Gmo Q1 2014

GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S.
, developed international, and

emerging markets. For client inquiries, please contact your Client Relationship Manager. For new business inquiries, please
contact your Relationship Manager or Holly Carson at (617) 346-7501 or holly.carson@gmo.com
This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.
GMO Capabilities
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included in
this document. For information please contact GMO.
GMO U.S. Equities Page
U.S. Equity Allocation 5
GMO International Equities Page
International Active EAFE 6
International Active Foreign Small Companies 7
International Intrinsic Value 8
International Core Equity 9
Currency Hedged International Equity 10
International Small Companies*
Tax-Managed International Equities 11
GMO Emerging Equities Page
Emerging Markets 12
1
Emerging Countries*
Emerging Domestic Opportunities 13
GMO Global Equities Page
Global Focused Equity 14
Quality 15
Global Equity 16
GMO Alternative Assets Page
Resources 17
GMO Fixed Income Page
Core Plus Bond 18
International Bond 19
Currency Hedged Int'l. Bond 20
Global Bond 21
Emerging Country Debt*
Emerging Country Local Debt*
GMO Asset Allocation Page
Global Asset Allocation 22
Real Return Global Balanced Asset Alloc. 23
Benchmark-Free Allocation 24
Global Allocation Absolute Return 25
Real Return Asset Allocation 26
Global All Country Equity Allocation 27
Global Developed Equity Allocation 28
International All Country Equity Alloc. 29
International Developed Equity Allocation 30
Tax-Managed Global Balanced 31
GMO Absolute Return Page
Total Equities 32
Tactical Opportunities 33
Emerging Country Debt Long/Short*
Currency Hedge 34
Fixed Income Hedge 35
Emerging Currency Hedge 36
Mean Reversion 37
Systematic Global Macro 38
Multi-Strategy*
1
2014 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 of
management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume
the reinvestment of dividends and other income.
Copyright 2014 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any
means, without written permission from GMO.
Total Return Net of Fees Average Annual Total Return
GMO U.S. Equity Inception 1Q YTD YTD Value One Five Ten Since
Strategies/Benchmarks Date 2014 2014 Added Year Year Year Inception
U.S. Equity Allocation 2/28/89 2.12 2.12 0.31 17.63 18.05 6.55 10.80
Blended Benchmark 1.81 1.81 22.03 21.58 7.66 10.24
GMO International Equity Inception 1Q YTD YTD Value One Five Ten Since
International Active EAFE 5/31/81 -1.01 -1.01 -1.67 19.41 14.15 6.07 12.14
MSCI EAFE 0.66 0.66 17.54 16.02 6.53 9.26
Int'l. Active Foreign Small Companies 1/31/95 3.06 3.06 -0.66 23.67 23.45 11.05 11.99
S&P Developed ex-U.S. Small Cap 3.72 3.72 22.26 21.29 9.37 7.82
International Intrinsic Value 3/31/87 3.33 3.33 2.11 26.22 15.24 6.69 8.50
MSCI EAFE Value 1.22 1.22 20.17 16.11 6.41 7.37
MSCI EAFE 0.66 0.66 17.54 16.02 6.53 5.60
International Core Equity 1/31/02 2.92 2.92 2.26 25.38 16.54 7.38 9.19
MSCI EAFE 0.66 0.66 17.54 16.02 6.53 7.52
Currency Hedged International Equity 6/30/95 2.34 2.34 2.58 22.09 13.93 7.25 8.13
MSCI EAFE (Hedged) -0.24 -0.24 15.32 13.90 6.24 6.42
Tax-Managed International Equities 8/31/98 3.11 3.11 2.45 26.13 16.30 7.81 8.53
MSCI EAFE 0.66 0.66 17.54 16.02 6.53 5.46
GMO Emerging Equity Inception 1Q YTD YTD Value One Five Ten Since
Emerging Markets 12/31/93 -2.94 -2.94 -2.30 -5.91 13.01 8.93 7.73
S&P/IFCI Composite -0.64 -0.64 -0.12 15.45 11.07 5.98
MSCI Emerging Markets -0.43 -0.43 -1.21 14.48 10.11 5.40
Emerging Domestic Opportunities 3/31/11 -2.51 -2.51 -2.08 -4.40 n/a n/a 4.62
MSCI Emerging Markets -0.43 -0.43 -1.21 n/a n/a -2.86
GMO Global Equity Inception 1Q YTD YTD Value One Five Ten Since
Global Focused Equity 12/31/11 0.74 0.74 -0.35 29.49 n/a n/a 22.65
MSCI ACWI 1.08 1.08 16.58 n/a n/a 17.65
Quality 2/29/04 2.01 2.01 0.20 15.80 17.16 6.69 6.49
S&P 500 1.81 1.81 21.86 21.16 7.42 7.19
Global Equity 7/31/96 3.41 3.41 2.14 25.97 18.03 7.03 8.00
MSCI World 1.26 1.26 19.06 18.28 6.83 6.46
GMO Alternative Asset Inception 1Q YTD YTD Value One Five Ten Since
Resources 12/31/11 1.19 1.19 1.09 8.58 n/a n/a 6.57
MSCI ACWI Commodity Producers 0.10 0.10 5.55 n/a n/a 2.38
2
* 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 Fixed Income Inception 1Q YTD YTD Value One Five Ten Since
Core Plus Bond 4/30/97 3.07 3.07 1.23 0.01 10.80 4.44 6.03
Barclays U.S. Aggregate 1.84 1.84 -0.10 4.80 4.46 5.77
International Bond 12/31/93 5.19 5.19 1.89 3.70 11.50 5.08 7.14
J.P. Morgan GBI Global ex U.S. 3.31 3.31 2.32 4.29 4.42 5.66
Currency Hedged Int'l. Bond 9/30/94 4.89 4.89 1.48 2.68 10.25 4.79 7.92
J.P. Morgan GBI Global 3.41 3.41 3.77 4.84 4.97 6.86
ex-Japan ex U.S. (Hedged) +
Global Bond* 12/31/95 4.14 4.14 1.44 1.20 10.49 4.41 5.95
J.P. Morgan GBI Global 2.70 2.70 0.90 3.94 4.36 5.18
GMO Asset Allocation Inception 1Q YTD YTD Value One Five Ten Since
Global Asset Allocation 6/30/88 1.71 1.71 0.30 10.21 12.60 7.03 9.91
Real Return Global Balanced Asset Alloc. 6/30/04 1.92 1.92 0.74 10.54 10.32 n/a 7.47
Blended Benchmark 1.18 1.18 11.19 12.00 n/a 5.75
Benchmark-Free Allocation 7/31/01 1.19 1.19 0.74 8.05 10.50 8.59 11.21
CPI 0.45 0.45 1.42 2.07 2.33 2.27
Global Allocation Absolute Return 7/31/01 1.17 1.17 0.72 6.98 8.86 7.72 9.78
CPI 0.45 0.45 1.42 2.07 2.33 2.27
Real Return Asset Allocation 12/31/09 0.46 0.46 0.01 2.56 n/a n/a 0.31
CPI 0.45 0.45 1.42 n/a n/a 1.90
Global All Country Equity Allocation 12/31/93 2.00 2.00 0.91 16.70 16.38 8.14 9.44
Global Developed Equity Allocation 3/31/87 2.61 2.61 1.34 20.56 17.00 7.91 9.69
International All Country Equity Alloc. 2/28/94 1.84 1.84 1.33 16.29 15.33 7.95 7.99
International Developed Equity Allocation 11/30/91 3.24 3.24 2.58 23.31 16.36 7.82 8.79
Tax-Managed Global Balanced 12/31/02 1.64 1.64 0.12 8.75 9.68 6.43 8.03
GMO Tax-Managed Global Balanced Index 1.52 1.52 10.02 12.88 5.89 7.29
3
GMO Absolute Return Inception 1Q YTD YTD Value One Five Ten Since
Total Equities 9/30/00 1.13 1.13 1.12 15.30 5.49 3.02 6.52
Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 1.56 1.80
Tactical Opportunities 9/30/04 -2.63 -2.63 -2.64 -13.55 -16.15 n/a -6.90
Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 n/a 1.59
Currency Hedge 7/31/03 4.01 4.01 3.92 -11.59 3.47 -1.23 -0.04
J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 2.31 2.24
Fixed Income Hedge 8/31/05 4.53 4.53 4.44 -1.11 10.03 n/a -0.51
J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 n/a 2.31
Emerging Currency Hedge 3/31/06 1.78 1.78 1.69 -4.28 6.94 n/a 2.11
J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 n/a 2.17
Mean Reversion 2/28/02 0.91 0.91 0.90 -3.10 -2.23 4.20 7.40
Systematic Global Macro 3/31/02 1.89 1.89 1.88 8.56 8.00 6.49 7.54
4
As of March 31, 2014
GMO 2014
GMO U.S. Equity Allocation Strategy
Inception: 2/28/89; Benchmark: Russell 3000 Index
1
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and
other income.
2
Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.
3
The GMO blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of
S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary
slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data 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 or configuration of this
material or for any inaccuracy in GMOs presentation thereof.
4
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R
2
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.
5
The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of the
Strategy.
The U.S. Equity Allocation Strategy returned +2.1% net of fees for the first quarter of 2014, leading the +1.8% 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 500
attributable to an overweight in Health Care and underweight positions in Consumer Discretionary and Industrials. An overweight in
Consumer Staples and underweight positions in Utilities and Financials detracted.

Stock selection detracted from relative returns for the quarter. Selections in Information Technology added to relative returns while
selections in Consumer Staples, Energy, and Consumer Discretionary detracted. Individual stocks adding to relative returns in the first
quarter included overweight positions in Microsoft, Oracle, and Johnson & Johnson. Stock selections detracting from relative returns
included overweight positions in Coca-Cola, Philip Morris International, and Chevron.
Quarterly Strategy Attribution
Performance Net of Fees
1
Top Ten Holdings
2,5

Risk Profile Since 2/28/89
4
Sector Weights
5

Characteristics
5

GICS Sectors
Oracle Corp. 5.2%
Int'l. Business Machines 5.1%
Microsoft Corp. 5.0%
Johnson & Johnson 4.8%
Google Inc. (Cl A) 4.5%
Philip Morris Int'l. Inc. 4.3%
Procter & Gamble Co. 4.3%
Cisco Systems Inc. 4.1%
Chevron Corp. 3.1%
Express Scripts Holding Co 3.0%
Total 43.4%
St r at egy Benchmar k
Price/Earnings - Hist 1 Yr Wtd Med 18.5 x 19.8 x
Price/Book - Hist 1 Yr Wtd Avg 3.5 x 2.6 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.1 % 1.9 %
Return on Equity - Hist 1 Yr Med 20.2 % 16.4 %
Market Cap - Weighted Median $Bil $130.1 $46.4
Under wei ght/Over wei ght
Sect or Agai nst Benchmar k St r at egy Benchmar k
Consumer Discretionary 4.8 % 12.9 %
Consumer Staples 20.0 8.4
Energy 5.5 9.3
Financials 4.0 17.6
Health Care 22.1 13.0
Industrials 6.6 11.5
Information Technology 36.2 18.2
Materials 0.8 3.8
Telecom. Services 0.0 2.2
Utilities 0.0 3.1 -3.1
-2.2
-3.0
18.0
-4.9
9.1
-13.6
-3.8
11.6
-8.1
-20 -10 0 10 20
Tot al Ret ur n (%) Aver age Annual Tot al Retur n (%)
1Q YTD One Five Ten Since
2014 2014 Year Year Year Inception
Strategy 2.12 2.12 17.63 18.05 6.55 10.80
Benchmark
3
1.81 1.81 22.03 21.58 7.66 10.24
Annual Tot al Retur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 10.74 3.68 9.93 2.25 -27.87 20.54 7.43 9.91 12.25 27.95
Benchmark
3
11.45 5.53 15.71 5.39 -37.15 27.46 16.26 1.58 16.21 32.85
Alpha 1.70 0.00
Beta 0.83 1.00
R
2
0.92 1.00
Sharpe Ratio 0.57 0.46
5
GMO 2014
GMO International Active EAFE Strategy
Inception: 5/31/81; Benchmark: MSCI EAFE Index
1

The International Active EAFE Strategy declined 1.0% net of fees in the first quarter, 1.7 percentage points behind the MSCI EAFE
index, which returned +0.7%.

Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns, particularly an overweight
position in Italy, which outperformed in the quarter. An underweight position in Switzerland partially offset the gain.

Stock selection was behind the benchmark in the first quarter. Holdings in Japan, Australia, Continental Europe, and the emerging
markets underperformed.
Top Overweight Holdings
2,5

4

1
other income.
2
3
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published
index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Regional Weights
5

Characteristics
5

Tot al Ret ur n (%) Aver age Annual Tot al Ret ur n (%)
Strategy -1.01 -1.01 19.41 14.15 6.07 12.14
Benchmark
3
0.66 0.66 17.54 16.02 6.53 9.26
Annual Tot al Ret ur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 22.33 13.52 27.52 10.58 -41.24 25.53 5.01 -11.65 14.92 24.11
Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78
Al pha 3.71 0.00
Beta 0.82 1.00
R
2
0.84 1.00
Price/Cash Fl ow - Hist 1 Yr Wtd Med 9.9 x 10.8 x
Dividend Yiel d - Hist 1 Yr Wtd Avg 2.9 % 3.1 %
Under wei ght /Over wei ght
Regi on Agai nst Benchmar k (%)
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Australia/New Zealand
Emerging
Cash 3.2
4.5
-3.1
-2.9
-4.2
-1.2
3.8
-6 -3 0 3 6
Energy 7.8 6.9
Financials 25.8 25.6
Materials 6.6 8.1
Utilities 5.6 3.8
1.8
-0.5
-1.5
1.0
3.4
-5.2
0.2
0.9
-2.4
2.3
-6 -3 0 3 6
Sumitomo Mitsui Financial 1.8%
Eni S.p.A. 1.7%
Total S.A. 1.4%
Repsol YPF S.A. 1.3%
British American Tobacco 1.3%
Banca Popolare di Milano 1.2%
E.ON AG 1.2%
Mitsubishi Tokyo Financial 1.2%
Mazda Motor Corp. 1.2%
Rexel S.A. 1.1%
Assicurazioni Generali S.p.A. 1.1%
Criteria CaixaCorp S.A. 1.1%
Samsung Electronics Co. 1.1%
Asciano Group 1.1%
Publicis Groupe S.A. 1.1%
6
GMO 2014
GMO Intl. Active Foreign Small Companies Strategy
Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
1

The International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index by 0.7
percentage points in the first quarter, gaining 3.1% net of fees while the benchmark rose 3.7%.

Our positioning in Continental Europe added to returns, particularly an overweight position in Italy, which outperformed in the
quarter. An overweight position in Japan partially offset the gain.

Stock selection underperformed the benchmark. Our holdings in Japan, Korea, and the emerging markets underperformed. Stock
selection was positive in Canada and the United Kingdom.
Top Overweight Holdings
2,5

4

1
other income.
2
3
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the
S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float)
of at least the local equivalent of $100 million USD. The S&P Developed ex-U.S. Small Cap Index represents the bottom 15% of available market capitalization (float) of
the BMI in each country.
4
2
5
Strategy.
Sector Weights
5
Regional Weights
5

Characteristics
5

GICS Sectors
Strategy 3.06 3.06 23.67 23.45 11.05 11.99
Benchmark
3
3.72 3.72 22.26 21.29 9.37 7.82
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 29.30 18.91 36.24 8.00 -45.91 47.63 24.76 -15.21 21.64 28.92
Benchmark 28.73 22.10 29.42 7.32 -47.67 45.07 21.96 -14.49 18.55 26.06
Al pha 4.56 0.00
Beta 0.92 1.00
R
2
0.94 1.00
Price/Cash Fl ow - Hist 1 Yr Wtd Med 12.0 x 12.1 x
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Emerging
Cash
2.0
3.4
0.4
-2.6
-3.6
-2.9
-0.6
3.9
-6 -3 0 3 6
Energy 6.5 4.4
Health Care 4.6 5.8
Materials 9.9 10.3
-0.5
-0.4
-0.7
1.0
-1.2
-2.1
2.1
-2.3
6.5
-10 -5 0 5 10
Mediobanca Banca di Credito 1.6%
Capstone Mining Corp. 1.4%
Credito Emiliano S.p.A. 1.4%
Faurecia S.A. 1.3%
Incitec Pivot Ltd. 1.2%
Euler Hermes 1.2%
Rheinmetall AG 1.2%
Tyman Plc 1.1%
Asciano Group 1.1%
Altran Technologies S.A. 1.1%
Sodexho Alliance S.A. 1.1%
Filtrona PLC 1.1%
Euromoney Institutional Inve 1.1%
Aryzta AG 1.1%
Toll Holdings Ltd. 1.0%
7
GMO 2014
GMO International Intrinsic Value Strategy
Inception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index
1
Top Ten Holdings
2,5

4

1
other income.
2
3
The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85%
of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. The
MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index
comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not
prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Sector Weights
5
Regional Weights
5

Characteristics
5

The International Intrinsic Value Strategy returned +3.3% net of fees during the first quarter of 2014, compared to the broad market MSCI EAFE index,
which returned +0.7%, and the MSCI EAFE Value benchmark, which returned +1.2%.
In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Sector exposures also added value
while currency allocation did not.
Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Telecommunication Services, Energy, Financials, and Industrials
also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most significant contribution
although holdings in the U.K., Italy, and Germany also helped.
Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy company Total
(France), and auto maker Peugeot (France). Stock positions that detracted included an overweight in telecommunication services company Telefonica (Spain)
and underweight positions in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).
Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our underweight
in Japan, which underperformed. Underweights to Switzerland and Denmark, which outperformed, were a drag on returns.
Sector exposures (as a result of stock selection) added some value, mainly from our overweight to Utilities, which performed well. The negative impact from
our overweight in Telecommunication Services, which lagged, and our underweight to Health Care, which outperformed, offset that somewhat.
Currency allocation hurt slightly from an underweight position in the Australian dollar, which appreciated.
Performance was not quite as good relative to the MSCI EAFE Value index, which was helped by a bigger weighting in the stronger Utilities sector and less
exposure in the weaker Consumer Discretionary sector.
GICS Sectors
Strategy 3.33 3.33 26.22 15.24 6.69 8.50
MSCI EAFE Value
3
1.22 1.22 20.17 16.11 6.41 7.37
MSCI EAFE
3
0.66 0.66 17.54 16.02 6.53 5.60
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 25.23 13.98 25.78 10.21 -40.31 21.41 7.53 -10.18 12.98 25.62
MSCI EAFE Value 24.33 13.80 30.38 5.96 -44.09 34.23 3.25 -12.17 17.69 22.95
MSCI EAFE 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78
Total S.A. 5.5%
Royal Dutch Shell PLC 5.2%
BP PLC 3.8%
AstraZeneca PLC 2.6%
Telefonica S.A. 2.5%
ENI S.p.A. 2.5%
Sanofi-Aventis S.A. 2.2%
DaimlerChrysler AG 2.1%
E.ON AG 1.9%
Enel S.p.A. 1.9%
Total 30.2%
St r at egy
MSCI
EAFE Val ue
MSCI
EAFE
Alpha 1.78 0.00 0.00
Beta 0.83 1.00 1.00
R
2
0.87 1.00 1.00
Sharpe Ratio 0.31 0.21 0.11
St r at egy
MSCI
EAFE Val ue
MSCI
EAFE
Price/Earnings - Hist 1 Yr Wtd Med 12.8 x 13.7 x 17.0 x
Price/Cash Flow - Hist 1 Yr Wtd Med 5.8 x 7.4 x 10.8 x
Price/Book - Hist 1 Yr Wtd Avg 1.2 x 1.3 x 1.7 x
Return on Equity - Hist 1 Yr Med 10.4 % 10.1 % 11.5 %
Market Cap - Weighted Median $Bil $33.7 $37.5 $33.9
Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.8 % 3.1 %
Regi on Agai nst MSCI EAFE Val ue (%)
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Cash
0.5
-5.4
1.0
-2.4
-5.6
-3.1
15.1
-20 -10 0 10 20
Sect or Agai nst MSCI EAFE Val ue St r at egy Benchmar k
Energy 21.0 10.8
Health Care 5.9 8.3
Industrials 9.7 9.1
Materials 6.3 9.0
Utilities 10.3 6.4 3.9
5.6
-2.7
-0.6
0.6
-2.4
-19.1
10.2
-1.2
5.6
-20 -10 0 10 20
8
GMO 2014
GMO International Core Equity Strategy
1
Top Ten Holdings
2,5

4

1
other income.
2
3
The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published
index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has
not prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Regional Weights
5

Characteristics
5

The International Core Equity Strategy returned +2.9% net of fees during the first quarter of 2014, compared to the MSCI EAFE index, which
returned +0.7%.
In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Currency allocation
detracted slightly while sector exposures had little impact.
Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Telecommunication Services, Energy, Financials, Health
Care, and Industrials also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most
significant contribution although holdings in Italy, the U.K., Germany, and Japan also helped.
Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy
company Total (France), and pharmaceutical AstraZeneca (U.K.). Stock positions that detracted included an overweight in telecommunication
services company Telefonica (Spain) and underweight positions in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).
Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our
underweight in Japan, which underperformed. Our underweight to Switzerland, which outperformed, was a drag on returns.
Currency allocation hurt slightly from an underweight position in the Australian dollar, which appreciated.
Sector exposures (as a result of stock selection) had minimal impact as our overweight to Utilities, which performed well, added value. The negative
impact from our overweight in Telecommunication Services, which lagged, and our underweight to Health Care, which outperformed, offset that.
Strategy 2.92 2.92 25.38 16.54 7.38 9.19
Benchmark
3
0.66 0.66 17.54 16.02 6.53 7.52
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 23.28 15.58 25.56 12.13 -41.34 23.73 10.33 -9.09 14.44 26.15
Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78
Total S.A. 5.2%
BP PLC 3.7%
ENI S.p.A. 2.3%
E.ON AG 2.0%
Enel S.p.A. 1.9%
Total 29.9%
Al pha 1.98 0.00
Beta 0.95 1.00
R
2
0.98 1.00
Earnings/Share - F'cast LT Med Growth Rate 6.5 x 8.8 x
Energy 19.8 6.9
Materials 6.3 8.1
7.0
-1.8
-2.5
-2.5
-4.2
-11.4
12.9
-6.6
3.2
-20 -10 0 10 20
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Cash 1.1
-5.4
0.5
-1.8
-7.1
1.4
11.3
-20 -10 0 10 20
9
GMO 2014
GMO Currency Hedged International Equity Strategy
Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index
1

The Currency Hedged International Equity Strategy returned +2.3% net of fees during the first quarter of 2014, compared to the
MSCI EAFE (Hedged) index, which returned -0.2%.
Hedging detracted from returns for U.S. dollar-based investors as currencies appreciated on average relative to the U.S. dollar in the
quarter.
Among the major currencies, the Australian dollar gained 3.6%, the Japanese yen rose 2.1%, the British pound increased 0.7%, and the
euro was unchanged. The Canadian dollar fell by 3.7%. The unhedged EAFE index returned +0.7%.
The Currency Hedged International Equity Strategy was invested in the International Equity Fund 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 Equity Fund versus its style benchmark.
Top Ten Holdings
2,5

4

1
other income.
2
3
The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of
international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
warranties, has not prepared or approved this report, and has no liability hereunder.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Regional Weights
5

Characteristics
5

Strategy 2.34 2.34 22.09 13.93 7.25 8.13
Benchmark
3
-0.24 -0.24 15.32 13.90 6.24 6.42
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 14.77 27.32 19.31 5.88 -34.09 16.11 7.72 -9.68 16.51 28.21
Benchmark 12.01 29.67 19.19 5.32 -39.77 25.67 5.60 -12.10 17.54 26.67
Total S.A. 5.5%
BP PLC 3.8%
ENI S.p.A. 2.5%
E.ON AG 1.9%
Enel S.p.A. 1.9%
Total 30.2%
Alpha 2.36 0.00
Beta 0.82 1.00
R
2
0.88 1.00
Return on Equity - Hist 1 Yr Wtd Med 10.4 % 11.5 %
Energy 21.0 6.9
Materials 6.3 8.1
6.9
-1.8
-2.6
-3.2
-4.5
-9.3
14.1
-7.2
1.0
-20 -10 0 10 20
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Cash 2.7
-5.5
1.0
-2.4
-6.1
0.3
10.0
-20 -10 0 10 20
10
GMO 2014
GMO Tax-Managed International Equities Strategy
Inception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax)
1

The Tax-Managed International Equities Strategy returned +3.1% net of fees for the first quarter of 2014, while the MSCI EAFE index returned +0.7%.
In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Currency exposures detracted
slightly while sector exposures made a small positive contribution.
Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Financials, Telecommunication Services, Energy, and Industrials
also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most significant contribution
although holdings in Italy, the U.K., and Germany also helped.
Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy company Total
(France), and pharmaceutical AstraZeneca (U.K.). Stock positions that detracted included an overweight in telecommunication services company Telefonica
(Spain) and underweight position in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).
Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our underweight
in Japan, which underperformed. Our underweights to Switzerland and Denmark, which outperformed, dragged down returns.
Currency exposures hurt slightly from an underweight position in the Australian dollar, which appreciated.
Sector exposures (as a result of stock selection) added some value, mainly from our overweights to Utilities and Energy, which performed well. The negative
impact from our overweight in Telecommunication Services, which lagged, offset that somewhat.
Top Ten Holdings
2,6

GICS Sectors
5

Sector Weights
6
Regional Weights
6

Characteristics
6

1
other income.
2
3
Market conditions, tax legislation and government regulations may limit the Strategys ability to utilize tax efficient strategies. After-tax returns are calculated using the
historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investors tax
situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement.
4
The Strategy benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Manager
estimates the MSCI EAFE Indexs after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Indexs dividend yield and
to its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the MSCI EAFE Index). The MSCI EAFE (Europe,
Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of
international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or
approved this report, and has no liability hereunder.
5
2
6
Strategy.
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 24.36 16.55 25.90 13.75 -40.71 23.71 9.38 -8.18 13.37 26.55
Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78
Total S.A. 4.8%
BP PLC 3.8%
ENI S.p.A. 1.9%
E.ON AG 1.7%
Enel S.p.A. 1.5%
Total 26.7%
Alpha 3.39 0.00
Beta 0.90 1.00
R
2
0.93 1.00
Price/Cash Flow - Hist 1 Yr Wtd Med 5.8 x 10.8 x
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Emerging
Cash
3.0
9.5
-5.7
0.9
-2.3
-7.8
-0.6
3.1
-10 -5 0 5 10
Energy 21.7 6.9
Materials 4.2 8.1
Utilities 9.8 3.8
6.0
5.8
-3.9
-2.0
-3.2
-2.8
-8.4
14.8
-7.6
1.2
-20 -10 0 10 20
Before-Tax
Strategy
3
3.11 3.11 26.13 16.30 7.81 8.53
Benchmark
4
0.66 0.66 17.54 16.02 6.53 5.46
After-Tax
Strategy 3.15 3.15 25.54 15.96 7.24 7.96
Benchmark 0.25 0.25 15.74 14.83 5.51 3.76
11
GMO 2014
GMO Emerging Markets Strategy
Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index
1

The Emerging Markets Strategy fell 2.9% net of fees in the first quarter, underperforming the 0.6% drop of the S&P/IFCI Composite by 2.3%. Overall,
country/sector selection detracted 1.7% and stock selection lost 0.6%.
Emerging market equities had a poor start to the year as manufacturing in China contracted and the Federal Reserve continued with its tapering. The asset
class recouped most of its losses later in the quarter as the focus shifted to low valuations, improving current account deficits, and prospects of positive
leadership changes in some of the larger countries. Country returns varied over the quarter, ranging from a 21.2% jump in Indonesia to a 14.4% drop in
Russia. Sector returns were more clustered, varying from a 3.9% leap in Information Technology to a fall of 5.9% for Telecommunications.
Investors in the Chinese stock market are concerned about the impact of a decelerating economy. Industrial profit growth has slowed, real estate has shown
signs of weakness, and currency movements have become more volatile. New home price growth in Chinas first-tier cities slowed in January after local
governments further tightened restrictions on property investments. The yuan has weakened as the monetary authorities attempt to disabuse speculators of
the notion that the currencys appreciation will be a steady one-way bet. Our overweight in Chinese Financials and Telecommunications hurt performance.
The Indian stock market has been boosted by improving government finances, easing inflation and diminishing current account deficits. Also helping have
been expectations of a change in leadership after the elections in April-May. Our underweight in Indian Financials negatively impacted performance.
Stocks in Indonesia rose after the market was upgraded by analysts citing cheap valuations, an improving trade balance, and appropriate monetary policy.
Sentiment was also boosted as expectations rose of Joko Widodo winning the presidential election to be held in July this year. Our overweight in Indonesian
Consumer Discretionary added to performance.
Investor sentiment in the Russian stock market has been hit hard by the governments involvement in Ukraine. The United States and European Union have
imposed political and economic sanctions on Russia and investors fear the impact of further sanctions. Our overweight in Russian Energy and Financials
detracted from performance.
Stock selection detracted from performance, particularly in Brazilian Financials and Taiwan IT.
Top Ten Holdings
2,5

4

1
other income.
2
3
The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets 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.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Regional Weights
5

Characteristics
5

Strategy -2.94 -2.94 -5.91 13.01 8.93 7.73
Benchmark
3
-0.64 -0.64 -0.12 15.45 11.07 5.98
Annual Total Ret ur n (%)
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 26.54 40.15 29.51 37.22 -55.74 71.89 20.20 -16.95 15.19 -5.19
Benchmark 28.11 35.19 35.11 40.28 -53.74 81.03 20.64 -19.03 18.89 -0.57
Samsung Electronics Co. Ltd. ( 3.1%
OAO Gazprom 3.1%
Lukoil Oil Company 2.8%
China Mobile Ltd. 2.5%
Vale S.A. 2.2%
China Construction Bank 2.2%
Surgutneftegaz 2.1%
Banco do Brasil S.A. 2.1%
Ind. & Comm. Bank of China 2.0%
KGHM Polska Miedz S.A. 2.0%
Total 24.1%
Alpha 1.79 0.00
Beta 0.99 1.00
R
2
0.93 1.00
Return on Equity - Hist 1 Yr Avg 13.0 % 11.7 %
Developed
East Asia
Europe
Latin/South America
Mideast/Africa
South Asia
Cash
-0.2
-3.7
-3.8
0.7
14.3
-8.1
0.8
-20 -10 0 10 20
Energy 17.0 9.5
Health Care 0.9 2.4
Industrials 3.7 7.6
Materials 9.2 9.3
Utilities 7.5 3.2
4.3
7.7
-0.1
-4.2
-3.9
-1.5
-0.7
7.5
-6.7
-2.5
-10 -5 0 5 10
12
GMO 2014
GMO Emerging Domestic Opportunities Strategy
Inception: 3/31/11
1

The Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the worlds non-developed markets. The
Strategy uses fundamental analysis within a structured approach to select countries, sectors, and stocks that we believe are the most likely to benefit from the rising
demand for goods and services in emerging markets.
Emerging market equities had a poor start to the year as manufacturing in China contracted and the Federal Reserve continued with its tapering. The asset class
recouped most of its losses later in the quarter as the focus shifted to low valuations, improving current account deficits, and prospects of positive leadership changes in
some of the larger countries. Country returns varied over the quarter, ranging from a 21.3% jump in Indonesia to a14.5% drop in Russia. Domestic demand driven
sector returns were more clustered, varying from a 3.9% leap in Consumer Discretionary to a fall of 5.8% for Telecommunications.
The Emerging Domestic Opportunities Strategy fell 2.5% net of fees in the first quarter.
Investors in the Chinese stock market are concerned about the impact of a decelerating economy. Industrial profit growth has slowed, real estate has shown signs of
weakness, and currency movements have become more volatile. New home price growth in Chinas first-tier cities slowed in January after local governments further
tightened restrictions on property investments. The yuan has weakened as the monetary authorities attempt to disabuse speculators of the notion that the currencys
appreciation will be a steady one-way bet. Our exposure to Chinese sectors such as Financials, Industrials, and IT hurt performance.
The Indian stock market has been boosted by improving government finances, easing inflation, and diminishing current account deficits. Also helping have been
expectations of a change in leadership after the elections in April-May. Our investments in Indian sectors such as Consumer Discretionary, Financials, and Industrials
contributed to performance.
Stocks in Indonesia rose after the market was upgraded by analysts citing cheap valuations, an improving trade balance, and appropriate monetary policy. Sentiment was
also boosted as expectations rose of Joko Widodo winning the presidential election to be held in July this year. Our holdings in Indonesian Financials added to
performance.
Investor sentiment in the Russian stock market has been hit hard by the governments involvement in Ukraine. The United States and European Union have imposed
political and economic sanctions on Russia and investors fear the impact of further sanctions. Our positions in Russian sectors such as Consumer Discretionary,
Financials, and Telecommunications detracted from performance.
Top Ten Holdings
2,6

4

1
other income.
2
3
The Emerging Domestic Opportunities Strategy does not have a benchmark. The Strategy has been compared to the MSCI Emerging Markets Index in an effort to
compare and contrast the Strategy versus a broad emerging markets index. The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or
used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4
2
5
Weights are based on exposure, which will include the impact from hedges held, if any.
6
Strategy.
Characteristics
6

Strategy -2.51 -2.51 -4.40 n/a n/a 4.62
Benchmark
3
-0.43 -0.43 -1.21 n/a n/a -2.86
Colgate-Palmolive Co. 4.5%
HDFC Bank Ltd. 3.7%
Copa Holdings S.A. (Cl A) 3.5%
Nestle S.A. 2.9%
QUALCOMM Inc. 2.8%
Lupin Ltd. 2.5%
Abbott Laboratories 2.4%
British American Tobacco 2.2%
Unilever PLC 2.1%
Brilliance Chna Autmtive 2.0%
Total 28.6%
Alpha 6.78 0.00
Beta 0.76 1.00
R
2
0.83 1.00
Sharpe Ratio 0.28 -0.15
Return on Equity - Hist 1 Yr Avg 14.8 % 12.3 %
Energy 1.9 10.8
Health Care 7.9 1.7
Materials 2.0 9.4
Utilities 3.0 3.5
-0.5
1.1
-7.4
-10.7
5.4
6.2
-2.9
-8.9
13.2
4.6
-20 -10 0 10 20
GICS Sectors
Sector Weights
6
Regional Weights
5,6

Developed
East Asia
Europe
Latin/South America
Mideast/Africa
South Asia
Cash 9.0
9.9
-3.3
-7.3
-3.4
-26.1
21.1
-30 -15 0 15 30
2011 2012 2013
Strategy -8.99 24.33 3.80
Benchmark -20.06 18.22 -2.60
13
GMO 2014
GMO Global Focused Equity Strategy
Inception: 12/31/11
1

The Global Focused Equity Strategy rose 0.7% net of fees for the quarter. The Strategys reference benchmark, MSCI All Country
World index gained 1.1%.
The largest contribution to performance came from a holding in American Airlines in the United States. Having completed its merger
with US Airways, American Airlines emerges as the latest U.S.-based legacy carrier to take advantage of industry wide capacity
discipline, significant opportunities for post-merger integration synergies, and stable demand and pricing. Despite impressive price
appreciation, American remains a very cheap stock with material earnings momentum, excess cash, and we believe the ability to deliver
both positive earnings surprises and additional multiple expansion.
One of the largest detractors from performance was Aberdeen Asset Management in the United Kingdom. Investors worried about
the impact of weak emerging markets on the asset managers fund flows. In normal circumstances we would view such weakness as a
buying opportunity, but in this instance concerns about other areas of the business led us to exit our position in the stock. These
concerns centered on the impending acquisition of Scottish Widows Investment Partnership (SWIP) from Lloyds. We believe that
SWIP is a structurally weak business and that Aberdeens recent success has been attributable to an absence of acquisitions and a focus
instead on organic growth. We believe the SWIP deal dilutes the quality of underlying business and it also entails significant equity
issuance, which is unwelcome. The company may tout the deal as earnings enhancing, but this does not equate to value creation and,
in our view, SWIP is likely to continue to be dogged by substantial fund outflows, even under Aberdeens stewardship.
Top Ten Holdings
2,5

Sector Weights
5

GICS Sectors
Regional Weights
5

1
other income.
2
3
The Global Focused Equity Strategy does not have a benchmark. The Strategy has been compared to the MSCI All Country World Index in an effort to compare and
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 an
independently maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other
purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market;
5
Strategy.
Samsung Electronics Co. 3.5%
KapStone Paper & Package 2.3%
Gran Tierra Energy Inc. 2.2%
Capital Product Partners LP 2.1%
Tronox Ltd 2.1%
Hitachi Ltd. 2.1%
United Continental Holdings 2.1%
Arch Capital Group Ltd. 2.1%
American Airlines Group 2.1%
Morgan Stanley 2.1%
Total 22.7%
United States
Europe ex-UK
United Kingdom
Japan
Southeast Asia
Canada
Emerging
Cash 2.5
1.7
2.2
0.4
-1.5
0.1
-0.4
-0.5
-4.5
-6 -3 0 3 6
Energy 13.8 9.7
Materials 13.3 6.1
-2.4
7.2
2.2
0.6
-2.6
-2.1
4.1
-6.0
2.4
-10 -5 0 5 10
4
Characteristics
5

Alpha 0.81 0.00
Beta 1.24 1.00
R
2
0.85 1.00
Strategy 0.74 0.74 29.49 n/a n/a 22.65
Benchmark
3
1.08 1.08 16.58 n/a n/a 17.65
2012 2013
Strategy 19.71 31.29
Benchmark 16.13 22.80
14
GMO 2014
GMO Quality Strategy
Inception: 2/29/04; Benchmark: S&P 500 Index
1

