Quarterly Update 4 q 13

8/13/2019 Quarterly Update 4 q 13

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GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S., developed international, andemerging markets. For client inquiries, please contact your Client Relationship Manager. For new business inquiries, pleasecontact your Relationship Manager or Holly Carson at (617) 346-7501 or [email protected]

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


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GMO Capabilities

* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included inthis document. For information please contact GMO.

GMO U.S. Equities Page

U.S. Core 5

Intrinsic Value 6

Growth 7

Small/M id Cap 8

Real Estate*

GMO International Equities Page

International Active EAFE 9

International Active Foreign Small Companies 10

International Intri nsic Value 11

International Growth 12

International Core Equity 13

Currency Hedged International Equity 14

International Small Companies*

Tax-Managed International Equities 15

GMO Emerging Equities Page

Emerging Markets 16

Emerging Countries 17

Emerging Domestic Opportunities 18

GMO Global Equities Page

Global Focused Equity 19

Quality 20

Global Equity 21

Risk Premium*

GMO Alternative Assets Page

Resources 22

GMO Fixed Income Page

Core Plus Bond 23

U.S. Treasury*

International Bond 24

Currency Hedged Int'l. Bond 25

Global Bond 26

Emerging Country Debt*Emerging Country Local Debt*

Asset Al location Bond*

GMO Asset Allocation Page

Global Asset Allocation 27

Real Return Global Balanced Asset Alloc. 28

Benchmark-Free Allocation 29

Global Al location Absolute Return 30

Real Return Asset Allocation 31

Global All Country Equity Al location 32

Global Developed Equity Allocation 33

International Al l Country Equity Alloc. 34

International Developed Equity Al location 35

U.S. Equity Allocation 36

Special Situations*

Alternative Asset Opportuni ty*

Alpha Only*

Tax-Managed Global Balanced 37

GMO Absolute Return Page

Total Equities 38

Tactical Opportunities 39

Emerging Country Debt Long/Short*

Currency Hedge 40

Fixed Income Hedge 41

Emerging Currency Hedge 42

Mean Reversion 43

Systematic Global Macr o 44

Completion*

Multi-Strategy*

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2013 Performance of GMO Strategies and Benchmarks

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

Copyright 2013 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by anymeans, without written permission from GMO.

otal Return Net of Fees Average Annual Total Return

GMO U.S. Equity Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

U.S. Core 9/30/85 9.54 29.66 -2.73 29.66 15.93 6.38 11.44

S&P 500 10.51 32.39 32.39 17.94 7.41 11.12

Intrinsic Value 5/31/99 10.66 33.38 0.85 33.38 17.53 6.64 6.16Russell 1000 Value 10.01 32.53 32.53 16.67 7.58 5.74

Growth 12/31/88 11.06 32.64 -0.84 32.64 18.56 6.77 10.49

Russell 1000 Growth 10.44 33.48 33.48 20.39 7.83 9.91

Small/Mid Cap 12/31/91 11.52 44.24 7.44 44.24 19.57 8.50 12.00

Russell 2500 + 8.66 36.80 36.80 19.89 9.42 11.90

GMO International Equity Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

International Active EAFE 5/31/81 7.20 24.11 1.33 24.11 10.68 6.69 12.28

MSCI EAFE 5.71 22.78 22.78 12.44 6.91 9.32

Int'l. Active Foreign Small Companies 1/31/95 6.68 28.92 2.86 28.92 19.62 11.60 11.98

S&P Developed ex-U.S. Small Cap 5.76 26.06 26.06 17.72 9.95 7.72

International Intrinsic Value 3/31/87 6.81 25.62 2.67 25.62 10.72 6.99 8.45

MSCI EAFE Value 6.26 22.95 22.95 11.99 6.77 7.39

MSCI EAFE 5.71 22.78 22.78 12.44 6.91 5.63

International Growth 11/30/01 5.30 23.56 1.01 23.56 14.03 8.69 8.71

MSCI EAFE Growth 5.15 22.55 22.55 12.82 6.97 6.69

MSCI EAFE 5.71 22.78 22.78 12.44 6.91 7.08

International Core Equity 1/31/02 7.09 26.15 3.38 26.15 12.37 7.74 9.13

MSCI EAFE 5.71 22.78 22.78 12.44 6.91 7.62

Currency Hedged International Equity 6/30/95 7.31 28.21 1.55 28.21 11.03 7.46 8.11

MSCI EAFE (Hedged) 6.26 26.67 26.67 11.67 6.67 6.52

Tax-Managed International Equities 8/31/98 7.11 26.55 3.77 26.55 12.26 8.17 8.46

MSCI EAFE 5.71 22.78 22.78 12.44 6.91 5.51

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* 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.


GMO Emerging Equity Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Emerging Markets 12/31/93 0.32 -5.19 -4.63 -5.19 13.38 10.08 7.99

S&P/IFCI Composite 2.15 -0.57 -0.57 15.89 12.24 6.09

MSCI Emerging Markets 1.83 -2.60 -2.60 14.79 11.17 5.49Emerging Countries 9/30/97 0.60 -5.95 -5.39 -5.95 12.68 9.35 8.43

S&P/IFCI Composite 2.15 -0.57 -0.57 15.89 12.24 8.01

MSCI Emerging Markets 1.83 -2.60 -2.60 14.79 11.17 6.81

Emerging Domestic Opportunities 3/31/11 2.37 3.80 6.40 3.80 n/a n/a 6.02

MSCI Emerging Markets 1.83 -2.60 -2.60 n/a n/a -2.97

GMO Global Equity Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Global Focused Equity 12/31/11 7.30 31.29 8.49 31.29 n/a n/a 25.36

MSCI ACWI 7.31 22.80 22.80 n/a n/a 19.42

Quality 2/29/04 9.41 25.47 -6.92 25.47 14.69 n/a 6 .45

S&P 500 10.51 32.39 32.39 17.94 n/a 7.19Global Equity 7/31/96 9.02 29.43 2.75 29.43 14.04 7.14 7.91

MSCI World 8.00 26.68 26.68 15.02 6.98 6.48

GMO Alternative Asset Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Resources 12/31/11 2.26 4.39 1.08 4.39 n/a n/a 6.78

MSCI ACWI Commodity Producers 4.39 3.31 3.31 n/a n/a 2.63

GMO Fixed Income Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Core Plus Bond 4/30/97 -0.41 0.21 2.24 0.21 10.46 4.58 5.94Barclays U.S. Aggregate -0.14 -2.03 -2.03 4.44 4 .55 5 .75

International Bond 12/31/93 -0.86 -0.57 4.50 -0.57 9.37 4.89 6.96

J.P. Morgan GBI Global ex U.S. -1.45 -5.08 -5.08 2.39 4.25 5.56

Currency Hedged Int'l. Bond 9/30/94 0.23 0.14 -0.51 0.14 9.83 4.72 7.76

J.P. Morgan GBI Global 0.56 0.65 0.65 4.25 4.88 6.76 ex-Japan ex U.S. (Hedged) +

Global Bond* 12/31/95 -1.24 -2.56 1.94 -2.56 9.04 4.36 5.80

J.P. Morgan GBI Global -1.26 -4.50 -4.50 2.38 4.29 5.10

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GMO Asset Allocation Inception 4Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Global Asset Allocation 6/30/88 4.19 12.38 -1.22 12.38 11.31 7.34 9.94

