.5 3.2 2.2 23.4 $89.6
x x % %
17.5 2.3 1.7 15.6 $32.1
x x % %

-20
9.3 -3.6 -0.8 -3.2 -10 0 10 20
27.3 0.7 1.9 0.1
18.0 4.3 2.7 3.3

GICS Sectors
Quarterly Strategy Attribution Tax-Managed U.S. Equities portfolio added 3.9% for the first quarter of 2011, while the Russell 3000 index added 6.4% and the The S&P 500 added 5.9%. Energy stocks dominated returns for the quarter, as oil prices continued to rise, reflecting Middle East turmoil. Financials and Consumer Staples were the weakest relative sectors for the period. Within the portfolio, the relative underperformance is attributed both to sector allocation and stock selection. Underweight exposure to Energy and overweight exposure to Consumer Staples both detracted from relative returns. Within stock selection, qualityinfluenced valuation-based stock selection strategies lagged. High quality stocks, which are well represented in the portfolio, lagged the market despite attractive valuations. Momentum-based stock selection strategies outpaced the market. Looking at some of the portfolios largest active positions, overweight exposure to high quality stocks Wal-Mart, Johnson & Johnson, and Microsoft detracted from performance. An overweight to Pfizer contributed positively.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 Market conditions, tax legislation and government regulations may limit the Strategys ability to utilize tax efficient strategies. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investors tax situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement. 4 The Russell 3000 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the S&P 500 Index through 10/15/2007 and (ii) the Russell 3000 Index thereafter. The Russell 3000 Index is a trademark/service mark of the Frank Russell Company. Russell is a trademark of the Frank Russell Company. 5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 6 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
28
GMO International Active EAFE Strategy

Inception: 5/31/81; Benchmark: MSCI EAFE Index Performance1

Top Ten Holdings2,5

3
YTD 2011 4.03 3.36
One Year 9.71 10.42
Five Year 0.60 1.30
Ten Year 7.54 5.39
4.03 3.36
2001
2002
2003 41.37 38.59
2004 22.33 20.25
2005 13.52 13.54
2006 27.52 26.34
2007
2008
2009 25.53 31.78
2010 5.01 7.75
10.58 -41.24 11.17 -43.38
Royal Dutch Shell PLC BP PLC Vodafone Group PLC HSBC Holdings PLC ENI S.p.A. Roche Holding AG Total S.A. Honda Motor Co. Ltd. British American Tobacco Hitachi Ltd. Total
2.9% 2.0% 1.9% 1.8% 1.8% 1.6% 1.6% 1.6% 1.6% 1.1% 17.9%

Strategy Benchmark
Characteristics5
Strategy Benchmark
4.96 0.81 0.82 0.54
0.00 1.00 1.00 0.25
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
12.9 7.7 1.3 3.2
x x x %
14.0 9.0 1.4 3.2
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -1.5 1.4 -0.7 -1.8 -6.2 6.8 2.0 -10 -5 0 5 10
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 2.8 Consumer Discretionary 13.0 % 10.2 % -0.7 Consumer Staples 9.0 9.7 5.8 Energy 14.3 8.5 -5.2 Financials 18.8 24.0 -1.5 Health Care 6.5 8.0 -0.1 Industrials 13.0 13.1 -0.2 Information Technology 4.6 4.8 -1.9 Materials 9.4 11.3 1.2 Telecom. Services 6.9 5.7 -0.4 Utilities 4.4 4.8 Sector -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Australia/New Zealand Emerging Cash
Quarterly Strategy Attribution International Active EAFE Strategy outperformed the MSCI EAFE index in the first quarter; the account rose 4.0% and the The benchmark gained 3.4%. Country selection was 0.4% ahead of the benchmark. An overweight position in Italy added 0.5% to returns after the German government pledged to protect the integrity of the euro zone. Stock selection beat the benchmark by 0.2% in the first quarter. Holdings outperformed in Hong Kong and Japan, where, fortunately, we did not hold some of the names most immediately damaged by the earthquake.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
29
GMO Intl. Active Foreign Small Companies Strategy

Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index Performance1

Top Ten Holdings2,5

3
YTD 2011 3.86 4.52
One Year 24.21 22.08
Five Year 6.17 3.69
Ten Year 14.24 11.01
3.86 4.52
2001 Strategy 3.66 Benchmark -15.70
2002 2.61 -7.29
2003 50.75 53.73
2004 29.30 28.73
2005 18.91 22.10
2006 36.24 29.42
2007
2008
2009 47.63 45.07
2010 24.76 21.96
8.00 -45.91 7.32 -47.67
Companhia Hering S/A Nabtesco Corp. COSMOS Pharmaceutical Nihon Kohden Corp. Autogrill S.p.A. Takata Corp. NHK Spring Co. Ltd. Societe BIC IMI PLC Diploma PLC Total
2.2% 1.4% 1.1% 1.1% 1.0% 1.0% 1.0% 0.9% 0.9% 0.9% 11.5%

Strategy Benchmark
Characteristics5
Strategy Benchmark
5.98 0.92 0.93 0.60
0.00 1.00 1.00 0.25
14.5 9.2 1.5 2.3
x x x %
18.1 11.2 1.5 2.2
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -4.7 1.3 3.3 0.1 -9.1 -2.7 8.9 2.8 -10 0 10 20
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 9.1 26.1 % Consumer Discretionary 17.0 % 0.4 Consumer Staples 5.4 5.0 -0.1 Energy 6.3 6.4 -5.0 Financials 12.3 17.3 -0.1 Health Care 4.9 5.0 5.7 Industrials 27.8 22.1 -3.2 Information Technology 5.9 9.1 -6.1 Materials 8.4 14.5 0.1 Telecom. Services 1.4 1.3 -0.9 Utilities 1.4 2.3 -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash
-20
Quarterly Strategy Attribution International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index in the first The quarter, gaining 3.9% while the benchmark rose 4.5%. Country selection was 0.3% behind the benchmark. Underweight positions in the French and Spanish markets subtracted 0.4% and 0.2%, respectively, from returns after the German government pledged to protect the integrity of the euro zone. However, an overweight position in Italy added 0.3% to performance. Stock selection lagged the benchmark by 0.4% in the first quarter. Our holdings underperformed in France, the Netherlands, and the emerging markets. On the positive side, stock selection in Canada and the United Kingdom helped returns.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
30
GMO International Intrinsic Value Strategy

Inception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index Performance1

Top Ten Holdings2,5
1Q 2011 Strategy MSCI EAFE Value MSCI EAFE

3 3
YTD 2011 4.16 4.55 3.36

2003 43.53 45.30 38.59 2004 25.23 24.33 20.25 2005 13.98 13.80 13.54
One Year 10.82 8.21 10.42

2006 25.78 30.38 26.34
Five Year 0.35 0.39 1.30
Ten Year 8.23 5.88 5.39
Since Inception 8.54 7.40 5.40

2010 7.53 3.25 7.75
4.16 4.55 3.36
2001 2002 Strategy -12.10 -0.59 MSCI EAFE Value -18.52 -15.91 MSCI EAFE -21.44 -15.94
2007 2008 10.21 -40.31 5.96 -44.09 11.17 -43.38
2009 21.41 34.23 31.78
Total S.A. Sanofi-Aventis S.A. GlaxoSmithKline PLC Royal Dutch Shell PLC ENI S.p.A. AstraZeneca PLC Enel S.p.A. Novartis AG Takeda Pharmaceutical Co. Vodafone Group PLC Total
3.9% 3.6% 3.5% 3.2% 3.1% 2.9% 2.0% 2.0% 1.7% 1.3% 27.2%

Strategy M SCI EAFE Value M SCI EAFE
Characteristics5
M SCI Strategy EAFE Value M SCI EAFE
2.52 0.81 0.85 0.33
0.00 1.00 1.00 0.18
0.00 1.00 1.00 0.07
Price/Earnings - Hist 1 Yr Wtd Med 11.8 x Price/Cash Flow - Hist 1 Yr Wtd Med 6.3 x Price/Book - Hist 1 Yr Wtd Avg 1.3 x Return on Equity - Hist 1 Yr Med 11.5 % Market Cap - Weighted Median $Bil $27.6 3.8 % Dividend Yield - Hist 1 Yr Wtd Avg
11.8 6.0 1.1 10.0 $35.4 4.1
x x x % %
14.0 9.0 1.4 11.1 $29.7 3.2
x x x % %
Regional Weights
Region
Sector Weights
Sector
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand -7.7 Cash
-10
Underweight/Overweight Against M SCI EAFE Value (%) -1.1 0.1 4.5 0.8 1.6 1.9 -5 0 5 10
Underweight/Overweight Against M SCI EAFE Value Strategy Benchmark 5.3 Consumer Discretionary 12.6 % 7.3 % 2.2 Consumer Staples 4.1 1.9 3.8 Energy 16.1 12.3 -20.3 Financials 15.2 35.5 7.6 Health Care 16.7 9.1 3.0 Industrials 10.4 7.4 0.6 Information Technology 3.3 2.7 0.6 Materials 7.1 6.5 -1.7 Telecom. Services 8.1 9.8 -1.2 Utilities 6.3 7.5 -30 -15 0 15 30
GICS Sectors

International Intrinsic Value Strategy returned +4.2% during the first quarter of 2011, compared to the broad market MSCI EAFE index, which returned +3.4%, The and the MSCI EAFE Value benchmark, which returned +4.5%. Stock selection, country allocation, and sector exposures all contributed to the outperformance relative to EAFE. Stock selection was particularly good within Japan and in Energy. Having little or no exposure to Tokyo Electric Power and several other Japanese stocks that suffered significant declines post-earthquake benefited the portfolio. Our holdings in European oil companies Total and Eni experienced double-digit returns on higher oil prices. country, our overweight to Italy, which outperformed, helped relative performance although the positive impact was reduced by our underweight to Australia, which By also outperformed. Sector exposures added value, mainly from our overweight to Energy, which outperformed. Compared to the value benchmark, the strategy underperformed due to the many differences between EAFE and EAFE Value. The EAFE Value index has more holdings in Financials and Energy, which outperformed, and less in Consumer Discretionary and Staples, which underperformed. It also has more exposure to the euro and holds different stocks. Each of these factors helped provide better relative performance from stock selection, sector exposures, and currency allocation versus EAFE. GMOs stock selection disciplines had good results in the quarter as valuation outperformed. Stocks favored by quality-adjusted value performed the best. Those ranked highly by intrinsic value also outperformed, but were held back by the quality focus. Stocks chosen in this strategy for their strong momentum characteristics underperformed. Individual stock positions that added significant value included overweights in Italian utility Enel and Italian oil company Eni as well as not owning Tokyo Electric Power. Stock positions that were significant detractors included underweights in European insurers Allianz and AXA, and an overweight to British pharmaceutical GlaxoSmithKline. 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
31
GMO International Growth Strategy

Inception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index Performance1

Top Ten Holdings2,5
1Q 2011 Strategy MSCI EAFE Growth MSCI EAFE

3 3
YTD 2011 1.78 2.22 3.36 2003 30.40 31.99 2004 20.03 16.12
One Year 13.92 12.55 10.42 2005 13.16 13.28 2006 24.56 22.33
Five Year 3.04 2.14 1.30 2007
Ten Year n/a n/a n/a 2008
Since Inception 8.05 6.35 6.92 2009 24.81 29.36 2010 13.94 12.25
1.78 2.22 3.36 2001 2002
Strategy MSCI EAFE Growth MSCI EAFE
2.20 -10.52 0.58 -16.02
0.59 -15.94
38.59
20.25
13.54
26.34
14.35 -38.29 16.45 -42.70
11.17 -43.38
31.78
7.75
Nestle S.A. GlaxoSmithKline PLC Novo Nordisk A/S Roche Holding AG British American Tobacco Novartis AG SAP AG DaimlerChrysler AG Canon Inc. Honda Motor Co. Ltd. Total
3.6% 3.5% 3.0% 2.4% 1.7% 1.6% 1.6% 1.3% 1.2% 1.1% 21.0%

M SCI Strategy EAFE Growth M SCI EAFE
Characteristics5
M SCI Strategy EAFE Growth M SCI EAFE
2.79 0.92 0.97 0.42
0.00 1.00 1.00 0.25
0.00 1.00 1.00 0.27
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Rate Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
16.2 11.8 2.3 18.1 $24.3 2.6
x x x % %
17.8 13.0 1.9 14.1 $25.3 2.3
x x x % %
14.0 10.0 1.4 11.1 $29.7 3.2
x x x % %
Regional Weights5
Region Underweight/Overweight Against M SCI EAFE Growth (%) 1.3 0.6 -0.9 1.8 3.2 1.0 -5 0 5 10
Sector Weights5
Sector Underweight/Overweight Against M SCI EAFE Growth Strategy Benchmark 3.4 Consumer Discretionary 16.3 % 12.9 % -3.7 Consumer Staples 13.6 17.3 -1.2 Energy 3.6 4.8 -4.9 Financials 7.9 12.8 9.7 16.6 Health Care 6.9 -1.5 Industrials 17.2 18.7 1.1 Information Technology 8.0 6.9 -5.7 Materials 10.2 15.9 3.1 Telecom. Services 4.7 1.6 -0.3 Utilities 2.0 2.3 -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand -7.1 Cash
-10

International Growth Strategy returned +1.8% during the first quarter of 2011, compared to the MSCI EAFE Growth benchmark which returned +2.2%, and the The broad market MSCI EAFE index, which returned +3.4%. Underperformance relative to EAFE Growth resulted primarily from country allocation and currency allocation. Sector exposures added value. country, the strategy benefited from our overweights in Canada and Denmark, which outperformed. These gains were overcome by the negative impacts from our By underweights to Australia and Spain, which outperformed, and a few other small positions. Currency allocation was hurt by our underweight position to the euro, which strengthened more than the average EAFE currency, and overweight to the Hong Kong dollar, which was relatively weak. Sector exposures helped relative performance, due primarily to our overweight to Telecommunication Services, which outperformed. Stock selection had mixed results. Stock selection was particularly good within Japan but weak in France. Having little or no exposure to several of the electronics and tech companies in Japan (like Sony Corp.), which suffered significant declines post-earthquake, benefited the portfolio. In France, we did not own enough of those Industrials and Technology stocks, which had strong rebounds in the quarter (for example, EADS, the aerospace company). GMOs stock selection disciplines had mixed results in the quarter. Stocks chosen for their high quality (high, stable profitability and low debt) outperformed slightly, while those selected for their strong momentum characteristics underperformed slightly. Stocks ranked highly by our intrinsic value process had market-like returns. Individual stock positions that added value included overweight positions in Danish pharmaceutical Novo Nordisk and German software maker SAP as well as an underweight position in Japanese electronics company Sony. Stock positions that were significant detractors included an underweight in British energy company BG Group as well as overweights in European pharmaceuticals Novartis and GlaxoSmithKline. 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
32
GMO International Core Equity Strategy

Inception: 1/31/02; Benchmark: MSCI EAFE Index Performance1

Top Ten Holdings2,5

3
YTD 2011 3.67 3.36
One Year 12.48 10.42
Five Year 1.17 1.30
Ten Year n/a n/a
3.67 3.36
2002 Strategy -2.43 Benchmark -11.22
2003 37.67 38.59
2004 23.28 20.25
2005 15.58 13.54
2006 25.56 26.34
2007
2008
2009 23.73 31.78
2010 10.33 7.75
12.13 -41.34 11.17 -43.38
GlaxoSmithKline PLC Total S.A. Royal Dutch Shell PLC Sanofi-Aventis S.A. ENI S.p.A. AstraZeneca PLC Novartis AG Enel S.p.A. Novo Nordisk A/S Vodafone Group PLC Total
3.1% 3.0% 2.9% 2.9% 2.6% 2.4% 2.1% 1.6% 1.5% 1.4% 23.5%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.40 0.94 0.98 0.44
0.00 1.00 1.00 0.31
12.1 8.6 1.4 12.2 $27.0 3.5
x x x % %
14.0 10.0 1.4 11.1 $29.7 3.2
x x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 0.7 -0.5 3.7 0.1 1.4 -5.9 0.5 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 4.8 Consumer Discretionary 15.0 % 10.2 % -4.0 Consumer Staples 5.7 9.7 5.1 Energy 13.6 8.5 -12.4 Financials 11.6 24.0 7.7 Health Care 15.7 8.0 -0.7 Industrials 12.4 13.1 -0.4 Information Technology 4.4 4.8 -2.4 Materials 8.9 11.3 1.8 Telecom. Services 7.5 5.7 0.4 Utilities 5.2 4.8
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash
-10
-20
-10
10
20
GICS Sectors

