1q 2015 Gmo Quarterly Update

40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.comGMOLLC2015

GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship Manager.Fornewbusinessinquiries,pleasecontactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.comThisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.

GMOQuarterlyUpdate March31,2015

March31,2015

1

GMOCapabilities

GMOMultiAssetClass PageBenchmarkFreeAllocation 4Global AllocationAbsoluteReturn 6Global AssetAllocation 8Real ReturnGlobal BalancedAssetAllocation 10TaxManagedGlobal Balanced 12

GMOGlobalEquities PageGlobal All CountryEquityAllocation 14Global DevelopedEquityAllocation 16Global FocusedEquity 18Quality 20Resources 22

GMOInternationalEquities PageInternational All CountryEquityAllocation 24International DevelopedEquityAllocation 26TaxManagedInternational Equities*International Equity 28International ActiveEAFE 30International ActiveForeignSmall Companies 32International Small Companies*

GMOU.S.Equities PageU.S.EquityAllocation 34

GMOEmergingEquities PageEmergingMarkets 36EmergingCountries*EmergingDomesticOpportunities 38

GMOFixedIncome PageGlobal Bond 40International Bond 42CurrencyHedgedInternational Bond 44CorePlus Bond 46EmergingCountryDebt*EmergingCountryLocal Debt*DebtOpportunities 48

GMOAbsoluteReturn PageEmergingCountryDebtLong/Short*FixedIncomeHedge 50MeanReversion 52SystematicGlobal Macro 54Tactical Opportunities 56Total Equities 58MultiStrategy*

*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnotincludedinthisdocument.ForinformationpleasecontactGMO.

March31,2015

2

PerformanceofGMOStrategiesandBenchmarks

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Copyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without writtenpermission from GMO.

TotalReturnNetofFees AverageAnnualTotalReturn

GMOMultiAssetClassStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

BenchmarkFreeAllocation 7/31/01 1.35 1.35 1.52 1.44 6.10 7.51 10.47CPI 0.17 0.17 0.04 1.60 2.01 2.10GlobalAllocationAbsoluteReturn 7/31/01 0.92 0.92 1.09 1.56 5.59 6.79 9.16CPI 0.17 0.17 0.04 1.60 2.01 2.10GlobalAssetAllocation 6/30/88 1.24 1.24 0.89 0.76 6.71 6.25 9.55GMOGlobalAssetAllocation+ 2.13 2.13 5.61 7.67 5.90 8.13RealReturnGlobalBalancedAssetAllocation 6/30/04 0.98 0.98 0.79 1.06 6.77 6.29 6.86GMORealReturnGlobalBalancedAABlended+ 1.77 1.77 4.83 7.07 5.41 5.67TaxManagedGlobalBalanced 12/31/02 2.02 2.02 0.13 2.40 6.24 5.74 7.56GMOTaxManagedGlobalBalancedIndex 1.89 1.89 5.40 7.57 5.81 7.14

GMOGlobalEquityStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

GlobalAllCountryEquityAllocation 12/31/93 2.93 2.93 0.62 0.17 8.68 6.94 8.99MSCIACWI++ 2.31 2.31 5.42 9.30 6.41 7.47GlobalDevelopedEquityAllocation 3/31/87 3.10 3.10 0.79 0.82 9.63 6.79 9.36MSCIWorld+ 2.31 2.31 6.03 10.01 6.39 7.47GlobalFocusedEquity 12/31/11 2.71 2.71 0.40 1.34 14.72MSCIACWI 2.31 2.31 5.42 13.76Quality 2/29/04 0.42 0.42 0.53 10.78 13.03 7.52 6.87S&P500 0.95 0.95 12.73 14.47 8.01 7.68Resources 12/31/11 1.14 1.14 3.25 18.67 1.95MSCIACWICommodityProducers 4.39 4.39 18.52 4.57

GMOInternationalEquityStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

InternationalAllCountryEquityAllocation 2/28/94 3.54 3.54 0.05 4.68 5.34 5.69 7.36MSCIACWIexUSA+ 3.49 3.49 1.04 4.84 5.40 5.64InternationalDevelopedEquityAllocation 11/30/91 4.40 4.40 0.48 4.95 7.03 5.55 8.17MSCIEAFE++ 4.88 4.88 0.92 6.16 5.14 6.34InternationalEquity 3/31/87 4.36 4.36 0.52 5.02 5.89 4.37 7.98MSCIEAFE+ 4.88 4.88 0.31 5.83 4.51 7.08MSCIEAFE 4.88 4.88 0.92 6.16 4.95 5.36InternationalActiveEAFE 5/31/81 5.68 5.68 0.80 5.00 4.55 3.99 11.60MSCIEAFE 4.88 4.88 0.92 6.16 4.95 8.95Int'l.ActiveForeignSmallCompanies 1/31/95 6.52 6.52 2.09 6.49 8.91 8.04 11.00S&PDevelopedexU.S.SmallCap 4.43 4.43 2.76 8.53 6.91 7.27

GMOU.S.EquityStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

U.S.EquityAllocation 2/28/89 0.57 0.57 1.23 8.15 12.86 6.77 10.69Russell3000+++ 1.80 1.80 12.75 14.64 8.23 10.33

March31,2015

3

PerformanceofGMOStrategiesandBenchmarks

* 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.


TotalReturnNetofFees AverageAnnualTotalReturn

GMOEmergingEquityStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

EmergingMarkets 12/31/93 0.21 0.21 1.94 2.86 0.06 6.47 7.21S&P/IFCIComposite 2.15 2.15 1.65 2.58 9.41 5.77MSCIEmergingMarkets 2.24 2.24 0.44 1.75 8.48 5.16EmergingDomesticOpportunities 3/31/11 3.74 3.74 1.50 6.10 4.98MSCIEmergingMarkets 2.24 2.24 0.44 2.05

GMOFixedIncomeStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

GlobalBond* 12/31/95 2.33 2.33 0.54 1.54 5.19 3.69 5.55J.P.MorganGBIGlobal 1.79 1.79 3.73 1.98 3.43 4.70InternationalBond 12/31/93 4.70 4.70 0.62 8.22 4.42 3.38 6.37J.P.MorganGBIGlobalexU.S. 4.08 4.08 9.50 0.63 2.69 4.89CurrencyHedgedInternationalBond 9/30/94 3.15 3.15 0.68 14.66 8.92 5.65 8.24J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+ 3.83 3.83 13.56 6.59 5.76 7.18CorePlusBond 4/30/97 1.17 1.17 0.44 7.29 7.53 4.97 6.10BarclaysU.S.Aggregate 1.61 1.61 5.72 4.41 4.93 5.77DebtOpportunities 10/31/11 0.62 0.62 0.53 3.49 6.62J.P.MorganU.S.3MonthCash 0.09 0.09 0.35 0.52

GMOAbsoluteReturnStrategies Inception1Q2015

YTD2015

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

FixedIncomeHedge 8/31/05 5.95 5.95 6.04 10.03 8.33 0.54J.P.MorganU.S.3MonthCash 0.09 0.09 0.35 0.50 2.11MeanReversion 2/28/02 2.69 2.69 2.70 8.12 0.58 2.22 6.13Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.40SystematicGlobalMacro 3/31/02 6.26 6.26 6.25 8.70 6.50 7.48 7.64Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.40TacticalOpportunities 9/30/04 7.58 7.58 7.59 7.42 6.37 7.02 6.95Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.44TotalEquities 9/30/00 3.29 3.29 3.28 0.63 5.75 2.36 6.01Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.68

March31,2015

40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com

STRATEGYPROFILE

4GMOLLC2015

GMOBenchmarkFreeAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocationComposite(theComposite).PriortoJanuary1,2012,theaccountsintheCompositeservedastheprincipalcomponentofabroaderrealreturnstrategy.BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasastandaloneinvestment.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.

3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

1Q2015 1.35 0.17YTD2015 1.35 0.17

AnnualTotalReturn(%)2014 1.31 0.672013 11.24 1.562012 10.35 1.872011 3.60 2.952010 4.58 1.252009 19.86 2.862008 12.07 0.162007 10.93 4.122006 12.75 2.582005 16.32 3.45

AnnualizedReturn(%)

1.44

6.107.51

10.47

0.041.60 2.01 2.10

024681012

1YR 5YR 10YR ITD

Strategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,6.9EuropeValue, 9.8EmergingMarkets, 17.8

Cash&CashEquiv.,7.0

Japan,2.4U.S.OpportunisticValue,2.7

AssetBacked Securities,4.0InterestRates& FX,21.1Systematic GlobalMacro,5.1SpecialOpportunity,3.1MergerArbitrage,5.4

AlphaOnly,10.1EmergingDebt,4.6

U.S.Equity CashIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

EquityCharacteristicsStrategy

Price/EarningsHist1YrWtdMed 15.6 xPrice/BookHist1YrWtdAvg 1.4 xReturnonEquityHist1YrMed 9.5 %MarketCapWeightedMedian$Bil $33.2DividendYieldHist1YrWtdAvg 2.9 %5YearRiskProfile2

StrategyStd.Deviation 6.30SharpeRatio 0.96Drawdown(3/31/106/30/10) 5.91

BondPortfolio3BondPortfolioDuration 2.1 yearsCreditRatingsAAA 5.7% BB 6.0%AA 71.5% B 2.7%A 1.7%

QUARTERLYATTRIBUTION


March31,2015

5GMOLLC2015

GMOBenchmarkFreeAllocationStrategy


March31,2015


STRATEGYPROFILE

6GMOLLC2015

GMOGlobalAllocationAbsoluteReturnStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.


2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.






1Q2015 0.92 0.17YTD2015 0.92 0.17


AnnualizedReturn(%)

1.56

5.596.79

9.16

0.041.60 2.01 2.10

0246810

1YR 5YR 10YR ITD

Strategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,10.6EuropeValue, 11.6OtherInt'l.OpportunisticValue,1.1EmergingMarkets, 12.0

Cash&CashEquiv.,1.5

SystematicGlobalMacro,3.6SpecialOpportunity,3.1RiskPremium,2.1


EmergingDebt,4.6AssetBacked Securities,3.4Interest Rates&FX,19.8

Multi Strategy,20.0AlphaOnly,1.4

EquityRegionalWeights(%)29.6

20.48.9

2.19.0

30.1

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

EquityCharacteristicsStrategy

Price/EarningsHist1YrWtdMedian 16.6 xPrice/BookHist1YrWtdAvg 1.6 xReturnonEquityHist1YrMed 10.7 %MarketCapWeightedMedian$Bil $30.1DividendYieldHist1YrWtdAvg 3.1 %




March31,2015

7GMOLLC2015

GMOGlobalAllocationAbsoluteReturnStrategy


Bonds

Performance (%)

Net of Fees, USD (Rep Account) +0.93

Gross of Fees, USD (Rep Account) +1.18

CPI Index (prelim through most recent month-end) -0.41

Value Added +1.59

Alts Equity CashEquity Bonds AltsCash

March31,2015


STRATEGYPROFILE

8GMOLLC2015

GMOGlobalAssetAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.