Blended Benchmark 4.67 13.60 13.60 11.51 6.08 8.25

Real Return Global Balanced Asset Alloc. 6/30/04 4.32 13.68 -1.27 13.68 9.02 n/a 7.46Blended Benchmark 4.73 14.95 14.95 10.11 n/a 5.67

Benchmark-Free Allocation 7/31/01 3.69 11.24 9.68 11.24 9.78 9.18 11.34

CPI 0.27 1.56 1.56 2.09 2.41 2.28

Global Allocation Absolute Return 7/31/01 3.40 10.04 8.48 10.04 8.24 8.22 9.88

CPI 0.27 1.56 1.56 2.09 2.41 2.28

Real Return Asset Allocation 12/31/09 2.98 5.48 3.92 5.48 n/a n/a 0.22

CPI 0.27 1.56 1.56 n/a n/a 1.90

Global All Country Equity Allocation 12/31/93 7.27 21.33 -2.13 21.33 13.45 8.46 9.46


Global Developed Equity Allocation 3/31/87 8.12 25.82 -0.86 25.82 13.50 8.14 9.68


International All Country Equity Alloc. 2/28/94 5.14 16.71 1.24 16.71 11.74 8.42 8.00Blended Benchmark 4.78 15.47 15.47 12.61 7.52 6.04

Inter national Devel oped Equity Al location 11/30/91 6.39 24.13 1.36 24.13 11.77 8.17 8.74


U.S. Equity Allocation 2/28/89 9.67 27.95 -4.89 27.95 15.37 6.65 10.82


Alternative Asset Opportuni ty 10/31/11 2.93 6.31 6.26 6.31 n/a n/a 3.66

Citigroup 3-Mo. T-Bill 0.01 0.05 0.05 n/a n/a 0.06

Tax-Managed Global Balanced 12/31/02 3.95 10.86 -1.92 10.86 8.53 6.66 8.06

GMO Tax-Managed Global Balanced Index 4.46 12.78 12.78 11.31 5.97 7.32

GMO Absolute Return Inception 4Q YTD YTD Value One Five Ten Since

Strategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Total Equities 9/30/00 4.74 17.49 17.44 17.49 4.18 3.14 6.55

Citigroup 3-Mo. T-Bill 0.01 0.05 0.05 0.10 1.59 1.83

Tactical Opportunit ies 9/30/04 4.09 -9.64 -9.69 -9.64 -16.32 n/a -6.81

Citigroup 3-Mo. T-Bill 0.01 0.05 0.05 0.10 n/a 1.63

Currency Hedge 7/31/03 -3.55 -10.17 -10.57 -10.17 3.39 -0.98 -0.41

J.P. Morgan U.S. 3 Month Cash 0.09 0.40 0.40 0.71 2.33 2.28

Fixed Income Hedge 8/31/05 -1.48 -3.79 -4.19 -3.79 10.62 n/a -1.05

J.P. Morgan U.S. 3 Month Cash 0.09 0.40 0.40 0.71 n/a 2.37

Emerging Currency Hedge 3/31/06 -1.35 -5.78 -6.18 -5.78 7.03 n/a 1.95

J.P. Morgan U.S. 3 Month Cash 0.09 0.40 0.40 0.71 n/a 2.23

Mean Reversion 2/28/02 1.03 -0.62 -0.67 -0.62 -2.31 4.64 7.48


Systematic Global Macro 3/31/02 1.05 9.58 9.53 9.58 8.24 6.56 7.53


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As of December 31, 2013

GMO 2013

GMO U.S. Core StrategyInception: 9/30/85; Benchmark: S&P 500 Index

Performance Net of Fees1

The U.S. Core Strategy returned +9.5% net of fees for the fourth quarter of 2013, trailing the +10.5% return of the S&P 500 index.

Sector selection had a positive impact on relative returns for the quarter. The strategy saw positive returns relative to the S&P 500attributable to an overweight in Information Technology and underweight positions in Utilities and Telecommunication Services. Anoverweight in Consumer Staples and an underweight in Industrials detracted.

Stock selection detracted from relative returns for the quarter. Selections in Financials and Energy added to relative returns whileselections in Information Technology, Health Care, and Consumer Discretionary detracted. Individual stocks adding to relativereturns in the fourth quarter included overweight positions in Google, Hewlett-Packard, and Microsoft. Stock selections detractingfrom relative returns included overweight positions in Cisco and IBM and an underweight in Apple.

Top Ten Holdings2,5

Risk Profile Since 9/30/854 Sector Weights5

Characteristics5

Quarterly Strategy At tribution

1Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees,transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends andother income.

2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,

adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.

4Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market;Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.

5The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of theStrategy.

GICS Sectors

Total Return (%) Average Annual Total Return (%)

4Q YTD One Five Ten Since2013 2013 Year Year Year Inception

Strategy 9.54 29.66 29.66 15.93 6.38 11.44Benchmark

310.51 32.39 32.39 17.94 7.41 11.12

Annu al Tota l Retu rn (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 26.64 9.85 3.66 9.74 1.64 -30.17 21.40 8.95 8.16 12.87

Benchmark 28 .69 10.88 4.91 15.80 5.49 - 37.00 26.46 15 .06 2.11 16.00

Microsoft Corp. 5.4%

Johnson & Johnson 5.0%

Google Inc. (Cl A) 3.8%

Int 'l. Business Machines 3.0%

Chevron Corp. 3.0%

Procter & Gamble Co. 2.9%

Cisco Systems Inc. 2.6%

Oracle Corp. 2.6%

Philip Morris Int'l. Inc. 2.3%

UnitedHeal th Group Inc. 2 .2%

Total 32.8%

Underweight/Overweight

Sector Against Benchmark Strategy Benchmark

Consumer Discretionary 8.4 % 12.5 %

Consumer Staples 17.4 9.8Energy 6.9 10.3

Financials 10.4 16.2

Health Care 24.0 13.0

Industrials 3.8 10.9

Information Technology 27.8 18.6

Materials 0.3 3.5

Telecom. Services 0.5 2.3

Utilities 0.5 2.9-2.4

-1.8

-3.2

9.2

-7.1

11.0

-5.8

-3.47.6

-4.1

-20 -10 0 10 20

St ra teg y Ben ch ma rk

Alpha 0.93 0.00

Beta 0.92 1.00

R2

0.95 1.00Sharpe Ratio 0.52 0.47


Price/Earnings - Hist 1 Yr Wtd Med 17.4 x 19.9 x

Price/Book- Hist 1 Yr Wtd Avg 2.7 x 2.7 x

Dividend Yield- Hist 1 Yr Wtd Avg 2.0 % 1.9 %

Return on Equity- Hist 1 Yr Med 20.0 % 16.5 %

Market Cap - Weighted Median $Bil $120.0 $69.8


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Year-to-Date Strategy Attribution

GMO 2013

Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statementwill be realized.