International Core Equity Strategy returned +3.7% during the first quarter of 2011, compared to the MSCI EAFE index, which returned +3.4%. The Stock selection and country allocation both contributed to the slight outperformance relative to EAFE. Stock selection was particularly good within Japan and in Utilities. Having little or no exposure to Tokyo Electric Power and several other Japanese stocks, which suffered significant declines post-earthquake, benefited the portfolio. Our holdings in European oil companies Total and Eni experienced double-digit returns on higher oil prices. country, our overweight to Italy, which outperformed, helped relative performance, although the positive impact was reduced by our underweight By to Australia, which also outperformed. Sector exposures had minimal effect on relative performance as the benefit from our overweight to Energy, which outperformed, was offset by the negative impact from our overweight to Consumer Discretionary, which underperformed. GMOs stock selection disciplines had good results in the quarter as valuation outperformed. Stocks favored by quality-adjusted value performed the best. Those ranked highly by intrinsic value also outperformed, but were held back by the quality focus. Stocks chosen for their strong momentum characteristics underperformed. Individual stock positions that added significant value included overweights in Italian utility Enel and Italian oil company Eni as well as not owning Tokyo Electric Power. Stock positions that were significant detractors included overweights in European pharmaceuticals Novartis and GlaxoSmithKline and an underweight to German insurer Allianz.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
33
GMO Currency Hedged International Equity Strategy

Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index Performance1

Top Ten Holdings2,5

3
YTD 2011 0.43 0.89
One Year 3.25 2.28
Five Year -0.84 -1.44
Ten Year 4.37 1.43
0.43 0.89
2001
2002
2003 20.96 19.17
2004 14.77 12.01
2005 27.32 29.67
2006 19.31 19.19
2007
2008
2009 16.11 25.67
2010 7.72 5.60
5.88 -34.09 5.32 -39.77
GlaxoSmithKline PLC Nestle S.A. Total S.A. Sanofi-Aventis Novo Nordisk A/S AstraZeneca PLC Novartis AG Eni S.p.A Roche Holding AG Takeda Pharmaceutical Co. Total
3.5% 2.3% 2.2% 2.1% 2.0% 1.8% 1.8% 1.5% 1.5% 1.2% 19.9%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.85 0.82 0.88 0.37
0.00 1.00 1.00 0.17
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
14.0 1.7 12.9 $26.9 3.2
x x % %
14.0 1.4 11.1 $29.7 3.2
x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 0.1 -1.9 -0.6 0.8 1.0 2.2 5.8 -10 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark Consumer Discretionary 14.5 % 10.2 % 4.3 -0.8 Consumer Staples 8.9 9.7 1.3 Energy 9.8 8.5 -12.5 Financials 11.5 24.0 8.6 Health Care 16.6 8.0 0.8 Industrials 13.9 13.1 0.9 Information Technology 5.7 4.8 -2.6 Materials 8.7 11.3 0.7 Telecom. Services 6.4 5.7 -0.7 Utilities 4.1 4.8 -20 -10 0 10 20
GICS Sectors
United States Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand -7.4 Cash
Quarterly Strategy Attribution Currency Hedged International Equity Strategy returned +0.4% during the first quarter of 2011. This was behind the MSCI The EAFE Hedged index, which returned +0.9%. Most currencies appreciated on average relative to the U.S. dollar in the quarter. euro reversed course this quarter and was the strongest major currency among those in EAFE. It gained 6% as European The sovereign debt concerns were outweighed by the unfortunate events in Japan. The yen weakened by 2%, while most other EAFE currencies strengthened. The unhedged EAFE index returned +3.4%. Currency Hedged International Equity Strategy invests in the International Intrinsic Value Strategy (50%) and International The Growth Strategy (50%). Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE Hedged index was hurt by the underperformance of both the International Growth Strategy and the International Intrinsic Value Strategy relative to their respective style benchmarks.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
34
GMO Japan Equity Strategy

Inception: 12/31/05; Benchmark: MSCI Japan IMI ++ Index Performance1

Top Ten Holdings2,5

3
YTD 2011 -1.51 -4.44
One Year 9.03 2.41
Five Year -2.53 -4.24
Ten Year n/a n/a
Since Inception -1.56 -2.83
-1.51 -4.44
2007
2008
2009 -1.78 6.12
2010 21.95 16.02
-2.39 -24.83 -4.23 -28.16
KDDI Corp. Nippon T & T Corp. Mizuho Financial Group NTT DoCoMo Inc. Daito Trust Construction Takeda Pharmaceutical Co. Resona Holdings Inc. Sumitomo Mitsui Financial JX Holdings Inc. Sumitomo Corp. Total
4.9% 4.2% 3.5% 3.4% 2.3% 1.9% 1.7% 1.5% 1.5% 1.4% 26.3%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.40 1.09 0.94 -0.16
0.00 1.00 1.00 -0.30
% Negative Earnings 7.6 % Price/Earnings - Excl Neg Earn Hist 1 Yr Wtd Med 10.8 x 11.7 x Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg 0.8 x 7.4 % Return on Equity - Hist 1 Yr Med $2.5 Market Cap - Weighted Median $Bil 2.6 % Dividend Yield - Hist 1 Yr Wtd Avg
3.1 15.8 16.1 1.1 7.0 $10.5 2.0
% x x x % %
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark -2.9 Consumer Discretionary 16.6 % 19.5 % 1.9 Consumer Staples 7.5 5.6 3.0 Energy 4.7 1.7 3.9 Financials 21.0 17.1 -1.0 Health Care 4.7 5.7 -1.0 Industrials 20.6 21.6 Information Technology -9.1 3.8 12.9 -2.0 Materials 6.6 8.6 8.8 12.5 Telecom. Services 3.7 -1.6 Utilities 2.0 3.6 -10 -5 0 5 10
GICS Sectors
Quarterly Strategy Attribution Japan Equity Strategy returned -1.5% during the first quarter of 2011. This was ahead of its benchmark, the MSCI Japan IMI The index, which returned -4.4%. Within the portfolio, stock selection and the resulting sector exposures were the primary reasons for the outperformance. light of the tragic events in Japan since March 11 and the market volatility that followed, our stocks held their value relatively well. In Performance was particularly good within Industrials and Utilities. Having no exposure to Tokyo Electric Power was the most significant contributor to the outperformance. Overweight positions in telecom company KDDI Corp. and industrial company PentaOcean Construction Co also added value. Individual stock positions that were significant detractors included underweights to auto maker Toyota Motor, software company Softbank, and machinery company Komatsu, all of which outperformed. Sector exposures also helped relative performance due primarily to our overweight to Telecommunication Services and Energy, which both outperformed, and our underweight to Utilities, which lagged.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI Japan IMI (Investable Market Index Series) ++ Index is comprised of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
35
GMO International Small Companies Strategy

Inception: 10/31/91; Benchmarks: MSCI EAFE Small Cap + Index and MSCI EAFE Index Performance1

Top Ten Holdings2,5
1Q 2011 Strategy MSCI EAFE SC + MSCI EAFE

3 3
YTD 2011 1.59 2.96 3.36

2003 67.44 53.73 38.59 2004 27.02 28.73 20.25 2005 24.33 22.10 13.54
One Year 17.94 19.94 10.42

2006 27.78 29.42 26.34
Five Year 3.15 3.91 1.30

2007 2008 8.06 -43.77 7.32 -46.97 11.17 -43.38
Ten Year 12.70 11.13 5.39

2009 36.42 46.78 31.78

2010 21.12 22.04 7.75
1.59 2.96 3.36
2001 2002 -1.25 Strategy -6.70 MSCI EAFE SC + -15.70 -7.29 MSCI EAFE -21.44 -15.94
Arkema Advance Residence DCC PLC Lanxess AG Inchcape PLC IMI PLC Valeo S.A. Rhodia S.A. Hugo Boss AG Pfd. Melrose PLC Total
1.9% 1.1% 1.1% 1.0% 1.0% 0.9% 0.9% 0.8% 0.8% 0.8% 10.3%

Strategy M SCI EAFE Small Cap + M SCI EAFE
Characteristics5
Strategy M SCI EAFE Small Cap M SCI EAFE
3.65 0.98 0.91 0.41
0.00 1.00 1.00 0.22
0.00 1.00 1.00 0.13
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
13.7 8.0 1.2 11.0 $1.3 2.7
x x x % %
5
17.7 10.7 1.3 9.4 $1.1 2.2
x x x % %
14.0 9.0 1.4 11.1 $29.7 3.2
x x x % %
Regional Weights5
Region Underweight/Overweight Against M SCI EAFE Small Cap (%) -2.1 0.8 4.5 0.4 1.7 2.8 1.4 -10 -5 0 5 10
Sector
Sector Weights
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand -9.4 Emerging Cash
Underweight/Overweight Against M SCI EAFE Small Cap Strategy Benchmark 7.2 Consumer Discretionary 24.3 % 17.1 % 0.3 Consumer Staples 6.4 6.1 -2.5 Energy 3.0 5.5 -3.7 Financials 15.3 19.0 -0.5 Health Care 4.8 5.3 -0.2 Industrials 24.2 24.4 -3.7 Information Technology 5.0 8.7 4.1 Materials 15.4 11.3 -0.5 Telecom. Services 0.4 0.9 -0.6 Utilities 1.2 1.8 -10 -5 0 5 10
GICS Sectors

International Small Companies Strategy returned +1.6% during the first quarter of 2011, compared to the MSCI EAFE Small Cap index, which returned The +3.0%. Underperformance relative to the benchmark resulted primarily from stock selection. Stock selection was particularly weak in Germany and Japan. In Germany, many of our holdings in Materials and Consumer Discretionary underperformed. In Japan, many of our holdings in real estate-related Financials, Consumer Discretionary, and Information Technology lagged. GMOs stock selection disciplines had mixed results in the quarter. Momentum outperformed while valuation did not. Stocks selected for their strong momentum characteristics outperformed. Stocks ranked highly by quality-adjusted value underperformed, while those favored by momentum-adjusted value had lackluster relative returns. sector, our overweight to Consumer Discretionary, which underperformed, hurt slightly. By Country allocation had a slight positive impact, mainly from our small exposure in emerging markets and overweight to Italy, which outperformed. Currency allocation was hurt slightly by our underweight position to the euro, which strengthened. Individual stock holdings that were significant positive contributors to relative performance included French chemical company Arkema, Canadian energy company Precision Drilling Corp., and Japanese miner Osaka Titanium Technologies. Holdings that were significant detractors included German chemical company Lanxess, insurer Irish Life and Permanent Group, and Japanese tech company Alps Electric Co. 1 Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Small Cap + Index is an internally maintained benchmark computed by GMO, comprised of (i) the S&P Developed ex-U.S. Small Cap Index through 5/30/2008 and (ii) the MSCI EAFE Small Cap Index (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
GMO 2011
36
GMO Tax-Managed International Equities Strategy

Inception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax) Performance1

Top Ten Holdings2,6
1Q 2011 Before-Tax Strategy 3 Benchmark 4 After-Tax Strategy Benchmark

2001
YTD 2011 4.05 3.36 4.05 3.07

2003 41.05 38.59
Strategy
One Year 12.16 10.42 11.97 9.41

2004 24.36 20.25 2005 16.55 13.54 2006 25.90 26.34 2007
Five Year 1.65 1.30 0.89 0.40

2008
Ten Year 8.98 5.39 8.29 4.73

2009 23.71 31.78
Since Inception 8.35 5.05 7.73 4.33

2010 9.38 7.75
4.05 3.36 4.05 3.07

2002
GlaxoSmithKline PLC Total S.A. Sanofi-Aventis S.A. Royal Dutch Shell PLC ENI S.p.A. AstraZeneca PLC Novartis AG Novo Nordisk A/S Enel S.p.A. Takeda Pharmaceutical Co. Total
3.1% 3.0% 2.9% 2.9% 2.6% 2.6% 1.9% 1.6% 1.6% 1.4% 23.6%
13.75 -40.71 11.17 -43.38

Benchmark
Characteristics6
Strategy Benchmark
4.28 0.89 0.92 0.38
0.00 1.00 1.00 0.13
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
12.1 8.0 1.5 3.4 12.5 $25.1
x x x % %
14.0 9.0 1.4 3.2 11.1 $29.7
x x x % %
Regional Weights6
Region Underweight/Overweight Against Benchmark (%) -0.4 -1.0 3.1 -0.2 2.2 -5.6 1.9 -5 0 5 10
Sector Weights6
Underweight/Overweight Against Benchmark Strategy Benchmark 5.1 Consumer Discretionary 15.3 % 10.2 % -3.7 Consumer Staples 6.0 9.7 5.4 Energy 13.9 8.5 -13.5 Financials 10.5 24.0 7.8 Health Care 15.8 8.0 0.1 Industrials 13.2 13.1 -0.5 Information Technology 4.3 4.8 -2.9 Materials 8.4 11.3 1.3 Telecom. Services 7.0 5.7 0.8 Utilities 5.6 4.8 Sector -20 -10 0 10 20
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash
-10

Tax-Managed International Equities Strategy advanced 4.0% for the first quarter of 2011, while the MSCI EAFE index advanced 3.4%. In local currency terms, the The MSCI EAFE index advanced 1.0%, however, the strengthening of currencies from other regions, including the euro and British pound, improved returns for U.S.-based investors. Energy stocks delivered the quarters highest returns, as unrest in the Middle East continues to fuel rising oil prices. The earthquake and tsunami in Japan dominated the news for March, and had a sharp, immediate effect on the Japanese equity market. By region, Europe posted the quarters strongest returns, led by France and Italy. Within the portfolio, stock selection was the dominant factor in the portfolios outperformance. Valuation-based stock selection strategies outperformed, led by the Quality Adjusted Value model. The Intrinsic Value model also outperformed, but was held back somewhat by its allocation to high quality stocks. The momentum model lagged for the period. Country allocation was a moderate positive for the quarter, with overweight allocations in top performing countries France and Italy more than offsetting losses from the portfolios overweight in Japan. Sector selection was also positive, with the portfolio benefiting from overweight exposure to Energy stocks. Overweight exposure to Consumer Discretionary stocks, which lagged the market, detracted from relative returns. Looking at some of the portfolios largest active positions, overweight exposure to Frances Total and Sanofi-Aventis, and to Italys Eni and Enel all contributed positively to returns. 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 Market conditions, tax legislation and government regulations may limit the Strategys ability to utilize tax efficient strategies. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investors tax situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement. 4 The Strategy benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Manager estimates the MSCI EAFE Indexs after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Indexs dividend yield and to its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the MSCI EAFE Index). The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 6 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
37
GMO Emerging Markets Strategy

Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index Performance1

Top Ten Holdings2,5

3
YTD 2011 4.70 1.70
One Year 22.06 19.51
Five Year 9.08 11.66
Ten Year 18.76 18.47
4.70 1.70
2002 0.78 -3.93
2003 70.21 57.15
2004 26.54 28.11
2005 40.15 35.19
2006 29.51 35.11
2007
2008
2009 71.89 81.03
2010 20.20 20.64
37.22 -55.74 40.28 -53.74
OAO Gazprom ADR 5.5% Samsung Electronics Co. 3.7% Lukoil Oil Company ADR 2.9% China Mobile Ltd. (ADS) 2.2% Petroleo Brasileiro S/A 2.1% Vale S.A. (ADS) 2.1% Inds. & Comm. Bank China 1.6% Taiwan Semicond Manuf Co. 1.5% POSCO (ADR) 1.4% Banco Bradesco S/A ADS 1.4% Total 24.4%

Strategy Benchmark
Characteristics5
Strategy Benchmark
4.10 0.99 0.93 0.32
0.00 1.00 1.00 0.17
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Avg Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
12.2 7.6 1.8 14.6 $5.6 2.5