2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.






1Q2015 1.24 2.13YTD2015 1.24 2.13


AnnualizedReturn(%)

0.76

6.71 6.25

9.55

5.61

7.675.90

8.13

024681012

1YR 5YR 10YR ITD

Strategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,13.4EuropeValue, 17.7OtherInt'l.OpportunisticValue,1.6EmergingMarkets, 11.9

Cash&CashEquiv.,5.7


AssetBacked Securities,4.5InterestRates&FX,20.2SystematicGlobalMacro,3.1Risk Premium,2.7

AlphaOnly,7.0EmergingDebt,4.6

EquityRegionalWeights(%)22.824.0

10.52.4

10.529.7

10.416.0

7.77.56.9

51.6

EmergingEuropeexUK



Strategy BenchmarkEquityCharacteristics

Strategy BenchmarkPrice/EarningsHist1YrWtdMed 16.7 x 19.7 xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 10.9 % 14.9 %MarketCapWeightedMedian$Bil $34.9 $39.7DividendYieldHist1YrWtdAvg 3.1 % 2.4 %5YearRiskProfile2

Strategy BenchmarkAlpha 0.12 0.00Beta 0.86 1.00R2 0.93 1.00SharpeRatio 0.82 0.83Std.Deviation 8.14 9.13BondPortfolio3BondPortfolioDuration 2.3 yearsCreditRatingsAAA 6.4% BB 6.3%AA 69.0% B 2.7%A 1.9%



March31,2015

9GMOLLC2015

GMOGlobalAssetAllocationStrategy


March31,2015


STRATEGYPROFILE

10GMOLLC2015

GMORealReturnGlobalBalancedAssetAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.






1Q2015 0.98 1.77YTD2015 0.98 1.77


AnnualizedReturn(%)

1.06

6.77 6.296.86

4.83

7.07

5.41 5.67

0

2

4

6

8

1YR 5YR 10YR ITD

Strategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.88 0.00Beta 0.83 1.00R2 0.88 1.00SharpeRatio 0.89 0.83Std.Deviation 7.50 8.48

GroupExposures(%)1

0

20

40

60

80

100U.S.Quality,12.6EuropeValue, 15.5OtherInt'l.OpportunisticValue,1.4EmergingMarkets, 12.1

AssetBackedSecurities,2.8InterestRates&FX,16.1


MultiStrategy,29.0EmergingDebt,3.3

Cash&CashEquiv.,0.6


22.810.0

2.310

30.1

0.017.8

8.68.47.7

57.6

EmergingEuropeexUK



Strategy Benchmark

EquityCharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.6 x 20.1 xPrice/BookHist1YrWtdAvg 1.6 x 2.3 xReturnonEquityHist1YrMed 10.9 % 15.1 %MarketCapWeightedMedian$Bil $33.2 $45.4DividendYieldHist1YrWtdAvg 3.1 % 2.4 %




March31,2015

11GMOLLC2015

GMORealReturnGlobalBalancedAssetAllocationStrategy


Performance (%)

Net of Fees, USD +0.98

Gross of Fees, USD (Rep Account) +1.23

GMO Real Return Global Balanced Asset Allocation Blended Ind +1.77

Value Added -0.54

CashCash BondsEquity Bonds Equity

March31,2015


STRATEGYPROFILE

12GMOLLC2015

GMOTaxManagedGlobalBalancedStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.







1Q2015 2.02 1.89YTD2015 2.02 1.89


AnnualizedReturn(%)

2.40

6.24 5.74

7.56

5.40

7.57

5.817.14

0

2

4

6

8

1YR 5YR 10YR ITD

Strategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,13.1

EuropeValue, 16.2EmergingMarkets, 11.3

Cash&CashEquiv.,0.9

MunicipalBonds,34.1EmergingCountryDebt,2.0RiskPremium,2.6Japan,4.1U.S.OpportunisticValue,2.5

MultiStrategy,13.3


26.08.4

1.28.0

33.0

10.416.0

7.77.56.9

51.6

EmergingEuropeexUK



Strategy Benchmark

EquityCharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 17.2 x 19.7 xPrice/CashFlowHist1YrWtdMedian 10.7 x 13.9 xPrice/BookHist1YrWtdAvg 1.7 x 2.2 xReturnonEquityHist1YrMed 13.1 % 14.9 %MarketCapWeightedMedian$Bil $34.2 $39.7DividendYieldHist1YrWtdAvg 2.8 % 2.4 %





March31,2015

13GMOLLC2015

GMOTaxManagedGlobalBalancedStrategy


Performance(%)NetofFees,USD(RepAccount) +2.00GrossofFees,USD(RepAccount) +2.25TaxManagedGlobalBalancedIndex +1.89ValueAdded +0.36

AltsCashBondsAltsEquity Equity Bonds Cash

March31,2015


STRATEGYPROFILE

14GMOLLC2015

GMOGlobalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.



3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.


U.S.EquityIntl.DevelopedEquity

EmergingEquityCash


1Q2015 2.93 2.31YTD2015 2.93 2.31


AnnualizedReturn(%)

0.17

8.68

6.94

8.99

5.42

9.30

6.417.47

0246810

1YR 5YR 10YR ITD

Strategy Benchmark



GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,29.3

EuropeValue, 31.8

OtherInt'l.OpportunisticValue,2.9EmergingMarkets, 20.4Cash&CashEquiv.,1.2

Japan,9.9

U.S.OpportunisticValue,4.4

TopCountryWeights(%)33.8

9.9

9.9

7

5.8

51.6

7.7

6.9

3.4

3.3

UnitedStatesJapan

UnitedKingdomFrance

Germany

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.9 x 19.7 xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 12.1 % 14.9 %MarketCapWeightedMedian$Bil $40.2 $39.7DividendYieldHist1YrWtdAvg 3.0 % 2.4 %

TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 2.0TotalS.A. France Energy 2.0ExpressScriptsHldg. UnitedStates HealthCare 1.9Amazon.comInc. UnitedStates ConsumerDiscretiona 1.7BPPLC UnitedKingdom Energy 1.7Total 9.3



March31,2015

15GMOLLC2015

GMOGlobalAllCountryEquityAllocationStrategy


March31,2015


STRATEGYPROFILE

16GMOLLC2015

GMOGlobalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.





U.S.EquityIntl.DevelopedEquity

EmergingEquityCash


1Q2015 3.10 2.31YTD2015 3.10 2.31


AnnualizedReturn(%)

0.82

9.63

6.79

9.36

6.03

10.01

6.397.47

024681012

1YR 5YR 10YR ITD

Strategy Benchmark



GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,31.8

EuropeValue, 37.5


Japan,11.7

U.S.OpportunisticValue,4.8


11.7

11.6

8.3

6.9

57.6

8.6

7.7

3.8

3.7

UnitedStatesJapan

UnitedKingdomFrance

Germany

Strategy Benchmark


Price/EarningsHist1YrWtdMedian 17.3 x 20.1 xPrice/BookHist1YrWtdAvg 1.7 x 2.3 xReturnonEquityHist1YrMed 12.4 % 15.1 %MarketCapWeightedMedian$Bil $52.0 $45.4DividendYieldHist1YrWtdAvg 2.9 % 2.4 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 2.3TotalS.A. France Energy 2.3ExpressScriptsHldg. UnitedStates HealthCare 2.1BPPLC UnitedKingdom Energy 2.0NissanMotorCo.Ltd. Japan ConsumerDiscretiona 2.0Total 10.7



March31,2015

17GMOLLC2015

GMOGlobalDevelopedEquityAllocationStrategy


Performance(%)NetofFees,USD(RepAccount) +2.77GrossofFees,USD(RepAccount) +2.62MSCIWorld +2.31ValueAdded +0.31

IntlU.S. IntlEM EMU.S.

March31,2015


STRATEGYPROFILE

18GMOLLC2015

GMOGlobalFocusedEquityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareandcontrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.




RiskProfileSince12/31/111Strategy Index

Alpha 2.36 0.00Beta 1.24 1.00R2 0.85 1.00SharpeRatio 1.03 1.29Std.Deviation 14.25 10.59Characteristics

Strategy IndexPrice/EarningsHist1YrWtdMedian 17.2 x 19.7 xPrice/CashFlowHist1YrWtdMedian 9.0 x 13.9 xPrice/BookHist1YrWtdAvg 1.6 % 2.2 %DividendYieldHist1YrWtdAvg $2.0 $2.4TopTenHoldings2Company %ofEquityMallinckrodtPLC 2.6MichaelKorsHoldingsLtd. 2.5AppleInc. 2.5ActavisPLC 2.5GeneralMotorsCo. 2.5AnthemInc 2.5ITTCorp 2.5CapitalProductPartnersLP 2.5HalliburtonCo. 2.4LyondellBasellIndustriesN.V.ClA 2.4Total 24.9

GICSSectorWeights(%)Under/Overweightvs.Index Strategy Index

13.2 12.61.7 9.78.5 7.5

20.2 21.512.3 12.116.1 10.57.8 14.0

12.2 5.36.0 3.61.9 3.2

0.68.0

1.01.3

0.25.6

6.26.9

2.41.3

ConsumerDisc.ConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTech.Materials

Telecom.ServicesUtilities

RegionWeights(%)Underweight/OverweightAgainstIndex

3.50.2

3.22.1

0.51.6

1.92.7

4.8

Australia/NewZealandCanada

EmergingEuropeexUK

JapanSoutheastAsia


Cash+UnrealizedG/L

TotalReturn(%)Strategy Index

1Q2015 2.71 2.31YTD2015 2.71 2.31

AnnualTotalReturn(%)2014 3.24 4.162013 31.29 22.802012 19.71 16.13

AnnualizedReturn(%)

1.34

14.72

5.42

13.76

505101520

1YR ITD

Strategy Index



March31,2015

19GMOLLC2015

GMOGlobalFocusedEquityStrategy


The Global Focused Equity Strategy climbed 2.7% net of fees for the quarter. The Strategys reference benchmark, MSCI All Country World index rose 2.3%.

Positive contributions came from holdings in Toll Holdings in Australia, Peugeot in France, and Anthem and Capital Product Partners in the United States. Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. Toll was slowly restructuring while waiting for a cyclical upswing in business volumes. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Anthem continues to perform well as regulatory uncertainty around managed care companies subsides, as well as strong demand for their services, and the companys attractive capital return and reasonable valuation. Capital Product Partners exposure to improving volume and pricing power in the product tanker markets as well as its attractive 10% dividend yield helped the name outperform.

Negative contribution came from National Oilwell Varco (NOV) in the United Sates, Bluescope Steel in Australia, and Gran Tierra Energy in Canada. The continued uncertainty facing the oil markets negatively impacted our shares in NOV, an oil services firm, and Bluescope fell with the declining price of steel. Additionally, Gran Tierra, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

March31,2015


STRATEGYPROFILE

20GMOLLC2015

GMOQualityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.



RegionWeights(%)18.3

80.6

1.1

0.0

100.0

0.0

NonUS

US

Cash

Strategy Benchmark


Price/EarningsHist1YrWtdMedian 20.9 x 20.1 xPrice/BookHist1YrWtdAvg 4.1 x 2.8 xReturnonEquityHist1YrMed 19.2 % 18.0 %MarketCapWeightedMedian$Bil $112.8 $77.1Debt/EquityWtdMed 0.6 x 1.0 xDividendYieldHist1YrWtdAvg 2.1 % 2.0 %

TopHoldings2Company Sector %ofEquityExpressScriptsHoldingCo HealthCare 5.4OracleCorp. InformationTechnology 4.6Johnson&Johnson HealthCare 4.5GoogleInc.(ClA) InformationTechnology 4.3CocaColaCo. ConsumerStaples 4.3Total 23.11 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.



GICSSectorWeights(%)5.6

24.80.50.0

24.38.0

33.51.61.7

0.0

12.69.7

8.016.2

14.910.4

19.73.22.33.0

ConsumerDiscretionaryConsumerStaples

EnergyFinancials


InformationTechnologyMaterials

TelecommunicationServicesUtilities

Strategy Benchmark


1Q2015 0.42 0.95YTD2015 0.42 0.95


AnnualizedReturn(%)

10.7813.03

7.52 6.87

12.7314.47

8.01 7.68

0

5

10

15

20

1YR 5YR 10YR ITD

Strategy Benchmark



March31,2015

21GMOLLC2015

GMOQualityStrategy


March31,2015


STRATEGYPROFILE

22GMOLLC2015

GMOResourcesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.




RiskProfileSince12/31/111Strategy Benchmark



12.4

10.5

6.3

6.2

17.9

3.3

2.2

3.3

41.1

UnitedKingdomRussia

Japan

China

UnitedStatesStrategy Benchmark

GICSSectorWeights(%)0.01.5

63.80.00.0

10.60.0

18.40.0

5.8

0.02.0

68.20.00.00.00.0

29.70.00.0


EnergyFinancials




Strategy Benchmark


Price/EarningsHist1YrWtdMedian 10.8 x 12.6 xEarnings/ShareF'castLTMedianGrowthRate 5.8 x 6.8 xReturnonEquityHist1YrMed 9.9 % 10.7 %MarketCapWeightedMedian$Bil $23.7 $42.4DividendYieldHist1YrWtdAvg 4.6 % 3.8 %

TopHoldings2Company Country Sector %ofEquityGazpromOAO Russia Energy 5.1CNOOCLtd. China Energy 4.9LukOilOAO Russia Energy 4.9BPPLC UnitedKingdom Energy 4.8RoyalDutchShell UnitedKingdom Energy 4.8Total 24.5


1Q2015 1.14 4.39YTD2015 1.14 4.39

AnnualTotalReturn(%)2014 16.78 14.692013 4.39 3.312012 9.23 1.96

AnnualizedReturn(%)

18.67

1.95

18.52

4.57

20151050

1YR ITD

Strategy Benchmark



March31,2015

23GMOLLC2015

GMOResourcesStrategy


March31,2015


STRATEGYPROFILE

24GMOLLC2015

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 49.4


Japan,15.4

GMOInternationalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.





Intl.DevelopedEquity EmergingEquity Cash


1Q2015 3.54 3.49YTD2015 3.54 3.49


AnnualizedReturn(%)

4.68

5.34 5.697.36

1.04

4.84 5.40 5.64

1050

5

10

1YR 5YR 10YR ITD

Strategy Benchmark


15.3

10.9

9.0

5.3

15.9

14.2

7.0

6.8

5.0

Japan

UnitedKingdomFrance

Germany

China

Strategy Benchmark



Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.0 x 18.6 xPrice/BookHist1YrWtdAvg 1.3 x 1.7 xReturnonEquityHist1YrMed 7.8 % 11.2 %MarketCapWeightedMedian$Bil $22.9 $25.4DividendYieldHist1YrWtdAvg 3.6 % 2.8 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.1TotalS.A. France Energy 3.1BPPLC UnitedKingdom Energy 2.6NissanMotorCo.Ltd. Japan ConsumerDisc. 2.6AstraZenecaPLC UnitedKingdom HealthCare 2.1Total 13.5



March31,2015

25GMOLLC2015

GMOInternationalAllCountryEquityAllocationStrategy


March31,2015


STRATEGYPROFILE

26GMOLLC2015

GMOInternationalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.





Intl.DevelopedEquity EmergingEquity Cash


1Q2015 4.40 4.88YTD2015 4.40 4.88


AnnualizedReturn(%)

4.95

7.035.55

8.17

0.92

6.16 5.14 6.34

1050

5

10

1YR 5YR 10YR ITD

Strategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 63.4


Japan,19.8


19.7

14

11.6

4.2

22.2

19.8

9.7

9.5

2.3

Japan

UnitedKingdomFrance

Germany

Italy

Strategy Benchmark



Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.5 x 19.3 xPrice/BookHist1YrWtdAvg 1.3 x 1.8 xReturnonEquityHist1YrMed 7.6 % 11.1 %MarketCapWeightedMedian$Bil $26.6 $29.8DividendYieldHist1YrWtdAvg 3.5 % 2.9 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.9TotalS.A. France Energy 3.9BPPLC UnitedKingdom Energy 3.4NissanMotorCo.Ltd. Japan ConsumerDisc. 3.3AstraZenecaPLC UnitedKingdom HealthCare 2.7Total 17.2



March31,2015

27GMOLLC2015

GMOInternationalDevelopedEquityAllocationStrategy


March31,2015


STRATEGYPROFILE

28GMOLLC2015

GMOInternationalEquityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netofwithholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.





Intl.DevelopedEquity Cash

TotalReturn(%)Strategy MSCIEAFE MSCIEAFE+

1Q2015 4.36 4.88 4.88YTD2015 4.36 4.88 4.88

AnnualTotalReturn(%)2014 5.96 4.90 3.792013 25.62 22.78 22.952012 12.98 17.32 17.692011 10.18 12.14 12.172010 7.53 7.75 3.252009 21.41 31.78 34.232008 40.31 43.38 44.092007 10.21 11.17 5.962006 25.78 26.34 30.382005 13.98 13.54 13.80

AnnualizedReturn(%)

5.02

5.894.37

7.98

0.92

6.16 4.95 5.36

0.31

5.83 4.517.08

1050

5

10

1YR 5YR 10YR ITD

Strategy MSCIEAFE MSCIEAFE+

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 70.6

OtherInt'l. OpportunisticValue,6.1Cash&CashEquiv.,1.3Japan,22.0


21.9

15.7

13.0

4.7

22.2

19.8

9.7

9.5

2.3

Japan

UnitedKingdomFrance

Germany

Italy

Strategy Benchmark



Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.5 x 19.3 xPrice/CashFlowHist1YrWtdMedian 6.3 x 12.2 xPrice/BookHist1YrWtdAvg 1.4 x 1.8 xReturnonEquityHist1YrMed 7.7 % 11.1 %MarketCapWeightedMedian$Bil $29.2 $29.8DividendYieldHist1YrWtdAvg 3.5 % 2.9 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 4.4TotalS.A. France Energy 4.4BPPLC UnitedKingdom Energy 3.7NissanMotorCo.Ltd. Japan ConsumerDisc. 3.7AstraZenecaPLC UnitedKingdom HealthCare 3.0Total 19.2



March31,2015

29GMOLLC2015

GMOInternationalEquityStrategy


March31,2015


STRATEGYPROFILE

30GMOLLC2015

GMOInternationalActiveEAFEStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.


2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.



1Q2015 5.68 4.88YTD2015 5.68 4.88


AnnualizedReturn(%)

5.00

4.55 3.99

11.60

0.92

6.16 4.958.95

105051015

1YR 5YR 10YR ITD

Strategy Benchmark



TopOverweightHoldings2CompanyMitsubishiTokyoFinancialGroupInc. 4.2SumitomoMitsuiFinancialGroupInc. 4.2TelecomItaliaS.p.A. 2.1ZurichFinancialServicesAG 2.1AstraZenecaPLC 2.1MediasetS.p.A. 2.0AllianzAGHolding 1.9AssicurazioniGeneraliS.p.A. 1.8AscianoGroup 1.8ImperialTobaccoGroupPLC 1.7


Price/EarningsHist1YrWtdMedian 16.4 x 19.3 xPrice/CashFlowHist1YrWtdMedian 8.3 x 12.2 xPrice/BookHist1YrWtdAvg 1.4 x 1.8 xDividendYieldHist1YrWtdAvg 2.9 % 2.9 %

GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark

14.0 13.16.3 11.03.8 5.1

36.3 26.02.8 11.48.0 12.79.4 4.92.9 7.5

11.0 4.75.5 3.6

0.94.7

1.310.3

8.64.7

4.54.6

6.31.9


EnergyFinancials




RegionWeights(%)Underweight/OverweightAgainstBenchmark

3.27.1

1.51.1

2.72.9

4.2

Australia/NewZealandEmerging

EuropeexUKJapan

SoutheastAsiaUnitedKingdom

Cash+UnrealizedG/L



March31,2015

31GMOLLC2015

GMOInternationalActiveEAFEStrategy


The International Active EAFE Strategy gained 5.7% net of fees in the first quarter; the Strategy was 0.8 percentage points ahead of the MSCI EAFE index, which rose 4.9%.

Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were less exposed to the United Kingdom than the benchmark. In addition, while our weight in Europe is slightly lower than that of the benchmark, we have an overweight position in the eurozone. In January we hedged the account such that the exposure of the portfolio to the euro was closer to that of the benchmark, andthe hedge against the euro was positive in the quarter.

Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Australia, and Hong Kong outperformed.

In Europe, performance was led by Peugeot, Banca Popolare di Milano, and Deutsche Telekom. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. European telecom companies did well, especially Deutsche Telekom. There are several reasons we like these names, among them that that the consolidation of the industry within markets has started, and their regulatory environment has finally become a tailwind after many years of holding them back. These companies stand to benefit from a market repair scenario, where a data consumption boom drives a rebound in the ARPU.

Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. In Hong Kong, Cheung Kong Holdings, historically a holding company for the operating assets of famed investor Li Ka Shing, announced a reorganization that will consolidate all of the property assets into one listed company, and all non-property into a separate listing. This could mean a narrowing of the large discount to NAV at which the stock has traditionally traded.

On the negative side, stock selection in Japan hurt returns. Hitachi Ltd. fell on news that it would buy Italian company Finmeccanica's rail and signal assets. While the market had anticipated the transaction, the price was a negative surprise.

March31,2015


STRATEGYPROFILE

32GMOLLC2015

GMOInternationalActiveForeignSmallCompaniesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthesmallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompaniesfromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization(float)oftheBMIineachcountry.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.





1Q2015 6.52 4.43YTD2015 6.52 4.43


AnnualizedReturn(%)

6.49

8.91 8.0411.00

2.76

8.53 6.91 7.27

105051015

1YR 5YR 10YR ITD

Strategy Benchmark

TopOverweightHoldings2CompanyMediasetS.p.A. 1.8AscianoGroup 1.6GrandCityPropertiesSA 1.5IncitecPivotLtd. 1.5FaureciaS.A. 1.5SopraGroup 1.5KabaHoldingAG 1.4TAGImmobilienAG 1.4Filtrona PLC 1.3NexityS.A. 1.3


Price/EarningsHist1YrWtdMedian 20.4 x 21.9 xPrice/CashFlowHist1YrWtdMedian 11.2 x 13.4 xPrice/BookHist1YrWtdAvg 1.5 x 1.7 xDividendYieldHist1YrWtdAvg 2.1 % 2.2 %

GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark

25.4 17.73.1 5.52.3 2.7

26.8 22.92.6 7.3

19.8 21.47.8 8.8

10.7 10.01.5 1.50.0 2.3

7.72.4

0.43.9

4.71.61.0

0.70.0

2.3


EnergyFinancials







1.14.5

5.04.8

0.97.3

3.63.6

Australia/NewZealandCanada

EmergingEuropeexUK

JapanSoutheastAsia

UnitedKingdomCash+UnrealizedG/L



March31,2015

33GMOLLC2015

GMOInternationalActiveForeignSmallCompaniesStrategy


The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 2.1 percentage points in the first quarter, gaining 6.5% net of fees while the benchmark rose 4.4%.

Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were more exposed to Italy than the benchmark. Less exposure in Canada also helped performance. In addition, while our weight in Europe is slightly higher than that of benchmark, we have a larger overweight position in the eurozone. In January we hedged the Strategy such that the exposure of the portfolio to the euro was closer to that of the benchmark, and the hedge against the euro contributed positively in the quarter.

Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Japan, and Australia outperformed. In Europe, performance was led by Peugeot and Banca Popolare di Milano. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to BancaPopolare di Milano drove up the share price. In Japan, Aoyama Trading used its stockpile of cash to initiate a share repurchase. Australian logistics company Toll outperformed because it received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company.

On the negative side, stock selection in Canada hurt returns. Capstone Mining fell as copper prices have been weak due to faltering demand, particularly from emerging markets. Additionally, Gran Tierra Energy, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

March31,2015


STRATEGYPROFILE

34GMOLLC2015

GMOU.S.EquityAllocationStrategyPERFORMANCENETOFFEES

GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,85.5

Cash&CashEquiv.,1.5U.S.OpportunisticValue,13.0

U.S.Equity Cash

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblendedbenchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.