GMO U.S. Core StrategyInception: 9/30/85; Benchmark: S&P 500 Index

The U.S. Core Strategy returned +29.7% net of fees in 2013, trailing the +32.4% return of the S&P 500 index.

Sector selection added to relative returns for the year. The Strategy saw positive relative returns attributable to underweight positionsin Telecommunication Services and Utilities and an overweight in Health Care. Underweight positions in Industrials and ConsumerDiscretionary and an overweight in Consumer Staples detracted from relative returns.

Stock selection detracted from relative returns for the year. Selections in Information Technology and Financials added to relativereturns while selections in Health Care, Consumer Staples, and Consumer Discretionary detracted. Individual stocks adding to relativereturns included overweight positions in Hewlett-Packard and Microsoft and an underweight in Apple. Stock selections detractingfrom relative returns included overweight positions in IBM, Philip Morris International, and Cisco Systems.

Outlook: The U.S. markets 2013 advance highlights the need for strong investment discipline and process. Our investment processemphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, we will focus on findingthe most undervalued opportunities offered up by market conditions.


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GMO 2013

GMO Intrinsic Value StrategyInception: 5/31/99; Benchmark: Russell 1000 Value Index

Performance Net of Fees 1

The Intrinsic Value Strategy returned +10.7% net of fees for the fourth quarter of 2013, as compared to the +10.0% return of theRussell 1000 Value index.

Sector selection added to relative returns for the quarter. The strategy saw positive returns relative to the Russell 1000 Valueattributable to overweight positions in Information Technology and Consumer Staples and an underweight in Utilities. Anunderweight position in Industrials and an overweight in Health Care detracted.

Stock selection also added to relative returns. Selections in Financials, Energy, and Information Technology added to returns versusthe Russell 1000 Value while selections in Consumer Staples and Consumer Discretionary detracted. Individual stocks adding torelative returns in the fourth quarter included overweight positions in Google and Microsoft and an underweight in BerkshireHathaway. Stock selections detracting from relative returns included underweight positions in Exxon Mobil and GE and anoverweight in IBM.

Top Ten Holdings2,5


Characteristics5



2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-to-

book ratios and lower forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and alltrademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination orredistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for anyinaccuracy in GMOs presentation thereof.



GICS Sectors




310.01 32.53 32.53 16.67 7.58 5.74


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 30.42 12.12 5.57 13.61 -3.73 -34.51 19.42 11.86 9.82 14.63

Benchmark 30 .03 16.49 7.05 22 .24 -0.17 -36.85 19.69 15 .51 0.39 17.51

Microsoft Corp. 5.2%


Pfizer Inc. 4.4%

JPMorgan Chase & Co. 3.3%

Wal-Mart Stores Inc. 3.1%



Oracle Corp. 2.2%

Merck & Co Inc 2.2%

Cisco Systems Inc. 2.0%

Total 32.2%

Underweight/OverweightSector Against Benchmark Strategy Benchmark







Materials 0.4 2.9



-1.6

-2.5

14.7

-5.9

14.7

-15.0

-9.7

10.3

0.8

-20 -10 0 10 20


Alpha 0.73 0.00

Beta 0.91 1.00

R2

0.94 1.00Sharpe Ratio 0.27 0.23



Price/Book - Hist 1 Yr Wtd Avg 2.5 x 1.8 x


Return on Equity - Hist 1 Yr Med 17.9 % 12.0 %

Market Cap -Weighted Median $Bil $94.4 $53.9


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GMO 2013


GMO Intrinsic Value StrategyInception: 5/31/99; Benchmark: Russell 1000 Value Index

The Intrinsic Value Strategy returned +33.4% net of fees in 2013, leading the +32.5% return of the Russell 1000 Value index.

Sector selection added to relative returns for the year. The Strategy saw positive relative returns attributable to underweight positionsin Utilities and Energy and an overweight in Information Technology. Underweight positions in Industrials and Financials detractedfrom relative returns.

Stock selection detracted from relative returns for the year. Selections in Financials, Industrials, and Energy added to relative returnswhile selections in Information Technology, Consumer Staples, and Health Care detracted. Individual stocks adding to relative returnsincluded overweight positions in Gilead Sciences and Google and an underweight in ExxonMobil. Stock selections detracting fromrelative returns included overweight positions in IBM, Oracle, and Wal-Mart Stores.



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GMO 2013

GMO Growth StrategyInception: 12/31/88; Benchmark: Russell 1000 Growth Index


The Growth Strategy returned +11.1% net of fees in the fourth quarter of 2013, leading the +10.4% return of the Russell 1000Growth index.

Sector selection added to relative returns for the quarter. Underweight positions in Energy and Telecommunication Services added torelative returns. An overweight position in Consumer Staples detracted.

Stock selection also added to relative returns for the quarter. Selections in Consumer Staples, Industrials, and Financials added torelative returns. Selections in Consumer Discretionary detracted. Individual stocks adding to relative returns in the quarter includedoverweight positions in Google, Nu Skin Enterprises, and Monster Beverage. Stock selections detracting from relative returnsincluded overweight positions Procter & Gamble, EBay, and Ulta Salon Cosmetics.

Top Ten Holdings2,5


Characteristics5



2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher price-

to-book ratios and higher forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and alltrademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination orredistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting or configuration of this material or for anyinaccuracy in GMOs presentation thereof.



GICS Sectors




310.44 33.48 33.48 20.39 7.83 9.91


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 28.27 4.66 3.93 2.44 5.99 -30.42 24.64 12.02 8.72 16.36

Benchmark 29 .75 6.30 5.26 9.07 11.81 -38.44 37.21 16.71 2.64 15.26


QUALCOMM Inc. 3.5%

Coca-Cola Co. 3.3%

Procter & Gamble Co. 3.2%


Amgen Inc. 2.0%

Oracle Corp. 1.9%

PepsiCo Inc. 1.8%

United Technologies Corp. 1.8%


Total 27.4%





Financials 1.1 5.4




Materials 2.2 4.5



-0.5

-2.3

-1.9

-2.5

0.9

-4.3

-3.920.6

-6.0

-30 -15 0 15 30


Alpha 1.08 0.00

Beta 0.92 1.00

R2

0.94 1.00Sharpe Ratio 0.43 0.38

Strategy Benchmark


Earnings/Share - F'cast LT Med Growth 11.6 x 12.8 x





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GMO 2013


GMO Growth StrategyInception: 12/31/88; Benchmark: Russell 1000 Growth Index

The Growth Strategy returned +32.6% net of fees in 2013, underperforming the +33.5% return of the Russell 1000 Growth index.

Sector selection detracted from relative returns for the year. Overweight positions in the underperforming Consumer Staples andInformation Technology sectors were the main detractors for the period.

Stock selection also added to relative returns for the year. Selections in Consumer Staples, Industrials, and Consumer Discretionaryadded to relative returns while selections in Health Care, Information Technology, and Energy detracted. Individual stocks adding toreturns included overweight positions in Nu Skin Enterprises, Priceline.com, and Google. Selections detracting from returns includedan overweight in Apple and underweight positions in Facebook and Celgene Corp.



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GMO 2013


The U.S. Small/Mid Cap Strategy returned +11.5% net of fees in the fourth quarter of 2013, leading the +8.7% return of the Russell2500 index.

Sector selection added to relative returns. An overweight position in Industrials and underweight positions in Energy and Utilitiesadded to relative returns during the period.

Stock selection also added to relative returns for the quarter. Selections in Financials, Information Technology, and Energy added torelative returns while selections in Consumer Staples and Telecommunication Services detracted. Individual stocks adding to relativereturns included overweight positions in Endo Health Solutions, Western Refining, and Marvell Technology Group. Individual namesdetracting from relative returns included overweight positions in Supervalu and Nii Holdings and an underweight in 3D Systems Corp.

Top Ten Holdings2,5

Risk Profile Since 12/31/914 Sector Weights 5

Characteristics5

Quarterly Strategy Attribut ion


2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The Russell 2500 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii)

the Russell 2500 Value Index from 12/31/1996 to 1/16/2012 and (iii) the Russell 2500 Index thereafter. Russell Investments is the source and owner of the Russell indexdata contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use,disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMOs presentation of the data. FCR is not responsible for the formatting orconfiguration of this material or for any inaccuracy in GMOs presentation thereof.



GICS Sectors

GMO Small/Mid Cap StrategyInception: 12/31/91; Benchmark: Russell 2500 + Index



Strategy 11.52 44.24 44.24 19.57 8.50 12.00Benchmark 3 8.66 36.80 36.80 19.89 9.42 11.90


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 45.26 20.80 7.95 10.86 -12.37 -26.97 13.64 25.88 1.81 16.33

Benchmark 44.93 21.58 7 .74 20.18 -7 .27 -31.99 27.68 24.82 -3 .36 17.59

Best Buy Co. Inc. 1.1%

Hormel Foods Corp. 1.1%

Genworth Financial Inc. 0.9%

Harris Corp. 0.8%

Gannett Co. Inc. 0.8%

Torchmark Corp. 0.8%

Endo Pharmaceuticals 0.8%

Polaris Industries Inc. 0.7%

Omnicare Inc. 0.7%

Donaldson Co. Inc. 0.7%

Total 8.4%



Consumer Staples 6.2 2.8

Energy 3.8 5.8Financials 22.7 23.0




Materials 5.4 6.7



0.0

-1.3

0.5

1.5

-2.4

-0.3

-2.0

3.4

4.2

-6 -3 0 3 6

St r at eg y Ben ch ma rk

Alpha 0.61 0.00

Beta 0.94 1.00

R2

0.94 1.00

Sharpe Ratio 0.57 0.55








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GMO 2013


GMO Small/Mid Cap StrategyInception: 12/31/91; Benchmark: Russell 2500 + Index

The Small/Mid Cap Strategy returned +44.2% net of fees in 2013, leading the +36.8% return of the Russell 2500 Value index.

Sector selection added to relative returns for the year. Overweight positions in Consumer Staples and Consumer Discretionary and anunderweight in Utilities added to relative returns. An underweight in Health Care detracted.

Stock selection also added to relative returns for the year. Selections in Financials, Industrials, and Consumer Discretionary added torelative returns while selections in Energy and Telecommunication Services detracted. Individual stocks adding to relative returnsincluded overweight positions in Gamestop, Endo Health Solutions, and Manpower. Individual names detracting from relativeperformance included underweight positions in Netflix and Tesla Motors and an overweight in Hollyfrontier Corp.



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GMO 2013

GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index


The International Active EAFE Strategy returned +7.2% net of fees in the fourth quarter, 1.5 percentage points ahead of the MSCIEAFE index, which returned +5.7%.

Fair value pricing of the strategy added 0.1 percentage points to the return during the quarter. Using the local close, which we do forattribution, the strategy was 1.5 percentage points ahead of the MSCI EAFE benchmark, net of fees.

Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns. The eurozone, in which we

have an overweight, was the best performing region in the MSCI EAFE index.

Stock selection also beat the benchmark in the fourth quarter. Holdings in the United Kingdom, Continental Europe, and Japanoutperformed.

Top Overweight Holdings2,5

Risk Profile Since 5/31/814

Quarterly Strategy Attribution


2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published

index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, hasnot prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 41.37 22.33 13.52 27.52 10.58 -41.24 25.53 5.01 -11.65 14.92

Benchmark 38 .59 20.25 13.54 26.34 11.17 -43.38 31.78 7 .75 -12 .14 17.32


Alpha 3.80 0.00

Beta 0.82 1.00

R2

0.84 1.00


St r at eg y Ben ch ma r k


Price/Cash Flow - Hist 1 Yr Wtd Med 10.3 x 11.6 x


Dividend Yield - Hist 1 Yr Wtd Avg 2.9 % 3.0 %


Region Against Benchmark (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Australia/New Zealand

Emerging

Cash 2.4

3.5

-1.8

-3.2

-0.6

-0.1

-0.2

-4 -2 0 2 4


Consumer Discretionary 16.7 % 11.9 %Consumer Staples 8.6 10.9Energy 6.9 7.3Financials 26.0 25.6Health Care 3.7 10.0Industrials 14.5 12.9

Information Technology 4.9 4.5Materials 8.0 7.6Telecom. Services 5.8 5.7Utilities 4.8 3.51.3

0.1

0.4

0.4

1.6

-6.3

0.4

-0.4

-2.3

4.8

-10 -5 0 5 10

Sumitomo Mitsui Financial 2.4%

Mitsubishi Tokyo Financial 1.7%

Asciano Group 1.5%

Telstra Corp. Ltd. 1.4%

Gaz de France 1.4%

Assicurazioni Generali 1.3%Australia & NZ Banking 1.3%

Mazda Motor Corp. 1.3%

ArcelorMittal SA 1.3%

Aberdeen Asset Management 1.3%

Publicis Groupe SA 1.2%

Eni S.p.A. 1.1%

Koninkli jke Phi lips Elect . 1 .1%

E.ON AG 1.1%

WPP PLC 1.1%


15/86



GMO 2013


GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index

The International Active EAFE Strategy outperformed its MSCI EAFE benchmark by 1.3 percentage points net of fees in 2013,gaining 24.1% while the benchmark rose 22.8%. Country and stock selection were both positive.

Country selection added to returns during the year. An overweight position in Japan added to returns as Abes arrows propelled themarket. Underweight positions in Australia and Singapore also helped performance. On the negative side, our positioning in

Continental Europe subtracted from returns. Stock selection beat the benchmark in 2013. Our holdings outperformed in the United Kingdom and Continental Europe. Stock

selection was hurt by our positions in the emerging markets.

Outlook: Current valuations in the global equity markets reveal no large factor or group of stocks that appears substantially cheaper thananother. There is a dearth of valuation dispersion between geographies, between industries, or between styles such as small and large. Asa result of the relative lack of thematic valuation opportunity, alpha will have to be delivered via good old-fashioned stock picking. But,while average valuations between countries, sectors, and factors are in a relatively tight band, the valuation dispersion of stocks withinthose buckets is still fairly wide, meaning there are still plenty of inefficiencies and mispriced companies to provide excess profits.

In fact, we believe there are particularly cheap stocks in Europe, Japan, and Emerging Asia. In Europe, value still resides in companiesgeared to a domestic recovery. Industrials, materials, and financials that have significant business exposure to the European economyrepresent a compelling opportunity. Many of these companies are in the midst of restructuring, cutting costs, and reducing leverage.Companies that are able to achieve breakeven or even positive cash flow on currently depressed revenue levels should handsomely rewardinvestors if the European recovery becomes more robust.

The European economy remains the thing to watch. While a recovery in Europe is clearly being discounted by the equity markets,growth is anticipated to be modest. Anything better would certainly be a surprise and markets should rally correspondingly. Theupcoming Asset Quality Review by the ECB could be a source of good news if it reveals solid balance sheets in the banking sector.Healthy capital positions combined with nascent underlying loan demand will be the true signs of a sustainable recovery in Europe.

Japan continues to pursue structural reform under Abes Three Arrows program. The most important policy remains the first arrow ofmonetary stimulus intended to create nominal asset price increases. Margins in Japan are still very low and operating leverage is so highthat, even with modest restructuring and a modicum of pricing power, corporate profits could improve dramatically. With currentearnings, valuation looks fair but if policy measures achieve their goals the market is compellingly cheap. The equity market will continueto favor those companies that should benefit from a modestly devaluing yen such as banks, retailers, and industrials. In the midst ofthese broader themes there can still be found a cohort of Japanese companies that continue their march toward greater efficiency andhigher profitability, and that will reward investors regardless of what happens in the broader economy.

In emerging markets, there is the appearance of extreme value, but those stocks that are optically cheap come with high risk. There are

only a few countries in aggregate selling below 10 times earnings and all of them are in the emerging markets: China, Russia, Turkey, andKorea. We are most excited about Korea and Turkey. Korea has been out of favor with investors for several years and, as a result, anumber of franchises with strong competitive positions can be bought on the cheap. Turkey has some isolated opportunities but it is astruggle to find enough liquidity to make these ideas impactful. In Russia, value is found primarily in the resource sector and comes withan uncomfortable amount of ongoing geopolitical risk.

China continues to be a worry for us. While the slowing economy has certainly been recognized by markets, the extent of bad loans andhidden leverage in the banking system has the potential for catastrophe. The Chinese economy has yet to fully digest the massive creditexpansion thrust upon it by policy makers after the global financial crisis. The middle kingdom could find a way to muddle through, butsystemic risk is high.

The major economic themes of 2013 are intact as we enter 2014. The United States will continue to lead other regions, mainly Europe, ina slow recovery from economic malaise. Deleveraging by U.S. consumers and European sovereign governments will still act as agovernor on growth, but a counterbalance will be provided by loose monetary policy. While Europe in particular is not out of the woods,

global macroeconomic conditions have a trajectory of modest but steady improvement. China contains risk, but as long as the rest of theworld is on the mend, any trouble there should be relatively isolated.

With few thematic valuation opportunities in the global equity markets, the burden for alpha will rest squarely on good stock selection.Fortunately, there are plenty of forgotten and neglected companies that are either restructuring their business or benefiting from thebetter prevailing economic climate. Either way, we believe these companies will surprise market expectations and provide those earlycontrarian investors with strong returns.


16/86


GMO 2013

GMO Intl. Active Foreign Small Companies StrategyInception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index


The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 0.9percentage points in the fourth quarter, gaining 6.7% net of fees while the benchmark rose 5.8%.

Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns. The eurozone, in which wehave an overweight, outperformed the other markets in the index.

Stock selection also outperformed the benchmark. Our holdings in the United Kingdom and Japan outperformed. Stock selection

was negative in Continental Europe.

Top Overweight Holdings2,5




2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the

S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float)of at least the local equivalent of $100 million USD. The S&P Developed ex-U.S. Small Cap Index represents the bottom 15% of available market capitalization (float) ofthe BMI in each country.



Sector Weights 5Regional Weights5

Characteristics5

GICS Sectors





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 50.75 29.30 18.91 36.24 8.00 -45.91 47.63 24.76 -15.21 21.64

Benchmark 53 .73 28.73 22.10 29.42 7 .32 -47 .67 45.07 21.96 -14.49 18.55


Alpha 4.64 0.00

Beta 0.92 1.00

R2

0.94 1.00




Price/Cash Flow - Hist 1 Yr Wtd Med 11.4 x 11.9 x





Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada

Australia/New ZealandEmerging

Cash 3.1

3.4

0.5

-5.1

-3.5

1.7

1.4

-1.6

-6 -3 0 3 6



Consumer Discretionary 26.2 % 16.9 %Consumer Staples 3.3 5.6Energy 4.5 4.4Financials 18.1 21.1Health Care 2.8 5.9Industrials 25.9 23.4Information Technology 7.6 9.1

Materials 10.8 10.2Telecom. Services 0.8 1.2Utilities 0.0 2.2-2.2

-0.4

0.6

-1.5

2.5

-3.1

-3.0

0.1

-2.3

9.3

-10 -5 0 5 10

Euromoney Inst itut ional 1.5%

Mdibnca Bnca di Crd Fnnzro 1.4%

Asciano Group 1.3%

Faurecia 1.3%

Filtrona PLC 1.2%

Credito Emiliano S.p.A. 1.2%Toll Holdings Ltd. 1.1%

Tyman Plc 1.1%

Incitec Pivot Ltd. 1.1%

Berkeley Group Holdings 1 .1%

Izumi Co. Ltd. 1.1%

James Fisher & Sons PLC 1.1%

NHK Spring Co. Ltd. 1.0%

Diamond Lease Co. Ltd. 1.0%

Sodexho Alliance S.A. 1.0%


17/86



GMO 2013


GMO Intl. Active Foreign Small Companies StrategyInception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index

The International Active Foreign Small Companies Strategy outperformed its S&P Developed ex-U.S. Small Cap benchmark by 2.9percentage points in 2013, gaining 28.9% net of fees while the benchmark rose 26.1%.

Country selection added to returns during the year. An underweight position in Canada helped performance.

Stock selection beat the benchmark in 2013. Holdings in Japan, the United Kingdom, Australia, and Korea outperformed. Stock

selection in the emerging markets hurt returns.

Outlook: Current valuations in the global equity markets reveal no large factor or group of stocks that appears substantially cheaper thananother. There is a dearth of valuation dispersion between geographies, between industries, or between styles such as small and large. Asa result of the relative lack of thematic valuation opportunity, alpha will have to be delivered via good old-fashioned stock picking. But,while average valuations between countries, sectors, and factors are in a relatively tight band, the valuation dispersion of stocks withinthose buckets is still fairly wide, meaning there are still plenty of inefficiencies and mispriced companies to provide excess profits.