5
x x x % %
15.1 10.3 2.1 13.4 $7.2 2.1
x x x % %
Regional Weights
Region
Sector Weights
Underweight/Overweight Against Benchmark (%) -1.9 13.1 -6.7 -2.4 -2.7 0.6 -20 -10 0 10 20
East Asia Europe Latin/South America Mideast/Africa South Asia Cash
Underweight/Overweight Against Benchmark Strategy Benchmark Sector -3.2 Consumer Discretionary 4.6 % 7.8 % -5.3 Consumer Staples 1.2 6.5 8.6 22.5 Energy 13.9 -0.2 Financials 22.7 22.9 -0.5 Health Care 1.0 1.5 -2.8 Industrials 5.9 8.7 -2.9 Information Technology 11.3 14.2 0.5 Materials 15.2 14.7 6.2 Telecom. Services 12.6 6.4 -0.5 Utilities 2.9 3.4 -10 -5 0 5 10
GICS Sectors

Emerging Markets Strategy rose 4.7% in the first quarter, beating the +1.7% return of the S&P/IFCI Composite by 3.0%. Overall, country selection added 2.7%, while stock selection The contributed 0.4%. Emerging markets began the year underperforming developed markets as investors focused on signs of overheating in the asset class. The protests that began in Tunisia and Egypt triggered uprisings in several other nations in the region, most notably in Libya. More bad news came in the form of an earthquake and tsunami that left Japan reeling from the considerable toll in lives and property, as well as concerns over radiation leaks from damaged reactors. However, the end of the quarter saw investors looking past these events to focus on positive macroeconomics in the major economies of the U.S. and China. The quarter saw country performances as diverse as a 20.2% jump in Hungary and a 23.2% fall in Egypt. Among sectors, the spread was tighter, with Energy leaping 11.9% and Health Care dropping 4.9%. prices spiked to a 30-month high in March as demand pressures from improving economic performance in the U.S. and China met supply pressures emanating from the increasing instability Oil in the Middle East. Employment data in the U.S. suggested that the recovery there is gathering momentum. In China, manufacturing growth accelerated for the first time in four months. Our Energy sector overweight in countries such as Hungary, Korea, Russia, and Thailand is a reflection of its cheapness and positive momentum; this overweight strongly benefited the portfolio this quarter. Hungarian stock market advanced on reports that the government would announce plans to improve the budget balance. The government had relied on temporary industry taxes and the The effective nationalization of private pension portfolios to reach budget targets in the past rather than imposing austerity directly on the populace. While the actual announcement turned out to be a letdown for the markets, Hungary still posted the best quarterly return in the asset class. Our overweight in Hungarian Financials, driven by low valuations, added to performance. Egyptian President Hosni Mubarak was ousted from power on February 11, plunging the country into a political crisis. The military, which has had interim authority since Mubarak ceded power, said the first presidential elections would be held in October or November of this year. The turmoil has hurt the economy, with many tourists staying away while, at the same time, factory output has dropped in response to labor strikes. Our overweight in Egyptian Financials detracted from performance. Korean exports sidestepped the unrest in the Middle East and the Japanese earthquake to scale new heights in March. Shipments to China, the largest consumer of Korean goods, increased 9.2% from a year earlier, and exports to the U.S. jumped 13.5%. The weakness of the Korean won has aided competitiveness, providing a significant tailwind in a nation where exports are equivalent to about half of the economy. Our overweights in Korean Industrials and Materials added to performance. India has seen investors increasingly concerned about rising inflation and its effect on corporate earnings. The central bank raised the benchmark rate in March, making it the eighth move in a year. India imports much of its energy needs, and the surge in oil prices has compounded inflationary pressures. Non-food manufacturing inflation, which reflects the strength in consumer demand, accelerated to 6.1% in February from 4.8% in the previous month. Our models have considered India to be expensive for several quarters and our underweights in Indian Consumer Discretionary, Industrials, Utilities, and Materials benefited performance. Stock selection detracted from performance in Brazilian Energy, but helped in Taiwan Technology, Korean Industrials, and Chinese Financials.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
38
GMO Emerging Countries Strategy

Inception: 9/30/97; Benchmark: S&P/IFCI Composite Index Performance1

Top Ten Holdings2,5

3
YTD 2011 4.90 1.70
One Year 22.28 19.51
Five Year 8.70 11.66
Ten Year 18.16 18.47
4.90 1.70
2002 -0.03 -3.93
2003 68.27 57.15
2004 24.89 28.11
2005 37.54 35.19
2006 28.95 35.11
2007
2008
2009 69.96 81.03
2010 19.89 20.64
37.44 -55.81 40.28 -53.74
OAO Gazprom ADR Samsung Electronics Co. Lukoil Oil Company ADR Petroleo Brasileiro S/A China Mobile Ltd. (ADS) Vale S.A. (ADS) Inds. & Comm. Bank China Taiwan Semicond Manuf Co. POSCO (ADR) Astra International Total
5.6% 3.9% 2.9% 2.2% 2.1% 2.0% 1.7% 1.5% 1.5% 1.4% 24.8%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.44 1.04 0.93 0.36
0.00 1.00 1.00 0.28
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Avg Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
12.2 7.5 1.7 13.4 $5.6 2.6

5
x x x % %
15.1 10.3 2.1 13.4 $7.2 2.1
x x x % %
Regional Weights
Region
Sector Weights
Underweight/Overweight Against Benchmark (%) -2.4 12.7 -6.6 -2.1 -3.5 2.0 -20 -10 0 10 20
East Asia Europe Latin/South America Mideast/Africa South Asia Cash
Underweight/Overweight Sector Against Benchmark Strategy Benchmark -3.8 Consumer Discretionary 4.0 % 7.8 % -5.1 Consumer Staples 1.4 6.5 8.7 22.6 Energy 13.9 0.0 Financials 22.9 22.9 -0.7 Health Care 0.8 1.5 -3.1 Industrials 5.6 8.7 -2.3 Information Technology 11.9 14.2 0.3 Materials 15.0 14.7 6.6 Telecom. Services 13.0 6.4 -0.5 Utilities 2.9 3.4
-10
-5
10
GICS Sectors

Emerging Countries Strategy rose 4.9% in the first quarter, beating the +1.7% return of the S&P/IFCI Composite by 3.2%. Overall this quarter, country sector selection added 2.7%, while The stock selection contributed 0.5%. Emerging markets began the year underperforming developed markets as investors focused on signs of overheating in the asset class. The protests that began in Tunisia and Egypt triggered uprisings in several other nations in the region, most notably in Libya. More bad news came in the form of an earthquake and tsunami that left Japan reeling from the considerable toll in lives and property, as well as concerns over radiation leaks from damaged reactors. However, the end of the quarter saw investors looking past these events to focus on positive macroeconomics in the major economies of the U.S. and China. The quarter saw country performances as diverse as a 20.2% jump in Hungary and a 23.2% fall in Egypt. Among sectors, the spread was tighter, with Energy leaping 11.9% and Health Care dropping 4.9%. prices spiked to a 30-month high in March as demand pressures from improving economic performance in the U.S. and China met supply pressures emanating from the increasing instability Oil in the Middle East. Employment data in the U.S. suggested that the recovery there is gathering momentum. In China, manufacturing growth accelerated for the first time in four months. Our Energy sector overweight in countries such as Hungary, Korea, Russia, and Thailand is a reflection of its cheapness and positive momentum; this overweight strongly benefited the portfolio this quarter. Hungarian stock market advanced on reports that the government would announce plans to improve the budget balance. The government had relied on temporary industry taxes and the The effective nationalization of private pension portfolios to reach budget targets in the past rather than imposing austerity directly on the populace. While the actual announcement turned out to be a letdown for the markets, Hungary still posted the best quarterly return in the asset class. Our overweight in Hungarian Financials, driven by low valuations, added to performance. Egyptian President Hosni Mubarak was ousted from power on February 11, plunging the country into a political crisis. The military, which has had interim authority since Mubarak ceded power, said the first presidential elections would be held in October or November of this year. The turmoil has hurt the economy, with many tourists staying away while, at the same time, factory output has dropped in response to labor strikes. Our overweight in Egyptian Financials detracted from performance. Korean exports sidestepped the unrest in the Middle East and the Japanese earthquake to scale new heights in March. Shipments to China, the largest consumer of Korean goods, increased 9.2% from a year earlier, and exports to the U.S. jumped 13.5%. The weakness of the Korean won has aided competitiveness, providing a significant tailwind in a nation where exports are equivalent to about half of the economy. Our overweights in Korean Industrials and Materials added to performance. India has seen investors increasingly concerned about rising inflation and its effect on corporate earnings. The central bank raised the benchmark rate in March, making it the eighth move in a year. India imports much of its energy needs, and the surge in oil prices has compounded inflationary pressures. Non-food manufacturing inflation, which reflects the strength in consumer demand, accelerated to 6.1% in February from 4.8% in the previous month. Our models have considered India to be expensive for several quarters and our underweights in Indian Consumer Discretionary, Industrials, Utilities, and Materials benefited performance. Stock selection detracted from performance in South African Industrials, but helped in Taiwan Technology, Korean Industrials, and Chinese Financials.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
39
GMO Global Active Equity Strategy

Inception: 8/31/00; Benchmark: MSCI World Index Performance1

Top Ten Holdings2,5

3
YTD 2011 6.20 4.80
One Year 13.17 13.45
Five Year 2.07 2.08
Ten Year 8.88 4.21
6.20 4.80
2001
2002
2003 43.07 33.11
2004 22.00 14.72
2005 17.66 9.49
2006 25.69 20.07
2007
2008
2009 28.16 29.99
2010 10.08 11.76
8.64 -40.89 9.04 -40.71
Pfizer Inc. 2.2% Vodafone Group PLC 2.2% Navistar International Corp. 1.9% WellPoint Inc. 1.9% DaimlerChrysler AG 1.9% Royal Dutch Shell PLC 1.8% British American Tobacco 1.7% Comcast Corp. (Cl A) 1.7% QUALCOMM Inc. 1.6% Microsoft Corp. 1.5% Total 18.4%

Strategy Benchmark
Characteristics5
Strategy Benchmark
8.30 0.92 0.83 0.44
0.00 1.00 1.00 -0.05
13.6 7.2 1.4 2.4
x x x %
15.7 10.2 1.8 2.5
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -7.8 1.3 3.8 0.1 -0.8 -3.7 -3.8 6.9 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark Consumer Discretionary 17.2 % 10.1 % 7.1 -1.3 Consumer Staples 8.1 9.4 2.4 Energy 14.4 12.0 -1.5 Financials 18.7 20.2 -2.3 Health Care 6.9 9.2 -0.6 Industrials 11.0 11.6 Information Technology -5.9 5.5 11.4 2.2 Materials 10.4 8.2 2.1 Telecom. Services 6.3 4.2 -2.1 Utilities 1.7 3.8 -10 -5 0 5 10
GICS Sectors
United States Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash
-10
Quarterly Strategy Attribution Global Active Equity Strategy outperformed the MSCI World index by 1.4 percentage points in the first quarter, gaining 6.2% The while the benchmark rose 4.8%. Country selection was positive in the quarter. An overweight position in Italy added 0.2% to returns after the German government pledged to protect the integrity of the euro zone. Sector selection was also positive. An overweight position in Energy, the best performing sector in the quarter, helped returns, as did an underweight position in Information Technology. On the negative side, an overweight position in the Consumer Discretionary sector subtracted from performance. bulk of the value added came from stock selection. Positions in Canada, Japan, Germany, the United States, and the emerging The markets all outperformed. On the negative side, holdings in France lagged the benchmark.
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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
40
GMO Global Equity Strategy

Inception: 7/31/96; Benchmark: MSCI World Index Performance1

Top Ten Holdings2,5

3
YTD 2011 4.68 4.80
One Year 12.81 13.45
Five Year 0.97 2.08
Ten Year 5.99 4.21
4.68 4.80
2001
2002
2003 36.36 33.11
2004 17.95 14.72
2005 11.08 9.49
2006 21.19 20.07
2007
2008
2009 24.61 29.99
2010 10.40 11.76
6.16 -38.71 9.04 -40.71
Johnson & Johnson Royal Dutch Shell PLC Apple Inc. Coca-Cola Co. Google Inc. (Cl A) ENI S.p.A. Merck & Co Inc Wal-Mart Stores Inc. PepsiCo Inc. Pfizer Inc. Total
3.5% 3.1% 2.8% 2.3% 2.2% 1.7% 1.6% 1.6% 1.5% 1.3% 21.6%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.40 0.91 0.95 0.31
0.00 1.00 1.00 0.16
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
13.5 10.0 1.7 15.3 $37.8 2.9
x x x % %
15.7 10.2 1.8 13.8 $33.7 2.5
x x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -5.4 2.0 1.4 3.1 -2.6 1.5 -10 -5 0 5 10
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark 1.1 Consumer Discretionary 11.2 % 10.1 % -0.8 Consumer Staples 8.6 9.4 1.6 Energy 13.6 12.0 -6.9 Financials 13.3 20.2 5.7 Health Care 14.9 9.2 1.1 Industrials 12.7 11.6 1.0 Information Technology 12.4 11.4 -2.3 Materials 5.9 8.2 -0.2 Telecom. Services 4.0 4.2 -0.5 Utilities 3.3 3.8 -10 -5 0 5 10
GICS Sectors
North America Europe ex-UK United Kingdom Japan Pacific ex-Japan Cash

MSCI World index of global equities returned 4.8% this quarter, from a U.S dollar perspective. The Global Equity Strategy lagged its benchmark by 0.1% as a result The of conservative positioning, particularly in the U.S. portion of the portfolio. exploit what we perceive as the overconfidence of U.S. equity investors via an overweight in the highest quality U.S. blue chips. These companies lagged the broader We markets significantly this quarter (detracting from returns) and trade at the bottom of their historic valuation range. When the perception of perpetual summer lifts, this group is priced to outperform the broader market significantly. There has been significant deterioration on the ground in Europe during the quarter. Paradoxically, however, the strategys overweight in Europe paid off as investor perceptions of perpetual gloom for the euro zone softened the euro zone policy makers might actually do something. The euro zone stock markets were modestly rerated as a result and the strategys country selection added to relative returns, although this was mitigated by strength in the euro. We believe that European equities remain at attractive valuations and are priced to deliver strong relative returns in coming quarters and years. Chinas imperative to sustain growth means that debt-funded fixed asset investment rages on, irrespective of official lending targets. Resource rich countries supplying China with the raw materials required for this experiment in overinvestment have benefited from a windfall. The markets of Canada and Australia have priced this windfall gain as more or less permanent and are valued more aggressively than they have been in the past. They form the bedrock of the strategys geographic underweights. At the same time, Asian demand has directed our momentum investments in recent quarters as previously reported. Regime change in North Africa, and potentially the Middle East, triggered a rise in the price of a barrel of oil but equity markets reacted relatively calmly. Shares in oil companies outperformed in developed markets over the quarter and the strategy is overweight, but valuations remain modest in the context of elevated petrochemical prices evidently viewed as temporary in nature. Defense and Aerospace companies also outperformed and the strategy is modestly overweight. In aggregate, industry allocation contributed to returns. confluence of earthquake, tsunami, and nuclear reactor damage in Japan (overweight) is terribly sad but is unlikely to dent Japans long-term prospects too The significantly. The strategys Japanese holdings held up relatively well during the two days of heavy selling the strategy held no stock in Tokyo Electric Power, for example, and little in the insurers and stock selection in Japan made a positive contribution to returns over the quarter. 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
41
GMO Global Growth Strategy

Inception: 7/31/04; Benchmarks: MSCI World Growth Index and MSCI World Index Performance1

Top Ten Holdings2,5
1Q 2011 Strategy MSCI World Growth MSCI World

3 3
YTD 2011 3.93 3.71 4.80

2005 10.63 9.41 9.49 2006 17.83 15.15 20.07
One Year 16.08 15.14 13.45

2007 2008 12.44 -38.36 14.76 -41.13 9.04 -40.71
Five Year 3.20 3.02 2.08

2009 28.79 33.27 29.99
Ten Year n/a n/a n/a

2010 14.63 14.50 11.76
3.93 3.71 4.80
2004 Strategy 14.02 MSCI World Growth 13.57 MSCI World 14.56
Apple Inc. Johnson & Johnson Coca-Cola Co. Google Inc. (Cl A) PepsiCo Inc. Royal Dutch Shell PLC 3M Co. QUALCOMM Inc. ENI S.p.A. Abbott Laboratories Total
4.6% 3.4% 2.9% 2.8% 2.4% 2.0% 1.2% 1.2% 1.1% 1.1% 22.7%

M SCI Strategy World Growth M SCI World
Characteristics5
M SCI M SCI Strategy World Growth World
1.20 0.96 0.98 0.32
0.00 1.00 1.00 0.25
0.00 1.00 1.00 0.22
17.3 12.0 2.3 18.4 $38.8 2.1
x x x % %
18.9 12.9 2.5 16.8 $28.2 1.7
x x x % %
15.7 10.0 1.8 13.8 $33.7 2.5
x x x % %
Regional Weights5
Region Underweight/Overweight Against M SCI World Growth (%) 6.7 -1.1 -1.9 -2.3 -3.0 1.6 -10 -5 0 5 10
Sector Weights5
Underweight/Overweight Against M SCI World Growth Consumer Discretionary 0.6 Consumer Staples -4.2 Energy 3.9 Financials 0.8 2.7 Health Care 0.0 Industrials Information Technology 0.5 -4.7 Materials 0.1 Telecom. Services 0.2 Utilities Sector -6 -3 0 3 6 Strategy Benchmark
North America Europe ex-UK United Kingdom Japan Pacific ex-Japan Cash
14.2 % 9.3 12.0 9.7 11.1 15.1 19.0 6.9 1.3 1.3
13.6 % 13.5 8.1 8.9 8.4 15.1 18.5 11.6 1.2 1.1
GICS Sectors

MSCI World Growth index returned +3.7% for the quarter from a U.S. dollar perspective. The Global Growth Strategy outperformed the benchmark by 0.2%. The Global Growth Strategy employs both valuation and momentum-based disciplines to select between stocks. The strategys momentum based stocks continue their The run (our momentum disciplines have outperformed the benchmark by 8 to 9 percentage points before costs since August 2009). Price momentum tends to have a higher emphasis on more volatile parts of the market; given recent overall market strength this made a positive contribution to relative returns. performance contribution from the strategys Earnings momentum discipline came largely from country selection. Overweighting the U.S. helped, along with a The positive contribution from an underweight to Japan. The confluence of earthquake, tsunami, and nuclear reactor damage in Japan is terribly sad but is unlikely to dent Japans long-term prospects too significantly. In the short term, however, the headwind of already poor sentiment is translating into continued negative momentum. The strategys Japanese holdings held up relatively well during the two days of heavy selling the strategy held no stock in Tokyo Electric Power, for example, and little in the insurers and stock selection in Japan made a positive contribution to returns. Moving to the valuation-driven part of the portfolio, the strategys GARP holdings outside of the U.S. outperformed, with the strongest contribution coming from Europe, where we believe that many companies share prices have become disconnected from medium-term growth prospects. Although stronger this quarter, European markets are still extrapolating the debt related malaise a long way into the future. highest quality companies in the U.S. lagged the broader markets significantly (detracting from returns) but trade very close to the cheapest as we have seen in our The data. Should animal spirits in the U.S. falter, this group is priced to outperform the broader market significantly. While we wait, their managements get on with the business of reinvesting profits at higher than average returns on equity (our definition of high quality). 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. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
42
GMO Core Plus Bond Strategy

Inception: 4/30/97; Benchmark: Barclays Capital U.S. Aggregate Index Performance1
Total Return Net of Fees (%)
Average Annual Total Return (%)

2
YTD 2011 1.47 0.42
One Year 9.97 5.12
Five Year 3.76 6.03
Ten Year 5.14 5.56
1.47 0.42
2002 6.55 10.26
2003 10.96 4.10
2004 6.59 4.34
2005 3.95 2.43
2006 5.76 4.33
2007 -1.01 6.97
2008 -18.00 5.24
2009 20.90 5.93
2010 13.24 6.54

Strategy Benchmark
Characteristics4,5
Modified Duration Average Coupon Average Maturity Average Yield Emerging Cntry Debt Exp. 4.3 4.3 6.1 6.9 3 % Yrs. % %
-0.27 1.08 0.47 0.57
0.00 1.00 1.00 0.89
Regional Weights4,6
Underweight/Overweight Against Benchmark (%)
Currency Weights4
Europe North America Pacific Emerging

-30 -15 -20.9
-0.6 4.7
Europe North America Pacific

3.7 0 15 30
-10 -5 0 -7.4 2.1 5
5.3
10
Quarterly Strategy Attribution Core Plus Bond Strategy returned +1.5% in the first quarter, outperforming the return of its benchmark, the Barclays Capital U.S. The Aggregate index, by 1.0%. After reporting a total return loss in Q4 2010, the Barclays Capital U.S. Aggregate index reversed course during the first quarter of 2011, returning +0.4%. Tightening sector spreads were responsible for gains, as rising U.S. Treasury yields weighed on performance. Ten-year yields rose by 15 basis points to 3.4%, and U.S. Treasury 2-year yields rose by 19 basis points to 0.8%. overall option-adjusted spread of the Barclays Capital U.S. Aggregate index tightened by 6 basis points, with sector spreads The tightening by as much as 35 basis points (CMBS), and by as little as 4 basis points (U.S. Agency). CMBS spreads tightened the most during the quarter, due to better than expected pricing on new mid-quarter deals. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (Overlay Fund) were the largest positive contributors for an eighth consecutive quarter. Developed markets currency selection also contributed positively, followed by contributions from exposure to emerging country debt via the GMO Emerging Country Debt Fund, and developed markets interest-rate positioning.
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. 2 The Barclays Capital U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one year and rated investment grade or higher. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
43
GMO Inflation Indexed Plus Bond Strategy

Inception: 5/31/06; Benchmark: Barclays Capital U.S. Treasury Inflation Notes Index Performance1

2
YTD 2011 2.92 2.08
One Year 13.48 7.91
Five Year n/a n/a
Ten Year n/a n/a
2.92 2.08
2007
2008
2009 30.30 11.41
2010 14.11 6.31
3.06 -24.75 11.64 -2.35

Strategy Benchmark
Characteristics4,5
Modified Real Rate Duration Average Coupon Average Maturity Average Yield Emerging Cntry Debt Exp. 7.0 2.1 7.8 7.4 3 % Yrs. % %
-1.89 1.04 0.57 0.27
0.00 1.00 1.00 0.60
Regional Weights4,6
Currency Weights4

-40 -20 -21.3
-0.8 4.6

3.8 0 20 40
-10 -5 0 -7.6 2.3 5
5.3
10
Quarterly Strategy Attribution Inflation Indexed Plus Bond Strategy returned +2.9% in the first quarter, outperforming the Barclays Capital U.S. Treasury The Inflation Notes index by 0.8%. After reporting total return losses in Q4 2010, the index reversed course, reporting +2.1% for the first quarter of 2011. The real yield curve steepened during the quarter, as real 2-year yields fell by 94 basis points, real 10-year yields fell by only 1 basis point, and longer-dated real yields (> 20 years) rose by 10 basis points. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (Overlay Fund) were the largest positive contributors for an eighth consecutive quarter. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also contributed positively during the quarter, followed by contributions from developed markets interest-rate positioning and developed markets currency selection.
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. 2 The Barclays Capital U.S. Treasury Inflation Notes Index is an independently maintained and widely published index comprised of Inflation-Protection Securities issued by the U.S. Treasury (TIPS). 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
44
GMO International Bond Strategy

Inception: 12/31/93; Benchmark: J.P. Morgan Non-U.S. Government Bond Index Performance1

2
YTD 2011 1.87 0.87 2002 17.15 22.10 2003 26.95 18.63 2004 14.88 12.04 2005 -8.08 -9.24
One Year 16.21 9.83 2006 9.33 6.84 2007 3.66 11.30
Five Year 6.73 8.23 2008 -13.95 11.39
Ten Year 8.28 8.27 2009 20.59 3.94
Since Inception 7.49 6.44 2010 15.18 6.78
1.87 0.87 2001
Strategy -2.55 Benchmark -3.60

Strategy Benchmark
Characteristics4,5
Modified Duration Average Coupon Average Maturity Yield to Maturity Emerging Cntry Debt Exp. 6.2 3.3 7.8 6.8 3 % Yrs. % %
1.56 0.95 0.76 0.48
0.00 1.00 1.00 0.36
Regional Weights4,6
Currency Weights4

-30 -15 -19.7
-1.9 5.1

4.0 0 15 30
-10 -4.7 -2.3 -5 0 5
7.1
10

International Bond Strategy returned +1.9% in the first quarter, outperforming the J.P. Morgan Non-U.S. Government Bond index return of The +0.9% by 1.0%. The U.S. dollars decline versus most currencies accounted for all of the positive index returns, as the 20-basis-point rise in the yield of the J.P. Morgan non-U.S. Government Bond Index resulted in a 0.7% fall in the index when measured in local currency terms. Government bond markets were mixed during Q1; in local currency index terms, losses were the highest in the euro zone (-2.3%), while Australia reported the highest gains (+1.8%). The -2.3% index total return for the euro-area incorporates total return losses from only the largest euro currency participants captured by the benchmark (Germany, Italy, France, Spain, Netherlands, and Belgium). Peripheral Europe continued its slow-motion sovereign debt crisis. CDS spreads widened anew and government bond prices fell amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Core euro zone debt markets, including Germany and France, also fell during the quarter, but on a smaller scale, by 0.4-2.4%. Australias government bonds gained early in the quarter as severe floods along the nations eastern coastline dented economic activity. More recently, the March 11 earthquake, tsunami, and subsequent nuclear catastrophe in Japan led to sharp declines in Australian equities, with the result that Australian bonds acted like a local safe-haven investment. In other bond markets, the U.K. (-0.8%), Switzerland (-0.8%), Canada (-0.6%), Japan (-0.6%), and the U.S. (-0.2%) also reported losses, while Sweden (+0.2%) reported gains. currencies, the Japanese yen fell by 2.1%, pushed lower by coordinated G7 intervention. The euro gained 5.8% in the face of events in the In periphery. Strong indications that the ECB was likely to raise policy rates in early April widened rate differentials, supporting the currency. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. other central bank news, Swedens Riksbank continued its policy tightening program, raising rates by 25 basis points to 1.5% during the quarter. In New Zealand cut its policy rate by 50 basis points, anticipating that the February Christchurch earthquake would add to the uncertain economic environment. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (Overlay Fund) were the largest positive contributors for an eighth consecutive quarter. Developed markets currency selection also contributed positively, followed by contributions from exposure to emerging country debt via the GMO Emerging Country Debt Fund.
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. 2 The J.P. Morgan Non-U.S. Government Bond Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of one year or more.. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
45
GMO Currency Hedged International Bond Strategy

Performance1
Inception: 9/30/94; Benchmark: J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) +

2
YTD 2011 -0.37 -0.97 2002 3.01 7.01 2003 8.77 1.99 2004 8.91 6.73 2005 7.25 6.54
One Year 5.51 0.52 2006 2.45 1.79 2007 -4.00 3.42
Five Year 2.69 4.23 2008 -13.56 9.22
Ten Year 4.24 4.51 2009 18.81 2.90
Since Inception 7.87 6.94 2010 11.70 3.71
-0.37 -0.97 2001
Strategy Benchmark
6.35 6.03

Strategy Benchmark
Characteristics4,5
1.58 0.94 0.31 0.92
0.00 1.00 1.00 1.10
Regional Weights4,6
Underweight/Overweight Against Benchmark (%) -0.1 4.8 -19.7 3.4 -30 -15 0 15 30
Currency Weights4

-10 -5 0 -7.1 2.0 5
5.1
10

Currency Hedged International Bond Strategy returned -0.4% in the first quarter, outperforming the J.P. Morgan Non-U.S. Government Bond The ex-Japan Hedged index total return of -1.0% by 0.6%. The yield of the J.P. Morgan non-U.S. Government ex-Japan Hedged Bond index rose by 27 basis points during the quarter. Government bond markets were mixed during Q1; in local currency index terms, losses were the highest in the euro zone (-2.3%), while Australia reported the highest gains (+1.8%). The -2.3% index total return for the euro-area incorporates total return losses from only the largest euro currency participants captured by the benchmark (Germany, Italy, France, Spain, Netherlands, and Belgium). Peripheral Europe continued its slow-motion sovereign debt crisis. CDS spreads widened anew and government bond prices fell amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Core euro zone debt markets, including Germany and France, also fell during the quarter, but on a smaller scale, by 0.4-2.4%. Australias government bonds gained early in the quarter as severe floods along the nations eastern coastline dented economic activity. More recently, the March 11 earthquake, tsunami, and subsequent nuclear catastrophe in Japan led to sharp declines in Australian equities, with the result that Australian bonds acted like a local safe-haven investment. In other bond markets, the U.K. (-0.8%), Switzerland (-0.8%), Canada (-0.6%), Japan (-0.6%), and the U.S. (-0.2%) also reported losses, while Sweden (+0.2%) reported gains. currencies, the Japanese yen fell by 2.1%, pushed lower by coordinated G7 intervention. The euro gained 5.8% in the face of events in the In periphery. Strong indications that the ECB was likely to raise policy rates in early April widened rate differentials, supporting the currency. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. other central bank news, Swedens Riksbank continued its policy tightening program, raising rates by 25 basis points to 1.5% during the quarter. In New Zealand cut its policy rate by 50 basis points, anticipating that the February Christchurch earthquake would add to the uncertain economic environment. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (Overlay Fund) were the largest positive contributors for an eighth consecutive quarter. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also contributed positively, followed by contributions from developed markets currency selection and developed markets interest-rate positioning.
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. 2 The J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) + is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) prior to 12/31/2003 and (ii) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
46
GMO Global Bond Strategy

Inception: 12/31/95; Benchmark: J.P. Morgan Global Government Bond Index Performance1

2
YTD 2011 1.66 0.54 2002 13.74 19.38 2003 21.99 14.51 2004 12.12 10.10 2005 -5.84 -6.53
One Year 13.80 8.15 2006 7.94 5.94 2007 2.58 10.81
Five Year 5.74 7.56 2008 -14.93 12.00
Ten Year 7.03 7.49 2009 20.30 1.91
Since Inception 6.18 5.83 2010 14.14 6.42
1.66 0.54 2001
Strategy -0.62 Benchmark -0.80

Strategy Benchmark
Characteristics4,5
0.95 0.93 0.66 0.43
0.00 1.00 1.00 0.38
Regional Weights4,6
Currency Weights4

-30 -15 -20.7
-0.4 4.6

3.9 0 15 30
-10 -2.5 -3.0 -5 0 5
5.6
10

Global Bond Strategy returned +1.7% during the first quarter, outperforming the J.P. Morgan Global Government Bond index return of +0.5% The by 1.1%. The U.S. dollars decline versus most currencies accounted for all of the positive index returns, as the 20-basis-point rise in the yield of the J.P. Morgan Global Government Bond Index resulted in a 0.5% fall in the index when measured in local currency terms. Government bond markets were mixed during Q1; in local currency index terms, losses were the highest in the euro zone (-2.3%), while Australia reported the highest gains (+1.8%). The -2.3% index total return for the euro-area incorporates total return losses from only the largest euro currency participants captured by the benchmark (Germany, Italy, France, Spain, Netherlands, and Belgium). Peripheral Europe continued its slow-motion sovereign debt crisis. CDS spreads widened anew and government bond prices fell amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Core euro zone debt markets, including Germany and France, also fell during the quarter, but on a smaller scale, by 0.4-2.4%. Australias government bonds gained early in the quarter as severe floods along the nations eastern coastline dented economic activity. More recently, the March 11 earthquake, tsunami, and subsequent nuclear catastrophe in Japan led to sharp declines in Australian equities, with the result that Australian bonds acted like a local safe-haven investment. In other bond markets, the U.K. (-0.8%), Switzerland (-0.8%), Canada (-0.6%), Japan (-0.6%), and the U.S. (-0.2%) also reported losses, while Sweden (+0.2%) reported gains. currencies, the Japanese yen fell by 2.1%, pushed lower by coordinated G7 intervention. The euro gained 5.8% in the face of events in the In periphery. Strong indications that the ECB was likely to raise policy rates in early April widened rate differentials, supporting the currency. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. other central bank news, Swedens Riksbank continued its policy tightening program, raising rates by 25 basis points to 1.5% during the quarter. In New Zealand cut its policy rate by 50 basis points, anticipating that the February Christchurch earthquake would add to the uncertain economic environment. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (Overlay Fund) were the largest positive contributors for an eighth consecutive quarter. Developed markets currency selection also contributed positively, followed by contributions from exposure to emerging country debt via the GMO Emerging Country Debt Fund and developed markets interest-rate positioning.
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. 2 The J.P. Morgan Global Government Bond Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of one year or more. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
47
GMO Emerging Country Debt Strategy

Inception: 4/30/94; Benchmark: J.P. Morgan Emerging Markets Bond Index Global + Performance1

2
YTD 2011 2.45 1.02
One Year 17.62 8.65
Five Year 8.23 8.26
Ten Year 14.31 10.15
2.45 1.02
2002 19.44 13.11
2003 36.40 25.66
2004 18.76 11.73
2005 15.64 10.73
2006 14.39 9.88
2007
2008
2009 47.92 28.18
2010 24.24 12.04
7.49 -33.46 6.28 -10.91

Strategy Benchmark
Regional Weights4
3.80 1.20 0.89 0.79
0.00 1.00 1.00 0.61
Asia CEEMEA* Latin America United States Developed

-10 -5 0 -7.2
0.5
0.1 2.3 4.7 5 10
Characteristics4
Yield to Maturity Sovereign Spread Portfolio Maturity Modified Duration Average Credit Rating 5.9 % 253 Bps. 17.4 Yrs. 7.2 BB
* Central Eastern Europe, Middle East, and Africa

Emerging Country Debt Strategy returned +2.4% in the first quarter, ahead of the J.P. Morgan Emerging Market Bond Index Global return of The +1.0% by 1.4%. The index spread widened by 10 basis points to 299 basis points during the period, and the yield on the 10-year U.S. Treasury bond rose 15 basis points to 3.5%, but the index yield still generated a positive return. Euro zone countries suffered multiple downgrades from the ratings agencies as the terms of the new European Stability Mechanism suggested that sovereign bondholders would be subordinated to the EU as well as the IMF. CDS spreads on Greece and Ireland, which have already accepted support, did not move much in the quarter, ending at 990 basis points and 640 basis points, respectively. As the probability increased that Portugal would be next, its CDS widened 80 basis points to 580 basis points. Liquidity in the emerging cash bond market improved and the average bid-offer spread narrowed to 62 basis points at the end of the quarter from 89 at the beginning. New issuance of $81 billion was second only to the record high of $88 billion in the third quarter of 2010. biggest index gainers were Ivory Coast (+8.3%), Ecuador (+7.4%), Georgia (+6.1%), and Hungary (+5.5%). The Ivory Coast bond rebounded The at the end of March from heavy losses earlier in the quarter as the internationally recognized president-elect took up arms, and his forces quickly overran most of the country. Ecuador benefited from higher oil prices. Georgia has made good progress with structural reforms, supported by an IMF loan. Hungarys new government has taken steps to cut its fiscal deficit by cutting spending. worst performers of the quarter were Belarus (-10.2%), Egypt (-6.5%), Pakistan (-2.4%), and Dominican Republic (-1.9%). Belarus was criticized The by the IMF and downgraded by the ratings agencies for its unsustainable balance of payments deficit. Egypt and Pakistan both experienced political conflict well covered by the media. Dominican Republic suffered from its dependence on imported oil. Market selection accounted for 15 basis points of negative alpha. The overweight in Argentina cost 14 basis points, the Dominican Republic overweight 8 more, and the Russia and Venezuela underweights another 10 and 7 basis points, respectively. The overweight in Ivory Coast helped performance, adding 13 basis points of alpha. Security selection, including allocations outside of the index, was positive by 126 basis points. Outside-index allocations to Congo, Angola, and Trinidad and Tobago were positive contributors. Overweighting quasi-sovereign issues in Russia, Venezuela, Dominican Republic and Philippines also added value. In Argentina defaulted Brady bonds and GDP warrants outperformed the index. Positive returns from asset-backed securities (7% of the portfolio) added 32 basis points.
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. 2 The J.P. Morgan EMBI Global (Emerging Markets Bond) Index + is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan Emerging Markets Bond Index (EMBI) prior to 8/31/1995, (ii) the J.P. Morgan EMBI+ through 12/31/1999, and (iii) the J.P. Morgan EMBIG thereafter. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
48
GMO Emerging Country Local Debt Investment Strategy

Inception: 2/29/08; Benchmark: J.P. Morgan GBI-EM Diversified Index Performance1

2
YTD 2011 2.65 2.70

2008 Strategy Benchmark -32.06 -7.52 2009 42.51 20.44
One Year 12.74 11.01

2010 16.81 13.32
Five Year n/a n/a
Ten Year n/a n/a
2.65 2.70

Strategy Benchmark
Characteristics4
Yield to Maturity Modified Duration 6.8 % 5.1
-2.73 1.02 0.67 0.32
0.00 1.00 1.00 0.58
Regional Weights4,5
Currency Weights4
Asia CEEMEA* Latin America

-20 -15.5
-4.4
Asia CEEMEA*
12.6
-8.0 2.3 2.7 -10 -5 0 5 10
Latin America
-10
10
20

Emerging Country Local Debt Investment Strategy returned +2.7% in the first quarter, even with the J.P. Morgan GBI-EM Diversified (GBI-EMD). Instrument The selection and the collateral pool were positive, while country and currency positioning detracted. GBI-EM Diversified rose by 2.7% in the first quarter. Spot currencies returned +2.8%, and local currency bonds returned -0.1%. Such results compared favorably The both on the fx side and the bond side when compared with developed markets (as measured by the J.P. Morgan GBI-ex-US index). The comparable figures in developed markets were +1.6% for fx, and -0.7% for bonds. Most emerging currencies rose relative to the U.S. dollar during the quarter. Central and Eastern European currencies led, with Hungarian forint +10.9%, Romanian leu +9.1%, and Czech crown +8.1%, bolstered in part by the rise in the euro relative to the dollar. The euro gained 5.8%, despite the slow-motion European sovereign debt crisis. In peripheral Europe, CDS spreads widened anew amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Elsewhere, most currencies shrugged off a seemingly endless barrage of unexpected global events: political turmoil in the Middle East; the earthquake in New Zealand; the earthquake/tsunami/nuclear catastrophe in Japan; and a sudden hawkishness among policymakers at the Federal Reserve and ECB. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. Unsettling political events served as the backdrop for declines in the Egyptian pound and the Peru new sol. Following closely on the heels of the dramatic events in Tunisia, popular uprising led to the departure of Egyptian President Hosni Mubarak. The stock exchange was closed for much of the quarter, and currency trading was extremely limited. By quarter end, a historic referendum was held regarding changes to the constitution, paving the way for parliamentary and presidential elections. Peru, polls revealed an alarming rise in the popularity of leftist candidate Ollanta Humala. With the election approaching on April 10, market participants, recalling the In severe sell-offs associated with the rise of this same candidate in the 2006 elections, sold Peruvian assets. Naturally, liquidity dropped as well. NDF forward points flipped from implying a forward premium for PEN to a forward discount. Chilean peso was another notable laggard, -2.0%. Chile announced a massive fx intervention program, apparently desperate to avoid capital controls, the effectiveness of which has been extensively questioned by Chilean policymakers subsequent to their 1990s experiments with them. local currency bond markets, notable gainers included Hungary, +5.6%, and Russia, +2.8%. Laggards included Colombia, -6.8%, Egypt, -6.5%, Peru, -3.9%, and In Chile, -2.9%. In Hungary, the long-awaited fiscal package was unveiled, and although it disappointed, it didnt deter investors from this relatively high-yielding and easyto-access market. In Russia, after an aborted attempt in December, the Russian Federation placed its first global ruble bond. Although the finance ministry had cited poor market conditions at the time of its December cancellation, the tumultuous markets of February apparently benefited Russia. One brokerage report hailed Russia as a safe haven due to its status as an oil exporter. Of course the Russian budget expenditures have been rising along with the oil price, hence the need to diversify the investor base by issuing in this format. As if to underline the intended market segmentation, the deal was brought on a Russian market holiday. performance attribution, country selection detracted 35 basis points, mainly due to underweights in Hungary and Russia as well as overweights in Chile and Peru. In Currency selection was somewhat better, although still a small detractor. Overweights in the Hungarian forint and Russian ruble and underweights in the Chilean peso and Taiwan dollar contributed positively. In instrument selection, a preference for the longer-dated Philippine global was a notable positive contributor. The collateral pool contributed 43 basis points. 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. 2 The J.P. Morgan Government Bond Index-Emerging Markets GBI-EM Diversified Index is an independently maintained and widely published index of global local emerging markets consisting of regularly traded, liquid fixed-rate, domestic currency government bonds. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Regional weights are duration adjusted. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
49
GMO Asset Allocation Bond Strategy

Inception: 3/31/09; Benchmark: Citigroup 3-Month T-Bill Index Performance1

2
YTD 2011 1.98 0.04
One Year 5.34 0.15
Five Year n/a n/a
Ten Year n/a n/a
1.98 0.04
2010 4.14 0.13

Strategy Benchmark
Characteristics4,5
Modified Duration Average Coupon Average Maturity Average Yield 5.4 1.9 % 6.4 Yrs. 0.6 %
6.51 0.00 0.00 2.13
0.00 1.00 1.00 0.00
Quarterly Strategy Attribution Asset Allocation Bond Strategy returned +2.0% during the first quarter, outperforming the Citigroup 3-Month Treasury Bill index The return by 1.9%. U.S. 3-month Treasury Bill rates fell by 8 basis points to end the quarter at 0.09%.
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. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
50
GMO Global Balanced Asset Allocation Strategy

Inception: 6/30/88; Benchmark: Blended Benchmark Performance1

2
YTD 2011 2.72 3.03

2002 0.84 -9.70 2003 28.47 21.99 2004 13.55 10.23 2005 9.06 5.99
One Year 8.77 11.29

2006 12.30 13.41 2007
Five Year 4.93 4.23

2008
Ten Year 8.26 5.12

2009 24.15 24.14

2010 7.93 11.05
2.72 3.03
2001
Strategy 3.88 Benchmark -6.03
7.94 -20.83 9.26 -27.72
Strategy Composition3
Cash & Cash Special Equivalents Situations 2.4% 4.3% Alpha Only 14.0% Asset Allocation Bond 4.3% Emerging Country Debt 0.5% Strategic Fixed Income 10.5% Domestic Bond 3.0% International Intrinsic Value 4.4% International Growth 4.3% International Core Equity 14.6%
Benchmark Composition
(65% MSCI ACWI / 35% Barclays U.S. Aggregate)
Quality 24.6%
Fixed Income 35.0%
U.S. Equities 27.8%
Emerging Markets 12.0%
Flexible Equities 1.1%
Strategy Weights Relative to Benchmark3

6% 3% 0% -3% -6% +3.1% +4.0%

Strategy Benchmark
-3.2% U.S. Equities
-3.9% Int'l. Equities Emerging Equities Fixed Income
3.20 0.79 0.86 0.77
0.00 1.00 1.00 0.43

Global Balanced Asset Allocation Strategy finished the first quarter up 2.7%, underperforming its benchmark by 0.3%. Asset allocation accounted for essentially all of the The underperformance. Within our asset allocation decisions, the modest underweight to equities detracted from performance. Within equities, our longstanding underweight to U.S. stocks continued to act as a drag on performance as U.S. stocks extended their rally, with the S&P 500 delivering a return of 5.9% for the quarter. Persistent signs of economic recovery, decent earnings reports, and the sheer unattractiveness of low-yielding money markets and bonds helped to carry the markets momentum from 2010 into the first quarter of the year. Any lingering fears of deflation have largely been supplanted by growing concerns about the corrosive tax of rising food and gasoline prices on the U.S. consumer. But, again, even these fears were not enough to cool interest in equity risk. Even the unprecedented international political crises in the Middle East the rolling wave of demonstrations in Tunisia, Egypt, Libya, Bahrain, and others did nothing to stop the rally in U.S. and non-U.S. stocks, despite the potential for oil supply disruptions and price spikes. Equity markets simply continue to sidestep the avalanche of existing and potential bad news. From our perspective, this rally is continuing to stretch already over-stretched valuations and, by quarter-end, we had put plans in place to begin trimming equity exposure. Our continued overweight to emerging markets was the other main contributor to underperformance this quarter, as emerging underperformed developed equity within international space. Within fixed income, we maintained a low weight in traditional bonds, and a subsequent high weighting in other fixed income, which we typically benchmark to cash. The net effect of the fixed income portfolio was benign, as bonds and cash performed in a sub-par fashion still positive, but low. Within implementation, there was positive alpha generation from a good number of the underlying fixed income strategies. In addition, the Emerging Markets Strategy beat its benchmark by close to 300 basis points. Still, this was largely negated by weak performance from the Quality Strategy. The net/net was essentially a wash in terms of value added through implementation. risk markets continue to rally, we plan to trim our risk exposures, raising cash and cash substitutes. Despite the poor relative performance of the Quality Strategy over the recent As year and a half, its defensive nature gives us comfort in a world of overpriced assets. Potential headwinds are exhaustive in scope, but we list a few to give a flavor of why we are concerned. First and foremost, valuations of equities, generally, remain stretched, and GMO forecasts are dancing dangerously close to levels last seen in the summer of 2007. Second, the approaching end to QE2 could have deleterious effects on companies and business models that have become dependent on (or perhaps addicted to) cheap financing. Third, the overhang of negative equity for one out of every four homeowners (with no reasonable expectation for this to reverse itself in the near future) combined with only modest improvements in the employment picture means that the key driver of the U.S. economy the U.S. consumer will continue to feel poor and vulnerable. Throw into the mix a dysfunctional Washington D.C. and the Tea Party, bent on cutting spending at a delicate moment in the recovery, and we see no reason why Wall Street is busy uncorking yet another bottle of champagne.
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. 2 The blended Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Capital Aggregate or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
51
GMO Real Return Global Balanced Asset Allocation Strategy


2
YTD 2011 2.10 2.99

2004 2005 8.09 5.80 2006 13.26 13.69 2007
One Year 5.97 9.60

2008
Five Year 4.60 3.36

2009 13.02 19.17
Ten Year n/a n/a

2010 5.00 8.94
2.10 2.99
Strategy Benchmark
10.11 7.45
7.63 -11.36 7.87 -25.17
U.S. Core 2.2% Quality 24.0%
(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% BC U.S. Agg.)
Multi-Strategy 27.0% Special Situations 3.9% Alpha Only 3.4% Cash & Cash Equivalents 1.3% Asset Allocation Bond 1.1%
Absolute Return 20.0%
U.S. Equities 29.7%
International Intrinsic Value 12.9% International Growth 13.1% Flexible Equities 1.2%
Fixed Income 20.0% International Equities 30.3%
Emerging Country Debt Emerging Strategic Domestic 0.4% Markets Fixed Income Bond 3.1% 5.2% 1.1%

20% 10% 0% -10% -20% U.S. Equities Int'l. Equities -3.5% -12.2% Fixed Income Absolute Return +0.0% +15.6%

Strategy Benchmark
3.92 0.59 0.75 0.79
0.00 1.00 1.00 0.27
Quarterly Strategy Attribution Real Return Global Balanced Asset Allocation Strategy returned +2.1% for the quarter, underperforming its benchmark by 0.9%. Asset The
allocation and implementation shared equally in causing the underperformance.
Within asset allocation decisions, our underweight to equities, generally, and our out-of-benchmark allocation to emerging markets, which trailed the
overall global market, were the main drivers of underperformance.
Within implementation, there was positive alpha generation from a good number of the underlying fixed income strategies. In addition, the Emerging
Markets Strategy beat its benchmark by close to 300 basis points. Still, this was more than negated by weak performance from the Quality Strategy. The absolute return portfolio had returns barely above cash.
risk markets continue to rally, we are beginning to further trim our risk exposures, raising cash and cash substitutes. Despite the poor relative As
performance of the Quality Strategy over the recent year and a half, its defensive nature gives us comfort in a world of overpriced assets. In addition, some of the anti-risk themes within the absolute return portfolio afford protection in a world that we see as growing dangerously overpriced.
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. 2 The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Capital Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
52
GMO Global Allocation Absolute Return Strategy

Inception: 7/31/01; Benchmark: CPI Plus 5% Index Performance1

2
YTD 2011 1.42 2.71
One Year 3.12 7.77
Five Year 5.39 7.37
Ten Year n/a n/a
1.42 2.71
2002 8.80 7.60
2003 34.20 6.90
2004 15.29 8.51
2005 13.54 8.61
2006 11.01 7.70
2007 9.99 9.31
2008 -6.61 5.16
2009 13.41 7.99
2010 2.72 6.30
Multi-Strategy 20.0% Quality 21.0%
Absolute Strategy Weights3

60% +41.9% 40% 20% 0% U.S. Equities Int'l. Equities Fixed Income Absolute Return +21.0% +18.1% +19.2%
Special Situations 3.8% Alpha Only 16.2% Alternative Asset Opportunity 0.6% Cash & Cash Equivalents 1.3%
Currency Hedged Int'l. Equity 7.8% Flexible Equities 1.7% Emerging Markets 8.6% Strategic Asset Fixed Income Emerging Allocation Bond Country Debt 10.6% 7.2% 1.4%

Strategy
Std. Deviation Sharpe Ratio Drawdown

(10/31/07-2/28/09)
7.14 1.31 -10.33
Quarterly Strategy Attribution Global Allocation Absolute Return Strategy returned +1.4% in the first quarter. The long exposure to equity markets helped performance this quarter, as the equity rally continued throughout the period. All of the The largest equity and fixed income strategies posted positive performance. The only notable headwind came from negative absolute performance from the Alpha Only Strategy.
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. 2 The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All Urban Consumers US All Items which is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the CPI Index. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 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 gross.
1
GIPS compliant presentation is available at www.gmo.com. GMO 2011
53
GMO Real Return Asset Allocation Strategy

Inception: 12/31/09; Benchmark: CPI Index Performance1

Strategy

2
YTD 2011 1.13 1.47
One Year -8.40 2.65
Five Year n/a n/a
Ten Year n/a n/a
Since Inception -8.82 2.18
1.13 1.47

(12/31/09-6/30/10)
8.51 -0.90 -12.35
2010 Strategy Benchmark -11.89 1.25
Equities4
Exposure (%)
Inflation / Deflation Themes4

Exposure (%)
Quality Emerging Equities Opportunistic Japanese Equities International Equities S&P 500 Junk S&P Midcap Russell 2000
-40
23 11 5 4 -2 -4 -6 -11 -20 0 20 40
Inflation Deflation
Dividend Swaps Japanese Inflation UK 50 Yr. IL GILTS -15 Japanese Gov't. Bonds New Zealand 10 Yr. Bonds Australian 10 Yr. Bonds
-20 -10
11 2 -3 5 13 0 10 20
Currencies4
Exposure (%)
Absolute Return4
Exposure (%)
U.S. Dollar South Korean Won Singapore Dollar New Zealand Dollar Japanese Yen Australian Dollar
-10
6 2 2 -1 -4 -5 -5 0 5 10
Multi-Strategy ABS/Credit Credit Opportunities

-30 -15 0
20 5 3 15 30
Quarterly Strategy Attribution Real Return Asset Allocation Strategy returned +1.1% in the first quarter, underperforming its target by 0.3%. The biggest drag on performance continued to be the long high quality versus the short low quality position. Although the quality The position did contribute 80 basis points to performance, this was more than offset by the combined performance of the low quality and small cap short positions. Our long emerging equities position delivered 50 basis points, while our international equity book was essentially flat. Taken together, our equity book was a net drag on performance, subtracting 21 basis points. We did change the equity portfolio modestly during the last month of the quarter, shifting about 5% into Japanese stocks as a result of significant weakness in the Japanese equity market. With the equity portfolio a net drag on performance, the remainder of the portfolio performed well enough to move returns into positive territory. The biggest contributor was the dividend swaps, which added 90 basis points. Pricing continued to improve in European dividends despite ongoing weakness in local stock indices. In fixed income positions, our long Australian and New Zealand bonds against shorts in Japanese nominal bonds and long-term British index linked bonds were both positive and, combined, contributed an additional 30 basis points. Other small winners included our currency positions and opportunistic credit. The 20% Multi-Strategy allocation was flat for the quarter, while the 3% Credit Opportunity Strategy allocation rose 81 basis points, contributing modestly to the positive return for the quarter.
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. 2 The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
54
GMO Global All Country Equity Allocation Strategy


2
YTD 2011 3.55 4.57 2002 2003 38.75 33.76 2004 17.62 14.86 2005 12.51 9.95
One Year 11.75 14.42 2006 18.87 20.34 2007
Five Year 3.67 2.84 2008
Ten Year 8.69 5.08 2009 24.19 34.45
Since Inception 9.24 7.33 2010 10.12 12.94
3.55 4.57 2001
11.12 -31.41 10.38 -41.82
Emerging Markets 16.9% Alpha Only 1.0% U.S. Core 5.1%
(MSCI ACWI)
Emerging Markets 13.7% U.S. Equities 42.8%

Quality 33.9%
International Core Equity 22.9%
International Growth 8.6%
International Intrinsic Value 8.8%
Developed Int'l. Equities 43.6%

4% 2% 0% -2% -4% -3.8% U.S. Equities -0.6% Developed Int'l. Equities Emerging Equities Absolute Return +3.2% +1.0%

Strategy Benchmark
3.36 0.82 0.91 0.48
0.00 1.00 1.00 0.25
Quarterly Strategy Attribution Global All Country Equity Allocation Strategy returned +3.5% for the quarter, underperforming its benchmark by 1.0%. Asset The allocation and implementation shared equally in causing the underperformance. global equity rally was led by the U.S. this quarter, and our modest underweight acted as a drag on relative performance. In The addition, our overweight in emerging market equities acted as a drag, as emerging equities underperformed their developed country counterparts. From an implementation perspective, the Quality Strategy underperformed its benchmark by over 200 basis points and was responsible for the lions share of this quarters shortfall.
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. 2 The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
55
GMO Global Developed Equity Allocation Strategy


2
YTD 2011 3.52 4.80 2002 2003 38.64 32.32 2004 17.36 13.64 2005 12.26 9.42
One Year 10.78 13.45 2006 20.22 20.05 2007
Five Year 2.19 2.08 2008
Ten Year 7.84 4.18 2009 20.55 29.97
Since Inception 9.37 7.19 2010 9.25 11.77
3.52 4.80 2001
9.69 -33.19 9.02 -40.70
Flexible Equities 2.0% Emerging Markets 3.2% U.S. Core 9.1%
(MSCI World Index)
U.S. Equities 49.5%

International Growth 25.1% Quality 35.8%
Strategy
6% 3% 0% -3% -6% -4.6% U.S. Equities International Equities +4.6%

Strategy Benchmark
3.35 0.84 0.88 0.43
0.00 1.00 1.00 0.20
Quarterly Strategy Attribution Global Developed Equity Allocation Strategy returned +3.5% for the quarter, underperforming its benchmark by 1.3%. Our asset The allocation decisions detracted 0.1%, while implementation detracted 1.2%. Global markets continued their rally, with U.S. equity markets leading the way. Our modest underweight to the U.S. was a slight drag on performance. Our decision to hold an out-of-benchmark exposure in emerging equity markets also detracted, as these stocks underperformed their developed country counterparts. From an implementation perspective, the Quality Strategy significantly underperformed its benchmark and was responsible for the lions share of this quarters overall underperformance.
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. 2 The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
56
GMO International All Country Equity Allocation Strategy As of March 31, 2011

2
YTD 2011 3.40 3.38 2002 2003 48.86 42.77 2004 24.06 21.11 2005 19.03 16.71
One Year 14.20 12.89 2006 25.91 26.94 2007
Five Year 3.38 3.37 2008
Ten Year 11.01 8.06 2009 27.77 40.16
Since Inception 8.35 6.29 2010 12.74 10.82
3.40 3.38 2001
17.39 -40.96 16.08 -45.26
(MSCI ACWI ex-U.S. Index)
Developed Int'l. 76.1%

4.0% 2.0% 0.0% -2.0% -4.0% -3.4% Developed Int'l. Equities Emerging Equities +3.4%

Strategy Benchmark
3.14 0.92 0.93 0.35
0.00 1.00 1.00 0.17
Quarterly Strategy Attribution International All Country Equity Allocation Strategy returned +3.4% for the quarter, even with its benchmark. Asset allocation The detracted 0.4% while implementation added 0.4%. weightings between value and growth exposures in the underlying strategies were essentially neutral, so the outperformance of The value stocks this quarter was mitigated by our position in growth stocks, which underperformed. Our overweight to emerging markets, which underperformed their developed country counterparts, was the main driver of underperformance. From an implementation standpoint, three of the four holdings underperformed their respective benchmarks, but the powerful outperformance of the Emerging Markets Strategy more than compensated for these loses.
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. 2 The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
57
GMO International Developed Equity Allocation Strategy


2
YTD 2011 3.01 3.36
One Year 12.07 10.42
Five Year 1.53 1.53
Ten Year 9.24 5.88
3.01 3.36
2001
2002
2003 46.65 40.04
2004 24.89 21.17
2005 15.56 14.41
2006 25.50 26.62
2007
2008
2009 19.84 32.16
2010 10.58 7.93
12.69 -38.39 11.58 -43.33
Flexible Equities 3.8% Emerging Markets 3.1%
(MSCI EAFE Index)

Strategy Benchmark
3.23 0.87 0.89 0.39
0.00 1.00 1.00 0.19
Quarterly Strategy Attribution International Developed Equity Allocation Strategy returned +3.0% for the quarter, underperforming its benchmark by 0.4%. The Virtually all of the underperformance came from implementation. weightings between value and growth exposures in the underlying strategies were essentially neutral, so the outperformance of The value stocks this quarter was mitigated by our position in growth stocks, which underperformed. Our minor allocation to emerging equities contributed negatively to performance, albeit modestly. Implementation was a tougher story, as three of the four underlying strategies underperformed their respective benchmarks.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
58
GMO U.S. Equity Allocation Strategy


2
YTD 2011 4.07 6.20 2002 2003 29.99 29.69 2004 10.74 11.45 2005 3.68 5.53
One Year 9.28 16.81 2006 9.93 15.71 2007
Five Year 1.13 2.88 2008
Ten Year 3.58 3.76 2009 20.54 27.46
Since Inception 10.15 9.67 2010 7.43 16.26
4.07 6.20 2001
2.25 -27.87 5.39 -37.15
Small/Mid Cap Value 1.1% Small/Mid Cap Growth 1.3%
(Russell 3000 Index)
Small Growth 9.1%

U.S. Core 49.1%
Small Value 9.9%
Quality 48.5%
Large Cap 81.0%

20% 10% 0% -10% -20% Large Cap Small Value Small Growth -8.8% -7.8% +16.6%

Strategy Benchmark
1.89 0.85 0.92 0.51
0.00 1.00 1.00 0.38
Quarterly Strategy Attribution U.S. Equity Allocation Strategy finished the quarter with a return of +4.1%, underperforming its benchmark by 2.1%. Asset The allocation had a negative effect, but implementation was the main driver of the underperformance. large cap tilt to this portfolio (relative to the Russell 3000 benchmark) detracted from performance as small cap stocks continued The their winning streak versus large caps. In the risk rally of the quarter, any small or mid cap exposure would have been helpful, so our large cap tilt was a drag on performance. Within implementation, the Quality Strategy was the largest detractor as it underperformed its benchmark by over 200 basis points.
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. 2 The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
59
GMO Alternative Asset Opportunity Strategy

Inception: 4/30/05; Benchmark: Alternative Asset Opportunity Index Performance1

Strategy

2
YTD 2011 2.78 2.26
One Year 20.29 14.03
Five Year 3.93 3.44
Ten Year n/a n/a
2.78 2.26

(6/30/08-2/28/09)
11.86 0.27 -37.06
2006 2.69 3.95
2007
2008
2009 23.95 10.18
2010 15.63 8.81
8.58 -26.28 11.00 -16.77
Current Exposure4
Energy Futures Natural Gas Gasoline Metals Gold Copper Softs Cocoa Sugar Position Short Long Position Long Long Position Long Long Meats Live Cattle Lean Hogs Grains Soybean Soybean Meal Soybean Oil Corn Wheat Position Long Short Position Long Long Long Long Short
Quarterly Strategy Attribution Alternative Asset Opportunity Strategy returned +2.8% in the first quarter, outperforming its benchmark, the Alternative Asset The Opportunity index (50% Dow Jones-UBS Commodity index/50% J.P. Morgan U.S. 3-Month Cash index), by 0.5%. benchmark returned +2.3% in the first quarter of 2011: the Dow Jones-UBS Commodity index returned +4.4% and cash The returned +0.1%. Commodity prices were mixed during the quarter, rising by as much as 48% (cotton) and falling by as much as 9% (sugar). Silver, RBOB gas, lean hog, and gold contract prices were also among those that rose by 1% to 22% during the quarter, while cocoa contract prices fell, by 1%. performance attribution, the strategy benefited from positions in RBOB gas, silver, and gold contracts, as well as gains derived by In exposure to the collateral pool. While unable fully to offset gains, cotton, cocoa, and lean hog contracts contributed negatively to performance during the quarter.
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. 2 The Alternative Asset Opportunity Index is an internally maintained benchmark computed by GMO, comprised of 50% Dow Jones-UBS Commodity Index and 50% J.P. Morgan 3 Month Cash Index. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
60
GMO Alpha Only Strategy


2
YTD 2011 -1.42 0.04
One Year -3.21 0.15
Five Year 1.54 2.10
Ten Year 3.72 2.12
-1.42 0.04
2002 11.63 1.70
2003 2.71 1.07
2004 2.64 1.24
2005 4.95 3.00
2006 3.34 4.76
2007 7.74 4.74
2008 12.16 1.80
2009 -7.93 0.16
2010 -3.99 0.13
Long Exposure3
Position Exposure % 29.1 22.0 21.9 15.1 10.9 2.0 0 10 20 30
Position
Short Exposure3
Exposure % -1.7 -15.4 -25.2 -44.9 -60 -40 -20 0
Quality Int'l. Growth Int'l. Intrinsic Value U.S. Core Cash Equivalents Emerging Markets
S&P Midcap Russell 2000 S&P 500 EAFE Baskets / Forwards

Strategy

(2/28/09-2/28/11)
4.55 0.33 -13.09
Quarterly Strategy Attribution Alpha Only Strategy was down 1.4% for the quarter, underperforming its cash benchmark. The Negative alpha from both the U.S. Core Equity Strategy and the Quality Strategy was the main driver of the underperformance this quarter.
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. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 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 gross.
1
GIPS compliant presentation is available at www.gmo.com. GMO 2011
61
GMO Tax-Managed Global Balanced Strategy

Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index Performance1

2
YTD 2011 2.13 2.88 2003 2004 12.73 10.02 2005 9.91 5.91 2006 12.08 12.95
One Year 7.74 10.43 2007 2008
Five Year 4.03 3.88 2009 14.29 23.90
Ten Year n/a n/a 2010 6.88 9.99
2.13 2.88
Strategy 23.15 Benchmark 21.82
7.16 -14.95 7.12 -25.89
Multi-Strategy 10.1% Tax-Managed Absolute Return 2.1% U.S. Equities 19.0%
(GMO Tax-Managed Global Balanced Index)
U.S. Equities 25.7% Fixed Income 40.0%
Municipal Bonds 31.1%
Strategy
20% 10% 0% -10% -20% +12.2% +0.3% -6.7% U.S. Equities Int'l. Equities Emerging Markets +3.0%

Strategy Benchmark
-8.9% Fixed Income Absolute Return
3.86 0.70 0.87 0.98
0.00 1.00 1.00 0.51
Quarterly Strategy Attribution Tax-Managed Global Balanced Strategy added 2.1% for the first quarter of 2011, while the blended benchmark added 2.9%. U.S. The equities posted the quarters strongest returns, due solely to being less affected than other regions by rising oil prices, ongoing sovereign debt concerns, and natural disasters. Within the U.S., the largest capitalization stocks lagged smaller capitalization issues. International developed equities outpaced emerging equities. Municipal bonds added 0.6% for the quarter. Within the portfolio, both asset allocation and implementation detracted from relative returns. Within asset allocation, the underweight of U.S. equities and overweight of emerging equities both detracted from relative returns. The portfolios allocation to alternative assets also detracted. Implementations shortfall came from within the U.S equities component of the portfolio, where quality-influenced valuation-based stock selection strategies lagged. Implementation within emerging equities was a positive contributor for the quarter.
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. 2 The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Capital Muni 7 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
62
GMO Aggressive Long/Short Strategy


Strategy

2
YTD 2011 2.53 0.04
One Year 5.29 0.15
Five Year 0.89 2.10
Ten Year 2.54 2.12
2.53 0.04

(9/30/01-11/30/01)
13.13 0.47 -15.48
2002 25.92 1.70
2003 -5.61 1.07
2004 1.07 1.24
2005 3.56 3.00
2006 -1.90 4.76
2007 -5.37 4.74
2008 14.26 1.80
2009 -7.47 0.16
2010 3.51 0.13
Current Profiles4
Long Short
Sector Exposure4
Sector Net Weight (%) 9.2 5.8 1.0 6.1 12.3 3.6 16.1 4.4 1.5 1.0 -4.8 -20 -10 0 10 20
% Long/Short P/E - Excl Neg Earnings Hist 1 Yr Wtd Med % Negative Earnings
84 % 15.6 x 11.4 %
27 % 18.3 x 2.7 %
Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecom. Services Utilities Unassigned
Quarterly Strategy Attribution Aggressive Long/Short Strategy returned +2.5% in the first quarter of 2011. The Positive returns were generated in each of our major investment categories: Fundamental Value, Volatility, and Merger arbitrage. Additional gains came from our quantitative strategies. current prices, there are not as many opportunities available to us, but we have been able to identify investments that meet our At criteria and will continue to take advantage of fearful markets to add positions when appropriate.
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. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. Exposure information is not normalized and shown as a percent of total net assets. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
63
GMO Tactical Opportunities Strategy


Strategy

2
YTD 2011 -5.82 0.04 2004 2005 -13.24 3.00 2006 -1.65 4.76 2007 17.87 4.74
One Year -20.00 0.15 2008 36.52 1.80
Five Year -7.59 2.10 2009
Ten Year n/a n/a 2010
-5.82 0.04

(11/30/08-3/31/11)
18.95 -0.55 -60.51
Strategy -7.57 Benchmark 0.44
-41.61 -25.25 0.16 0.13
Current Profiles4
Long Short
Sector Exposure4
Sector Net Weight 39.5 Long Short
P/E - Ex Neg Earn Hist 1 Yr Wtd Med % Negative Earnings Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

Market Cap - Weighted Median $Bil Debt/Equity Wtd Med % Long/Short
16.0 0.7 3.2 2.3 22.9 $162.2 0.6 140
x % x % % x %
19.2 43.2 1.9 1.0 6.3 $5.1 1.3 137
x % x % %
x
%
Regional Weights4
Region
United States Non-United States

-4 -2
Net Weight -0.5 2.7 0 2 4
-11.7 Consumer Discretionary Consumer Staples -3.7 Energy -41.2 Financials Health Care -14.2 Industrials Information Technology -12.6 Materials -4.8 Telecom. Services -1.5 Utilities Unassigned -60 -30 0
24.6 19.1
8.6 30 60
2.7 % 40.1 12.5 0.0 35.3 2.3 37.0 0.0 1.0 0.0 8.6
14.4 % 0.6 16.2 41.2 10.7 16.5 17.9 12.6 5.8 1.5 0.0
Quarterly Strategy Attribution Tactical Opportunities Strategy returned -5.8% in the first quarter of 2011. The Positive absolute returns were generated in the high quality long portfolio, but these returns were not enough to offset the performance in the short portfolio. overwhelming impact in the strategy continues to be size: long exposure to mega cap quality stocks market underperformers An continues to be over 90% given their extremely attractive valuations. The short exposure, on the other hand, focuses on expensive non-mega caps. The preponderance of risk-seeking investors favoring mid and small cap stocks continues to push down prices on high quality stocks. From a top-down economic perspective, there is evidence of simultaneous deflation and inflation as of quarter end. Energy and food prices are increasing while home prices have begun another downward trend. How this will ultimately play out is debatable, but one thing is certain: we strongly believe that quality will ultimately win under any reasonable scenario. Despite the confluence of the macro economic factors surrounding us, mega cap quality remains a cheap asset class and one that has continued to retain its economic value. However, the lower prices of quality companies translate into even more attractive valuations. It has been shown that quality companies are able to retain their fundamental performance; a decline in their prices does not make them more risky. It makes them more attractive. From an industrial sector analysis, the largest short position in the strategy Financials generated robust gains this quarter but was offset by significant long bets in Consumer Staples, Health Care, and Information Technology, which all generated losses. portfolios average net exposure for the quarter was neutral. The
1
GMO 2011
64
GMO Emerging Country Debt Long/Short Strategy

Inception: 3/31/96; Benchmark: J.P. Morgan U.S. 3 Month Cash Index Performance1

Strategy

2
YTD 2011 0.29 0.09
One Year 9.07 0.48
Five Year 5.29 3.16
Ten Year 9.48 2.83
0.29 0.09

(4/30/98-9/30/98)
15.83 0.77 -51.97
2002 18.09 2.01
2003 13.13 1.31
2004 11.46 1.48
2005 8.13 3.37
2006 12.23 5.25
2007
2008
2009 37.20 1.45
2010 14.37 0.45
5.51 -26.52 5.70 4.12
Characteristics4
EMBIG Beta Modified Duration Spread Duration 0.5 2.5 3.2 Yrs.
Regional Weights4
Asia CEEMEA* Latin America United States Developed

-20 -3.5 -10 0
2.5 11.0 11.6 10.9
10
20
Quarterly Strategy Attribution Emerging Country Debt Long/Short Strategy gained 0.3% in the first quarter of 2011, outperforming its benchmark, the J.P. The Morgan U.S. 3 Month Cash index, by 0.2%. The strategy invests mostly in countries in the J.P. Morgan Emerging Bond Market Index (EMBIG), which returned +1.0% for the quarter. portfolio has a beta of 0.5 to the credit spread risk of the J.P. Morgan EMBIG. Its interest rate duration is low, so the 15-basisThe point rise in U.S. interest rates did not hurt the portfolio. Due to its positive spread duration, the portfolio also did not benefit from the slight rise in spreads for the asset class, from 289 basis points to 299 basis points. strategy targets absolute return by taking long and short positions in the same countries. Large holdings in Argentina, Russia, and The Venezuela contributed to returns, as the wide spreads in those countries narrowed slightly.
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. 2 The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
1
GMO 2011
65
GMO Currency Hedge Strategy


Strategy

2
YTD 2011 1.01 0.09
One Year 2.49 0.48
Five Year -1.57 3.16
Ten Year n/a n/a
1.01 0.09

(6/30/07-12/31/08)
12.26 0.03 -41.19
2004 2.93 1.48
2005 8.94 3.37
2006 13.60 5.25
2007
2008
2009 23.08 1.45
2010 3.17 0.45
-15.57 -28.70 5.70 4.12
Performance Attribution4
Net Contribution (%)
Currency Weights4
Net Weight
Europe North America Asia Pacific Cash Mgmt/Fees/Other

-6 -3 -0.6 -1.5 -0.9 0 3
3.9
Europe North America Asia Pacific

-120 -80 -40 0 -76.6 23.1 40
53.6
80 120
Quarterly Strategy Attribution the first quarter of 2011, the Currency Hedge Strategy returned +1.0%, compared to its benchmark, the J.P. Morgan U.S. 3 Month In Cash index, which gained 0.1%. Swedish krona led gains, +6.6%, while New Zealand dollar lagged, -2.4%. Central banks in Sweden and New Zealand were the only ones of the G10 to change policy interest rates during the quarter. The Swedes raised theirs by 25 basis points amidst a healthy economic environment, and the New Zealanders cut theirs by 50 basis points, anticipating that the February Christchurch earthquake would add to the uncertain economic environment. Japanese yen fell by 2.1%, pushed lower by coordinated G7 intervention. The yen briefly hit multiple-decade highs as the market The feared repatriation flows would flow after the March 11 earthquake, tsunami, and subsequent nuclear catastrophe. euro gained 5.8%, despite the slow-motion European sovereign debt crisis. In peripheral Europe, CDS spreads widened anew The amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Strong indications that the ECB was likely to raise policy rates in early April widened rate differentials, supporting the currency. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by bigname policymakers, nothing conclusive resulted. performance attribution, cross-market strategies were successful, with longs in the Scandinavian currencies adding. Opportunistic In strategies were unsuccessful, however, in particular a long in New Zealand dollars relative to Australian dollars, which suffered the negative impact from the unexpected earthquake and subsequent policy actions.
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GMO 2011
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GMO Fixed Income Hedge Strategy


Strategy

2
YTD 2011 1.27 0.09
One Year 7.07 0.48
Ten Year n/a n/a
1.27 0.09

(5/31/06-1/31/09)
15.13 -0.41 -48.54
2006
2007
2008
2009 21.63 1.45
2010 11.03 0.45
-4.61 -23.39 -25.45 5.25 5.70 4.12
Performance Attribution4
Strategy Net Contribution (%) 0.0 0.2 -0.1 0.0 0.3 0.8 -2 -1 0 1 2
Country Weights4
Net Weight (%)
Cross-Market Rate Anticipation Yield Curve Volatility Opportunistic Cash Mgmt./ABS/Fees/Other
Europe North America Asia Pacific

-153.3 -200 -100
-1.6 62.4
100
200

Fixed Income Hedge Strategy returned +1.3% in the first quarter, outperforming its benchmark, the J.P. Morgan U.S. 3 Month Cash index, The which returned +0.1%. Opportunistic strategies led gains during the quarter. Government bond markets were mixed during the quarter; in local currency J.P. Morgan Global Government Bond index terms, losses were the highest in the euro zone (-2.3%), while Australia reported the highest gains (+1.8%). The -2.3% index total return for the euro area incorporates total return losses from all euro currency participants, only the largest of which (Germany, Italy, France, Spain, Netherlands, and Belgium) pertain. The European debt crisis intensified again in March of Q1, with Portuguese and Irish bond yields reaching record highs since the euros launch. Portuguese bond market total returns fell by 9% during the quarter given the countrys Standard & Poors sovereign credit rating downgrade to BBBand the looming possibility of a financial bailout. In Ireland, bond market total returns fell by 6% given the discovery of a 24 billion shortfall on a recent round of bank stress tests. Core euro zone debt markets, including Germany and France, also fell during the quarter, but on a smaller scale, by 0.4% to 2.4%. Australias government bonds gained early in the quarter as severe floods along the nations eastern coastline dented economic activity. More recently, the March 11 earthquake, tsunami, and subsequent nuclear catastrophe in Japan led to sharp declines in Australian equities, with the result that Australian bonds acted like a local safe-haven investment. In other bond markets, the U.K. (-0.8%), Switzerland (-0.8%), Canada (-0.6%), Japan (-0.6%), and the U.S. (-0.2%) also reported losses, while Sweden (+0.2%) reported gains. Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed, with yield curves in Australia, Canada, Japan, and the U.S. steepening, and in Sweden, euro zone, Switzerland, and the U.K. flattening. central bank news, Swedens Riksbank continued its policy tightening program, raising rates by 25 basis points to 1.5% during the quarter. New In Zealand cut its policy rate by 50 basis points, anticipating that the February Christchurch earthquake would add to the uncertain economic environment. Opportunistic strategies were a net push this quarter. Where opportunistic screens signaled dislocations, the strategy maintained its positions in the U.S. yield curve; these dislocations, however, were largely unchanged over the quarter. The strategys concentrated position in Treasury STRIPS vs. LIBOR added value, as the spread between Treasuries and LIBOR narrowed. The portfolio has begun to trim its holdings of this trade as spreads have narrowed. If STRIPS continue to outperform, the portfolio will look to trim its position further. As the portfolio releases risk budget from this opportunity, it has expanded its risk allocation to model-based strategies, including a systematic strategy in yield curves. Cross-market strategies provided small contributions to performance during the quarter, thanks to positions in Swedish, U.K., and Japanese bond markets. Australian, Swiss, and euro zone positions, however, detracted value.
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GMO Emerging Currency Hedge Strategy


Strategy

2
YTD 2011 4.55 0.09
One Year 9.53 0.48
Five Year 5.18 3.16
Ten Year n/a n/a
4.55 0.09

(7/31/08-12/31/08)
12.58 0.39 -31.61
2007
2008
2009 35.51 1.45
2010 9.88 0.45
9.72 -28.32 5.70 4.12
Quarterly Strategy Attribution the first quarter of 2011, the Emerging Currency Hedge Strategy returned +4.5%, while its benchmark, the J.P. Morgan U.S. 3 In Month Cash index, gained 0.1%. Positive relative performance resulted mainly from currency positioning. Most emerging currencies rose relative to the U.S. dollar during the quarter. Central and Eastern European currencies led, with Hungarian forint +10.9%, Romanian leu +9.1%, and Czech crown +8.1%, bolstered in part by the rise in the euro relative to the dollar. The euro gained 5.8%, despite the slow-motion European sovereign debt crisis. In peripheral Europe, CDS spreads widened anew amidst upwardly-revised fiscal deficit and required banking assistance figures, predictably punctuated by rating agency downgrades. Elsewhere, most currencies shrugged off a seemingly endless barrage of unexpected global events: political turmoil in the Middle East; the earthquake in New Zealand; the earthquake/tsunami/nuclear catastrophe in Japan; and a sudden hawkishness among policymakers at the Federal Reserve and ECB. Buried in the news cycle were two G20 meetings addressing the global monetary architecture. Despite thoughtfully-titled sessions led by big-name policymakers, nothing conclusive resulted. Unsettling political events served as the backdrop for declines in the Egyptian pound and the Peru new sol. Following closely on the heels of the dramatic events in Tunisia, popular uprising led to the departure of Egyptian President Hosni Mubarak. The stock exchange was closed for much of the quarter, and currency trading was extremely limited. By quarter end, a historic referendum was held regarding changes to the constitution, paving the way for parliamentary and presidential elections. Peru, polls revealed an alarming rise in the popularity of leftist candidate Ollanta Humala. With the election approaching on April In 10, market participants, recalling the severe sell-offs associated with the rise of this same candidate in the 2006 elections, sold Peruvian assets. Naturally, liquidity dropped as well. NDF forward points flipped from implying a forward premium for PEN to a forward discount. Chilean peso was another notable laggard, -2.0%. Chile announced a massive fx intervention program, apparently desperate to avoid capital controls, the effectiveness of which has been extensively questioned by Chilean policymakers subsequent to their 1990s experiments with them. Currency positioning was fairly uniformly positive this quarter, as the portfolio had been positioned mostly for strength in emerging currencies. Notable contributions came from long positions in Hungary, Romania, and Russia. Detracting slightly was the short position in Colombia, and the long position in Egypt. By quarter end, the strategy had closed its position in Egypt due to lack of liquidity in the currency.
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GMO Mean Reversion Strategy


Strategy

2
YTD 2011 1.13 0.04 2003 35.76 1.07 2004 11.42 1.24 2005 6.97 3.00 2006 5.63 4.76
One Year -5.78 0.15 2007 18.63 4.74
Five Year 2.96 2.10 2008 18.43 1.80
Ten Year n/a n/a 2009 -13.43 0.16
Since Inception 8.58 2.01 2010 -8.61 0.13
1.13 0.04 2002

(2/28/09-12/31/10)
11.38 0.91 -24.87
Strategy Benchmark
9.93 1.41
Fixed Income Exposure4

Position Aussie 10 Yr Bonds Opportunistic Debt Aussie Linkers Kiwi 10 Yr Bonds Italian Bonds Spanish Bonds Swiss Bonds China Sovereign/Banks 50 Yr GILTS Euro Insurance CDS JPY IR Swap Absolute % 9.6 5.6 5.2 3.5 -1.5 -2.7 -4.2 -13.9 -20.9 -31.1 -43.0 -100 -50 0 50 100
Equity Exposure4
Position Absolute % Quality 15.7 Emerging Equities 5.3 Japanese REIT 4.6 Euro Div. Swaps 4.3 Opportunistic Long Equities 3.9 Opportunistic Japanese Equities 2.2 U.S. Housing -1.2 Australian Banks -3.7 Chinese Equities -3.7 Opportunistic Short Equities -12.0 S&P 500 -20.0 Russell 2000/S&P Midcap -23.0 Junk -60 -30
4
57.0
30
60
Currency Exposure
Position Korean Won Singapore Dollars New Zealand Dollar China Renminbi (Yuan) Japanese Yen Australian Dollars
Other
9.0 5.3
Position JPY Inflation Swap Credit Opportunities Strategy S&P Volatility Currency Volatility -40
Absolute %
Absolute % 32.6 3.0 -1.0 -3.0 -20 0 20 40
-2.3 -2.5 -8.0 -10.4 -20 -10 0 10 20

first quarter of 2011 was a positive one for the Mean Reversion Strategy, which had a return of +1.1%. It was a good quarter for global equities, with The the S&P 500 up 5.9%, MSCI EAFE gaining 3.4%, and MSCI Emerging rising 2%. Given the strong performance of small caps the Russell 2000 was up 7.9% and S&P 400 mid cap jumped 9.4% and lagging performance of emerging, it is not particularly surprising that our equity positions hurt us in the quarter, costing 1.2% in aggregate. High quality lagged the S&P 500 by 2.5%, and low quality outperformed by a similar amount, costing the portfolio 1.1%. Emerging cost the portfolio about 25 basis points, as good security selection helped mitigate the pain of the index underperformance. The J-REIT position detracted 50 basis points as Japan was the only major country to fall in the quarter. The dividend swaps added 50 basis points as their prices recovered, and our other equity position contributed another 20 basis points as Japanese equities purchased in the wake of the tsunami had a reasonably sharp recovery. overall biggest winner for the portfolio in the quarter was the IL Gilts position, which added 90 basis points. Most of this gain was actually in the The first two days of the year, when they reversed a very sharp 2010 year-end rally. Our government bond positions added another 50 basis points, as rates fell in Australia and New Zealand and rose in Japan. The Japanese CPI swaps added 50 basis points as well, as breakevens crept closer to zero. Currencies added 35 basis points, as the won rose and yen fell. The portfolio gained 40 basis points on a series of mean reversion bets within global yield curves and some front-end trades in New Zealand. Another 25 basis points were added via some puts purchased on S&P 500 variance last May. The only significant loser in the non-equity part of the portfolio was the CDS positions, which cost 35 basis points as spreads generally narrowed. only major shift we made in the quarter was to purchase approximately 5% of Japanese equities and futures in the portfolio when the market fall in The March made the valuations significantly more compelling. This squeezed down the quality long position slightly. position in the Credit Opportunities Strategy had little impact in the quarter, as it rose 0.8%. We have been deliberate in investing the strategy, which The began the quarter 5% invested and ended it 35% invested. Of the invested portion, 40% is in corporate credit, 20% in RMBS, and 40% in other structured credit.
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. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 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 gross. 4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. The performance information above is supplemental to the GIPS compliant presentation that was made available on GMOs website in April of 2011. GIPS compliant presentation is available at www.gmo.com.
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GMO Systematic Global Macro Strategy


Strategy

2
YTD 2011 -3.85 0.04 2003 3.79 1.07 2004 1.33 1.24 2005 4.63 3.00 2006 8.39 4.76
One Year 1.66 0.15 2007 15.06 4.74
Five Year 7.45 2.10 2008 -3.88 1.80
Ten Year n/a n/a 2009 15.28 0.16
Since Inception 7.59 2.01 2010
-3.85 0.04 2002

(6/30/08-9/30/08)
10.66 0.78 -15.44
Strategy 19.75 Benchmark 1.26
10.37 0.13
Equity Market Selection4

Country
Bond Market Selection4

Country Net Weight (%) 50.0 10.5 10.0 70.5 -80 -40 0 40 80
Netherlands Canada US Korea Taiwan Germany South Africa UK
Hong Kong Australia Sweden Japan Italy
Net Equity Markets

-60
Net Weight (%) 25.0 16.0 15.0 10.0 10.0 13.0 5.0 5.0 -3.0 -5.0 -9.0 -11.0 -15.0 56.0 -30 0 30 60
United States Asset Backed United Kingdom Net Bond Markets
Commodity Markets4
Commodity
Currency Selection4
Currency
British Pound Euro Japanese yen U.S. Dollar Net Cash
Net Weight (%) 14.0 6.0 4.0 -24.0 -96.1 -100 -50 0 50 100
Gasoline Soybeans Sugar Coffee Hogs Wheat Cotton Copper Corn Natural Gas Silver Crude Oil Net Commodities
Net Weight (%) 3.6 2.0 0.4 0.4 -1.2 -2.0 -4.0 -4.0 -4.0 -6.8 -7.2 -7.6 -30.4 -40 -20 0 20 40

Over the first quarter of 2011 the Systematic Global Macro Strategy returned -3.9%. Negative performance from commodity market selection in January and losses from equity market selection in February accounted for most of the negative performance this quarter. Global equity markets advanced a further 3.6% over the first three months of the year according to the MSCI World index in local currency terms, bond markets fell 0.6% according to the J.P. Morgan Global Bond (Hedged) index, while the S&P GSCI Total Return index gain of 11.6% highlighted the continued strength of commodity markets. During this time, investors grappled with geopolitical risks, continued problems with the euro zone, and the devastation wrought by the earthquake in Japan. Gains from the strategys net long allocation to equity markets were more than offset by losses from a net short commodity allocation and a net long bond allocation, which meant asset allocation lost slight value over the quarter. Commodity market positions contributed most of Januarys negative performance as short positions in cocoa, cotton, and corn outperformed long positions in cattle, gasoline, and soybeans by a decent margin. Februarys negative return was mostly a result of equity market long-short positions: a short position in the strengthening Japanese market (up 4.6%) lost value as that market outperformed long positions in Taiwan and Korea, which fell 4.2% and 6.8%, respectively. These market moves reversed in March and the strategy added value. The Japanese equity market fell 8.1% and the Korean market rose 9.2%, which meant our short position in Japan and long position in Korea added good value. Additional gains were made from a short position in the weaker Italian market, which fell 3.3%. However, these gains were partly offset by negative performance from a net short position in commodity markets, which advanced 4.4% according to the S&P GSCI Total Return index.
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GMO Multi-Strategy

2
YTD 2011 0.03 0.04
One Year -1.49 0.15
Five Year 2.03 2.10
Ten Year n/a n/a
0.03 0.04
2003 5.07 1.07
2004 4.53 1.24
2005 2.30 3.00
2006 4.11 4.76
2007 4.43 4.74
2008 10.67 1.80
2009 -5.51 0.16
2010 -1.78 0.13

Strategy
Fixed Income Hedge 9.7% Currency Hedge 3.0% Emerging Currency Hedge 4.0% Mean Reversion 15.4%

(2/28/09-9/30/09)
5.65 0.46 -11.02
Systematic Global Macro 14.3%
Completion 15.7%
Emerging Country Debt L.P. 11.2% Tactical Opportunities 13.8%
Aggressive Long/Short 12.9%
Quarterly Strategy Attribution Multi-Strategy portfolio was flat for the first quarter, even with its cash benchmark. The Seven of the nine strategies posted positive performance, with Emerging Currency Hedge and Completion Strategy leading the pack. The Aggressive Long/Short Strategy also posted a strong quarter, returning +2.5%. large position in the Tactical Opportunities Strategy, which lost 5.8%, erased these positive results as its anti-risk theme continued to A struggle in the global risk rally.
1
GMO 2011
71
GMO Tax-Managed Absolute Return Strategy


Strategy

2
YTD 2011 -0.25 0.04
One Year -1.61 0.15
Ten Year -0.83 2.12
-0.25 0.04

(11/30/08-4/30/10)
11.35 -0.15 -24.18
2001 Strategy -3.64 Benchmark 2.66
2002 16.99 1.70
2003 -8.37 1.07
2004 1.96 1.24
2005 5.76 3.00
2006 -1.28 4.76
2007 -4.53 4.74
2008 10.31 1.80
2009 -19.06 0.16
2010 -1.57 0.13
Current Profiles4
Long Short
Sector Exposure4
Sector Net Weight (%) 16.5 7.3 4.3 -0.8 -1.4 -1.7 -2.9 -3.1 -4.2 -14.2 -20 -10 0 10 20
Equity Exposure P/E - Excl Neg Earnings Hist 1 Yr Wtd Med % Negative Earnings Market Cap - Weighted Median $Bil
102 % 17.0 x 1.0 % $10.9
102 % 25.1 x 26.1 % $3.2
Consumer Discretionary Consumer Staples Industrials Health Care Utilities Telecom. Services Materials Energy Information Technology Financials
Quarterly Strategy Attribution Tax-Managed Absolute Return Strategy declined slightly for the first quarter of 2011, finishing the quarter with a loss of 0.3%. The Returns for the long portfolio, which invests in stocks that are attractive based on either valuation, momentum, or a combination of these measures, and the short portfolio, which invests in stocks that are unattractive using these same measures, also advanced by a comparable amount, cancelling each other out by delivering returns close to the 8.5% mark. Despite the similar results, the long portfolio and short portfolio took very different paths. The long portfolio earned the majority of its return from selections concentrated within Energy, Consumer Discretionary, and Health Care stocks. The short portfolios returns came from a broader-based selection of stocks, with selection within Financial Services and Information Technology joining Energy and Health Care stocks as the top sources of positive return.
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GMO 2011
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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.
Full Name 3 Month LIBOR Barclays Capital U.S. Aggregate Index Barclays Capital U.S. Treasury Inflation Notes Index Description The 3 Month LIBOR represents the London Inter-Bank Offered Rate for a 3 month deposit in U.S. dollars during a given month. The Barclays Capital U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one year and rated investment grade or higher. The Barclays Capital U.S. Treasury Inflation Notes Index is an independently maintained and widely published index comprised of Inflation-Protection Securities issued by the U.S. Treasury (TIPS).
Benchmarks and Indices
Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. Citigroup 3-Month T-Bill ++ Index CPI Index CPI Plus 5% Index The Citigroup 3-Month Treasury Bill ++ Index is an internally maintained benchmarked computed by GMO, comprised of 3 Month LIBOR from 5/31/2003 to 8/31/2009, and Citigroup 3-Month Treasury Bill Index thereafter. The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All Urban Consumers US All Items which is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the CPI Index. The Alternative Asset Opportunity Index is an internally maintained benchmark computed by GMO, comprised of 50% Dow Jones-UBS Commodity Index and 50% J.P. Morgan 3 Month Cash Index. The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Capital Aggregate or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Capital Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Capital Muni 7 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group.
GMO Alternative Asset Opportunity Index GMO Blended Global All Country Equity Allocation Index
GMO Blended Global Balanced Asset Allocation Index
GMO Blended Global Developed Equity Allocation Index
GMO Blended International All Country Equity Allocation Index
GMO Blended International Developed Equity Allocation Index
GMO Blended Real Return Global Balanced Asset Allocation Index
GMO Blended Tax-Managed Global Balanced Index
GMO Blended U.S. Equity Allocation Index

Full Name J.P. Morgan Emerging Markets Bond Index Global J.P. Morgan Emerging Markets Bond Index Global + J.P. Morgan Global Government Bond Index Description
73
The J.P. Morgan EMBI Global (Emerging Markets Bond) Index is an independently maintained and widely published index comprised of debt securities of countries, including Brady bonds, sovereign debt, local debt, and Eurodollar debt, all of which are U.S. dollar denominated. The J.P. Morgan EMBI Global (Emerging Markets Bond) Index + is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan Emerging Markets Bond Index (EMBI) prior to 8/31/1995, (ii) the J.P. Morgan EMBI+ through 12/31/1999, and (iii) the J.P. Morgan EMBIG thereafter. The J.P. Morgan Global Government Bond Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of one year or more.
J.P. Morgan Government Bond The J.P. Morgan Government Bond Index-Emerging Markets GBI-EM Diversified Index is an independently maintained and widely Index-Emerging Markets GBI- published index of global local emerging markets consisting of regularly traded, liquid fixed-rate, domestic currency government bonds. EM Diversified Index J.P. Morgan Non-U.S. Government Bond Index J.P. Morgan Non-U.S. Government Bond Index (hedged) (ex-Japan) + The J.P. Morgan Non-U.S. Government Bond Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of one year or more. The J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) + is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) prior to 12/31/2003 and (ii) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter.
J.P. Morgan U.S. 3 Month Cash The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. Index dollar Euro-deposits. The duration of the Index is generally 90 days. J.P. Morgan U.S. 3 Month Cash The J.P. Morgan U.S. 3 Month Cash + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Barclays + Index Capital U.S. Treasury 1-3 Year Index from 5/31/2006 to 9/29/2006 and (ii.) the J.P. Morgan U.S. 3 Month Cash Index thereafter. MSCI EAFE Growth Index The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Small Cap + Index is an internally maintained benchmark computed by GMO, comprised of (i) the S&P Developed ex-U.S. Small Cap Index through 5/30/2008 and (ii) the MSCI EAFE Small Cap Index (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI EAFE Index
MSCI EAFE (Hedged) Index
MSCI EAFE Small Cap + Index
MSCI EAFE Value Index
MSCI Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. MSCI Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is comprised of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI U.S. REIT Index is an independently maintained and widely published index comprised of equity securities issued by REITs. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI World Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group.
MSCI U.S. REIT Index
MSCI World Growth Index
MSCI World Index
Russell 1000 Growth Index
Russell 1000 Value Index
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Full Name Russell 2500 Growth Index Description
The Russell 2500 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 2500 Index with higher price-to-book ratios and higher forecasted growth values. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell is a trademark of Russell Investment Group. The Russell 2500 Value + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii) the Russell 2500 Value Index thereafter. The Russell 2500 Value and Russell 2500 Indices are a trademark/service mark of the Frank Russell Company. Russell is a trademark of the Frank Russell Company. The Russell 3000 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the S&P 500 Index through 10/15/2007 and (ii) the Russell 3000 Index thereafter. The Russell 3000 Index is a trademark/service mark of the Frank Russell Company. Russell is a trademark of the Frank Russell Company. The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country. The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks.
Russell 2500 Value + Index
Russell 3000 + Index
S&P 500 Index S&P Developed ex-U.S. Small Cap Index
S&P/IFCI Composite Index
GMO
40 Rowes Wharf Boston, Massachusetts 02110 (617) 330-7500 Visit our website at www.gmo.com

Gmo 2011-Q1

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Gmo 2011-Q1

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GMO

First Quarter 2011

GMO Quarterly Update

2011 Performance of GMO Strategies and Benchmarks

GMO U.S. Equity Strategies/Benchmarks

GMO International Equity Strategies/Benchmarks

Inception Date 5/31/81 1/31/95 3/31/87

YTD Value Added 0.67 -0.66 -0.39

1/31/02 6/30/95 12/31/05 10/31/91

0.31 -0.46 2.93 -1.38

GMO Quarterly Update

2011 Performance of GMO Strategies and Benchmarks

GMO Emerging Equity Strategies/Benchmarks

Inception Date 12/31/93

YTD Value Added 3.00

GMO Global Equity Strategies/Benchmarks

Inception Date 8/31/00 7/31/96 7/31/04

YTD Value Added 1.41 -0.11 0.22

GMO Fixed Income Strategies/Benchmarks

Inception Date 4/30/97 5/31/06 3/31/09 12/31/93 9/30/94

YTD Value Added 1.04 0.84 -0.01 1.00 0.60

12/31/95 4/30/94 2/29/08 3/31/09

1.12 1.43 -0.04 1.94

GMO Quarterly Update

2011 Performance of GMO Strategies and Benchmarks

GMO Asset Allocation Strategies/Benchmarks

Inception Date 6/30/88 6/30/04 7/31/01 12/31/09 12/31/93 3/31/87 2/28/94

GMO Quarterly Update

2011 Performance of GMO Strategies and Benchmarks

GMO Quarterly Update

Global Market Review

GMO Active Weighting Decisions

U.S. Equities -3.2%

Emerging Equities 8.9%

International Equities 28.3%

Emerging Equities +3.1%

Fixed Income +4.0%

GMO Quarterly Update

GMO Quarterly Update

GMO Quarterly Update

Performance Review and Outlook

GMO Quarterly Update

Cheap on Price/Intrinsic Value

0.5 0.0 -0.5

High Price Momentum

-1.5 -2.0 12/10

1.0 0.0 -1.0

3.0 2.0 1.0 0.0

-1.0 -2.0 -3.0 12/10

MSCI U.S. REIT Index

GMO Quarterly Update

International Equities Market Review

MSCI Pacific Europe ex-Japan

S&P/IFCI Composite (Emerging)

GMO Quarterly Update Emerging Market Equities Market Review

GMO Quarterly Update

GMO Quarterly Update

GMO Quarterly Update

2011 Return Decomposition

Fixed Income Review

GMO Quarterly Update

Source: J.P. Morgan