Quarterly Update 4 Q 13

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
GMO U.S. Equities
U.S. Core Intrinsic Value Growth Small/Mid Cap Real Estate*
Page
5 6 7 8
GMO Asset Allocation

Global Asset Allocation Real Return Global Balanced Asset Alloc. Benchmark-Free Allocation Global Allocation Absolute Return Real Return Asset Allocation Global All Country Equity Allocation
Page
27 28 29 30 31 32 33 34 35 36
GMO International Equities

International Active EAFE International Active Foreign Small Companies International Intrinsic Value International Growth International Core Equity Currency Hedged International Equity International Small Companies* Tax-Managed International Equities
Page
9 10 11 12 13 14 15
Global Developed Equity Allocation International All Country Equity Alloc. International Developed Equity Allocation U.S. Equity Allocation Special Situations* Alternative Asset Opportunity* Alpha Only* Tax-Managed Global Balanced
37
GMO Emerging Equities

Emerging Markets Emerging Countries Emerging Domestic Opportunities
GMO Absolute Return

Page
16 17 18
Total Equities Tactical Opportunities Emerging Country Debt Long/Short* Currency Hedge Fixed Income Hedge Emerging Currency Hedge Mean Reversion Systematic Global Macro Completion* Multi-Strategy*
Page
38 39 40 41 42 43 44
GMO Global Equities

Global Focused Equity Quality Global Equity Risk Premium*
Page
19 20 21
GMO Alternative Assets

Resources
Page
22
GMO Fixed Income

Core Plus Bond U.S. Treasury* International Bond Currency Hedged Int'l. Bond Global Bond Emerging Country Debt* Emerging Country Local Debt* Asset Allocation Bond*
Page
23 24 25 26
* 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.
2013 Performance of GMO Strategies and Benchmarks

Total Return Net of Fees Average Annual Total Return One Year 29.66 32.39 33.38 32.53 32.64 33.48 44.24 36.80 One Year 24.11 22.78 28.92 26.06 25.62 22.95 22.78 23.56 22.55 22.78 26.15 22.78 28.21 26.67 26.55 22.78 Five Year 15.93 17.94 17.53 16.67 18.56 20.39 19.57 19.89 Five Year 10.68 12.44 19.62 17.72 10.72 11.99 12.44 14.03 12.82 12.44 12.37 12.44 11.03 11.67 12.26 12.44 Ten Year 6.38 7.41 6.64 7.58 6.77 7.83 8.50 9.42 Ten Year 6.69 6.91 11.60 9.95 6.99 6.77 6.91 8.69 6.97 6.91 7.74 6.91 7.46 6.67 8.17 6.91 Since Inception 11.44 11.12 6.16 5.74 10.49 9.91 12.00 11.90 Since Inception 12.28 9.32 11.98 7.72 8.45 7.39 5.63 8.71 6.69 7.08 9.13 7.62 8.11 6.52 8.46 5.51
GMO U.S. Equity Strategies/Benchmarks

U.S. Core S&P 500 Intrinsic Value Russell 1000 Value Growth Russell 1000 Growth Small/Mid Cap Russell 2500 +
Inception Date 9/30/85 5/31/99 12/31/88 12/31/91
4Q 2013 9.54 10.51 10.66 10.01 11.06 10.44 11.52 8.66 4Q 2013 7.20 5.71 6.68 5.76 6.81 6.26 5.71 5.30 5.15 5.71 7.09 5.71 7.31 6.26 7.11 5.71
YTD 2013 29.66 32.39 33.38 32.53 32.64 33.48 44.24 36.80 YTD 2013 24.11 22.78 28.92 26.06 25.62 22.95 22.78 23.56 22.55 22.78 26.15 22.78 28.21 26.67 26.55 22.78
YTD Value Added -2.73 0.85 -0.84 7.44
GMO International Equity Strategies/Benchmarks

International Active EAFE MSCI EAFE Int'l. Active Foreign Small Companies S&P Developed ex-U.S. Small Cap International Intrinsic Value MSCI EAFE Value MSCI EAFE International Growth MSCI EAFE Growth MSCI EAFE International Core Equity MSCI EAFE Currency Hedged International Equity MSCI EAFE (Hedged) Tax-Managed International Equities MSCI EAFE
Inception Date 5/31/81 1/31/95 3/31/87
YTD Value Added 1.33 2.86 2.67
11/30/01
1.01
1/31/02 6/30/95 8/31/98
3.38 1.55 3.77
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 2013 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written permission from GMO.

Total Return Net of Fees Average Annual Total Return One Year -5.19 -0.57 -2.60 -5.95 -0.57 -2.60 3.80 -2.60 One Year 31.29 22.80 25.47 32.39 29.43 26.68 One Year 4.39 3.31 One Year 0.21 -2.03 -0.57 -5.08 0.14 0.65 -2.56 -4.50 Five Year 13.38 15.89 14.79 12.68 15.89 14.79 n/a n/a Five Year n/a n/a 14.69 17.94 14.04 15.02 Five Year n/a n/a Five Year 10.46 4.44 9.37 2.39 9.83 4.25 9.04 2.38 Ten Year 10.08 12.24 11.17 9.35 12.24 11.17 n/a n/a Ten Year n/a n/a n/a n/a 7.14 6.98 Ten Year n/a n/a Ten Year 4.58 4.55 4.89 4.25 4.72 4.88 4.36 4.29 Since Inception 7.99 6.09 5.49 8.43 8.01 6.81 6.02 -2.97 Since Inception 25.36 19.42 6.45 7.19 7.91 6.48 Since Inception 6.78 2.63 Since Inception 5.94 5.75 6.96 5.56 7.76 6.76 5.80 5.10
GMO Emerging Equity Strategies/Benchmarks

Emerging Markets S&P/IFCI Composite MSCI Emerging Markets Emerging Countries S&P/IFCI Composite MSCI Emerging Markets Emerging Domestic Opportunities MSCI Emerging Markets
Inception Date 12/31/93
4Q 2013 0.32 2.15 1.83 0.60 2.15 1.83 2.37 1.83 4Q 2013 7.30 7.31 9.41 10.51 9.02 8.00 4Q 2013 2.26 4.39 4Q 2013 -0.41 -0.14 -0.86 -1.45 0.23 0.56 -1.24 -1.26
YTD 2013 -5.19 -0.57 -2.60 -5.95 -0.57 -2.60 3.80 -2.60 YTD 2013 31.29 22.80 25.47 32.39 29.43 26.68 YTD 2013 4.39 3.31 YTD 2013 0.21 -2.03 -0.57 -5.08 0.14 0.65 -2.56 -4.50
YTD Value Added -4.63
9/30/97
-5.39
3/31/11
6.40
GMO Global Equity Strategies/Benchmarks

Global Focused Equity MSCI ACWI Quality S&P 500 Global Equity MSCI World
Inception Date 12/31/11 2/29/04 7/31/96
YTD Value Added 8.49 -6.92 2.75
GMO Alternative Asset Strategies/Benchmarks

Resources MSCI ACWI Commodity Producers
Inception Date 12/31/11
YTD Value Added 1.08
GMO Fixed Income Strategies/Benchmarks

Core Plus Bond Barclays U.S. Aggregate International Bond J.P. Morgan GBI Global ex U.S. Currency Hedged Int'l. Bond J.P. Morgan GBI Global ex-Japan ex U.S. (Hedged) + Global Bond* J.P. Morgan GBI Global
Inception Date 4/30/97 12/31/93 9/30/94
YTD Value Added 2.24 4.50 -0.51
12/31/95
1.94
* 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.
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.

Total Return Net of Fees Average Annual Total Return One Year 12.38 13.60 13.68 14.95 11.24 1.56 10.04 1.56 5.48 1.56 21.33 23.46 25.82 26.68 16.71 15.47 24.13 22.78 27.95 32.85 6.31 0.05 10.86 12.78 One Year 17.49 0.05 -9.64 0.05 -10.17 0.40 -3.79 0.40 -5.78 0.40 -0.62 0.05 9.58 0.05 Five Year 11.31 11.51 9.02 10.11 9.78 2.09 8.24 2.09 n/a n/a 13.45 15.23 13.50 15.03 11.74 12.61 11.77 12.54 15.37 18.37 n/a n/a 8.53 11.31 Five Year 4.18 0.10 -16.32 0.10 3.39 0.71 10.62 0.71 7.03 0.71 -2.31 0.10 8.24 0.10 Ten Year 7.34 6.08 n/a n/a 9.18 2.41 8.22 2.41 n/a n/a 8.46 7.08 8.14 6.87 8.42 7.52 8.17 7.20 6.65 7.68 n/a n/a 6.66 5.97 Ten Year 3.14 1.59 n/a n/a -0.98 2.33 n/a n/a n/a n/a 4.64 1.59 6.56 1.59 Since Inception 9.94 8.25 7.46 5.67 11.34 2.28 9.88 2.28 0.22 1.90 9.46 7.61 9.68 7.55 8.00 6.04 8.74 6.72 10.82 10.27 3.66 0.06 8.06 7.32 Since Inception 6.55 1.83 -6.81 1.63 -0.41 2.28 -1.05 2.37 1.95 2.23 7.48 1.55 7.53 1.55
GMO Asset Allocation Strategies/Benchmarks

Global Asset Allocation Blended Benchmark Real Return Global Balanced Asset Alloc. Blended Benchmark Benchmark-Free Allocation CPI Global Allocation Absolute Return CPI Real Return Asset Allocation CPI Global All Country Equity Allocation Blended Benchmark Global Developed Equity Allocation Blended Benchmark International All Country Equity Alloc. Blended Benchmark
Inception Date 6/30/88 6/30/04 7/31/01 7/31/01 12/31/09 12/31/93 3/31/87 2/28/94
4Q 2013 4.19 4.67 4.32 4.73 3.69 0.27 3.40 0.27 2.98 0.27 7.27 7.41 8.12 8.00 5.14 4.78 6.39 5.71 9.67 10.39 2.93 0.01 3.95 4.46 4Q 2013 4.74 0.01 4.09 0.01 -3.55 0.09 -1.48 0.09 -1.35 0.09 1.03 0.01 1.05 0.01
YTD 2013 12.38 13.60 13.68 14.95 11.24 1.56 10.04 1.56 5.48 1.56 21.33 23.46 25.82 26.68 16.71 15.47 24.13 22.78 27.95 32.85 6.31 0.05 10.86 12.78 YTD 2013 17.49 0.05 -9.64 0.05 -10.17 0.40 -3.79 0.40 -5.78 0.40 -0.62 0.05 9.58 0.05
YTD Value Added -1.22 -1.27 9.68 8.48 3.92 -2.13 -0.86 1.24 1.36 -4.89 6.26 -1.92
International Developed Equity Allocation 11/30/91 Blended Benchmark U.S. Equity Allocation Blended Benchmark Alternative Asset Opportunity Citigroup 3-Mo. T-Bill Tax-Managed Global Balanced GMO Tax-Managed Global Balanced Index 2/28/89 10/31/11 12/31/02
GMO Absolute Return Strategies/Benchmarks

Total Equities Citigroup 3-Mo. T-Bill Tactical Opportunities Citigroup 3-Mo. T-Bill Currency Hedge J.P. Morgan U.S. 3 Month Cash Fixed Income Hedge J.P. Morgan U.S. 3 Month Cash Emerging Currency Hedge J.P. Morgan U.S. 3 Month Cash Mean Reversion Citigroup 3-Mo. T-Bill Systematic Global Macro Citigroup 3-Mo. T-Bill
Inception Date 9/30/00 9/30/04 7/31/03 8/31/05 3/31/06 2/28/02 3/31/02
YTD Value Added 17.44 -9.69 -10.57 -4.19 -6.18 -0.67 9.53
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.
GMO U.S. Core Strategy

Inception: 9/30/85; Benchmark: S&P 500 Index Performance Net of Fees1
Total Return (%) Average Annual Total Return (%)
As of December 31, 2013

Top Ten Holdings2,5
Five Year 15.93 17.94 Ten Year 6.38 7.41 Since Inception 11.44 11.12
4Q 2013 Strategy Benchmark