In fact, we believe there are particularly cheap stocks in Europe, Japan, and Emerging Asia. In Europe, value still resides in companiesgeared to a domestic recovery. Industrials, materials, and financials that have significant business exposure to the European economyrepresent a compelling opportunity. Many of these companies are in the midst of restructuring, cutting costs, and reducing leverage.Companies that are able to achieve breakeven or even positive cash flow on currently depressed revenue levels should handsomely rewardinvestors if the European recovery becomes more robust.

The European economy remains the thing to watch. While a recovery in Europe is clearly being discounted by the equity markets,

growth is anticipated to be modest. Anything better would certainly be a surprise and markets should rally correspondingly. Theupcoming Asset Quality Review by the ECB could be a source of good news if it reveals solid balance sheets in the banking sector.Healthy capital positions combined with nascent underlying loan demand will be the true signs of a sustainable recovery in Europe.

Japan continues to pursue structural reform under Abes Three Arrows program. The most important policy remains the first arrow ofmonetary stimulus intended to create nominal asset price increases. Margins in Japan are still very low and operating leverage is so highthat, even with modest restructuring and a modicum of pricing power, corporate profits could improve dramatically. With currentearnings, valuation looks fair but if policy measures achieve their goals the market is compellingly cheap. The equity market will continueto favor those companies that should benefit from a modestly devaluing yen such as banks, retailers, and industrials. In the midst ofthese broader themes there can still be found a cohort of Japanese companies that continue their march toward greater efficiency andhigher profitability, and that will reward investors regardless of what happens in the broader economy.

In emerging markets, there is the appearance of extreme value, but those stocks that are optically cheap come with high risk. There areonly a few countries in aggregate selling below 10 times earnings and all of them are in the emerging markets: China, Russia, Turkey, andKorea. We are most excited about Korea and Turkey. Korea has been out of favor with investors for several years and, as a result, a

number of franchises with strong competitive positions can be bought on the cheap. Turkey has some isolated opportunities but it is astruggle to find enough liquidity to make these ideas impactful. In Russia, value is found primarily in the resource sector and comes withan uncomfortable amount of ongoing geopolitical risk.

China continues to be a worry for us. While the slowing economy has certainly been recognized by markets, the extent of bad loans andhidden leverage in the banking system has the potential for catastrophe. The Chinese economy has yet to fully digest the massive creditexpansion thrust upon it by policy makers after the global financial crisis. The middle kingdom could find a way to muddle through, butsystemic risk is high.

The major economic themes of 2013 are intact as we enter 2014. The United States will continue to lead other regions, mainly Europe, ina slow recovery from economic malaise. Deleveraging by U.S. consumers and European sovereign governments will still act as agovernor on growth, but a counterbalance will be provided by loose monetary policy. While Europe in particular is not out of the woods,global macroeconomic conditions have a trajectory of modest but steady improvement. China contains risk, but as long as the rest of theworld is on the mend, any trouble there should be relatively isolated.

With few thematic valuation opportunities in the global equity markets, the burden for alpha will rest squarely on good stock selection.Fortunately, there are plenty of forgotten and neglected companies that are either restructuring their business or benefiting from thebetter prevailing economic climate. Either way, we believe these companies will surprise market expectations and provide those earlycontrarian investors with strong returns.


18/86


GMO 2013

GMO International Intrinsic Value StrategyInception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index

Performance Net of Fees1 Top Ten Holdings2,5




2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely

published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85%of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCIdata may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Sector Weights 5Regional Weights5

Characteristics5

The International Intrinsic Value Strategy returned +6.8% net of fees during the fourth quarter of 2013, compared to the broad market MSCI EAFE index,which returned +5.7%, and the MSCI EAFE Value benchmark, which returned +6.3%.

In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, country allocation, and currencyallocation also added value.

On a sector basis, selection was strongest within Financials, Energy, and Utilities although our Industrials underperformed. By country, our stocks in theUnited Kingdom added the most value while those in Italy also contributed. Weak returns from our stocks in Japan and Germany detracted from returns.

Individual stock positions that were significant contributors to relative performance included overweights in energy company BP (U.K.), pharmaceuticalAstraZeneca (U.K.), and financial Banco Santander (Spain). Stock positions that detracted included overweights in auto maker Peugeot (France) and financialQBE Insurance (Australia) and an underweight in telecommunication services company Softbank (Japan).

Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, andunderweight to Consumer Staples, which did not.

Country allocation had a positive impact mainly from our underweight position in Switzerland, which underperformed, and overweight position in Spain,which outperformed.

Currency allocation helped slightly mainly from an underweight position in the Australian dollar, which declined.

Performance was not quite as good relative to the MSCI EAFE Value index, which benefited from a smaller weight in the weak Consumer Staples sector andmore exposure in the stronger Telecommunication Services and Energy sectors.

GICS Sectors



Strategy 6.81 25.62 25.62 10.72 6.99 8.45MSCI EAFE Value 3 6.26 22.95 22.95 11.99 6.77 7.39

MSCI EAFE 3 5.71 22.78 22.78 12.44 6.91 5.63


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 43.53 25.23 13.98 25.78 10.21 -40.31 21.41 7.53 -10.18 12.98MSCI EAFE Value 45.30 24.33 13.80 30.38 5 .96 -44.09 34.23 3 .25 -12.17 17.69

MSCI EAFE 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7 .75 -12.14 17.32

Royal Dutch Shell PLC 5.1%

Total S.A. 4.8%

BP PLC 3.6%

Vodafone Group PLC 3.0%

Telefonica S.A. 2.6%

AstraZeneca PLC 2.5%

ENI S.p.A. 1.9%

Banco Santander S.A. 1.7%

E.ON AG 1.6%

Enel S.p.A. 1.6%

Total 28.4%

Strategy

MSCI

EAFE Value

MSCI

EAFE

Alpha 1.70 0.00 0.00

Beta 0.83 1.00 1.00

R2

0.87 1.00 1.00

Sharpe Ratio 0.30 0.21 0.11

Strategy

M SCI

EAFE Valu e

MSCI

EAFE

Price/Earnings - Hist 1 Yr Wtd Med 13.2 x 14.0 x 17.4 x

Price/Cash Flow - Hist 1 Yr Wtd Med 5.7 x 7.6 x 11.6 x

Price/Book - Hist 1 Yr Wtd Avg 1.2 x 1.3 x 1.7 x

Return on Equity - Hist 1 Yr Med 10.2 % 9.9 % 11.3 %Market Cap- Weighted Median $Bil $31.5 $37.5 $33.5

Dividend Yield - Hist 1 Yr Wtd Avg 3.5 % 3.8 % 3.0 %


Region Against M SCI EAFE Value (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 0.3

-3.7

1.3

-1.5

-2.2

-0.3

6.3

-10 -5 0 5 10

Underweight/OverweightSector Against M SCI EAFE Value Strategy Benchmark

Consumer Discretionary 11.6 % 7.1 %Consumer Staples 3.0 5.1Energy 18.8 11.1Financials 21.9 35.4Health Care 7.4 8.0Industrials 9.6 9.0Information Technology 2.5 2.5Materials 5.9 8.4

Telecom. Services 11.5 7.6Utilities 7.9 5.82.1

3.9

-2.5

0.0

0.6

-0.6

-13.5

7.7

-2.1

4.5

-20 -10 0 10 20


19/86



GMO 2013


GMO International Intrinsic Value StrategyInception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index

The International Intrinsic Value Strategy returned +25.6% net of fees during the calendar year 2013, compared to the broad marketMSCI EAFE index, which returned +22.8%, and the MSCI EAFE Value benchmark, which returned +23.0%.

In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures andcurrency allocation also added value. Country allocation had little net impact.

On a sector basis, stock selection was strongest within Financials, Consumer Discretionary, Energy, and Materials, but weak inTelecommunication Services. By country, our stocks in the United Kingdom and France added the most value while those in Italy,Australia, and Finland also contributed. Weak returns from our stocks in Germany and Japan detracted from returns.

Individual stock positions that were significant contributors to relative performance included overweights in wireless telecomsVodafone (U.K.) and KDDI Corp. (Japan) and technology company Nokia (Finland). Stock positions that detracted includedoverweights in technology company Research In Motion (Canada), energy company Royal Dutch Shell (U.K.), and utility E.On(Germany).

Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, whichperformed well, and underweights to Materials and Consumer Staples, which did not. Overweights in the weak Energy and Utilitiessectors along with an underweight in the strong Consumer Discretionary sector detracted.

Currency allocation helped slightly, mainly from an underweight position in the Australian dollar, which declined, and overweight inthe euro, which appreciated.

Country allocation had little meaningful impact as the benefit from overweighting Japan, which outperformed, and underweightingAustralia, which underperformed, was offset by the negative impact from overweighting Italy, which underperformed.

Performance was essentially the same relative to the MSCI EAFE Value index, which benefited from a smaller weight in the weakMaterials sector but was hurt by less exposure in the strong Consumer Discretionary sector.

Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. Ourinvestment process emphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, wewill focus on finding the most undervalued opportunities offered up by market conditions.


20/86


GMO 2013

GMO International Growth StrategyInception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index





2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely

published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85%of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCIdata may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The International Growth Strategy returned +5.3% net of fees during the fourth quarter of 2013, compared to the MSCI EAFE Growth benchmark, whichreturned +5.2%, and the broad market MSCI EAFE index, which returned +5.7%.

In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE Growth while sector exposures also added value. Countryallocation and currency allocation had little impact.

On a sector basis, selection added the most value within Consumer Discretionary, Energy, Financials, Industrials, and Materials, but detracted inTelecommunication Services and Health Care. By country, our stocks in France, Sweden, and Canada added the most value. Weak returns from our stocks inJapan detracted from returns.

Individual stock positions that were significant contributors to relative performance included overweights in metals & mining company Rio Tinto (U.K./Australia) and auto maker Volkswagen (Germany) and an underweight position in financial UBS (Switzerland). Stock positions that detracted included

underweight positions in telecommunication services company Softbank (Japan) and pharmaceutical Bayer (Germany) as well as an overweight position inenergy equipment company John Wood Group (U.K.).

Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well.

Country allocation benefited from underweights to Switzerland and France, which both underperformed, but this was offset by an overweight in Norway,which trailed, and an underweight in Japan, which outperformed.

Currency allocation was helped slightly by an underweight position in the Australian dollar, which declined, but hurt by an underweight in the Swiss franc,which appreciated.



Strategy 5.30 23.56 23.56 14.03 8.69 8.71MSCI EAFE Growth

35.15 22.55 22.55 12.82 6.97 6.69

MSCI EAFE 3

5.71 22.78 22.78 12.44 6.91 7.08


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 30.40 20.03 13.16 24.56 14.35 -38.29 24.81 13.94 -8.02 19.28MSCI EAFE Growth 31.99 16.12 13.28 22.33 16.45 -42.70 29.36 12.25 -12.11 16.86

MSCI EAFE 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Roche Holding AG 3.7%

GlaxoSmithKline PLC 3.4%

Nestle S.A. 2.9%

British American Tobacco 2.5%

Toyota Motor Corp. 2.3%

Unilever N.V. 1.9%

Diageo PLC 1.7%

Novo Nordisk A/S Class B 1.6%

Rio Tinto PLC 1.4%

Hennes & Mauritz AB 1.3%

Total 22.7%

Strategy

M SCI

EAFE Gro wth

M SCI

EAFE

Alpha 2.49 0.00 0.00

Beta 0.91 1.00 1.00

R2

0.97 1.00 1.00

Sharpe Ratio 0.45 0.30 0.31

Strategy

MSCI

EAFE Growth

M SCI

EAFE

Price/Earnings - Hist 1 Yr Wtd Med 18.8 x 20.3 x 17.4 x

Earnings/Share -F'cast LT Med Growth Rate 9.5 x 10.5 x 9.2 x

Price/Book - Hist 1 Yr Wtd Avg 2.6 x 2.4 x 1.7 x

Return on Equity - Hist 1 Yr Med 18.1 % 15.1 % 11.3 %Market Cap- Weighted Median $Bil $28.0 $30.2 $33.5

Dividend Yield - Hist 1 Yr Wtd Avg 2.5 % 2.1 % 3.0 %

Underweight/OverweightSector Against M SCI EAFE Growth Strategy Benchmark



Energy 3.0 3.4





Materials 5.4 6.8Telecom. Services 4.1 3.8

Utilities 1.5 1.20.30.3

-1.4

-0.9

-4.3

4.8

-0.5

-0.4

0.2

1.8

-6 -3 0 3 6

Underweight/OverweightRegi on Agai nst M SCI EAFE Growth (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Untied States

Cash 1.8

0.2

-1.0

3.0

0.2

-3.2

6.3

-7.2

-10 -5 0 5 10


21/86



GMO 2013


GMO International Growth StrategyInception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index

The International Growth Strategy returned +23.6% net of fees during the calendar year 2013, compared to the MSCI EAFE Growthbenchmark, which returned +22.5%, and the broad market MSCI EAFE index, which returned +22.8%.

In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE Growth while sector exposures andcurrency allocation also added value. Country allocation had little impact.

On a sector basis, stock selection was strongest within Consumer Discretionary, but weak in Telecommunication Services and HealthCare. By country, our stocks in France, Sweden, Australia, and Canada added the most value. Weak returns from our stocks in Japandetracted from returns.

Individual stock positions that were significant contributors to relative performance included an underweight position in metals &mining company BHP Billiton (U.K./Australia) and overweights in financial Lloyds Banking Group (U.K.) and auto maker MazdaMotor Corp. (Japan). Stock positions that detracted included underweights in auto maker Toyota Motor Corp. (Japan) andtelecommunication services companies Softbank (Japan) and BT Group (U.K.).

Sector exposures (as a result of stock selection) added value, largely from our underweight to Materials, the weakest sector, andoverweights to Telecommunication Services and Health Care, which performed well.

Currency allocation was helped by an underweight position in the Australian dollar, which declined, but hurt somewhat by anunderweight in the Swiss franc, which also declined.

Country allocation had little meaningful impact as the benefit from underweighting Australia and France, which underperformed, wasoffset by the negative impact from overweighting Germany, which underperformed, and several other positions.

Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. Ourinvestment process emphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, wewill focus on finding the most attractive opportunities offered up by market conditions.


22/86


GMO 2013

GMO International Core Equity StrategyInception: 1/31/02; Benchmark: MSCI EAFE Index





2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published

index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, hasnot prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The International Core Equity Strategy returned +7.1% net of fees during the fourth quarter of 2013, compared to the MSCI EAFEindex, which returned +5.7%.

In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, countryallocation, and currency allocation also added value.

On a sector basis, selection was strongest within Consumer Discretionary, Utilities, Financials, Energy, and Materials although ourTelecommunication Services underperformed. By country, our stocks in the United Kingdom added the most value while those inItaly, France, and Hong Kong also contributed. Weak returns from our stocks in Japan detracted from returns.

Individual stock positions that were significant contributors to relative performance included overweights in energy company BP

(U.K.), pharmaceutical AstraZeneca (U.K.), and financial Banco Santander (Spain). Stock positions that detracted included overweightsin auto maker Peugeot (France), financial QBE Insurance (Australia), and utility Tokyo Electric Power (Japan).

Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, whichperformed well, and underweight to Consumer Staples, which did not.

Country allocation had a positive impact mainly from our underweight position in Switzerland, which underperformed.

Currency allocation helped slightly mainly from an underweight position in the Australian dollar, which declined.




35.71 22.78 22.78 12.44 6.91 7.62


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 37.67 23.28 15.58 25.56 12.13 -41.34 23.73 10.33 -9.09 14.44

Benchmark 38 .59 20.25 13.54 26.34 11.17 -43.38 31.78 7 .75 -12 .14 17.32

Total S.A. 4.3%


BP PLC 3.3%





E.ON AG 1.6%

Enel S.p.A. 1.5%

Rio Tinto PLC 1.4%

Total 25.2%


Alpha 1.81 0.00

Beta 0.95 1.00

R2

0.98 1.00


St ra teg y Ben ch ma r k


Earnings/Share - F'cast LT Med Growth Rate 8.5 x 9.2 x



Market Cap- Weighted Median $Bil $30.0 $33.5Dividend Yield - Hist 1 Yr Wtd Avg 3.4 % 3.0 %




Energy 15.9 7.3Financials 18.3 25.6

Health Care 7.5 10.0Industrials 11.7 12.9


Materials 6.1 7.6

Telecom. Services 10.9 5.7Utilities 7.6 3.54.1

5.2

-1.5

-1.0

-1.2

-2.5

-7.3

8.6

-7.1

2.8

-10 -5 0 5 10


Regi on Agai nst Benchmark (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 0.1

0.1

-3.3

1.6

-0.9

-3.3

4.3

1.5

-6 -3 0 3 6


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GMO 2013


GMO International Core Equity StrategyInception: 1/31/02; Benchmark: MSCI EAFE Index

The International Core Equity Strategy returned +26.2% net of fees during the calendar year 2013, compared to the MSCI EAFEindex, which returned +22.8%.

In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, currencyallocation, and country allocation also added value.

On a sector basis, stock selection was strongest within Consumer Discretionary, Financials, Energy, and Materials, but weak inTelecommunication Services and Health Care. By country, our stocks in the United Kingdom and France added the most value whilethose in Australia, Finland, and Hong Kong also contributed. Weak returns from our stocks in Germany and Japan detracted fromreturns.

Individual stock positions that were significant contributors to relative performance included overweights in technology companyNokia (Finland) and wireless telecom KDDI Corp. (Japan) as well as an underweight position in metals and mining company BHPBilliton (U.K./Australia). Stock positions that detracted included overweights in metals and mining company Rio Tinto (U.K./Australia) and utilities E.On (Germany) and Enel (Italy).

Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, whichperformed well, and underweights to Materials and Consumer Staples, which did not. Overweights in the weak Energy and Utilities

sectors detracted.

Currency allocation helped, mainly from an underweight position in the Australian dollar, which declined and overweight in the euro,which appreciated. Our overweight to the Japanese yen hurt somewhat.

Country allocation had a small positive impact as the benefit from our overweight position in Japan, which outperformed, andunderweights in Australia and Hong Kong, which trailed, outweighed the negative impact from overweighting Italy, whichunderperformed.

Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. Ourinvestment process emphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, wewill focus on finding the most undervalued opportunities offered up by market conditions.


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GMO 2013

GMO Currency Hedged International Equity StrategyInception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index


The Currency Hedged International Equity Strategy returned +7.3% net of fees during the fourth quarter of 2013, compared to theMSCI EAFE (Hedged) index, which returned +6.3%.

Hedging added to returns for U.S. dollar-based investors as currencies declined on average relative to the U.S. dollar in the quarter.

Among the major currencies, the Japanese yen fell by 7%, the Australian dollar by 4%, while the euro, British pound, and Swiss francall gained about 2%. The unhedged EAFE index returned +5.7%.

The Currency Hedged International Equity Strategy was invested in the International Intrinsic Value Strategy during the period. Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by the

outperformance of the International Intrinsic Value Strategy versus its style benchmark.

Top Ten Holdings2,5


Quarterly Strategy Attribut ion


2Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of

international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides nowarranties, has not prepared or approved this report, and has no liability hereunder.



Sector Weights 5

GICS Sectors

Regional Weights5

Characteristics5





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 20.96 14.77 27.32 19.31 5.88 -34.09 16.11 7.72 -9.68 16.51

Benchmark 19 .17 12.01 29.67 19.19 5 .32 -39 .77 25.67 5 .60 -12 .10 17.54


Total S.A. 4.8%

BP PLC 3.6%




ENI S.p.A. 1.9%


E.ON AG 1.6%

Enel S.p.A. 1.6%

Total 28.4%

St r at eg y Ben ch ma rk

Alpha 2.25 0.00

Beta 0.82 1.00

R2

0.88 1.00


St r at eg y Ben ch ma r k



Return on Equity - Hist 1 Yr Wtd Med 10.2 % 11.3 %





Consumer Discretionary 11.6 % 11.9 %Consumer Staples 3.0 10.9Energy 18.8 7.3Financials 21.9 25.6Health Care 7.4 10.0Industrials 9.6 12.9Information Technology 2.5 4.5

Materials 5.9 7.6Telecom. Services 11.5 5.7Utilities 7.9 3.54.4

5.8-1.7

-2.0

-3.3

-2.6

-3.7

11.5

-7.9

-0.3

-20 -10 0 10 20



Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada

Australia/New ZealandCash 1.9

-3.9

1.3

-1.6

-2.8

3.9

1.2

-6 -3 0 3 6


25/86


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GMO 2013

GMO Tax-Managed International Equities StrategyInception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax)


The Tax-Managed International Equities Strategy returned +7.1% net of fees for the fourth quarter of 2013, while the MSCI EAFE index returned+5.7%.

In the strategy, stock selection was primarily responsible for the outperformance relative

Documents

Quarterly Update 4 q 13