The Quality Strategy returned +2.0% net of fees in the first quarter while developed market indexes returned +1.8% for the S&P 500 and +1.3% for MSCI
World.
Quality stocks modestly underperformed low quality stocks and generally performed in line with broad market indexes in the first quarter. The first quarter of
2014 proved to be a more challenging environment for equities than predominated in 2013. Growing concerns about growth in emerging markets, political
turmoil in the Ukraine, and softer economic data in the U.S. all dampened the appetite for risk assets during the quarter.
Large cap stocks lost to small cap stocks both within quality and the larger universe. The components of quality low leverage, stable and high profits had
mixed results for the quarter. Low leverage and high profitability lost, and low profit volatility performed better than the broader market.
Sector selection contributed to relative returns for the quarter. The Strategy saw positive returns versus the S&P 500 attributable to its overweight position in
Health Care and underweight in Consumer Discretionary. Our overweight position in Consumer Staples detracted modestly from relative returns.
Stock selection detracted from relative returns for the quarter. Selections in Consumer Staples and Energy were the primary drivers of poor relative
performance for the quarter. This was partially offset by selections within Information Technology. Individual stocks detracting from relative returns included
overweights to Coca-Cola and Philip Morris International. Stock selections contributing to relative returns included overweights in Microsoft and Oracle.
We believe that patient investors will be compensated for owning high quality companies based on their current valuations. Our investment process
emphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, we will focus on finding the most undervalued
opportunities offered up by market conditions.
Top Ten Holdings
2,4

5

Sector Weights
4

Characteristics
4

1
other income.
2
3
The 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.
4
Strategy.
5
2
GICS Sectors
Regional Weights
4

Strategy 2.01 2.01 15.80 17.16 6.69 6.49
Benchmark
3
1.81 1.81 21.86 21.16 7.42 7.19
Philip Morris Int'l. Inc. 4.8%
Oracle Corp. 4.6%
Procter & Gamble Co. 3.9%
Chevron Corp. 3.5%
Cisco Systems Inc. 3.1%
Coca-Cola Co. 3.1%
Total 42.6%
Debt/Equity - Wtd Med 0.5 x 0.8 x
Alpha 0.80 0.00
Beta 0.73 1.00
R
2
0.86 1.00
U.S. Equities
88.9%
Int'l. Equities
10.6%
Cash
0.5%
Energy 5.4 10.1
Financials 0.0 16.4
Materials 0.8 3.5
-1.6
-2.7
15.2
-4.6
10.6
-16.4
-4.7
14.7
-7.6
-20 -10 0 10 20
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 3.54 -0.79 12.69 6.04 -24.08 19.89 5.48 11.84 11.81 25.47
Benchmark 7.39 4.91 15.80 5.49 -37.00 26.46 15.06 2.11 16.00 32.39
15
GMO 2014
GMO Global Equity Strategy
Inception: 7/31/96; Benchmark: MSCI World Index
1
Top Ten Holdings
2,5

4

1
other income.
2
3
The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed
markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability
hereunder.
4
2
5
Strategy.
Sector Weights
5

GICS Sectors
Regional Weights
5

Characteristics
5

The Global Equity Strategy returned +3.4% net of fees in U.S. dollar terms for the first quarter, as compared to the MSCI World indexs +1.3% return. Our allocation
to value stocks in Europe and the U.K. was the most significant contributor to relative returns during the quarter.
Entering 2014, the prudently bullish consensus from global equity investors reasoned that, while the remarkable percentage gains of a year ago may not be repeated, there
was ample reason to believe there was room for further advance. After all, global central banks remained quite accommodative and economic indicators in key markets
continued to improve. The first three months of 2014 brought plenty of excitement, with concerns about slowing economic growth in China, the geopolitical situation in
Ukraine, and the careful balance between central bank stimulus and local economic growth in major countries around the globe providing ample headline fodder and
making for a volatile path for equity markets around the globe. The end result after all that volatility, however, was a relatively benign quarter of absolute returns. The
MSCI ACWI Indexs +1.1% quarterly return was led by strong returns from U.S. and European equities, with the S&P 500 and MSCI Europe indexes returning +1.8%
and +2.1%, respectively. Emerging markets and Japanese equities lagged during the period, with the MSCI Emerging Markets Index returning -0.4% and the MSCI
Japan Index returning -5.6%.
The strategys first quarter performance was driven most significantly by the two major valuation themes presently driving positioning: U.S. high quality and European
value. Our significant allocation to European and U.K. value companies was the principal driver of strong relative returns during the quarter, as a combination of strong
performance for European stocks in general and value stocks within Europe fueled strong returns for the group. Our allocation to U.S. high quality stocks had a small
impact on relative returns, as being underweight the U.S. market had a negative impact on returns but the high quality U.S. stocks we selected delivered modest positive
returns relative to the U.S. market.
At the individual country level, the strategy benefited from overweight positions and strong stock selection in Italy and France and strong stock selection in the United
States. Underweight positions in Switzerland and Denmark had a modest negative impact on relative returns.
At the sector level, the strategy benefited from an underweight position and stock selection in Consumer Discretionary and stock selection in Utilities, Industrials, and
Information Technology. Stock selection within Materials had a negative impact on relative returns.
At the individual security level, European value companies and U.S. high quality names accounted for the strategys strongest performers during the period, with
overweight positions in Enel, Total, GDF Suez, Microsoft, and Fiat among the leading contributors to relative return. Overweight positions in U.S. energy firm Chevron
and Japanese materials company JFE Holdings and not owning Danish health care firm Novo Nordisk were the leading individual security detractors from relative
returns during the period.
Over the quarter, we added an allocation to Emerging Markets equities, with the majority of the increased weight in Emerging coming from a reduction in our U.S.
allocation. From a positioning perspective we continue to favor high quality stocks in the U.S. and value stocks within Europe/U.K. and Emerging due to the
comparatively attractive valuations of these groups.
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.95 11.08 21.19 6.16 -38.72 24.61 10.40 -3.28 12.01 29.42
Benchmark 14.72 9.49 20.07 9.04 -40.71 29.99 11.76 -5.54 15.83 26.68
Total S.A. 2.3%
Oracle Corp. 1.9%
Wells Fargo & Co. 1.8%
JPMorgan Chase & Co. 1.8%
BP PLC 1.8%
Total 19.8%
Alpha 1.85 0.00
Beta 0.92 1.00
R
2
0.95 1.00
Return on Equity - Hist 1 Yr Wtd Med 12.2 % 14.2 %
Energy 13.5 9.5
Materials 4.7 5.7
Utilities 5.1 3.3
1.8
3.2
-1.0
4.0
-3.6
-1.1
-4.5
4.0
-1.0
-1.7
-6 -3 0 3 6
Strategy 3.41 3.41 25.97 18.03 7.03 8.00
Benchmark
3
1.26 1.26 19.06 18.28 6.83 6.46
North America
Europe ex-UK
United Kingdom
Japan
Pacific ex-Japan
Emerging
Cash 1.5
10.0
-3.9
-0.9
0.6
9.2
-16.6
-20 -10 0 10 20
16
GMO 2014
GMO Resources Strategy
Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index
1

The Resources Strategy returned +1.2% net of fees during the first quarter of 2014 while the MSCI ACWI Commodity Producers
returned +0.1%.
The Resources Strategy is currently focused on stocks that should benefit from a rise in natural resource prices. That focus has the
Strategy invested primarily in companies with interests in Energy, Agriculture, and Industrial Metals.
Stock selection contributed to returns, particularly in Energy, where our holdings outperformed. Our Materials holdings detracted
somewhat.
Individual stock positions that were significant contributors to relative performance included an overweight position in energy
company Petrobras (Brazil) and underweight positions in energy companies ExxonMobil (U.S.) and BG Group (U.K.). Stocks that
detracted from relative performance included an overweight position in metals and mining company Vale (Brazil) and underweight
positions in energy companies EOG Resources (U.S.) and Canadian Natural Resources (Canada).
Sector exposures also helped relative returns mainly from our overweight to Utilities, which outperformed, but also from our
underweight to Materials, which underperformed.
Top Ten Holdings
2,5

1
other income.
2
3
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of listed large and mid capitalization commodity producers within the global developed and emerging markets. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
4
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market;
5
Strategy.
Sector Weights
5

GICS Sectors
Country Weights
5

Characteristics
5

Strategy 1.19 1.19 8.58 n/a n/a 6.57
Benchmark
3
0.10 0.10 5.55 n/a n/a 2.38
Earnings/Share - F'cast LT Med Growth Rate 6.5 x 6.5 x
Count r y Agai nst Benchmar k (%) St r at egy Benchmar k
United States 17.5 38.4 %
United Kingdom 14.4 18.6
Japan 11.4 1.8
Russia 9.8 3.4
Norway 7.2 1.2
Brazil 6.1 2.9
France 6.0 4.1
Spain 5.7 0.6
Italy 4.1 1.7
China 3.5 2.8
Other 13.4 24.8
Cash 1.2 0.0 1.2
-11.4
0.7
2.4
5.1
1.9
3.2
6.0
6.4
9.6
-4.2
-20.9
-30 -15 0 15 30
Energy 59.6 69.0
Financials 0.1 0.0
Health Care 0.0 0.0
Materials 17.7 29.3
0.0
-11.6
0.0
13.1
0.0
0.1
-9.4
1.5
0.0
-20 -10 0 10 20
Total S.A. 4.3%
Petroleo Brasileiro S/A 4.0%
BP PLC 3.9%
Chevron Corp. 3.8%
Lukoil Oil Company 3.7%
OAO Gazprom 3.7%
Exxon Mobil Corp. 3.2%
Statoil ASA 2.6%
Repsol YPF S.A. 2.4%
Total 36.5%
4

Alpha 4.04 0.00
Beta 1.06 1.00
R
2
0.96 1.00
2012 2013
Strategy 9.23 4.39
Benchmark 1.96 3.31
17
GMO 2014
GMO Core Plus Bond Strategy
Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index
1

The Core Plus Bond Strategy returned +3.1% net of fees during the first quarter, outperforming the +1.8% return of its benchmark,
the Barclays U.S. Aggregate index, by 1.2%. Tightening spreads across most sectors and falling yields on the long end of the U.S.
Treasury curve contributed positively to index performance.

While the overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by only 1 basis point during the quarter,
spreads tightened by as much as 19 basis points (CMBS). Only MBS spreads and triple-A credit spreads widened, by 4 basis points and
1 basis point, respectively.

U.S. interest rates were mixed, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 28
basis points to end the quarter at 2.7%, while 2year yields rose by 5 basis points to end the quarter at 0.4%.

Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Strategy (DOF) and GMO World Opportunity
Overlay Strategy (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection,
developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy
also contributed during the quarter.
3

1
other income.
2
The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one
year and rated investment grade or higher.
3
2
4
Strategy.
5
Regional weights are duration adjusted.
Currency Weights
4
Regional Weights
4,5

Characteristics
4

Strategy 3.07 3.07 0.01 10.80 4.44 6.03
Benchmark
2
1.84 1.84 -0.10 4.80 4.46 5.77
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 6.59 3.95 5.76 -1.01 -18.00 20.90 13.24 9.89 9.07 0.07
Benchmark 4.34 2.43 4.33 6.97 5.24 5.93 6.54 7.84 4.22 -2.03
Alpha -0.11 0.00
Beta 1.11 1.00
R
2
0.50 1.00
Modified Duration 5.0
Coupon 3.7 %
Maturity 7.3 Yrs.
Yield to Maturity 3.2 %
Emerging Cntry Debt Exp. 5 %
Agai nst Benchmar k (%)
Europe
North America
Pacific
Emerging
4.5
-15.9
4.7
1.1
-20 -10 0 10 20
Europe
North America
Pacific
1.4
0.5
-1.9
-4 -2 0 2 4
18
GMO 2014
GMO International Bond Strategy
Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index
1

The International Bond Strategy returned +5.2% net of fees in the first quarter, outperforming the J.P. Morgan GBI Global ex U.S.
index return of +3.3% by 1.9%. The 22-basis-point fall in the index yield accounted for the bulk of positive index returns, with the
U.S. dollars fall versus most developed currencies contributing to gains.
Government bond markets rose during the first quarter of 2014, with most of the gains coming in January during the wobble in risk
assets. After rising sharply into year end, the yield on the J.P. Morgan Global Bond index declined from 2.2% to 2.0% in January, as a
sharp fall in global equities increased demand for safe-haven assets. For the rest of the quarter, the yield ranged +/- 5 bps around 2%.
In local currency bond index terms, gains were the highest in Sweden (+2.7%), and the lowest in Japan (+0.8%). In other bond
markets, the euro area, U.K., Canada, Switzerland, and Australia posted total return gains of +1.2% to +2.6%.
Global yield curves (measured by the difference between 10-year and 2-year swap rates) flattened in Q1, with Canada and the euro area
flattening the most.
In currencies, foreign currencies were mixed against the dollar during the quarter. New Zealand dollar led gains, +5.4%, as the
Reserve Bank became the first major central bank to raise policy interest rates since the global financial crisis six years ago. Australian
dollar was close behind, +3.6%, also buoyed by relative interest-rate differentials. On the other hand, Canadian dollar was weak, -
3.7%, as the slowdown in the Chinese economy threatened the countrys terms of trade. The yen, which had been weak throughout
much of 2013, staged a partial rebound, +2.1% during the quarter.
Central banks of the countries in the Strategys opportunity set reported no policy rate changes during the quarter.
Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Strategy (DOF) and GMO World Opportunity
Overlay Strategy (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection,
developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy
also contributed during the quarter.
3

1
other income.
2
The J.P. Morgan GBI Global ex U.S. Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of one
year or more.
3
2
4
Strategy.
5
Currency Weights
4
Regional Weights
4,5

Characteristics
4

Coupon 3.2 %
Maturity 9.1 Yrs.
Europe
North America
Pacific 0.8
2.1
-2.9
-4 -2 0 2 4
Strategy 5.19 5.19 3.70 11.50 5.08 7.14
Benchmark
2
3.31 3.31 2.32 4.29 4.42 5.66
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 14.88 -8.08 9.33 3.66 -13.95 20.59 15.18 6.71 6.21 -0.57
Benchmark 12.04 -9.24 6.84 11.30 11.39 3.94 6.78 5.91 0.85 -5.08
Alpha 1.61 0.00
Beta 0.96 1.00
R
2
0.76 1.00
Europe
North America
Pacific
Emerging 4.1
-17.5
14.9
0.6
-20 -10 0 10 20
19
GMO 2014
GMO Currency Hedged International Bond Strategy
Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) Index
1

The Currency Hedged International Bond Strategy returned +4.9% net of fees in the first quarter, outperforming the J.P. Morgan GBI
Global ex Japan ex U.S. (Hedged) index total return of +3.4% by 1.5%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S.
(Hedged) index fell by 36 basis points during the quarter.
Developed markets currency selection contributed positively during the first quarter, leading gains. Exposures to asset-backed
securities held indirectly through GMO Debt Opportunities Strategy and GMO World Opportunity Overlay Strategy, developed
markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also
contributed during the quarter.
3

1
other income.
2
The J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)+ is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan GBI Global ex U.S.
(Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) thereafter.
3
2
4
Strategy.
5
Currency Weights
4
Regional Weights
4,5

Characteristics
4

Strategy 4.89 4.89 2.68 10.25 4.79 7.92
Benchmark
2
3.41 3.41 3.77 4.84 4.97 6.86
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 8.91 7.25 2.45 -4.00 -13.56 18.81 11.70 7.97 11.34 0.14
Benchmark 6.73 6.54 1.79 3.42 9.22 2.90 3.71 6.10 8.07 0.65
Alpha 1.14 0.00
Beta 0.98 1.00
R
2
0.38 1.00
Coupon 4.4 %
Maturity 9.3 Yrs.
Europe
North America
Pacific 1.3
-0.4
-0.8
-4 -2 0 2 4
Europe
North America
Pacific
Emerging 4.4
-15.7
15.3
1.0
-20 -10 0 10 20
20
GMO 2014
1

GMO Global Bond Strategy
Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index
The Global Bond Strategy returned +4.1% net of fees during the first quarter, outperforming the J.P. Morgan GBI Global index return
of +2.7% by 1.4%. The 19-basis-point fall in the index yield accounted for the bulk of positive index returns, with the U.S. dollars fall
versus most developed currencies contributing to gains.
Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Fund (DOF) and GMO World Opportunity
Overlay Fund (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection, developed
markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also
contributed during the quarter.
3

1
other income. 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.
2
The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of
one year or more.
3
2
4
Strategy.
5
Currency Weights
4
Regional Weights
4,5

Characteristics
4

Strategy 4.14 4.14 1.20 10.49 4.41 5.95
Benchmark
2
2.70 2.70 0.90 3.94 4.36 5.18
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 12.12 -5.84 7.94 2.58 -14.93 20.30 14.14 8.30 6.36 -2.56
Benchmark 10.10 -6.53 5.94 10.81 12.00 1.91 6.42 7.22 1.30 -4.50
Alpha 0.91 0.00
Beta 0.94 1.00
R
2
0.68 1.00
Coupon 3.2 %
Maturity 8.1 Yrs.
Europe
North America
Pacific
Emerging 4.1
-16.6
11.9
0.5
-20 -10 0 10 20
Europe
North America
Pacific 0.9
2.3
-3.2
-4 -2 0 2 4
21
GMO 2014
GMO Global Asset Allocation Strategy
Inception: 6/30/88; Benchmark: GMO Global Asset Allocation Index
1
other income.
2
The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist
of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each
underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI
data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
Strategy.
4
2
1

The Global Asset Allocation Strategy finished the quarter up 1.7% net of fees, ahead of its benchmark by 0.3%. Asset allocation detracted from performance
while implementation contributed to performance.
Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55
billion per month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate.
Overall, the Feds March statement has generally been interpreted as hawkish. President Putins annexation of Crimea leaves investors wondering what fallout,
if any, is coming; Russian equities and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first
quarter of 2014. The U.S. equity market maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back
by poor returns in Japan. The quarter saw very mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall.
U.S. bond yields were down during the quarter; the 10-year Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.
Asset allocation detracted 0.6% from performance. The portfolio was underweight equity and fixed income while both the MSCI ACWI and the Barclays U.S.
Aggregate delivered positive performance.
Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity
allocation in the portfolio. During the first quarter we reallocated approximately 4% from equities into TIPS, bringing the equity allocation to roughly 58%.
We favor TIPS for their positive real yield and protection from unexpected inflation.
Implementation delivered +0.9% during the quarter. Several underlying strategies contributed to this outperformance. The international equity portfolio
outperformed MSCI EAFE Value due to country selection (in particular overweights to Italy and Spain) and security selection. However, this positive
performance was partially offset by our position in emerging markets equity. Specifically, the allocation to Russian energy stocks (the portfolios largest active
weight position) performed poorly during the quarter due to geopolitical events in that region.
4

Strategy Composition
3

Strategy Weights Relative to Benchmark
3

Benchmark Composition
(65% MSCI ACWI / 35% Barclays U.S. Aggregate)
Strategy 1.71 1.71 10.21 12.60 7.03 9.91
Benchmark
2
1.41 1.41 10.60 13.44 5.96 8.23
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 13.55 9.06 12.30 7.94 -20.83 24.15 7.93 2.13 11.11 12.38
Benchmark 10.26 5.99 13.41 9.26 -27.72 24.14 11.05 -1.80 12.13 13.60
Alpha 2.68 0.00
Beta 0.79 1.00
R
2
0.86 1.00
U.S. Equities
31.9%
International
Equities
26.3%
Emerging
Equities
6.8%
Fixed Income
35.0%
U.S. Equity
key exposure to
U.S. Quality
19.3%
International Equity
key exposure to
European/UK Value
27.1%
Risk
Premium
2.5%
Emerging
Markets
8.6%
Strategic
Fixed Income
4.5%
Emerging
Country Debt
3.7%
TIPS
13.4%
ABS
3.8%
Alpha Only
9.4%
Alternativ e
Asset Opportunity
5.3%
Special
Situations
0.5%
Cash & Cash
Equiv alents
1.9%
-12.6%
+3.3% +1.8%
-9.6%
+17.1%
-20%
-10%
0%
10%
20%
U.S. Equities Int'l. Equities Emerging
Equities
Fixed Income Other
22
GMO 2014
GMO Real Return Global Balanced Asset Allocation Strategy
Inception: 6/30/04; Benchmark: Blended Benchmark
1
other income.
2
The GMO blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each
market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
3
Strategy.
4
2
1

The Real Return Global Balanced Asset Allocation Strategy returned +1.9% net of fees in the quarter, outperforming its benchmark by 0.7%. Implementation was the
driver of outperformance.
Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55 billion per
month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate. Overall, the Feds March
statement has generally been interpreted as hawkish. President Putins annexation of Crimea leaves investors wondering what fallout, if any, is coming; Russian equities
and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first quarter of 2014. The U.S. equity market
maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very
mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year
Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.
Asset allocation detracted modestly from performance during the quarter. The portfolio was underweight equity and fixed income while both the MSCI World index and
the Barclays U.S. Aggregate delivered positive performance. Likewise, the emerging markets equity exposure was a detractor.
Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation
in the portfolio. During the first quarter we reallocated approximately 4% from equities into TIPS; the current equity allocation is roughly 52%. We favor TIPS for their
positive real yield and protection from unexpected inflation. Also, during the quarter, we increased the allocation to emerging markets equity to approximately 8%. As
the emerging markets have not participated in the general market rally, they have become our highest expected return asset class.
Implementation delivered over +1.0% during the quarter. Several underlying strategies contributed to this outperformance. The international equity portfolio
outperformed MSCI EAFE Value due to country selection (in particular overweights to Italy and Spain) and security selection. However, this positive performance was
partially offset by emerging markets equity. In particular, the allocation to Russian energy stocks (the portfolios largest active weight position) performed poorly during
the quarter due to geopolitical events in that region. Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic
Global Macro Strategy (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross-market
positioning).
4

3

3


(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% Barclays U.S. Agg.)
Strategy 1.92 1.92 10.54 10.32 n/a 7.47
Benchmark
2
1.18 1.18 11.19 12.00 n/a 5.75
Alpha 3.26 0.00
Beta 0.63 1.00
R
2
0.79 1.00
U.S. Equities
32.9%
International
Equities
27.1%
Fixed Income
20.0%
Cash
20.0%
U.S. Equity
key exposure to
U.S. Quality
17.6%
key exposure to
European/UK Value
24.5%
Risk
Premium
2.2%
Emerging
Markets
8.0%
Strategic
Fixed Income
0.6%
Emerging
Country Debt
3.0%
TIPS
11.5%
ABS
2.6%
Cash & Cash
Equiv alents
0.1%
Multi-Strategy
30.0%
-15.3%
+7.6%
-2.3%
+10.1%
-20%
-10%
0%
10%
20%
U.S. Equities Int'l. Equities Fixed Income Absolute Return
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 10.11 8.09 13.26 7.63 -11.36 13.02 5.00 3.16 10.65 13.68
Benchmark 7.45 6.82 13.69 7.87 -25.17 19.17 8.94 -1.76 10.42 14.95
23
GMO 2014
GMO Benchmark-Free Allocation Strategy
Inception: 7/31/01; Benchmark: Consumer Price Index
1
other income.
The chart above shows the past performance of the Benchmark-Free Allocation Composite (the Composite). Prior to January 1, 2012, the accounts in the Composite
served as the principal component of a broader real return strategy. Beginning January 1, 2012, accounts in the composite have been managed as a standalone investment.
2
The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is published monthly by the U.S. government as an indicator of changes in price levels (or
inflation) paid by urban consumers for a representative basket of goods and services.
3
Strategy.
4
Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative
cumulative portfolio return from peak to trough. Risk profile data is net.
1

The Benchmark-Free Allocation Strategy returned +1.2% net of fees in the quarter. Asset allocation and implementation both contributed to positive
performance.
Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at
$55 billion per month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed
Funds Rate. Overall, the Feds March statement has generally been interpreted as hawkish. President Putins annexation of Crimea leaves investors
wondering what fallout, if any, is coming; Russian equities and the ruble both suffered during the quarter. Global stock and bond markets delivered
modest returns during the first quarter of 2014. The U.S. equity market maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the
U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very mixed performance across the emerging markets, with the
MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year Treasury yield fell from 3.00% to 2.72%,
and the 10-year TIPS yield fell from 0.80% to 0.60%.
All portfolio allocations, with the exception of emerging markets equity, contributed modestly to the total return during the quarter.
Quality contributed positive absolute return this quarter as it kept up with the broader U.S. equity market. Value stocks outperformed growth stocks
in international developed markets. The international value allocation also added value through country selection (in particular overweights to Italy
and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance during the quarter. In particular, the
allocation to Russian energy stocks (the portfolios largest active weight position) performed poorly during the quarter due to the geopolitical events in
the region.
The TIPS position added to performance during the quarter as real yields came down. The credit allocation (ABS and emerging country debt) likewise
contributed modestly to return as did the Alpha Only and Alternative Asset Opportunity Strategies. Alpha Only, which goes long an active equity
portfolio but shorts out the beta, performed well this quarter, benefiting from the selection of quality (which kept up with the equity market, and
hence outperformed its beta) and international value (which outperformed international growth, and benefited from positive security selection).
Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing
the equity allocation in the portfolio. During the first quarter we decreased the equity exposure by about 5%, bringing the current equity allocation to
about 49%. We reallocated most of that capital to TIPS. We favor TIPS for their positive real yield and protection from unexpected inflation.
During the quarter we also removed the currency hedge on international value equities. In 2013, the U.S. dollar was cheap relative to other developed
market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today, we believe
that the dollar is roughly fairly valued.
4

Absolute Strategy Weights
3
3

Strategy 1.19 1.19 8.05 10.50 8.59 11.21
Benchmark
2
0.45 0.45 1.42 2.07 2.33 2.27
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.96 16.32 12.75 10.93 -12.07 19.86 4.58 3.60 10.35 11.24
Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56
St r at egy
Std. Deviation 8.30
Sharpe Ratio 1.16
Drawdown
(10/31/07-2/28/09)
-19.34
U.S. Equity
key exposure
to U.S. Quality
16.0%
key exposure to
European/UK Value
18.0%
Emerging
Equities
10.0% Risk
Premium
5.0%
TIPS
14.0%
ABS &
Credit
5.0%
Emerging
Country Debt
4.0%
Alpha Only
14.0%
Alternativ e
Asset Opportunity
8.0%
Cash & Collateral
6.0%
+49.0%
+14.0%
+9.0%
+22.0%
6.0%
0%
20%
40%
60%
Equities Fixed Income Credit Absolute
Return
Cash
24
GMO 2014
GMO Global Allocation Absolute Return Strategy
1
other income.
2
The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or
3
Strategy.
4
1

The Global Allocation Absolute Return Strategy returned +1.2% net of fees in the quarter. Asset allocation and implementation both contributed to
positive performance.
Funds Rate. Overall, the Feds March statement has generally been interpreted as hawkish. President Putins annexation of Crimea leaves investors
All portfolio allocations, with the exception of emerging markets equity, contributed modestly to the total return during the quarter.
Quality contributed positive absolute return this quarter as it kept up with the broader U.S. equity market. Value stocks outperformed growth stocks
in international developed markets. The international value allocation also added value through country selection (in particular overweights to Italy
and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance during the quarter. In particular, the
allocation to Russian energy stocks (the portfolios largest active weight position) performed poorly during the quarter due to the geopolitical events in
the region.
The TIPS position added to performance during the quarter as real yields came down. The credit allocation (ABS and emerging country debt)
likewise contributed modestly to return as did the Alpha Only and Alternative Asset Opportunity Strategies. Alpha Only, which goes long an active
equity portfolio but shorts out the beta, performed well this quarter, benefiting from the selection of quality (which kept up with the equity market,
and hence outperformed its beta) and international value (which outperformed international growth, and benefited from positive security selection).
Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Strategy (due to
strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross-market positioning).
Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing
the equity allocation in the portfolio. During the first quarter we decreased the equity exposure by about 5%, bringing the current equity allocation to
about 49%. We reallocated most of that capital to TIPS. We favor TIPS for their positive real yield and protection from unexpected inflation.
During the quarter, we also removed the currency hedge on the international value equities. In 2013, the U.S. dollar was cheap relative to other
developed market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today,
we believe that the dollar is roughly fairly valued.
4

3
3

Strategy 1.17 1.17 6.98 8.86 7.72 9.78
Benchmark
2
0.45 0.45 1.42 2.07 2.33 2.27
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 15.29 13.54 11.01 9.99 -7.19 14.92 3.02 4.22 9.42 10.04
Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56
St r at egy
Std. Deviation 6.73
Sharpe Ratio 1.22
Drawdown
(10/31/07-2/28/09)
-12.38
U.S. Equity
key exposure to
U.S. Quality
16.1%
key exposure to
European/UK Value
18.5%
Risk
Premium
5.0%
Emerging
Markets
9.6%
Strategic
Fixed Income
1.6%
Emerging
Country Debt
3.6%
Asset
Allocation Bond
13.4%
Debt Opportunities
3.3%
U.S. Treasury
1.4%
Alternativ e
Asset Opportunity
3.4%
Alpha Only
3.8%
Special
Situations
0.4%
Multi-Strategy
20.0%
+49.2%
+23.2%
+27.7%
0%
20%
40%
60%
Equities Fixed Income Absolute Return
25
GMO 2014
1

GMO Real Return Asset Allocation Strategy
1
other income.
2
The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or
3
4
Strategy.
The Real Return Asset Allocation Strategy returned +0.5% net of fees in the quarter.
Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55 billion per
month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate. Overall, the Fed's March
statement has generally been interpreted as hawkish. President Putin's annexation of Crimea leaves investors wondering what fallout, if any, is coming; Russian equities
and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first quarter of 2014. The U.S. equity market
maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very
mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year
Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.
All long exposures, with the exception of emerging markets equity, contributed modestly to the total return during the quarter. U.S. high quality stocks contributed
positive absolute return this quarter. Value stocks outperformed growth stocks in international developed markets. The international value allocation also added value
through country selection (in particular overweights to Italy and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance
during the quarter. In particular, the allocation to Russian energy stocks (the portfolio's largest active weight position) performed poorly during the quarter due to the
geopolitical events in the region. The credit allocation (ABS and emerging country debt) likewise contributed modestly to return.
Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the long equity
allocation in the portfolio. Also, during the quarter, we removed the currency hedge on the international value equities. In 2013, the U.S. dollar was cheap relative to
other developed market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today, we believe
that the dollar is roughly fairly valued.
The equity spread trades and currency positions were additive while the rates spread trades detracted from return. Volatility-balanced quality added to performance as
quality kept up with the S&P 500 and therefore outperformed its beta. The China equity hedge also added value during the quarter. The Antipodean bond trade
detracted from performance as yields fell less in Australia and New Zealand than they did in the global bond markets. Both the long Indian rupee and the short Chinese
yuan currency trades were additive during the quarter.
Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Fund (due to strong equity market
positioning, long Europe and short Asia), and Fixed Income Hedge Fund (due to positive cross-market positioning). Likewise, the Credit Opportunities Fund added
value.
Relative Value
4

4

Currencies
4

3

4

St r at egy
Std. Deviation 6.01
Sharpe Ratio 0.04
Drawdown
(12/31/09-6/30/10)
-12.96
Exposur e (%)
Euro
Swiss Franc
Indian Rupee
Asian Currency Basket
-5
5
-4
4
Strategy 0.46 0.46 2.56 n/a n/a 0.31
Benchmark
2
0.45 0.45 1.42 n/a n/a 1.90
2010 2011 2012 2013
Strategy -11.89 1.87 6.53 5.48
Benchmark 1.25 2.95 1.87 1.56
Exposur e (%)
U.S. Equity
-Key exposure to U.S. Quality
-Key exposure to European/UK Value
Emerging ex-China
Equity Risk Premium
ABS & Credit
Emerging Debt
Credit Opportunities
Multi-Strategy
20.0
3.0
4.0
5.0
5.0
10.0
18.0
16.0
-30 -15 0 15 30
Exposur e (%)
Vol Balanced Quality
Vol Balanced Emerging
Vol Balanced Anti-China
Global 10-Yr. Bonds*
Japanese 10-Yr. Bonds*
Antipodean 10-Yr. Bonds*
Global 10-Yr. Bonds*
-3
3
30
-13
8
-17
15
+49.0%
+9.0%
+23.0%
0%
20%
40%
60%
Equities Fixed Income Absolute Return
26
GMO 2014
GMO Global All Country Equity Allocation Strategy
Inception: 12/31/93; Benchmark: MSCI All Country World Index
1
other income.
2
The GMO blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
3
Strategy.
4
2
1

The Global All Country Equity Allocation Strategy returned +2.0% net of fees for the quarter, as compared to the MSCI ACWIs +1.1% return.
Asset allocation and implementation each made a positive contribution to relative returns during the period.
Entering 2014, the prudently bullish consensus from global equity investors reasoned that, while the remarkable percentage gains of a year ago may
not be repeated, there was ample reason to believe there was room for further advance. After all, global central banks remained quite accommodative
and economic indicators in key markets continued to improve. The first three months of 2014 brought plenty of excitement, with concerns about
slowing economic growth in China, the geopolitical situation in Ukraine, and the careful balance between central bank stimulus and local economic
growth in major countries around the globe providing ample headline fodder and making for a volatile path for equity markets around the globe. The
end result after all that volatility, however, was a relatively benign quarter of absolute returns. The MSCI ACWIs +1.1% quarterly return was led by
strong returns from U.S. and European equities, with the S&P 500 and MSCI Europe indexes returning +1.8% and +2.1%, respectively. Emerging
markets and Japanese equities lagged during the period, with the MSCI Emerging Markets index returning -0.4% and the MSCI Japan index returning
-5.6%.
Asset allocation decisions had a positive impact on performance, driven primarily by an allocation to international equities. Our allocation to
emerging markets detracted from relative returns.
Implementation also had a positive impact on performance during the quarter. The main source of positive implementation effect was International
Equity, which outperformed MSCI EAFE and MSCI EAFE Value by a strong margin. This strong relative performance was driven by a significant
allocation to European and U.K. value companies. Implementation had a small impact in the U.S., as high quality U.S. stocks delivered modest
returns relative to U.S. indexes. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian
Energy and Brazil Materials were the most significant detractors.
Over the quarter, we made incremental changes to the portfolio allocation. Reflecting the comparatively attractive return opportunities in European
and U.K. value stocks, we increased our allocation to International equities, reducing U.S. equity exposure.
4

3

3


(MSCI ACWI)
Strategy 2.00 2.00 16.70 16.38 8.14 9.44
Benchmark
2
1.09 1.09 16.90 18.12 6.89 7.57
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.62 12.51 18.87 11.12 -31.41 24.19 10.12 -1.29 14.74 21.33
Benchmark 14.86 9.95 20.34 10.38 -41.82 34.45 12.94 -6.87 16.34 23.46
Alpha 2.72 0.00
Beta 0.82 1.00
R
2
0.91 1.00
U.S. Equities
49.0%
Developed
Int'l. Equities
40.5%
Emerging Markets
10.5%
U.S. Equity
key exposure
to U.S. Quality
39.8%
key exposure to
European/UK Value
46.7%
Emerging
Markets
13.5%
-9.2%
+6.2%
+3.0%
-10%
-5%
0%
5%
10%
U.S. Equities International Equities Emerging Equities
27
GMO 2014
GMO Global Developed Equity Allocation Strategy
Inception: 3/31/87; Benchmark: MSCI World Index
1
other income.
2
The GMO blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may
not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
Strategy.
4
2
1

The Global Developed Equity Allocation Strategy returned +2.6% net of fees for the quarter, as compared to the MSCI World indexs +1.3% return.
Asset allocation and implementation each made a positive contribution to relative returns during the period.
-5.6%.
Asset allocation decisions had a positive impact on performance, driven primarily by allocations to international equities and emerging equities.
allocation to European and U.K. value companies. Implementation had a small impact in the U.S., as high quality U.S. stocks delivered modest
returns relative to U.S. indexes. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian
Energy and Brazil Materials were the most significant detractors.
Over the quarter, we increased our allocation to emerging market equities, with the majority of the increased weight in emerging coming from a
reduction in our U.S. allocation.
4

3

3


(MSCI World Index)
Strategy 2.61 2.61 20.56 17.00 7.91 9.69
Benchmark
2
1.26 1.26 19.06 18.29 6.75 7.52
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 17.36 12.26 20.22 9.69 -33.19 20.55 9.25 -0.40 14.14 25.82
Benchmark 13.64 9.42 20.05 9.02 -40.70 29.97 11.77 -5.52 15.84 26.68
Alpha 2.78 0.00
Beta 0.84 1.00
R
2
0.89 1.00
U.S. Equities
54.8%
International
Equities
45.2%
U.S. Equity
key exposure
to U.S. Quality
41.7%
key exposure to
European/UK Value
48.3%
Emerging
Markets
10.1%
-13.1%
+13.2%
-20%
-10%
0%
10%
20%
U.S. Equities International Equities
28
GMO 2014
GMO International All Country Equity Allocation Strategy
Inception: 2/28/94; Benchmark: MSCI All Country World ex USA Index
1
other income.
2
The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI ACWI (All Country World Index) ex USA (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market
exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and
maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this
report, and has no liability hereunder.
3
Strategy.
4
2
1

The International All Country Equity Allocation Strategy returned +1.8% net of fees for the quarter, as compared to the MSCI ACWI ex-USA return
of +0.5%. Asset allocation and implementation each made a positive contribution to relative returns during the period.
-5.6%.
Asset allocation decisions had a positive impact on performance. Our allocation to international equities had a positive return impact while our
allocation to emerging markets detracted from relative returns.
allocation to European and U.K. value companies. Implementation had a negative impact within emerging markets, where our valuation-driven
exposure to Russian Energy and Brazil Materials were the most significant detractors.
4

3

3


(MSCI ACWI ex USA)
Strategy 1.84 1.84 16.29 15.33 7.95 7.99
Benchmark
2
0.51 0.51 12.48 15.44 7.06 5.99
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 24.06 19.03 25.91 17.39 -40.96 27.77 12.74 -11.31 16.82 16.71
Benchmark 21.11 16.71 26.94 16.08 -45.26 40.16 10.83 -13.63 16.90 15.47
Alpha 2.25 0.00
Beta 0.92 1.00
R
2
0.94 1.00
Developed
Int'l.
79.4%
Emerging Markets
20.6%
key exposure to
European/UK Value
76.2%
Emerging
Markets
23.8%
-3.2%
+3.2%
-4%
-2%
0%
2%
4%
International Equities Emerging Equities
29
GMO 2014
GMO International Developed Equity Allocation Strategy
1
other income.
2
The GMO blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may
not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
3
Strategy.
4
2
1

The International Developed Equity Allocation Strategy returned +3.2% net of fees for the quarter, as compared to the MSCI EAFE Indexs +0.7%
return. Asset allocation and implementation each made a positive contribution to relative returns during the period.
-5.6%.
Asset allocation decisions had a positive impact on performance. Our allocations to international equities and emerging market equities each had a
positive relative return impact.
allocation to European and U.K. value companies. Implementation had a negative impact within emerging markets, where our valuation-driven
exposure to Russian Energy and Brazil Materials were the most significant detractors.
Over the quarter, we increased our allocation to emerging market equities, with the increased weight in emerging coming from a reduction in our
international allocation.
4

3


(MSCI EAFE Index)
Strategy 3.24 3.24 23.31 16.36 7.82 8.79
Benchmark
2
0.66 0.66 17.54 16.14 6.77 6.67
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 24.89 15.56 25.50 12.69 -38.39 19.84 10.58 -9.45 17.09 24.13
Benchmark 21.17 14.41 26.62 11.58 -43.33 32.16 7.93 -12.14 17.32 22.78
Alpha 2.59 0.00
Beta 0.87 1.00
R
2
0.90 1.00
key exposure to
European/UK Value
89.6%
Emerging
Markets
10.4%
30
GMO 2014
GMO Tax-Managed Global Balanced Strategy
Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
1
other income.
2
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 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
3
Strategy.
4
2
1

The Tax-Managed Global Balanced Strategy returned +1.6% net of fees for the quarter, outperforming its benchmark by 0.1%. Asset allocation
detracted from performance while implementation contributed.
Funds Rate. Overall, the Fed's March statement has generally been interpreted as hawkish. President Putin's annexation of Crimea leaves investors
Asset allocation detracted from performance. The strategy was underweight equity and fixed income while both the global equities and muni bonds
delivered positive performance. Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we
are reflecting this by reducing the equity allocation in the portfolio by about 4%. These assets were reallocated primarily to muni bonds.
Implementation contributed to performance. The international equity strategy outperformed MSCI EAFE Value due to country selection (in
particular overweights to Italy and Spain) and security selection. However, this positive performance was partially offset by emerging markets equity.
In particular the allocation to Russian energy stocks (the strategy's largest active weight position) performed poorly during the quarter due to
geopolitical events in that region. Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic
Global Macro Strategy (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross
-market positioning).
4

3

3


(GMO Tax-Managed Global Balanced Index)
Strategy 1.64 1.64 8.75 9.68 6.43 8.03
Benchmark
2
1.52 1.52 10.02 12.88 5.89 7.29
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 12.73 9.91 12.08 7.16 -14.95 14.29 6.88 1.34 9.71 10.86
Benchmark 10.02 5.91 12.95 7.12 -25.89 23.90 9.99 -0.27 11.47 12.78
Alpha 2.27 0.00
Beta 0.74 1.00
R
2
0.90 1.00
U.S. Equities
29.4%
International
Equities
24.3%
Emerging Markets
6.3%
Fixed Income
40.0%
U.S. Equities
17.3%
International
Equities
25.3%
Risk
Premium
2.3%
Emerging
Equities
8.5%
Emerging
Country Debt
2.1%
Municipal
Bonds
31.0%
Multi-Strategy
13.5%
-12.1%
+3.3%
+2.2%
-6.9%
+13.5%
-20%
-10%
0%
10%
20%
U.S. Equities Int'l. Equities Emerging
Markets
Fixed Income Absolute
Return
31
GMO 2014
GMO Total Equities Strategy
Inception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index
1
other income.
2
The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.
3
Strategy.
4
Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets.
1

Global equities posted a modest rise during the first quarter amid volatility in emerging markets and geopolitical tension in Ukraine.
U.S. equities delivered strong gains during the quarter, with the S&P 500 rising 1.8%. The MSCI Europe index returned +2.1%, the
MSCI EAFE index returned 0.7%, and the MSCI Emerging Markets index returned -0.4%.

The MSCI ACWI returned +1.1% for the quarter. The Total Equities Strategy also returned +1.1% net of fees for the period, with the
majority of the positive absolute result driven by exposure to Equities.

Our Equities strategies posted a +4.0% return for the period, a result that led the MSCI ACWI.

Our Volatility strategies posted a -0.1% return for the quarter while Merger Arbitrage delivered a -1.4% return for the period.
Exposure
3, 4

Strategy 1.13 1.13 15.30 5.49 3.02 6.52
Benchmark
2
0.01 0.01 0.05 0.09 1.56 1.80
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.07 3.56 -1.90 -5.37 14.26 -7.47 3.51 0.40 8.64 17.49
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
By St r at egy (%)
Equities
Merger Arbitrage
Volatility
Other
Total
100.0
0.0
29.4
32.7
38.0
By Regi on (%)
Non-U.S.
U.S.
Total
100.0
43.9
56.1
32
GMO 2014
GMO Tactical Opportunities Strategy
1
other income.
2
3
4
Strategy. Exposure information is not normalized and shown as a percent of total net assets.
1

The Tactical Opportunities Strategy lost 2.6% net of fees in the first quarter of 2014. The positive contributions from the long
portfolio failed to offset the negative impacts of the short portfolio in the first quarter.

Quality stocks modestly underperformed low quality stocks and generally performed in line with broad market indexes in the first
quarter. The first quarter of 2014 proved to be a more challenging environment for equities than predominated in 2013. Growing
concerns about growth in emerging markets, political turmoil in the Ukraine, and softer economic data in the U.S. all dampened the
appetite for risk assets during the quarter.

Large cap stocks lost to small cap stocks both within quality and the larger universe. The components of quality - low leverage, stable
and high profits - had mixed results for the quarter. Low leverage and high profitability lost, and low profit volatility performed better
than the broader market.

In the long portfolio, U.S. high quality stocks underperformed non-U.S. high quality stocks. The largest detractors in the long portfolio
were Energy, Consumer Staples, and Consumer Discretionary with Chevron, Coca-Cola, and Telsa Motors detracting the most in their
respective sectors. The top contributors in the long portfolio were Health Care and Information Technology. Individual stocks
contributing the most to returns included Johnson & Johnson, Microsoft, and Oracle.

The Strategys average net exposure for the quarter remained neutral.
3

Characteristics
4
Sector Exposure
4

Regional Weights
4

GICS Sectors
Strategy -2.63 -2.63 -13.55 -16.15 n/a -6.90
Benchmark
2
0.01 0.01 0.05 0.09 n/a 1.59
Long Shor t
P/E - Ex Neg Earn Hist 1 Yr Wtd Med 19.1 x 28.8 x
% Negative Earnings 0.0 % 34.4 %
Debt/Equity Wtd Med 0.5 x 1.3 x
% Long/Short 129 % 124 %
Regi on Net Wei ght
United States
Non-United States
13.8
-9.1
-20 -10 0 10 20
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy -7.57 -13.24 -1.65 17.87 36.52 -41.60 -25.31 27.51 -18.36 -9.64
Benchmark 0.44 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
St r at egy
Std. Deviation 18.12
Sharpe Ratio -0.47
Drawdown
(11/30/08-2/28/14)
-63.62
Sect or Net Wei ght Long Shor t
Energy 7.0 18.5
Financials 0.0 32.2
Materials 1.1 7.4
Utilities 0.0 4.7
-4.7
-2.5
-6.3
30.4
-3.5
19.4
-32.2
-11.5
30.4
-14.9
-40 -20 0 20 40
33
GMO 2014
GMO Currency Hedge Strategy
Inception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index
1
other income.
2
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration
of the Index is generally 90 days.
3
4
Strategy.
1

In the first quarter of 2014, the Currency Hedge Strategy returned +4.0% net of fees compared to its benchmark, the J.P. Morgan U.S.
3 Month Cash index, which gained 0.1%.

Foreign currencies were mixed against the dollar during the quarter. New Zealand dollar led gains, +5.4%, as the Reserve Bank
became the first major central bank to raise policy interest rates since the global financial crisis six years ago. Australian dollar was
close behind, +3.6%, also buoyed by relative interest-rate differentials. On the other hand, Canadian dollar was weak, -3.7%, as the
slowdown in the Chinese economy threatened the countrys terms of trade. The yen, which had been weak throughout much of 2013,
staged a partial rebound, +2.1% during the quarter.

In performance attribution, cross-market positions added, mainly the long in New Zealand dollar, followed by the longs in Norwegian
krone and Australian dollar and the short in Canadian dollar. Opportunistic and volatility positions were flat for the quarter.
3

Performance Attribution
4
Currency Weights
4

Strategy 4.01 4.01 -11.59 3.47 -1.23 -0.04
Benchmark
2
0.09 0.09 0.38 0.61 2.31 2.24
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 2.93 8.94 13.60 -15.57 -28.70 23.08 3.17 1.25 2.31 -10.17
Benchmark 1.48 3.37 5.25 5.70 4.12 1.45 0.45 0.44 0.82 0.40
St r at egy
Sharpe Ratio -0.14
Drawdown
(6/30/07-12/31/08)
-41.95
Net Wei ght
Europe
North America
Asia Pacific 10.9
6.7
-17.7
-20 -10 0 10 20
Net Cont r i but i on (%)
Europe
North America
Asia Pacific
Cash Mgmt/Fees/Other -0.8
4.2
0.4
0.1
-6 -3 0 3 6
34
GMO 2014
1
other income.
2
3
4
Strategy.
1

The Fixed Income Hedge Strategy returned +4.5% net of fees in the first quarter of 2014, outperforming its benchmark, the J.P.
Morgan U.S. 3 Month Cash index, by 4.4%. Cross-market strategies and yield curve positioning contributed positively during the
quarter, while tactical duration positions and opportunistic strategies detracted.




Central banks of the countries in the strategys opportunity set reported no policy rate changes during the quarter.

The cross-market strategy posted gains thanks to long positions in the euro area, the U.S., Sweden, and Canada. Short positions in
Japan, the U.K., and Switzerland detracted, but were unable to fully offset gains. Thanks to flattening yield curves in Switzerland and
the euro area, the integrated yield curve slope strategy also added value during the quarter.

Tactical Duration Overlay positions detracted; the strategy was long U.S. duration during the March sell-off in U.S. Treasuries.
Opportunistic strategies also detracted as a cross-market mean reversion trade moved against the strategy.
3

Performance Attribution
4
Country Weights
4

GMO Fixed Income Hedge Strategy
Strategy 4.53 4.53 -1.11 10.03 n/a -0.51
Benchmark
2
0.09 0.09 0.38 0.61 n/a 2.31
St r at egy
Sharpe Ratio -0.15
Drawdown
(5/31/06-1/31/09)
-49.18
St r at egy Net Cont r i but i on (%)
Cross-Market
Tactical Duration Overlay
Yield Curve
Swaption Volatility
STRIPS vs. LIBOR
Other Opportunistic
Cash Mgmt/ABS/Fees/Other -0.7
-0.3
0.1
0.0
2.2
-0.3
3.4
-4 -2 0 2 4
Net Wei ght (%)
Europe
North America
Asia Pacific -160.0
75.0
5.0
-200 -100 0 100 200
Annual Total Retur n (%)
2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.45 -4.61 -23.39 -25.45 21.63 11.03 15.85 10.07 -3.79
Benchmark 1.32 5.25 5.70 4.12 1.45 0.45 0.44 0.82 0.40
35
GMO 2014
GMO Emerging Currency Hedge Strategy
1
other income.
2
3
4
Strategy.
1

In the first quarter of 2014, the Emerging Currency Hedge Strategy returned +1.8% net of fees while the Strategys benchmark, the J.P.
Morgan U.S. 3 Month Cash index returned +0.1%.

Currencies were mixed during the quarter. Among the main, liquid currencies, there were gains as high as 7.1% for Indonesia rupiah
and as low as -6.5% for the Russian ruble. In Indonesia, the Association of Banks in Singapore announced the end to their
extraordinary spot IDR fixing policy, which since May 2013 had fixed the spot IDR based on a WVAP of outright 1-month NDF
trades. Instead, starting March 28, spot IDR began fixing to JISDOR, which is a VWAP of the onshore interbank spot rate. Recall
that at one point these two spot rates diverged by 7%, causing great anxiety about the usefulness of taking and hedging exposure in
IDR.

Russian ruble fell by 6.5% amidst severe political uncertainty caused by President Putins Crimea incursion. The central bank was
forced to raise interest rates to defend the currency, temporarily reverting to managing the currency rather than letting it float
consistent with its goal of becoming an inflation targeter. Also of note was the fall in the Chinese renminbi, the 2.6% decline of which
made it the worst quarter since the 2005 de-pegging from the U.S. dollar. The Financial Times, among others, raised concerns about the
potential unwind of leveraged structured products linked to the currency, the type that caused substantial volatility in Mexico and
Brazil in 2008.

A number of less-liquid, heavily managed currencies suffered substantial declines this quarter. Although the strategy does not currently
have positions in these currencies, it watches them for opportunities. Various combinations of low international reserves, political
uncertainty, and weakening current account positions all were in play as >10% declines were registered in Argentina, Ukraine,
Kazakhstan, Ghana, Zambia, and Costa Rica.

Strategy performance was positive, led by gains from Indonesia, India, Brazil, and, to a lesser extent, Turkey. The China short was also
helpful, as was the Taiwan dollar short.

The Strategys net long position declined modestly to 47% from 57%, due mostly to a flip from long to short in Hungary and from
long to zero in Israel, as well as a cut in the long position in Indonesia. The implied yield of the portfolio is 4.8%.
3

Strategy 1.78 1.78 -4.28 6.94 n/a 2.11
Benchmark
2
0.09 0.09 0.38 0.61 n/a 2.17
St r at egy
Sharpe Ratio 0.07
Drawdown
(7/31/08-12/31/08)
-31.52
Annual Total Retur n (%)
2006 2007 2008 2009 2010 2011 2012 2013
Strategy 5.13 9.72 -28.32 35.51 9.88 -5.14 5.56 -5.78
Benchmark 4.07 5.70 4.12 1.45 0.45 0.44 0.82 0.40
36
GMO 2014
GMO Mean Reversion Strategy
1
other income.
2
3
4
Strategy.
5
Displayed in local 10-year equivalents, except for ABS/Credit and China/Sovereign Banks CDS.
1

The first quarter of 2014 was a positive one for the Mean Reversion Strategy, with a net return of +0.9%. It was a somewhat positive quarter for
equities, with the S&P 500 up 1.8%, MSCI EAFE up 0.7%, while MSCI Emerging fell slightly, down 0.4%. Our equity positions made us 0.8% in the
quarter. Quality was the biggest piece of this, adding 0.6%, as the quality portfolio beat the S&P 500 by 0.2%, well above its beta-adjusted expectation
given the rise in the index. Emerging also helped, despite the fact that our EM longs fell by about 1.4% in the quarter, as our anti-China positions fell
over 3%. In aggregate, the emerging position added about 0.2%.
The biggest negative in the quarter was our bond positions. It was a strong quarter for bonds globally, with 10-year U.S. treasury yields falling 28 basis
points, U.K. Gilts 41 basis points, and German Bunds 37 basis points. The JGBs had the decency to trail in the rally, with yields falling 12 basis
points, which meant that that trade was a mild plus, but Australia and New Zealand also trailed the rest of the world, with yields only falling 16 and 14
basis points, respectively. This led to an aggregate loss on our bond positions of 70 basis points.
Currencies, on the other hand, were a nice plus in the quarter, adding 60 basis points. The rupee continued to strengthen versus the U.S. dollar, rising
almost 3%, while the Chinese yuan, the biggest single piece of the basket we hold against it, weakened by 2.6%. The commodity currency position
was also a small plus as the Canadian dollar was particularly weak in the quarter, countering decent gains by the Australian and New Zealand dollars,
causing the aggregate to weaken versus the Asia basket. The euro/Swiss franc trade was a small loser as the franc inched closer to the 1.2 ceiling on
the euro.
The Japanese inflation swaps that we have been slowly trading out of also helped in the quarter, adding close to 30 basis points.
Credit Opportunities was a nice positive in the quarter, rising about 3.6%, due partially to narrowing spreads, but also due to some particularly strong
performance in a few loans, distressed munis, and post-reorg equities.
During the quarter, we increased our long Australian and New Zealand bond/short global bond trade as the yield spread widened and initiated a new
position long UK Gilts/short German Bunds. We also initiated a new currency position, short the Israeli shekel versus a basket of developed and
emerging currencies.
3

Fixed Income & Inflation Exposure
4,5

Currency Exposure
4
Other Exposure
4

Strategy 0.91 0.91 -3.10 -2.23 4.20 7.40
Benchmark
2
0.01 0.01 0.05 0.09 1.56 1.52
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 11.42 6.97 5.63 18.63 18.43 -13.43 -8.61 6.77 5.98 -0.62
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
St r at egy
Std. Deviation 8.90
Sharpe Ratio 0.66
Drawdown
(2/28/09-12/31/10)
-25.19
Posi t i on Absol ut e %
AUD 10 Yr. Bonds*
Kiwi 10 Yr. Bonds*
UK 10 Yr. Bonds*
Canadian Rates*
U.S. 10 Yr. Bonds*
German Bunds*
Japanese Interest Rates*
-49.4
-11.0
-5.0
-5.0
1.0
16.2
28.5
-80 -40 0 40 80
Equity Exposure
4

U.S. Equities
Financials
Emerging Equities
Anti-China
S&P 500
-93.1
-8.6
8.6
14.9
85.5
-200 -100 0 100 200
Euro
Indian Rupee
Emerging Currencies
Chinese Yuan
Commodity Currencies
Israeli New Shekel
Asia Currency Basket
Swiss Francs -14.3
-10.0
-5.7
-4.8
-4.8
2.9
12.4
14.3
-20 -10 0 10 20
Credit Opportunies Fund 5.0
-6 -3 0 3 6
37
GMO 2014
GMO Systematic Global Macro Strategy
1
other income.
2
3
4
Strategy.
1

The Systematic Global Macro Strategy returned +1.9% net of fees over the first quarter of 2014. Our equity market selection contributed positive
returns, currency selection lost value, while the other strategies had minor impacts on performance.
The strategy gained 1.6% in January from positive market selection as developed equity markets (MSCI World index) fell 3.7%. Equity markets leapt
5.0% higher in February and our strategy added 0.3%, then both equity markets (+0.1%) and the strategy (-0.1%) were close to flat in March.
As emerging market concerns drove equity markets lower in January, our equity market selection boosted portfolio returns from holding long
positions in outperforming European markets and a short position in the weaker Japanese market. Currency positions added value as the U.S. dollar
appreciated against large short positions in Australian and Canadian dollars. A long position in VIX futures added value as it rallied 17%. Finally, a
net long allocation to bond markets added value as bond markets gained 1.6%, according to the J.P. Morgan GBI Global index.
However performance was mixed over the remainder of the quarter. In February, gains from our net long equity markets allocation were mostly
offset by a net short commodity allocation, a long position in VIX futures, and a short position in the Australian dollar. In March, positive
performance from equity market selection our largest long position in Italy advanced 6.1% - was also offset by a short position in the Australian
dollar. The Australian dollar appreciated 3.6% against the greenback, its second consecutive monthly gain.
Despite large moves in commodity markets, our market selection had little impact on performance. Gains from long positions in soybeans (+14.4%)
and hogs (+10.1%), and a short position in copper (-5.1%) were offset by short positions in coffee (+58.1%) and wheat (+15.5%).
3

Bond Market Selection
4

Currency Selection
4

Commodity Markets
4

Equity Market Selection
4

Count r y Net Wei ght (%)
United States
Asset Backed
Japan
Net Bond Markets 7.0
-34.0
1.0
40.0
-60 -30 0 30 60
Commodi t y Net Wei ght (%)
Soybeans
Cocoa
Cotton
Sugar
Gasoline
Soy Oil
Wheat
Copper
Gold
Net Commodities
-6.0
-10.0
-6.3
-5.5
-4.0
-3.3
-0.3
1.0
4.0
18.3
-20 -10 0 10 20
Strategy 1.89 1.89 8.56 8.00 6.49 7.54
Benchmark
2
0.01 0.01 0.05 0.09 1.56 1.52
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013
Strategy 1.33 4.63 8.39 15.06 -3.88 15.28 10.37 5.79 0.73 9.58
Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05
St r at egy
Std. Deviation 8.41
Sharpe Ratio 0.72
Drawdown
(6/30/08-9/30/08)
-14.32
Count r y Net Wei ght (%)
Italy
Netherlands
United Kingdom
Taiwan
Volatility Index
Singapore
MSCI Emerging
United States
Korea
Japan
Net Equity Markets 74.0
-17.0
-3.5
1.0
1.5
2.0
2.5
7.0
15.0
31.0
34.5
-80 -40 0 40 80
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
Cur r ency Net Wei ght (%)
Canadian Dollar
Australian Dollar
U.S. Dollar*
Cash**
-28.0
47.0
-33.0
-14.0
-60 -30 0 30 60
38
Full Name Description
Barclays U.S. Aggregate Index The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues
having a maturity of at least one year and rated investment grade or higher.
Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S.
Treasury bills.
CPI Index The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of
changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.
GMO Blended Global All
Country Equity Allocation
Index
The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding
tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index
will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or
GMO Blended Global Asset
Allocation Index
The blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or
some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will
vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
GMO Blended Global
Developed Equity Allocation
Index
The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;
many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for
each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The
index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other
GMO Blended International
All Country Equity Allocation
Index
The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series,
net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting
of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not
be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
GMO Blended International
Developed Equity Allocation
Index
The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like
proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly.
The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other
GMO Blended Real Return
Global Balanced Asset
Allocation Index
The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account
benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays
Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account
benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly
basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved
this report, and has no liability hereunder.
GMO Blended U.S. Equity
Allocation Index
The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the
account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying
account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. Russell Investments is the source and owner of the Russell index data 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 or configuration of this material or for any inaccuracy in GMOs presentation thereof.
GMO Tax-Managed Global
Balanced Index
The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World
Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not be
reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability
hereunder.
J.P. Morgan GBI Global The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of
developed countries with maturities of one year or more.
J.P. Morgan GBI Global ex
Japan ex U.S. (Hedged) +
The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO, comprised
of (i) the J.P. Morgan GBI Global ex U.S. (Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged)
thereafter.
J.P. Morgan GBI Global ex-
U.S. Index
The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S.
government bonds with maturities of one year or more.
J.P. Morgan U.S. 3 Month Cash
Index
The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S.
dollar Euro-deposits. The duration of the Index is generally 90 days.
Benchmarks and Indices
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no
strategy is managed as an index strategy or index-plus strategy. Actual composition of a strategys portfolio may differ to
varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and expenses. One cannot invest
directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is
shown in the strategys prospectus. GMO may change a strategys benchmark from time to time.
39
Full Name Description
MSCI ACWI The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and
widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other
MSCI ACWI Commodity
Producers
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of listed large and mid capitalization commodity producers within the
global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
MSCI ACWI ex USA The MSCI ACWI ex USA (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published
index comprised of international (excluding U.S. and including emerging) large and mid capitalization stocks. MSCI data may not be
hereunder.
MSCI EAFE (Hedged) Index The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely
published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be
hereunder.
MSCI EAFE Index The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently
maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced
or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI EAFE Value Index The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an
independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value
style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style
is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or
MSCI Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely
published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for
any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprised
of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI
(MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose.
MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI World Index The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index
comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no
Russell 3000 Index The Russell 3000 Index is an independently maintained and widely published index comprised of the stocks of the 3,000 largest U.S.
companies based on total market capitalization. These companies represent approximately 98% of the total market capitalization of the
U.S. equity market. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the
Russell Indexes. Russell is a trademark of Russell Investment Group.
S&P 500 Index The 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.
S&P Developed ex-U.S. Small
Cap Index
The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small
capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed
and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P
Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country.
S&P/IFCI Composite Index The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets 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.
40

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