1Q2015 0.57 1.80YTD2015 0.57 1.80


AnnualizedReturn(%)

8.15

12.86

6.77

10.6912.75

14.64

8.2310.33

0

5

10

15

20

1YR 5YR 10YR ITD

Strategy Benchmark

GICSSectorWeights(%)9.9

18.79.9

2.221.3

8.628.0

1.40.00.0

12.69.7

8.016.2

14.910.4

19.73.22.33.0


EnergyFinancials




Strategy Benchmark


Price/EarningsHist1YrWtdMed 20.9 x 20.1 xPrice/BookHist1YrWtdAvg 3.7 x 2.8 xReturnonEquityHist1YrMed 18.8 % 18.0 %MarketCapWeightedMedian$Bil $116.5 $77.1DividendYieldHist1YrWtdAvg 1.9 % 2.0 %

TopHoldings3Company Sector %ofEquityExpressScriptsHoldingCo HealthCare 5.6Amazon.comInc. ConsumerDiscretionary 5.0Johnson&Johnson HealthCare 4.6AppleInc. InformationTechnology 4.4ChevronCorp. Energy 4.3Total 23.9





March31,2015

35GMOLLC2015

GMOU.S.EquityAllocationStrategy


Performance(%)NetofFees,USD(RepAccount) +0.62GrossofFees,USD(RepAccount) +0.73S&P500 +0.95ValueAdded 0.22

March31,2015


STRATEGYPROFILE

36GMOLLC2015

GMOEmergingMarketsStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.


1Q2015 0.21 2.15YTD2015 0.21 2.15


AnnualizedReturn(%)

2.860.06

6.47 7.21

1.65 2.58

9.41

5.77

50

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark



TopTenHoldings2Company %ofEquitySamsungElectronicsCo.Ltd. 5.2HDFCBankLtd. 4.0Surgutneftegaz 3.6China ConstructionBankCorp. 2.9Industrial&CommercialBankofChina Lt 2.8BankofChina Ltd. 2.3HyundaiMotorCo.Ltd. 1.8China MobileLtd. 1.8LukOilOAO 1.8GazpromOAO 1.8Total 28.0


Price/EarningsHist1YrWtdMedian 10.4 x 16.2 xPrice/CashFlowHist1YrWtdMedian 6.3 x 10.6 xPrice/BookHist1YrWtdAvg 1.1 x 1.6 xReturnonEquityHist1YrAvg 11.7 % 10.9 %MarketCapWeightedMedian$Bil $6.6 $6.6NumberofEquityHoldings 425 2,523DividendYieldHist1YrWtdAvg 3.9 % 2.5 %


0.75.8

14.70.0

6.83.1

0.3

DevelopedEastAsiaEurope

Latin/SouthAmericaMideast/Africa

SouthAsiaCash+UnrealizedG/LGICSSectorWeights(%)

Under/Overweightvs.Benchmark Strategy Benchmark8.1 10.51.8 7.8

14.9 6.930.2 27.31.2 2.92.7 8.2

17.9 19.46.8 7.49.1 6.37.2 3.3

2.46.0

8.02.9

1.75.5

1.50.6

2.83.9


EnergyFinancials









March31,2015

37GMOLLC2015

GMOEmergingMarketsStrategy


The Emerging Markets Strategy gained 0.2% net of fees in the first quarter, underperforming the 2.2% rise in the S&P/IFCI Composite by 1.9%. Overall, country-sector allocation detracted 1.2% and stock selection lost 0.6%.

Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia to a 29.3% drop in Greece. Sector returns were more clustered, varying from an 8.5% rise in IT to a fall of 3.2% for Utilities.

Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rating is hampering the administrations ability to implement its measures. Our overweights in Brazil sectors such as Utilities, Materials, and Telecommunications detracted from performance.

Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our underweight in China IT and Consumer Discretionary hurt performance.

The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner. Investor sentiment was also lifted by a truce in Ukraine. Our overweight in Russia Energy and Financials helped performance.

Stocks in Greece dropped on continuing worries over the tussle between Greece and its creditors to recraft its bailout package. The government had obtained an extension by backing away from election pledges to ease budget cuts and restructure debt. However, it has yet to produce a revised economic plan that satisfies creditors. Our underweight in Greece Financials added to performance.

Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our overweight in Turkey Financials negatively impacted performance.

Stock selection detracted from performance. Segments such as Russia Energy and Turkey Materials had particularly strong selection while areas such as Korea Consumer Discretionary and India Financials saw especially weak selection.

March31,2015


STRATEGYPROFILE

38GMOLLC2015

GMOEmergingDomesticOpportunitiesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinanefforttocompareandcontrasttheStrategyversusabroademergingmarketsindex.TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

RiskProfileSince3/31/112Strategy Index


TopTenHoldings3Company %ofEquityColgatePalmoliveCo. 4.6HDFCBankLtd. 3.9LupinLtd. 3.5Industrial&CommercialBankofChina Ltd. 3.4AbbottLaboratories 2.6AnheuserBuschInBev 2.4Baidu.comInc. 2.3TRUETelecommunicationGrowthInfrastruc 1.9BrillianceChnaAutmtiveHldgs 1.8BDOUnibankInc 1.7Total 28.1

CharacteristicsStrategy Index

Price/EarningsHist1YrWtdMedian 22.1 x 16.0 xPrice/CashFlowHist1YrWtdMedian 18.8 x 10.5 xPrice/BookHist1YrWtdAvg 2.9 x 1.6 xReturnonEquityHist1YrAvg 15.7 % 11.6 %MarketCapWeightedMedian$Bil $4.0 $9.1NumberofEquityHoldings 122 836DividendYieldHist1YrWtdAvg 2.3 % 2.6 %

1 Weights are based on exposure, which will include the impact from hedges held,if any.




RegionWeights(%)1Underweight/OverweightAgainstIndex

14.116.8

2.98.6

5.110.38.9

D

Documents

1q 2015 Gmo Quarterly Update