3
YTD 2013 29.66 32.39
One Year 29.66 32.39

Annual Total Return (%)
9.54 10.51
2003 Strategy 26.64 Benchmark 28.69
2004 9.85 10.88
2005 3.66 4.91
2006 9.74 15.80
2007
2008
2009 21.40 26.46
2010 8.95 15.06
2011 8.16 2.11
2012 12.87 16.00
1.64 -30.17 5.49 -37.00
Microsoft Corp. Johnson & Johnson Google Inc. (Cl A) Int'l. Business Machines Chevron Corp. Procter & Gamble Co. Cisco Systems Inc. Oracle Corp. Philip Morris Int'l. Inc. UnitedHealth Group Inc. Total
5.4% 5.0% 3.8% 3.0% 3.0% 2.9% 2.6% 2.6% 2.3% 2.2% 32.8%
Risk Profile Since 9/30/854

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark -4.1 7.6 -3.4 -5.8 11.0 -7.1 9.2 -3.2 -1.8 -2.4 -20 -10 0 10 20
GICS Sectors
Alpha Beta 2 R Sharpe Ratio
0.93 0.92 0.95 0.52
0.00 1.00 1.00 0.47
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 17.4 Price/Book - Hist 1 Yr Wtd Avg 2.7 Dividend Yield - Hist 1 Yr Wtd Avg 2.0 Return on Equity - Hist 1 Yr Med 20.0 Market Cap - Weighted Median $Bil $120.0
x x % %
19.9 2.7 1.9 16.5 $69.8
x x % %
Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecom. Services Utilities
8.4 % 17.4 6.9 10.4 24.0 3.8 27.8 0.3 0.5 0.5
12.5 % 9.8 10.3 16.2 13.0 10.9 18.6 3.5 2.3 2.9
Quarterly Strategy Attribution The U.S. Core Strategy returned +9.5% net of fees for the fourth quarter of 2013, trailing the +10.5% return of the S&P 500 index. Sector selection had a positive impact on relative returns for the quarter. The strategy saw positive returns relative to the S&P 500 attributable to an overweight in Information Technology and underweight positions in Utilities and Telecommunication Services. An overweight in Consumer Staples and an underweight in Industrials detracted. Stock selection detracted from relative returns for the quarter. Selections in Financials and Energy added to relative returns while selections in Information Technology, Health Care, and Consumer Discretionary detracted. Individual stocks adding to relative returns in the fourth quarter included overweight positions in Google, Hewlett-Packard, and Microsoft. Stock selections detracting from relative returns included overweight positions in Cisco and IBM and an underweight in Apple.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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.
1
GMO 2013
GMO U.S. Core Strategy

Inception: 9/30/85; Benchmark: S&P 500 Index Year-to-Date Strategy Attribution
The U.S. Core Strategy returned +29.7% net of fees in 2013, trailing the +32.4% return of the S&P 500 index. Sector selection added to relative returns for the year. The Strategy saw positive relative returns attributable to underweight positions in Telecommunication Services and Utilities and an overweight in Health Care. Underweight positions in Industrials and Consumer Discretionary and an overweight in Consumer Staples detracted from relative returns. Stock selection detracted from relative returns for the year. Selections in Information Technology and Financials added to relative returns while selections in Health Care, Consumer Staples, and Consumer Discretionary detracted. Individual stocks adding to relative returns included overweight positions in Hewlett-Packard and Microsoft and an underweight in Apple. Stock selections detracting from relative returns included overweight positions in IBM, Philip Morris International, and Cisco Systems. Outlook: The U.S. markets 2013 advance highlights the need for strong investment discipline and process. Our investment 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.
Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statement will be realized.
GMO 2013
GMO Intrinsic Value Strategy

Inception: 5/31/99; Benchmark: Russell 1000 Value Index Performance Net of Fees 1

Top Ten Holdings2,5

3
YTD 2013 33.38 32.53
One Year 33.38 32.53

10.66 10.01
2004 12.12 16.49
2005 5.57 7.05
2006 13.61 22.24
2007
2008
2009 19.42 19.69
2010 11.86 15.51
2011 9.82 0.39
2012 14.63 17.51
-3.73 -34.51 -0.17 -36.85
Microsoft Corp. Johnson & Johnson Pfizer Inc. JPMorgan Chase & Co. Wal-Mart Stores Inc. Int'l. Business Machines Google Inc. (Cl A) Oracle Corp. Merck & Co Inc Cisco Systems Inc. Total
5.2% 4.7% 4.4% 3.3% 3.1% 2.6% 2.5% 2.2% 2.2% 2.0% 32.2%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 0.8 Consumer Discretionary 7.4 % 6.6 % 10.3 Consumer Staples 16.2 5.9 -9.7 Energy 5.3 15.0 -15.0 Financials 14.0 29.0 14.7 27.6 Health Care 12.9 -5.9 Industrials 4.6 10.5 14.7 23.6 Information Technology 8.9 Sector
0.73 0.91 0.94 0.27
0.00 1.00 1.00 0.23
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
17.4 2.5 2.1 17.9 $94.4
x x % %
17.7 1.8 2.1 12.0 $53.9
x x % %
Materials Telecom. Services Utilities

-20
-2.5 -1.6 -5.7 -10 0 10 20
0.4 0.9 0.0
2.9 2.5 5.7

GICS Sectors
Quarterly Strategy Attribution The Intrinsic Value Strategy returned +10.7% net of fees for the fourth quarter of 2013, as compared to the +10.0% return of the Russell 1000 Value index. Sector selection added to relative returns for the quarter. The strategy saw positive returns relative to the Russell 1000 Value attributable to overweight positions in Information Technology and Consumer Staples and an underweight in Utilities. An underweight position in Industrials and an overweight in Health Care detracted. Stock selection also added to relative returns. Selections in Financials, Energy, and Information Technology added to returns versus the Russell 1000 Value while selections in Consumer Staples and Consumer Discretionary detracted. Individual stocks adding to relative returns in the fourth quarter included overweight positions in Google and Microsoft and an underweight in Berkshire Hathaway. Stock selections detracting from relative returns included underweight positions in Exxon Mobil and GE and an overweight in IBM.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-tobook ratios and lower forecasted growth values. Russell 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; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 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.
1
GMO 2013
GMO Intrinsic Value Strategy

Inception: 5/31/99; Benchmark: Russell 1000 Value Index Year-to-Date Strategy Attribution
The Intrinsic Value Strategy returned +33.4% net of fees in 2013, leading the +32.5% return of the Russell 1000 Value index. Sector selection added to relative returns for the year. The Strategy saw positive relative returns attributable to underweight positions in Utilities and Energy and an overweight in Information Technology. Underweight positions in Industrials and Financials detracted from relative returns. Stock selection detracted from relative returns for the year. Selections in Financials, Industrials, and Energy added to relative returns while selections in Information Technology, Consumer Staples, and Health Care detracted. Individual stocks adding to relative returns included overweight positions in Gilead Sciences and Google and an underweight in ExxonMobil. Stock selections detracting from relative returns included overweight positions in IBM, Oracle, and Wal-Mart Stores. Outlook: The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Growth Strategy

Inception: 12/31/88; Benchmark: Russell 1000 Growth Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 32.64 33.48
One Year 32.64 33.48

11.06 10.44
2004 4.66 6.30
2005 3.93 5.26
2006 2.44 9.07
2007
2008
2009 24.64 37.21
2010 12.02 16.71
2011 8.72 2.64
2012 16.36 15.26
5.99 -30.42 11.81 -38.44
Google Inc. (Cl A) QUALCOMM Inc. Coca-Cola Co. Procter & Gamble Co. Int'l. Business Machines Amgen Inc. Oracle Corp. PepsiCo Inc. United Technologies Corp. Johnson & Johnson Total
5.1% 3.5% 3.3% 3.2% 3.1% 2.0% 1.9% 1.8% 1.8% 1.7% 27.4%

Strategy Benchmark
Sector Weights5
Sector Underweight/Overweight Against Benchmark Strategy Benchmark -6.0 20.6 -3.9 -4.3 0.9 -2.5 -1.9 -2.3 -0.5 -0.2 -15 0 15 30
Consumer Discretionary Consumer Staples Energy Financials Health Care 5 Characteristics Industrials Strategy Benchmark Information Technology Price/Earnings - Hist 1 Yr Wtd Med 21.6 x 22.5 x Materials Earnings/Share - F'cast LT Med Growth 11.6 x 12.8 x Telecom. Services Dividend Yield - Hist 1 Yr Wtd Avg 1.6 % 1.5 % Utilities Return on Equity - Hist 1 Yr Med 24.5 % 21.8 % -30 Market Cap - Weighted Median $Bil $61.7 $57.8
1.08 0.92 0.94 0.43
0.00 1.00 1.00 0.38
13.9 % 32.5 0.5 1.1 13.1 9.9 25.2 2.2 1.5 0.0
19.9 % 11.9 4.4 5.4 12.2 12.4 27.1 4.5 2.0 0.2
GICS Sectors
Quarterly Strategy Attribution The Growth Strategy returned +11.1% net of fees in the fourth quarter of 2013, leading the +10.4% return of the Russell 1000 Growth index. Sector selection added to relative returns for the quarter. Underweight positions in Energy and Telecommunication Services added to relative returns. An overweight position in Consumer Staples detracted. Stock selection also added to relative returns for the quarter. Selections in Consumer Staples, Industrials, and Financials added to relative returns. Selections in Consumer Discretionary detracted. Individual stocks adding to relative returns in the quarter included overweight positions in Google, Nu Skin Enterprises, and Monster Beverage. Stock selections detracting from relative returns included overweight positions Procter & Gamble, EBay, and Ulta Salon Cosmetics.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher priceto-book ratios and higher forecasted growth values. Russell 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; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 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.
1
GMO 2013
GMO Growth Strategy

Inception: 12/31/88; Benchmark: Russell 1000 Growth Index Year-to-Date Strategy Attribution
The Growth Strategy returned +32.6% net of fees in 2013, underperforming the +33.5% return of the Russell 1000 Growth index. Sector selection detracted from relative returns for the year. Overweight positions in the underperforming Consumer Staples and Information Technology sectors were the main detractors for the period. Stock selection also added to relative returns for the year. Selections in Consumer Staples, Industrials, and Consumer Discretionary added to relative returns while selections in Health Care, Information Technology, and Energy detracted. Individual stocks adding to returns included overweight positions in Nu Skin Enterprises, Priceline.com, and Google. Selections detracting from returns included an overweight in Apple and underweight positions in Facebook and Celgene Corp. Outlook: The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Small/Mid Cap Strategy

Inception: 12/31/91; Benchmark: Russell 2500 + Index
Total Return (%)

Top Ten Holdings2,5
Performance Net of Fees1

Average Annual Total Return (%)

3
YTD 2013 44.24 36.80
One Year 44.24 36.80

11.52 8.66
2004 20.80 21.58
2005 7.95 7.74
2006 10.86 20.18
2007
2008
2009 13.64 27.68
2010 25.88 24.82
2011 1.81 -3.36
2012 16.33 17.59
-12.37 -26.97 -7.27 -31.99
Best Buy Co. Inc. Hormel Foods Corp. Genworth Financial Inc. Harris Corp. Gannett Co. Inc. Torchmark Corp. Endo Pharmaceuticals Polaris Industries Inc. Omnicare Inc. Donaldson Co. Inc. Total
1.1% 1.1% 0.9% 0.8% 0.8% 0.8% 0.8% 0.7% 0.7% 0.7% 8.4%

Strategy Benchmark
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 4.2 Consumer Discretionary 19.1 % 14.9 % 3.4 Consumer Staples 6.2 2.8 -2.0 Energy 3.8 5.8 -0.3 Financials 22.7 23.0 -2.4 Health Care 8.3 10.7 1.5 Industrials 17.3 15.8 Sector
0.61 0.94 0.94 0.57
0.00 1.00 1.00 0.55
Characteristics5
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
18.8 2.0 1.3 12.1 $3.4
x x % %
26.1 2.4 1.2 10.5 $3.5
x x % %
Information Technology -1.3 Materials Telecom. Services -3.5 Utilities

-6 -3 0
0.5 0.0 3 6
15.8 5.4 0.9 0.6
15.3 6.7 0.9 4.1

GICS Sectors
Quarterly Strategy Attribution The U.S. Small/Mid Cap Strategy returned +11.5% net of fees in the fourth quarter of 2013, leading the +8.7% return of the Russell 2500 index. Sector selection added to relative returns. An overweight position in Industrials and underweight positions in Energy and Utilities added to relative returns during the period. Stock selection also added to relative returns for the quarter. Selections in Financials, Information Technology, and Energy added to relative returns while selections in Consumer Staples and Telecommunication Services detracted. Individual stocks adding to relative returns included overweight positions in Endo Health Solutions, Western Refining, and Marvell Technology Group. Individual names detracting from relative returns included overweight positions in Supervalu and Nii Holdings and an underweight in 3D Systems Corp.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The Russell 2500 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii) the Russell 2500 Value Index from 12/31/1996 to 1/16/2012 and (iii) the Russell 2500 Index thereafter. Russell Investments is the source and owner of the Russell 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; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 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. GMO 2013
1
GMO Small/Mid Cap Strategy

Inception: 12/31/91; Benchmark: Russell 2500 + Index Year-to-Date Strategy Attribution
The Small/Mid Cap Strategy returned +44.2% net of fees in 2013, leading the +36.8% return of the Russell 2500 Value index. Sector selection added to relative returns for the year. Overweight positions in Consumer Staples and Consumer Discretionary and an underweight in Utilities added to relative returns. An underweight in Health Care detracted. Stock selection also added to relative returns for the year. Selections in Financials, Industrials, and Consumer Discretionary added to relative returns while selections in Energy and Telecommunication Services detracted. Individual stocks adding to relative returns included overweight positions in Gamestop, Endo Health Solutions, and Manpower. Individual names detracting from relative performance included underweight positions in Netflix and Tesla Motors and an overweight in Hollyfrontier Corp. Outlook: The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO International Active EAFE Strategy

Inception: 5/31/81; Benchmark: MSCI EAFE Index Performance Net of Fees1

Top Overweight Holdings2,5

3
YTD 2013 24.11 22.78
One Year 24.11 22.78

Five Year 10.68 12.44
Ten Year 6.69 6.91
Since Inception 12.28 9.32
7.20 5.71
2004 22.33 20.25
2005 13.52 13.54
2006 27.52 26.34
2007
2008
2009 25.53 31.78
2010
2011
2012 14.92 17.32
10.58 -41.24 11.17 -43.38
5.01 -11.65 7.75 -12.14
Sumitomo Mitsui Financial Mitsubishi Tokyo Financial Asciano Group Telstra Corp. Ltd. Gaz de France Assicurazioni Generali Australia & NZ Banking Mazda Motor Corp. ArcelorMittal SA Aberdeen Asset Management Publicis Groupe SA Eni S.p.A. Koninklijke Philips Elect. E.ON AG WPP PLC
2.4% 1.7% 1.5% 1.4% 1.4% 1.3% 1.3% 1.3% 1.3% 1.3% 1.2% 1.1% 1.1% 1.1% 1.1%

Strategy Benchmark
Characteristics5
Strategy Benchmark
3.80 0.82 0.84 0.48
0.00 1.00 1.00 0.26
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
17.1 x 10.3 x 1.6 x 2.9 %
17.4 x 11.6 x 1.7 x 3.0 %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -0.2 -0.1 -0.6 -3.2 -1.8 3.5 2.4 -4 -2 0 2 4
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 4.8 Consumer Discretionary 16.7 % 11.9 % -2.3 Consumer Staples 8.6 10.9 -0.4 Energy 6.9 7.3 0.4 Financials 26.0 25.6 -6.3 Health Care 3.7 10.0 1.6 Industrials 14.5 12.9 0.4 Information Technology 4.9 4.5 0.4 Materials 8.0 7.6 0.1 Telecom. Services 5.8 5.7 1.3 Utilities 4.8 3.5 Sector -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Australia/New Zealand Emerging Cash
Quarterly Strategy Attribution The International Active EAFE Strategy returned +7.2% net of fees in the fourth quarter, 1.5 percentage points ahead of the MSCI EAFE index, which returned +5.7%. Fair value pricing of the strategy added 0.1 percentage points to the return during the quarter. Using the local close, which we do for attribution, the strategy was 1.5 percentage points ahead of the MSCI EAFE benchmark, net of fees. Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns. The eurozone, in which we have an overweight, was the best performing region in the MSCI EAFE index. Stock selection also beat the benchmark in the fourth quarter. Holdings in the United Kingdom, Continental Europe, and Japan outperformed.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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. GMO 2013
1
GMO International Active EAFE Strategy

Inception: 5/31/81; Benchmark: MSCI EAFE Index Year-to-Date Strategy Attribution
The International Active EAFE Strategy outperformed its MSCI EAFE benchmark by 1.3 percentage points net of fees in 2013, gaining 24.1% while the benchmark rose 22.8%. Country and stock selection were both positive. Country selection added to returns during the year. An overweight position in Japan added to returns as Abes arrows propelled the market. Underweight positions in Australia and Singapore also helped performance. On the negative side, our positioning in Continental Europe subtracted from returns. Stock selection beat the benchmark in 2013. Our holdings outperformed in the United Kingdom and Continental Europe. Stock selection was hurt by our positions in the emerging markets. Outlook: Current valuations in the global equity markets reveal no large factor or group of stocks that appears substantially cheaper than another. There is a dearth of valuation dispersion between geographies, between industries, or between styles such as small and large. As a result of the relative lack of thematic valuation opportunity, alpha will have to be delivered via good old-fashioned stock picking. But, while average valuations between countries, sectors, and factors are in a relatively tight band, the valuation dispersion of stocks within those buckets is still fairly wide, meaning there are still plenty of inefficiencies and mispriced companies to provide excess profits. In fact, we believe there are particularly cheap stocks in Europe, Japan, and Emerging Asia. In Europe, value still resides in companies geared to a domestic recovery. Industrials, materials, and financials that have significant business exposure to the European economy represent a compelling opportunity. Many of these companies are in the midst of restructuring, cutting costs, and reducing leverage. Companies that are able to achieve breakeven or even positive cash flow on currently depressed revenue levels should handsomely reward investors if the European recovery becomes more robust. The European economy remains the thing to watch. While a recovery in Europe is clearly being discounted by the equity markets, growth is anticipated to be modest. Anything better would certainly be a surprise and markets should rally correspondingly. The upcoming Asset Quality Review by the ECB could be a source of good news if it reveals solid balance sheets in the banking sector. Healthy capital positions combined with nascent underlying loan demand will be the true signs of a sustainable recovery in Europe. Japan continues to pursue structural reform under Abes Three Arrows program. The most important policy remains the first arrow of monetary stimulus intended to create nominal asset price increases. Margins in Japan are still very low and operating leverage is so high that, even with modest restructuring and a modicum of pricing power, corporate profits could improve dramatically. With current earnings, valuation looks fair but if policy measures achieve their goals the market is compellingly cheap. The equity market will continue to favor those companies that should benefit from a modestly devaluing yen such as banks, retailers, and industrials. In the midst of these broader themes there can still be found a cohort of Japanese companies that continue their march toward greater efficiency and higher profitability, and that will reward investors regardless of what happens in the broader economy. In emerging markets, there is the appearance of extreme value, but those stocks that are optically cheap come with high risk. There are only a few countries in aggregate selling below 10 times earnings and all of them are in the emerging markets: China, Russia, Turkey, and Korea. We are most excited about Korea and Turkey. Korea has been out of favor with investors for several years and, as a result, a number of franchises with strong competitive positions can be bought on the cheap. Turkey has some isolated opportunities but it is a struggle to find enough liquidity to make these ideas impactful. In Russia, value is found primarily in the resource sector and comes with an uncomfortable amount of ongoing geopolitical risk. China continues to be a worry for us. While the slowing economy has certainly been recognized by markets, the extent of bad loans and hidden leverage in the banking system has the potential for catastrophe. The Chinese economy has yet to fully digest the massive credit expansion thrust upon it by policy makers after the global financial crisis. The middle kingdom could find a way to muddle through, but systemic risk is high. The major economic themes of 2013 are intact as we enter 2014. The United States will continue to lead other regions, mainly Europe, in a slow recovery from economic malaise. Deleveraging by U.S. consumers and European sovereign governments will still act as a governor on growth, but a counterbalance will be provided by loose monetary policy. While Europe in particular is not out of the woods, global macroeconomic conditions have a trajectory of modest but steady improvement. China contains risk, but as long as the rest of the world is on the mend, any trouble there should be relatively isolated. With few thematic valuation opportunities in the global equity markets, the burden for alpha will rest squarely on good stock selection. Fortunately, there are plenty of forgotten and neglected companies that are either restructuring their business or benefiting from the better prevailing economic climate. Either way, we believe these companies will surprise market expectations and provide those early contrarian investors with strong returns.
GMO 2013
GMO Intl. Active Foreign Small Companies Strategy

Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index Performance Net of Fees1

Top Overweight Holdings2,5

3
YTD 2013 28.92 26.06
One Year 28.92 26.06

Five Year 19.62 17.72
Ten Year 11.60 9.95
6.68 5.76
2004 29.30 28.73
2005 18.91 22.10
2006 36.24 29.42
2007
2008
2009 47.63 45.07
2010
2011
2012 21.64 18.55
8.00 -45.91 7.32 -47.67
24.76 -15.21 21.96 -14.49
Euromoney Institutional Mdibnca Bnca di Crd Fnnzro Asciano Group Faurecia Filtrona PLC Credito Emiliano S.p.A. Toll Holdings Ltd. Tyman Plc Incitec Pivot Ltd. Berkeley Group Holdings Izumi Co. Ltd. James Fisher & Sons PLC NHK Spring Co. Ltd. Diamond Lease Co. Ltd. Sodexho Alliance S.A.
1.5% 1.4% 1.3% 1.3% 1.2% 1.2% 1.1% 1.1% 1.1% 1.1% 1.1% 1.1% 1.0% 1.0% 1.0%

Strategy Benchmark
Characteristics5
Strategy Benchmark
4.64 0.92 0.94 0.54
0.00 1.00 1.00 0.28
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
18.7 11.4 1.5 2.1
x x x %
20.1 11.9 1.5 2.4
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -1.6 1.4 1.7
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 9.3 26.2 % Consumer Discretionary 16.9 % -2.3 Consumer Staples 3.3 5.6 0.1 Energy 4.5 4.4 -3.0 Financials 18.1 21.1 -3.1 Health Care 2.8 5.9 Industrials 25.9 23.4 2.5 Information Technology 7.6 9.1 -1.5 Materials 10.8 10.2 0.6 Telecom. Services 0.8 1.2 -0.4 Utilities 0.0 2.2 -2.2 Sector
6
Europe ex-UK United Kingdom Japan -3.5 Southeast Asia -5.1 Canada Australia/New Zealand Emerging Cash
-6
0.5 3.4 3.1 -3 0 3
-10
-5
10
GICS Sectors
Quarterly Strategy Attribution The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 0.9 percentage points in the fourth quarter, gaining 6.7% net of fees while the benchmark rose 5.8%. Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns. The eurozone, in which we have an overweight, outperformed the other markets in the index. Stock selection also outperformed the benchmark. Our holdings in the United Kingdom and Japan outperformed. Stock selection was negative in Continental Europe.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P Developed ex-U.S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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.
1
GMO 2013
GMO Intl. Active Foreign Small Companies Strategy

Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index Year-to-Date Strategy Attribution
The International Active Foreign Small Companies Strategy outperformed its S&P Developed ex-U.S. Small Cap benchmark by 2.9 percentage points in 2013, gaining 28.9% net of fees while the benchmark rose 26.1%. Country selection added to returns during the year. An underweight position in Canada helped performance. Stock selection beat the benchmark in 2013. Holdings in Japan, the United Kingdom, Australia, and Korea outperformed. Stock selection in the emerging markets hurt returns.
Outlook: Current valuations in the global equity markets reveal no large factor or group of stocks that appears substantially cheaper than another. There is a dearth of valuation dispersion between geographies, between industries, or between styles such as small and large. As a result of the relative lack of thematic valuation opportunity, alpha will have to be delivered via good old-fashioned stock picking. But, while average valuations between countries, sectors, and factors are in a relatively tight band, the valuation dispersion of stocks within those buckets is still fairly wide, meaning there are still plenty of inefficiencies and mispriced companies to provide excess profits.
In fact, we believe there are particularly cheap stocks in Europe, Japan, and Emerging Asia. In Europe, value still resides in companies geared to a domestic recovery. Industrials, materials, and financials that have significant business exposure to the European economy represent a compelling opportunity. Many of these companies are in the midst of restructuring, cutting costs, and reducing leverage. Companies that are able to achieve breakeven or even positive cash flow on currently depressed revenue levels should handsomely reward investors if the European recovery becomes more robust. The European economy remains the thing to watch. While a recovery in Europe is clearly being discounted by the equity markets, growth is anticipated to be modest. Anything better would certainly be a surprise and markets should rally correspondingly. The upcoming Asset Quality Review by the ECB could be a source of good news if it reveals solid balance sheets in the banking sector. Healthy capital positions combined with nascent underlying loan demand will be the true signs of a sustainable recovery in Europe. Japan continues to pursue structural reform under Abes Three Arrows program. The most important policy remains the first arrow of monetary stimulus intended to create nominal asset price increases. Margins in Japan are still very low and operating leverage is so high that, even with modest restructuring and a modicum of pricing power, corporate profits could improve dramatically. With current earnings, valuation looks fair but if policy measures achieve their goals the market is compellingly cheap. The equity market will continue to favor those companies that should benefit from a modestly devaluing yen such as banks, retailers, and industrials. In the midst of these broader themes there can still be found a cohort of Japanese companies that continue their march toward greater efficiency and higher profitability, and that will reward investors regardless of what happens in the broader economy. In emerging markets, there is the appearance of extreme value, but those stocks that are optically cheap come with high risk. There are only a few countries in aggregate selling below 10 times earnings and all of them are in the emerging markets: China, Russia, Turkey, and Korea. We are most excited about Korea and Turkey. Korea has been out of favor with investors for several years and, as a result, a number of franchises with strong competitive positions can be bought on the cheap. Turkey has some isolated opportunities but it is a struggle to find enough liquidity to make these ideas impactful. In Russia, value is found primarily in the resource sector and comes with an uncomfortable amount of ongoing geopolitical risk. China continues to be a worry for us. While the slowing economy has certainly been recognized by markets, the extent of bad loans and hidden leverage in the banking system has the potential for catastrophe. The Chinese economy has yet to fully digest the massive credit expansion thrust upon it by policy makers after the global financial crisis. The middle kingdom could find a way to muddle through, but systemic risk is high. The major economic themes of 2013 are intact as we enter 2014. The United States will continue to lead other regions, mainly Europe, in a slow recovery from economic malaise. Deleveraging by U.S. consumers and European sovereign governments will still act as a governor on growth, but a counterbalance will be provided by loose monetary policy. While Europe in particular is not out of the woods, global macroeconomic conditions have a trajectory of modest but steady improvement. China contains risk, but as long as the rest of the world is on the mend, any trouble there should be relatively isolated. With few thematic valuation opportunities in the global equity markets, the burden for alpha will rest squarely on good stock selection. Fortunately, there are plenty of forgotten and neglected companies that are either restructuring their business or benefiting from the better prevailing economic climate. Either way, we believe these companies will surprise market expectations and provide those early contrarian investors with strong returns.
GMO 2013
GMO International Intrinsic Value Strategy

Inception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index Performance Net of Fees1

Top Ten Holdings2,5
4Q 2013 Strategy MSCI EAFE Value MSCI EAFE

3 3
YTD 2013 25.62 22.95 22.78

2005 13.98 13.80 13.54 2006 25.78 30.38 26.34 2007
One Year 25.62 22.95 22.78

2008
Five Year 10.72 11.99 12.44

2009 21.41 34.23 31.78
Ten Year 6.99 6.77 6.91

2010 2011
Since Inception 8.45 7.39 5.63

2012 12.98 17.69 17.32
6.81 6.26 5.71

2003 2004 25.23 24.33 20.25
Strategy 43.53 MSCI EAFE Value 45.30 MSCI EAFE 38.59
10.21 -40.31 5.96 -44.09 11.17 -43.38
7.53 -10.18 3.25 -12.17 7.75 -12.14
Royal Dutch Shell PLC Total S.A. BP PLC Vodafone Group PLC Telefonica S.A. AstraZeneca PLC ENI S.p.A. Banco Santander S.A. E.ON AG Enel S.p.A. Total
5.1% 4.8% 3.6% 3.0% 2.6% 2.5% 1.9% 1.7% 1.6% 1.6% 28.4%

Strategy M SCI EAFE Value M SCI EAFE
Characteristics5
M SCI Strategy EAFE Value M SCI EAFE
1.70 0.83 0.87 0.30
0.00 1.00 1.00 0.21
0.00 1.00 1.00 0.11
Price/Earnings - Hist 1 Yr Wtd Med 13.2 x Price/Cash Flow - Hist 1 Yr Wtd Med 5.7 x Price/Book - Hist 1 Yr Wtd Avg 1.2 x Return on Equity - Hist 1 Yr Med 10.2 % Market Cap - Weighted Median $Bil $31.5 Dividend Yield - Hist 1 Yr Wtd Avg 3.5 %
14.0 7.6 1.3 9.9 $37.5 3.8
x x x % %
17.4 11.6 1.7 11.3 $33.5 3.0
x x x % %
Regional Weights
Region
Sector Weights
Sector
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash
Underweight/Overweight Against M SCI EAFE Value (%) 6.3 -0.3 -2.2 -1.5 1.3 -3.7 0.3 -10 -5 0 5 10
Underweight/Overweight Against M SCI EAFE Value Strategy Benchmark 4.5 Consumer Discretionary 11.6 % 7.1 % -2.1 Consumer Staples 3.0 5.1 7.7 Energy 18.8 11.1 -13.5 Financials 21.9 35.4 -0.6 Health Care 7.4 8.0 0.6 Industrials 9.6 9.0 0.0 Information Technology 2.5 2.5 -2.5 Materials 5.9 8.4 3.9 Telecom. Services 11.5 7.6 2.1 Utilities 7.9 5.8 -20 -10 0 10 20
GICS Sectors
Quarterly Strategy Attribution

The International Intrinsic Value Strategy returned +6.8% net of fees during the fourth quarter of 2013, compared to the broad market MSCI EAFE index, which returned +5.7%, and the MSCI EAFE Value benchmark, which returned +6.3%. In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, country allocation, and currency allocation also added value. On a sector basis, selection was strongest within Financials, Energy, and Utilities although our Industrials underperformed. By country, our stocks in the United Kingdom added the most value while those in Italy also contributed. Weak returns from our stocks in Japan and Germany detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in energy company BP (U.K.), pharmaceutical AstraZeneca (U.K.), and financial Banco Santander (Spain). Stock positions that detracted included overweights in auto maker Peugeot (France) and financial QBE Insurance (Australia) and an underweight in telecommunication services company Softbank (Japan). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweight to Consumer Staples, which did not. Country allocation had a positive impact mainly from our underweight position in Switzerland, which underperformed, and overweight position in Spain, which outperformed. Currency allocation helped slightly mainly from an underweight position in the Australian dollar, which declined. Performance was not quite as good relative to the MSCI EAFE Value index, which benefited from a smaller weight in the weak Consumer Staples sector and more exposure in the stronger Telecommunication Services and Energy sectors.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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. GMO 2013
1
GMO International Intrinsic Value Strategy

Inception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index Year-to-Date Strategy Attribution
The International Intrinsic Value Strategy returned +25.6% net of fees during the calendar year 2013, compared to the broad market MSCI EAFE index, which returned +22.8%, and the MSCI EAFE Value benchmark, which returned +23.0%. In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures and currency allocation also added value. Country allocation had little net impact. On a sector basis, stock selection was strongest within Financials, Consumer Discretionary, Energy, and Materials, but weak in Telecommunication Services. By country, our stocks in the United Kingdom and France added the most value while those in Italy, Australia, and Finland also contributed. Weak returns from our stocks in Germany and Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in wireless telecoms Vodafone (U.K.) and KDDI Corp. (Japan) and technology company Nokia (Finland). Stock positions that detracted included overweights in technology company Research In Motion (Canada), energy company Royal Dutch Shell (U.K.), and utility E.On (Germany). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweights to Materials and Consumer Staples, which did not. Overweights in the weak Energy and Utilities sectors along with an underweight in the strong Consumer Discretionary sector detracted. Currency allocation helped slightly, mainly from an underweight position in the Australian dollar, which declined, and overweight in the euro, which appreciated. Country allocation had little meaningful impact as the benefit from overweighting Japan, which outperformed, and underweighting Australia, which underperformed, was offset by the negative impact from overweighting Italy, which underperformed. Performance was essentially the same relative to the MSCI EAFE Value index, which benefited from a smaller weight in the weak Materials sector but was hurt by less exposure in the strong Consumer Discretionary sector. Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO International Growth Strategy

Inception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index Performance Net of Fees1

Top Ten Holdings2,5
4Q 2013 Strategy MSCI EAFE Growth MSCI EAFE

3 3
YTD 2013 23.56 22.55 22.78

2005 13.16 13.28 2006 24.56 22.33
One Year 23.56 22.55 22.78

2007 2008
Five Year 14.03 12.82 12.44

2009 24.81 29.36
Ten Year 8.69 6.97 6.91

2010
Since Inception 8.71 6.69 7.08

2011 2012 19.28 16.86
5.30 5.15 5.71

2003 2004 20.03 16.12
Strategy 30.40 MSCI EAFE Growth 31.99 MSCI EAFE 38.59
20.25
13.54
26.34
11.17 -43.38
14.35 -38.29 16.45 -42.70
31.78
13.94 -8.02 12.25 -12.11
7.75 -12.14
17.32
Roche Holding AG GlaxoSmithKline PLC Nestle S.A. British American Tobacco Toyota Motor Corp. Unilever N.V. Diageo PLC Novo Nordisk A/S Class B Rio Tinto PLC Hennes & Mauritz AB Total
3.7% 3.4% 2.9% 2.5% 2.3% 1.9% 1.7% 1.6% 1.4% 1.3% 22.7%

M SCI Strategy EAFE Growth M SCI EAFE
Characteristics5
M SCI Strategy EAFE Growth M SCI EAFE
2.49 0.91 0.97 0.45
0.00 1.00 1.00 0.30
0.00 1.00 1.00 0.31
Price/Earnings - Hist 1 Yr Wtd Med 18.8 x Earnings/Share - F'cast LT Med Growth Rate 9.5 x Price/Book - Hist 1 Yr Wtd Avg 2.6 x Return on Equity - Hist 1 Yr Med 18.1 % Market Cap - Weighted Median $Bil $28.0 Dividend Yield - Hist 1 Yr Wtd Avg 2.5 %
20.3 10.5 2.4 15.1 $30.2 2.1
x x x % %
17.4 9.2 1.7 11.3 $33.5 3.0
x x x % %
Regional Weights5
Region Underweight/Overweight Against M SCI EAFE Growth (%) -7.2 6.3 -3.2 0.2 3.0 -1.0 0.2 1.8 -10 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against M SCI EAFE Growth Strategy Benchmark Consumer Discretionary 18.5 % 16.7 % 1.8 Consumer Staples 17.0 16.8 0.2 Energy 3.0 3.4 -0.4 -0.5 Financials 15.4 15.9 4.8 Health Care 16.9 12.1 -4.3 Industrials 12.5 16.8 -0.9 Information Technology 5.7 6.6 -1.4 Materials 5.4 6.8 0.3 Telecom. Services 4.1 3.8 0.3 Utilities 1.5 1.2 -6 -3 0 3 6
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Untied States Cash

The International Growth Strategy returned +5.3% net of fees during the fourth quarter of 2013, compared to the MSCI EAFE Growth benchmark, which returned +5.2%, and the broad market MSCI EAFE index, which returned +5.7%. In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE Growth while sector exposures also added value. Country allocation and currency allocation had little impact. On a sector basis, selection added the most value within Consumer Discretionary, Energy, Financials, Industrials, and Materials, but detracted in Telecommunication Services and Health Care. By country, our stocks in France, Sweden, and Canada added the most value. Weak returns from our stocks in Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in metals & mining company Rio Tinto (U.K./ Australia) and auto maker Volkswagen (Germany) and an underweight position in financial UBS (Switzerland). Stock positions that detracted included underweight positions in telecommunication services company Softbank (Japan) and pharmaceutical Bayer (Germany) as well as an overweight position in energy equipment company John Wood Group (U.K.). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well. Country allocation benefited from underweights to Switzerland and France, which both underperformed, but this was offset by an overweight in Norway, which trailed, and an underweight in Japan, which outperformed. Currency allocation was helped slightly by an underweight position in the Australian dollar, which declined, but hurt by an underweight in the Swiss franc, which appreciated.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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. GMO 2013
1
GMO International Growth Strategy

Inception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index Year-to-Date Strategy Attribution
The International Growth Strategy returned +23.6% net of fees during the calendar year 2013, compared to the MSCI EAFE Growth benchmark, which returned +22.5%, and the broad market MSCI EAFE index, which returned +22.8%. In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE Growth while sector exposures and currency allocation also added value. Country allocation had little impact. On a sector basis, stock selection was strongest within Consumer Discretionary, but weak in Telecommunication Services and Health Care. By country, our stocks in France, Sweden, Australia, and Canada added the most value. