2q 2015 Gmo Quarterly Update 2

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MO LLC 2015

GMO offers institutionallyoriented investment strategies. This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such

GMO Quarterly UpdateJune 30, 2015


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June 30, 20

1

GMO Capabilities

GMO Multi-Asset Class Page

Benchmark-Free Allocation 4

Global Allocation Absolute Return 6

Global Asset Allocation 8Real Return Global Balanced Asset Al location 10

Tax-Managed Global Balanced 12

GMO Global Equities Page

Global All Country Equity Allocation 14

Global Developed Equity Alloca tion 16

Global Focused Equity 18

Quality 20

Resources 22

GMO International Equities Page

International Al l Country Equity Al location 24

International Developed Equity Al location 26

Tax-Managed International Equities*

International Equity 28

International Active EAFE 30

International Active Foreign Smal l Companies 32

International Small Companies*

GMO U.S. Equities Page

U.S. Equity All ocation 34

* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities is n

included in this document. For information please contact GMO.

GMO Emerging Equities Pa

Emerging Markets 3

Emerging Countries*

Emerging Domestic Opportunities 3

GMO Fixed Income Pa

Global Bond 4

International Bond 4

Currency Hedged International Bond 4

Core Plus Bond 4

Emerging Country Debt*

Emerging Country Local Debt*

Emerging Country Debt U.S. Rates Hedged*

Debt Opportunities 4

GMO Absolute Return Pa

Fixed Income Hedge 5

Mean Reversion 5

Systematic Global Macro 5

Tactical Opportunities 5

Total Equities 5

Multi-Strategy*


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June 30, 20

2

Performance of GMO Strategies and Benchmarks

erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transa

osts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom

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

ermission from GMO.

Total Return Net of Fees Average Annual Total Return

GMO Multi-Asset Class Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

Benchmark-Free Allocation 7/31/01 -0.31 1.04 0.35 -2.22 7.30 7.12 10.2

CPI 0.87 0.69 0.04 1.85 2.05 2.1

Global Allocation Absolute Return 7/31/01 -0.65 0.26 -0.43 -2.24 6.53 6.42 8.9

CPI 0.87 0.69 0.04 1.85 2.05 2.1

Global Asset Allocation 6/30/88 0.07 1.31 -0.46 -2.75 8.34 6.00 9.4

GMO Global Asset Allocation + -0.35 1.77 1.21 9.13 5.68 8.0

Real Return Global Balanced Asset Allocation 6/30/04 -0.82 0.16 -1.47 -2.93 8.22 6.05 6.6

GMO Real Return Global Balanced AA Blended + -0.14 1.63 1.33 8.64 5.29 5.5

Tax-Managed Global Balanced 12/31/02 -0.55 1.45 -0.35 -1.05 7.56 5.47 7.3

GMO Tax-Managed Global Balanced Index -0.08 1.80 1.38 9.00 5.61 6.9

GMO Global Equity Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

Global All Country Equity Allocation 12/31/93 0.35 3.29 0.63 -4.12 11.63 6.80 8.9

MSCI ACWI ++ 0.35 2.66 0.71 12.23 6.36 7.3

Global Developed Equity Allocation 3/31/87 0.62 3.74 1.11 -3.20 12.75 6.69 9.3

MSCI World + 0.31 2.63 1.43 13.10 6.38 7.4

Global Focused Equity 12/31/11 -1.47 1.20 -1.46 -7.75 13.1

MSCI ACWI 0.35 2.66 0.71 12.8

Quality 2/29/04 -1.46 -1.05 -2.28 5.28 15.66 7.32 6.5

S&P 500 0.28 1.23 7.42 17.34 7.89 7.5

Resources 12/31/11 2.61 1.44 6.59 -24.53 -1.0

MSCI ACWI Commodity Producers -0.79 -5.15 -26.03 -4.4

GMO International Equity Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

nternational All Country Equity Allocation 2/28/94 1.24 4.83 0.80 -8.83 8.49 5.73 7.3

MSCI ACWI ex USA + 0.53 4.03 -5.26 7.82 5.48 5.6

nternational Developed Equity Allocation 11/30/91 1.03 5.48 -0.04 -9.01 10.37 5.64 8.1

MSCI EAFE ++ 0.62 5.52 -4.22 9.54 5.30 6.2

nternational Equity 3/31/87 0.83 5.23 -0.29 -8.99 9.15 4.44 7.9

MSCI EAFE + 0.62 5.52 -4.22 9.59 4.69 7.0

MSCI EAFE 0.62 5.52 -4.22 9.54 5.12 5.3

nternational Active EAFE 5/31/81 3.38 9.25 3.73 -4.64 8.46 4.43 11.6

MSCI EAFE 0.62 5.52 -4.22 9.54 5.12 8.9

nt'l. Active Foreign Small Companies 1/31/95 2.70 9.40 0.15 -5.76 11.49 8.34 11.0

S&P Developed ex-U.S. Small Cap 4.61 9.25 -1.62 12.02 7.46 7.4

GMO U.S. Equity Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

U.S. Equity Allocation 2/28/89 -0.73 -0.16 -2.10 3.85 15.71 6.45 10.5

Russell 3000 +++ 0.14 1.94 7.29 17.48 8.05 10.2


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3

Performance of GMO Strategies and Benchmarks

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.

erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transa

osts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom

Total Return Net of Fees Average Annual Total Return

GMO Emerging Equity Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

Emerging Markets 12/31/93 1.09 1.31 -2.72 -9.18 2.23 6.16 7.1

S&P/IFCI Composite 1.84 4.03 -3.71 4.69 9.09 5.7MSCI Emerging Markets 0.69 2.95 -5.12 3.68 8.11 5.1

Emerging Domestic Opportunities 3/31/11 -1.24 2.45 -0.50 -0.77 4.3

MSCI Emerging Markets 0.69 2.95 -5.12 -1.7

GMO Fixed Income Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

Global Bond* 12/31/95 -2.07 -4.35 -0.92 -6.44 4.17 3.59 5.3

.P. Morgan GBI Global -1.68 -3.43 -7.46 1.35 3.37 4.5

nternational Bond 12/31/93 -2.38 -6.97 -1.41 -13.38 3.58 3.40 6.1

.P. Morgan GBI Global ex U.S. -1.54 -5.56 -13.22 0.32 2.80 4.7

Currency Hedged International Bond 9/30/94 -5.39 -2.41 -1.10 5.32 6.91 4.63 7.8

.P. Morgan GBI Global ex Japan ex U.S. (Hedged) + -4.95 -1.31 5.18 5.08 4.81 6.8

Core Plus Bond 4/30/97 -2.01 -0.87 -0.77 2.49 6.17 4.44 5.8

Barclays U.S. Aggregate -1.68 -0.10 1.86 3.35 4.44 5.5

Debt Opportunities 10/31/11 0.58 1.21 1.01 2.35 6.3

.P. Morgan U.S. 3 Month Cash 0.10 0.20 0.37 0.5

GMO Absolute Return Strategies Inception

2Q

2015

YTD

2015

YTD Value

Added

One

Year

Five

Year

Ten

Year

Sinc

Incept

Fixed Income Hedge 8/31/05 -7.38 -12.90 -13.10 0.50 6.44 -0.2

.P. Morgan U.S. 3 Month Cash 0.10 0.20 0.37 0.50 2.0

Mean Reversion 2/28/02 -0.81 -3.47 -3.48 -8.09 -0.23 2.25 5.9

Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.3

Systematic Global Macro 3/31/02 -4.30 1.70 1.69 4.74 4.71 6.54 7.1Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.3

Tactical Opportunities 9/30/04 -2.32 -9.72 -9.73 -4.78 -6.62 -6.77 -7.0


Total Equities 9/30/00 -0.39 2.89 2.88 -3.45 6.17 2.31 5.8



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TRATEGY PROFILE

4MO LLC 2015

GMO Benchmark-Free Allocation Strategy

PERFORMANCE NET OF FEES

Performance data quoted represents past performance and is not predictive

future performance. Returns are shown after the deduction of management

transaction costs and other expenses, but before custody charges, withholdin

taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.

The chart above shows the past performance of the Benchmark-Free Allocati

Composite (the Composite). Prior to January 1, 2012, the accounts in the

Composite served as the principal component of a broader real return strateg

Beginning January 1, 2012, accounts in the composite have been managed as

standalone investment.

The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is publ

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 groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Std. Deviation is a measure of the volatility of a portfoliosreturn. 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.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed 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 Poorsratings scale. Standard & Poorsratessecurities 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.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

Total Return (%)

Strategy Benchmark

2Q 2015 -0.31 0.87

YTD 20 15 1.04 0.69

Annual Total Return (%)

2014 1.31 0.67

2013 11.24 1.56

2012 10.35 1.87

2011 3.60 2.95

2010 4.58 1.25

2009 19.86 2.86

2008 -12.07 0.16

2007 10.93 4.12

2006 12.75 2.58

2005 16.32 3.45

Annualized Return (%)

-2.22

7.30 7.12

10.25

0.041.85 2.05 2.13

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark

Group Exposures (%)1

0

20

40

60

80

100 U.S. Quality, 6.2

Europe Value, 10.1

Emerging Markets, 17.2

Cash & Cash Equiv., 9.1

Japan, 2.3

U.S. Opportunistic Value, 3.4

Asset Backed Securities, 3.9Cross -Sectional Rates &FX, 20.8Systematic Global Macro, 5.0Special Opportunity, 3.0Merger Arbitrage, 5.5

Alpha Only, 7.2Emerging Debt, 4.6Credit Opportunities, 1 .6

U.S. Equity Cash

Intl. Developed Equity

Emerging Equity

Alternative Strategies

Fixed Income

Absolute Return

Equity Characteristics

Strategy

Price/Earnings - Hist 1 Yr Wtd Med 14.9 x

Price/Book - Hist 1 Yr Wtd Avg 1.3 x

Return on Equity - Hist 1 Yr Med 10.2 %

Market Cap - Weighted Median $Bil $36.6

Dividend Yield - Hist 1 Yr Wtd Avg 3.1 %

5-Year Risk Profile2

Strategytd. Deviation 5.87

harpe Ratio 1.23

Drawdown

3/30/12-5/31/12)-4.63

Equity Regional Weights (%)

43.1

15.3

5.7

1.8

10.2

23.9

Emerging

Europe ex UK

Japan

Other International

United Kingdom

United States

Bond Portfolio3

Bond Portfolio Dura tion 0.0 years

Credit Ratings

AAA 5.4% BB 5.8%

AA 71.7% B 2.0%

A 1.4%


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QUARTERLY ATTRIBUTION


617) 330-7500 |

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June 30, 20

5MO LLC 2015

GMO Benchmark-Free Allocation Strategy

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

Performance (%)

Net of Fees, USD (Rep Account) -

Gross of Fees, USD (Rep Account) -

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

Value Added -

Alts BondsEquity Cash EquityAlts Bonds Ca


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TRATEGY PROFILE

6MO LLC 2015

GMO Global Allocation Absolute Return Strategy






The CPI (Consumer Price Index) for All Urban Consumers US All Items is publis

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 groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Std. Deviation is a measure of the volatility of a portfoliosreturn. 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.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed 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 Poorsratings scale. Standard & Poorsratessecurities 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.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

U.S. Equity Cash


Emerging Equity


Fixed Income

Absolute Return

Total Return (%)

Strategy Benchmark

2Q 2015 -0.65 0.87

YTD 2015 0.26 0.69


2014 1.80 0.67

2013 10.04 1.56

2012 9.42 1.87

2011 4.22 2.95

2010 3.02 1.25

2009 14.92 2.86

2008 -7.19 0.16

2007 9.99 4.12

2006 11.01 2.58

2005 13.54 3.45


-2.24

6.53 6.42

8.94

0.04

1.85 2.05 2.13

-5

0

5

10

1YR 5YR 10YR ITD

Strategy Benchmark


0

20

40

60

80

00U.S. Quality, 9.4

Europe Value, 11.5


Cash & CashEquiv., 2.5

Systematic Global Macro, 3.5Special Opportunity, 3.2Risk Premium, 2.1

Japan, 3.4


Emerging Debt, 4.6Asset Backed Securities, 3.5Cross -SectionalRates & FX, 20.6

Multi Strategy, 20.2Alpha Only, 1.3

quity Regional Weights (%)

31.7

19.5

8.6

2.0

10.2

28.1

Emerging

Europe ex UK

Japan

ther International

United Kingdom

United States

Equity Characteri stics

Strategy

Price/Earnings - Hist 1 Yr Wtd Median 16.1 x

Price/Book - Hist 1 Yr Wtd Avg 1.5 x

Return on Equity - Hist 1 Yr Med 10.5 %

Market Cap - Weighted Median $Bil $30.4

Dividend Yield - Hist 1 Yr Wtd Avg 3.3 %


Strategy

Std. Deviation 5.23

Sharpe Ratio 1.24

Drawdown

3/30/12-5/31/12)-3.82

Bond Portfolio3

Bond Portfolio Duration 0.1 years

Credit Ratings

AAA 4.8% BB 5.9%

AA 72.5% B 2.0%

A 1.4%


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7MO LLC 2015

GMO Global Allocation Absolute Return Strategy


Alts

Performance (%)



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

Value Added -

Cash BondsEquityEquity Bonds Alts C


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TRATEGY PROFILE

8MO LLC 2015

GMO Global Asset Allocation Strategy






The GMO Global Asset Allocation Index + is an internally maintained benchma

computed by GMO, comprised of (i) GMO blended benchmark of Global Asse

Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset

Allocation (Blend) Index thereafter. The GMO blended benchmark of Global A

Allocation Composite is comprised of a weighted average of account benchm

many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Stand

Index Series, net of withholding tax) and Barclays Aggregate or some like prox

each market exposure they have. For each underlying account benchmark, th

weighting of each market index will vary slightly. The index is internally blend

GMO and maintained on a monthly basis. The GMO Global Asset Allocation (B

Index is an internally maintained benchmark computed by GMO, comprised o

65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) an

35% the Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy,

adequacy, completeness or availability of any data or information and is not

responsible for any errors or omissions from the use of such data or informatReproduction of the data or information in any form is prohibited except with

prior written permission of S&P or its third party licensors. MSCI data may not

reproduced or used for any other purpose. MSCI provides no warranties, has

prepared or approved this report, and has no liability hereunder.

The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted 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.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed 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 Poorsratings scale. Standard & Poorsratessecurities 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.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

U.S. Equity Cash


Emerging Equity


Fixed Income

Absolute Return

Total Return (%)

Strategy Benchmark

2Q 2015 0.07 -0.35

YTD 20 15 1.31 1.77


2014 1.24 4.87

2013 12.38 13.60

2012 11.11 12.13

2011 2.13 -1.80

2010 7.93 11.05

2009 24.15 24.14

2008 -20.83 -27.72

2007 7.94 9.26

2006 12.30 13.41

2005 9.06 5.99


-2.75

8.34

6.00

9.46

1.21

9.13

5.68

8.04

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark


0

20

40

60

80

100 U.S. Quality, 12.3

Europe Value, 17.8

Other Int'l. Opportunistic Value, 1.4Emerging Markets, 12.6


Japan, 5.2


Asset Backed Securities, 4.6Cross -SectionalRates & FX, 20.4

Systematic Global Macro,3.0Risk Premium, 2.5

Alpha Only, 7.1Emerging Debt, 4.5


24.5

23.1

10.2

2.2

12.0

28.0

10.6

15.6

7.9

7.37.0

51.5

Emerging

Europe ex UK

Japan

Other InternationalUnited Kingdom

United States

Strategy Benchmarkquity Characteristics

Strategy Benchmark

rice/Earnings - Hist 1 Yr Wtd Med 16.3 x 19.5 x

rice/Book - Hist 1 Yr Wtd Avg 1.5 x 2.1 x

eturn on Equity - Hist 1 Yr Med 10.5 % 14.6 %

Market Cap - Weighted Median $Bil $32.6 $39.5

ividend Yield - Hist 1 Yr Wtd Avg 3.3 % 2.5 %

-Year Risk Profile2

Strategy Benchmarklpha 0.66 0.00

eta 0.84 1.002

0.92 1.00

harpe Ratio 1.09 1.04

td. Deviation 7.60 8.69

ond Portfolio3

ond Portfolio Duration 0.1 years

redit Ratings

AA 6.0% BB 6.1%

A 69.8% B 2.1%

1.7%


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June 30, 20

9MO LLC 2015

GMO Global Asset Allocation Strategy


Performance (%)

Net of Fees, USD (Rep Account) +

Gross of Fees, USD (Rep Account) +

GMO Global Asset Allocation Index -

Value Added +

Bonds CEquityBonds CashAltsEquity Alts


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TRATEGY PROFILE

10MO LLC 2015

GMO Real Return Global Balanced Asset Allocation Strategy






The GMO Real Return Global Balanced Asset Allocation Blended Index + is an

internally maintained benchmark computed by GMO, comprised of (i) GMO

blended benchmark of Real Return Global Balanced Asset Allocation Compos

through 06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The

blended benchmark of Real Return Global Balanced Asset Allocation Compos

comprised of a weighted average of account benchmarks; many of the accou

benchmarks consist of MSCI World (MSCI Standard Index Series, net of withho

tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for e

market exposure they have. For each underlying account benchmark, the


GMO and maintained on a monthly basis. The RRGBAL Blended Index is comp

of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax

20% Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill In

The index is internally blended by GMO and maintained on a monthly basis. M

data may not be reproduced or used for any other purpose. MSCI provides nowarranties, has not prepared or approved this report, and has no liability

hereunder.

The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted 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.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed 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 Poorsratings scale. Standard & Poorsratessecurities 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.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

Total Return (%)

Strategy Benchmark

2Q 2015 -0.82 -0.14

YTD 20 15 0.16 1.63


2014 2.00 4.22

2013 13.68 14.95

2012 10.65 10.42

2011 3.16 -1.76

2010 5.00 8.94

2009 13.02 19.17

2008 -11.36 -25.17

2007 7.63 7.87

2006 13.26 13.69

2005 8.09 6.82


-2.93

8.22

6.05 6.61

1.33

8.64

5.29 5.52

-5

0

5

10

1YR 5YR 10YR ITD

Strategy Benchmark

-Year Risk Profile2

Strategy Benchmarklpha 1.18 0.00

eta 0.81 1.002 0.87 1.00




0

20

40

60

80

100U.S. Quality, 11.5

Europe Value, 15.5

Other Int'l. Opportunistic Value, 1.2


Asset Backed Securities, 2.7Cross -Sectional Rates & FX, 16.4

Japan, 4.6

U.S. Opportunistic Value, 2 .0

Multi Stra tegy, 29.0

Emerging Debt, 3.2



26.6

21.8

9.6

2.1

11.4

28.5

0.0

17.5

8.9

8.2

7.9

57.6

Emerging

Europe ex UK

Japan

Other InternationalUnited Kingdom

United States

Strategy Benchmark

quity Characteristics

Strategy Benchmark

rice/Earnings - Hist 1 Yr Wtd Median 16.3 x 19.8 x





U.S. Equity Cash


Emerging Equity


Fixed Income

Absolute Return

ond Portfolio3

ond Portfolio Duration 0.0 years

redit Ratings

AA 4.8% BB 5.4%

A 73.9% B 1.9%

1.4%


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11MO LLC 2015

GMO Real Return Global Balanced Asset Allocation Strategy


Performance (%)

Net of Fees, USD -


GMO Real Return Global Balanced Asset Allocation Blended Ind -

Value Added -

Bonds BondsEquityCash CaEquity


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TRATEGY PROFILE

12MO LLC 2015

GMO Tax-Managed Global Balanced Strategy






The GMO Tax-Managed Global Balanced Index is an internally computed

benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI

standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Ye

8) Index. MSCI data may not be reproduced or used for any other purpose. M

provides no warranties, has not prepared or approved this report, and has no

liability hereunder.

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

Alpha is a measure of risk-adjusted 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.

he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

U.S. Equity Cash


Emerging Equity


Fixed Income

Absolute Return

Total Return (%)

Strategy Benchmark

2Q 2015 -0.55 -0.08

YTD 20 15 1.45 1.80


2014 2.02 5.02

2013 10.86 12.78

2012 9.71 11.47

2011 1.34 -0.27

2010 6.88 9.99

2009 14.29 23.90

2008 -14.95 -25.89

2007 7.16 7.12

2006 12.08 12.95

2005 9.91 5.91


-1.05

7.56

5.47

7.36

1.38

9.00

5.616.99

-2

0

2

4

6

8

10

1YR 5YR 10YR ITD

Strategy Benchmark


0

20

40

60

80

00U.S. Quality, 10.8

Europe Value, 13.6



Municipal Bonds, 34.3

Emerging Country Debt, 2.0Risk Premium, 2.3

Japa n, 3.8

U.S. Opportunistic Value, 3 .3

Multi-Strategy, 13.7


32.6

21.9

8.0

0.6

7.2

29.8

10.6

15.6

7.9

7.3

7.0

51.5

Emerging

Europe ex UK

Japan

Other International

United Kingdom

United States

Strategy Benchmark

quity Characteristics

Strategy Benchmark


rice/Cash Flow - Hist 1 Yr Wtd Median 9.1 x 13.3 xrice/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 x




-Year Risk Profile2

Strategy Benchmark

Alpha -0.14 0.00

Beta 0.86 1.00

R2 0.95 1.00




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13MO LLC 2015

GMO Tax-Managed Global Balanced Strategy


Performance (%)



Tax-Managed Global Balanced Index -

Value Added -

CBonds CashAltsEquity Equity BondsAlts


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14MO LLC 2015

GMO Global All Country Equity Allocation Strategy






The MSCI ACWI ++ Index is an internally maintained benchmark computed by

GMO, comprised of (i) GMO blended benchmark of Global All Country Equity

Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country Wo

Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GM

blended benchmark of Global All Country Equity Allocation Composite is

comprised of a weighted average of account benchmarks; many of the accou

benchmarks consist of MSCI ACWI (All Country World Index) (MSCI Standard I

Series, net of withholding tax) or some like proxy for each market exposure th

have. For each underlying account benchmark, the weighting of each market

will vary slightly. The index is internally blended by GMO and maintained on a

monthly basis. The MSCI ACWI (All Country World) Index (MSCI Standard Inde

Series, net of withholding tax) is an independently maintained and widely

published index comprised of global developed and emerging markets. MSCI

may not be reproduced or used for any other purpose. MSCI provides no

warranties, has not prepared or approved this report, and has no liabilityhereunder.



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


U.S. Equity


Emerging Equity

Cash

Total Return (%)

Strategy Benchmark

2Q 2015 0.35 0.35

YTD 20 15 3.29 2.66


2014 -0.69 4.17

2013 21.33 23.46

2012 14.74 16.34

2011 -1.29 -6.87

2010 10.12 12.94

2009 24.19 34.45

2008 -31.41 -41.82

2007 11.12 10.38

2006 18.87 20.34

2005 12.51 9.95


-4.12

11.63

6.808.90

0.71

12.23

6.36 7.39

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark

-Year Risk Profile2

Strategy Index

lpha 0.63 0.00

eta 0.90 1.002 0.95 1.00



roup Exposures (%)1

0

20

40

60

80

00

U.S. Quality, 27.9

Europe Value, 32.6




Japan, 9.6


op Country Weights (%)

32.7

11.3

9.6

7.2

5.0

51.5

7.0

7.9

3.4

3.1

United States

United Kingdom

Japan

France

Germany

Strategy Benchmark

haracteristics

Strategy Index






op Holdings3

ompany Country Sector % of Equity

otal S.A. France Energy 2.2

oyal Dutch Shell United Kingdom Energy 2.2

P PLC United Kingdom Energy 1.8

issan Motor Co. Ltd. Japan Consumer Disc. 1.6

ohnson & Johnson United States Health Care 1.6

otal 9.4


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GMO Global All Country Equity Allocation Strategy


Performance (%)



MSCI ACWI +

Value Added +

IntlEM U.S.U.S. Intl EM


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16MO LLC 2015

GMO Global Developed Equity Allocation Strategy






The MSCI World + Index is an internally maintained benchmark computed by

GMO, comprised of (i) GMO blended benchmark of Global Developed Equity

Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI

Standard Index Series, net of withholding tax) thereafter. The GMO blended

benchmark of Global Developed Equity Allocation Composite is comprised of

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 acc

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 ma

be reproduced or used for any other purpose. MSCI provides no warranties, h

not prepared or approved this report, and has no liability hereunder.





U.S. Equity


Emerging Equity

Cash

Total Return (%)

Strategy Benchmark

2Q 2015 0.62 0.31

YTD 20 15 3.74 2.63


2014 0.32 4.94

2013 25.82 26.68

2012 14.14 15.84

2011 -0.40 -5.52

2010 9.25 11.77

2009 20.55 29.97

2008 -33.19 -40.70

2007 9.69 9.02

2006 20.22 20.05

2005 12.26 9.42


-3.20

12.75

6.69

9.30

1.43

13.10

6.38 7.41

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark


Strategy Benchmark

Alpha 0.78 0.00

Beta 0.91 1.00

R2 0.95 1.00

Sharpe Ratio 1.03 0.99

Std. Deviation 12.34 13.19


0

20

40

60

80

100

U.S. Quality, 31.2

Europe Value, 38.1

Other Int'l. Opportunistic Value, 2.9Emerging Markets, 9.8Cash & Cash Equiv., 1.3

Japa n, 11.3



36.6

13.2

11.3

8.4

5.8

57.6

7.9

8.93.8

3.4

United States

United Kingdom

Japan

France

Germany

Strategy Benchmark

Characteristics

Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Median 17.2 x 19.8 x

Price/Book - Hist 1 Yr Wtd Avg 1.7 x 2.2 x

Return on Equity - Hist 1 Yr Med 12.1 % 14.9 %


Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.5 %

Top Holdings3

Company Country Sector % of Equity

Total S.A. France Energy 2.5

Royal Dutch Shell United Kingdom Energy 2.5

BP PLC United Kingdom Energy 2.1

Nissan Motor Co. Ltd. Japan Consumer Disc. 1.9

ohnson & Johnson United States Health Care 1.8

Total 10.8


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17MO LLC 2015

GMO Global Developed Equity Allocation Strategy


Performance (%)



MSCI World +

Value Added +

Intl IntlU.S.EMU.S. EM


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18MO LLC 2015

GMO Global Focused Equity Strategy





taxes, and other indirect expenses. The returns assume the reinvestment of

dividends and other income.

The Global Focused Equity Strategy does not have a benchmark. The Strategy

been compared to the MSCI All Country World Index in an effort to compare a

contrast the Strategy versus a broad global equity index. The MSCI ACWI (All

Country World) Index (MSCI Standard Index Series, net of withholding tax) is a

independently maintained and widely published index comprised of global

developed and emerging markets. MSCI data may not be reproduced or used

any other purpose. MSCI provides no warranties, has not prepared or approvthis report, and has no liability hereunder.




Risk Profile Since 12/31/111

Strategy Index

Alpha -2.71 0.00

Beta 1.24 1.00

R2 0.85 1.00



Characteristics

Strategy Index


Price/Cash Flow - Hist 1 Yr Wtd Median 8.4 x 13.3 x

Price/Book - Hist 1 Yr Wtd Avg 1.5 % 2.1 %

Dividend Yield - Hist 1 Yr Wtd Avg $2.2 $2.5

Top Ten Holdings2

Company % of Equity

Mitsubishi Tokyo Financial Group Inc. 2.4

TT Corp 2.3

Methanex Corp. 2.3

yondellBasell Industries N.V. Cl A 2.3

Ardmore Shipping Corp. 2.3

Capital One Financial Corp. 2.3

Allergan plc 2.3National-Oilwell Inc. 2.3

umitomo Mitsui Financial Group Inc. 2.3

Pfizer Inc. 2.3

Total 23.1

GICS Sector Weights (%)

Under/Overweight vs. Index Strategy Index

10.3 12.7

0.0 9.4

10.5 7.4

24.3 22.0

11.1 12.4

14.5 10.3

13.1 13.8

8.7 5.3

5.7 3.7

1.9 3.1

-2.4

-9.4

3.1

2.3

-1.3

4.2-0.7

3.4

2.0

-1.2

Consumer Disc.

Consumer Staples

Energy

Financials

Health Care

IndustrialsInformation Tech.

Materials

Telecom. Services

Utilities

Total Return (%)

Strategy Index

2Q 2015 -1.47 0.35

YTD 2015 1.20 2.66


2014 -3.24 4.16

2013 31.29 22.80

2012 19.71 16.13


-7.75

13.12

0.71

12.83

10

-5

0

5

10

15

1YR ITD

Strategy Index

Region Weights (%)

3.5

3.2

8.617.2

8.00.0

8.0

49.5

1.9

2.4

3.2

10.6

15.6

7.9

1.6

7.0

51.5

0.0

Australia/New Zealand

Canada

Emerging

Europe ex UK

JapanSoutheast Asia

United Kingdom

United States

Cash + Unrealized G/L

Strategy Index


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GMO Global Focused Equity Strategy



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20MO LLC 2015

GMO Quality Strategy






The S&P 500 Index is an independently maintained and widely published inde

comprised of U.S. large capitalization stocks. S&P does not guarantee the acc

adequacy, completeness or availability of any data or information and is not

responsible for any errors or omissions from the use of such data or informat

Reproduction of the data or information in any form is prohibited except with

prior written permission of S&P or its third party licensors.


Strategy Benchmark

Alpha 1.91 0.00

Beta 0.79 1.00

R2 0.87 1.00



Region Weights (%)

17.8

81.1

1.2

0.0

100.0

0.0

Non US

US

Cash

Strategy Benchmark

Characteristics Strategy Benchmark





Debt/Equity Wtd Med 0.6 x 1.0 x


Top Holdings2

Company Sector % of Equity

ohnson & Johnson Health Care 4.7

Microsoft Corp. Information Technology 4.6

Procter & Gamble Co. Consumer Staples 4.5

Oracle Corp. Information Technology 4.3

Google Inc. Information Technology 4.3

Total 22.4





5.1

25.0

0.4

0.0

23.9

8.0

34.4

1.2

2.0

0.0

12.8

9.1

7.9

16.615.5

10.1

19.7

3.1

2.3

2.8

Consumer Discretionary

Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials

Telecommunication Services

Utilities

Strategy Benchmark

Total Return (%)

Strategy Benchmark

2Q 2015 -1.46 0.28

YTD 20 15 -1.05 1.23

Annual Total Return (%)2014 12.54 13.69

2013 25.47 32.39

2012 11.81 16.00

2011 11.84 2.11

2010 5.48 15.06

2009 19.89 26.46

2008 -24.08 -37.00

2007 6.04 5.49

2006 12.69 15.80

2005 -0.79 4.91


5.28

15.66

7.32 6.587.42

17.34

7.89 7.53

0

5

10

15

20

1YR 5YR 10YR ITD

Strategy Benchmark


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GMO Quality Strategy


Performance (%)



S&P 500 +

Value Added -


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22MO LLC 2015

GMO Resources Strategy





taxes, and other indirect expenses. The returns assume the reinvestment of

dividends and other income.

The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Stand

Index Series, net of withholding tax) is an independently maintained and wide

published index comprised of listed large and mid capitalization commodity

producers within the global developed and emerging markets. MSCI data may

be reproduced or used for any other purpose. MSCI provides no warranties, h

not prepared or approved this report, and has no liability hereunder.




Risk Profile Since 12/31/111

Strategy Benchmark

Alpha 3.83 0.00

Beta 1.10 1.00

R2 0.96 1.00

Sharpe Ratio -0.06 -0.28


Top Country Weights (%)

18.5

13.0

7.9

6.2

5.9

18.4

3.4

2.3

4.9

3.9

United Kingdom

Russia

Japan

Australia

France

Strategy Benchmark


0.0

1.0

65.0

0.0

0.0

8.1

0.021.3

0.0

4.6

0.0

2.1

68.1

0.0

0.0

0.0

0.0

29.9

0.0

0.0


Consumer Staples

Energy

Financials

Health Care

Industrials

Information TechnologyMaterials


Utilities

Strategy Benchmark

Characteristics

Strategy Benchmark


Earnings/Share - F'cast LT Median Growth Rate 5.7 x 6.4 x




Top Holdings2


Gazprom OAO Russia Energy 5.1


Total S.A. France Energy 4.9LukOil OAO Russia Energy 4.9

CNOOC Ltd. China Energy 4.8

Total 24.6

Total Return (%)

Strategy Benchmark

2Q 2015 2.61 -0.79

YTD 2015 1.44 -5.15


2014 -16.78 -14.69

2013 4.39 3.31

2012 9.23 1.96


-24.53

-1.09

-26.03

-4.47

30

25

20

15

10

-5

0

1YR ITD

Strategy Benchmark


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GMO Resources Strategy


Performance (%)



MSCI ACWI Commodity Producers -

Value Added +


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TRATEGY PROFILE

24MO LLC 2015

roup Exposures (%)1

0

20

40

60

80

00

Europe Value, 48.8




Japan, 14 .4

GMO International All Country Equity Allocation Strategy






The MSCI ACWI ex USA + Index is an internally maintained benchmark compu

by GMO, comprised of (i) GMO blended benchmark of International All Count

Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA In

(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO ble

benchmark of International All Country Equity Allocation Composite is compr

of a weighted average of account benchmarks; many of the account benchma

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 th

have. For each underlying account benchmark, the weighting of each market

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 purpo

MSCI provides no warranties, has not prepared or approved this report, and h

no liability hereunder.





Intl. Developed Equity Emerging Equity Cash

Total Return (%)

Strategy Benchmark

2Q 2015 1.24 0.53

YTD 2015 4.83 4.03

Annual Total Return (%)2014 -6.21 -3.88

2013 16.71 15.47

2012 16.82 16.90

2011 -11.31 -13.63

2010 12.74 10.82

2009 27.77 40.16

2008 -40.96 -45.26

2007 17.39 16.08

2006 25.91 26.94

2005 19.03 16.71


-8.83

8.49

5.737.33

-5.26

7.82

5.48 5.60

10

-5

0

5

10

1YR 5YR 10YR ITD

Strategy Benchmark


16

14.4

10.7

7.4

5.2

14.5

16.3

6.9

6.4

2.8

United Kingdom

Japan

France

Germany

Taiwan

Strategy Benchmark


Strategy Benchmark

Alpha 0.80 0.00

Beta 0.98 1.00

R2 0.97 1.00



Characteristics

Strategy Benchmark






Top Holdings3






AstraZeneca PLC United Kingdom Health Care 2.2

Total 13.8


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GMO International All Country Equity Allocation Strategy


Performance (%)



MSCI ACWI ex USA +

Value Added +

EMIntlIntl EM


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TRATEGY PROFILE

26MO LLC 2015

GMO International Developed Equity Allocation Strategy






The MSCI EAFE ++ Index is an internally maintained benchmark computed by

GMO, comprised of (i) GMO blended benchmark of International Developed

Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe, Austra

and Far East) Index (MSCI Standard Index Series, net of withholding tax) there

The GMO blended benchmark of International Developed Equity Allocation

Composite is comprised of a weighted average of account benchmarks; many

the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far E

(MSCI Standard Index Series, net of withholding tax) or some like proxy for ea

market exposure they have. For each underlying account benchmark, the


GMO and maintained on a monthly basis. MSCI data may not be reproduced

used for any other purpose. MSCI provides no warranties, has not prepared o

approved this report, and has no liability hereunder.





Intl. Developed Equity Emerging Equity Cash

Total Return (%)

Strategy Benchmark

2Q 2015 1.03 0.62

YTD 2015 5.48 5.52

Annual Total Return (%)2014 -6.03 -4.90

2013 24.13 22.78

2012 17.09 17.32

2011 -9.45 -12.14

2010 10.58 7.93

2009 19.84 32.16

2008 -38.39 -43.33

2007 12.69 11.58

2006 25.50 26.62

2005 15.56 14.41


-9.01

10.37

5.648.12

-4.22

9.54

5.30 6.29

10

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark


0

20

40

60

80

00

Europe Value, 64.7

Other Int'l. Opportunistic Value, 4.9Emerging Markets, 9.8Cash & Cash Equiv., 1.5

Japan, 19 .2


22.3

19.2

14.2

9.9

4.7

20.3

22.9

9.7

8.9

3.5

United Kingdom

Japan

France

Germany

Spain

Strategy Benchmark


Strategy Benchmark

Alpha 1.23 0.00

Beta 0.96 1.00

R2 0.96 1.00



Characteristics

Strategy Benchmark






Top Holdings3







Total 18.3


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GMO International Developed Equity Allocation Strategy


Performance (%)



MSCI EAFE +

Value Added +

IntlIntl EM EM


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TRATEGY PROFILE

28MO LLC 2015

GMO International Equity Strategy






The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index


published index comprised of international large and mid capitalization stock

MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintain

benchmark computed by GMO, comprised of (i) the MSCI EAFE (Europe,

Australasia, and Far East) Value Index (MSCI Standard Index Series, net of

withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australa

and Far East) Index (MSCI Standard Index Series, net of withholding tax) there

MSCI data may not be reproduced or used for any other purpose. MSCI provid

no warranties, has not prepared or approved this report, and has no liability

hereunder.





Intl. Developed Equity Cash

Total Return (%)

Strategy MSCI EAFE MSCI EAF

2Q 2015 0.83 0.62 0.62

YTD 201 5 5.23 5.52 5.52


2014 -5.96 -4.90 -3.79

2013 25.62 22.78 22.95

2012 12.98 17.32 17.69

2011 -10.18 -12.14 -12.17

2010 7.53 7.75 3.25

2009 21.41 31.78 34.23

2008 -40.31 -43.38 -44.09

2007 10.21 11.17 5.96

2006 25.78 26.34 30.38

2005 13.98 13.54 13.80


-8.99

9.15

4.44

7.94

-4.22

9.54

5.12 5.34

-4.22

9.59

4.697.0

10

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy MSCI EAFE MSCI EAFE +


0

20

40

60

80

100

Europe Value, 71.9

Other Int'l. Opportunistic Value, 5.4Cash & Cash Equiv., 1.5

Japan,21.3


24.

21.3

15.8

11.0

5.2

20.3

22.9

9.7

8.9

3.5

United Kingdom

Japan

France

Germany

Spain

Strategy Benchmark


Strategy Benchmark

Alpha 0.03 0.00

Beta 0.95 1.00

R2 0.97 1.00



Characteristics

Strategy Benchmark







Top Holdings3







Total 20.4


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GMO International Equity Strategy


Performance (%)



MSCI EAFE +

Value Added +


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TRATEGY PROFILE

30MO LLC 2015

GMO International Active EAFE Strategy






The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index


published index comprised of international large and mid capitalization stock

MSCI data may not be reproduced or used for any other purpose. MSCI provid

no warranties, has not prepared or approved this report, and has no liability

hereunder.


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


Total Return (%)

Strategy Benchmark

2Q 2015 3.38 0.62

YTD 20 15 9.25 5.52


2014 -11.03 -4.90

2013 24.11 22.78

2012 14.92 17.32

2011 -11.65 -12.14

2010 5.01 7.75

2009 25.53 31.78

2008 -41.24 -43.38

2007 10.58 11.17

2006 27.52 26.34

2005 13.52 13.54


-4.64

8.46

4.43

11.61

-4.22

9.54

5.12

8.90

10

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark


Strategy Benchmark

Alpha -1.18 0.00

Beta 1.01 1.00

R2 0.98 1.00



Top Overweight Holdings2

Company

Sumitomo Mitsui Financial Group Inc. 3.8

Mitsubishi Tokyo Financial Group Inc. 3.6

AstraZeneca PLC 3.2

Nippon Telegraph & Telephone Corp. 2.6

Vodafone Group PLC 2.3

Roche Holding AG 2.2

Zurich Financial Services AG 1.9Asciano Group 1.8

Allianz AG Holding 1.7

Telecom Italia S.p.A. 1.6

Characteristics

Strategy Benchmark






Under/Overweight vs. Benchmark Strategy Benchmark

13.8 13.2

5.2 10.9

4.5 5.2

33.2 26.2

7.5 11.2

8.3 12.6

8.3 4.7

1.0 7.4

13.0 4.9

5.2 3.6

0.6

-5.7

-0.7

7.0-3.7

-4.3

3.6

-6.4

8.1

1.6

Consumer Disc.

Consumer Staples

Energy

Financials

Health Care

Industrials

nformation Tech.

Materials

Telecom. Services

Utilities

Region Weights (%)

3.0

6.4

43.1

21.01.9

19.8

4.7

7.0

0.0

45.2

22.9

4.7

20.3

0.0


Emerging

Europe ex UK

Japan

Southeast Asia

United Kingdom


Strategy Benchmark


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31MO LLC 2015

GMO International Active EAFE Strategy



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TRATEGY PROFILE

32MO LLC 2015

GMO International Active Foreign Small Companies Strategy






The S&P Developed ex-U.S. Small Cap Index is an independently maintained a

widely published index comprised of the small capitalization stock componen

the S&P Broad Market Index (BMI). The BMI includes listed shares of compan

from developed and emerging countries with a total available market

capitalization (float) of at least the local equivalent of $100 million USD. The S

Developed ex-U.S. Small Cap Index represents the bottom 15% of available m

capitalization (float) of the BMI in each country.

S&P does not guarantee the accuracy, adequacy, completeness or availability

any data or information and is not responsible for any errors or omissions fro

use of such data or information. Reproduction of the data or information in a

form is prohibited except with the prior written permission of S&P or its third

licensors.


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


Total Return (%)

Strategy Benchmark

2Q 2015 2.70 4.61

YTD 20 15 9.40 9.25


2014 -9.53 -3.42

2013 28.92 26.06

2012 21.64 18.55

2011 -15.21 -14.49

2010 24.76 21.96

2009 47.63 45.07

2008 -45.91 -47.67

2007 8.00 7.32

2006 36.24 29.42

2005 18.91 22.10


-5.76

11.49

8.3411.00

-1.62

12.02

7.46 7.42

10

-5

0

5

10

15

1YR 5YR 10YR ITD

Strategy Benchmark

Top Overweight Holdings2

Company

Asciano Group 1.6

Mediaset S.p.A. 1.6

Faurecia S.A. 1.4

Telefonica Deutschland Holding AG 1.4

Filtrona PLC 1.4

Kaba Holding AG 1.3

Tyman Plc 1.3Amplifon S.p.A. 1.3

ncitec Pivot Ltd. 1.3

Takara Leben Co. Ltd. 1.3

Characteristics

Strategy BenchmarkPrice/Earnings - Hist 1 Yr Wtd Median 17.8 x 21.8 x





Under/Overweight vs. Benchmark Strategy Benchmark

28.4 18.1

2.3 5.7

3.6 2.8

25.1 22.0

2.5 7.8

18.4 20.8

6.8 8.8

10.0 9.8

2.1 1.6

0.7 2.3

10.3

-3.4

0.8

3.1

-5.3

-2.4

-2.0

0.2

0.5

-1.6

Consumer Disc.

Consumer Staples

Energy

Financials

Health Care

Industrials

nformation Tech.

Materials

Telecom. Services

Utilities


Strategy Benchmark

Alpha -0.14 0.00

Beta 0.97 1.00

R2 0.97 1.00



Region Weights (%)

5.8

4.3

4.9

37.2

21.5

1.9

20.1

4.3

5.1

7.3

0.0

37.920.3

9.8

19.5

0.0


Canada

Emerging

Europe ex UKJapan

Southeast Asia

United Kingdom


Strategy Benchmark


34/63



617) 330-7500 |

www.gmo.com

June 30, 20

33MO LLC 2015

GMO International Active Foreign Small Companies Strategy



35/63

June 30, 20


617) 330-7500 |

www.gmo.com

TRATEGY PROFILE

34MO LLC 2015

GMO U.S. Equity Allocation Strategy



0

20

40

60

80

100

U.S. Quality, 84.5

Cash & Cash Equiv., 1.0U.S. Opportunistic Value, 14.5

U.S. Equity Cash


future performance. Returns are shown after the deduction of managemen

fees, transaction costs and other expenses, but before custody charges,

withholding taxes, and other indirect expenses. The returns assume thereinvestment of dividends and other income.

The Russell 3000 +++ Index is an internally maintained benchmark computed

GMO, comprised of (i) GMO blended benchmark of U.S. Equity Allocation

Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO ble

benchmark of U.S. Equity Allocation Composite is comprised of a weighted av

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. S&P does not guarantee the accuracy, adequacy, completeness or

availability of any data or information and is not responsible for any errors or

omissions from the use of such data or information. Reproduction of the data

information in any form is prohibited except with the prior written permissio

S&P or its third party licensors. Russell Investment Group is the source and ow

of the trademarks, service marks and copyrights related to the Russell Indexe

Russell is a trademark of Russell Investment Group.

The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted 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.Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.

Total Return (%)

Strategy Benchmark

2Q 2015 -0.73 0.14

YTD 20 15 -0.16 1.94


2014 9.82 12.76

2013 27.95 32.85

2012 12.25 16.21

2011 9.91 1.58

2010 7.43 16.26

2009 20.54 27.46

2008 -27.87 -37.15

2007 2.25 5.39

2006 9.93 15.71

2005 3.68 5.53


3.85

15.71

6.45

10.56

7.29

17.48

8.0510.24

0

5

10

15

20

1YR 5YR 10YR ITD

Strategy Benchmark


9.8

17.5

8.8

2.5

20.0

8.8

31.3

1.3

0.0

0.0

12.8

9.1

7.9

16.6

15.510.1

19.7

3.1

2.3

2.8


Consumer Staples

Energy

Financials

Health Care

Industrials

Information Technology

Materials


Utilities

Strategy Benchmark

Characteristics

Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 20.1 x 20.2 x




Dividend Yield - Hist 1 Yr Wtd

Documents

2q 2015 Gmo Quarterly Update 2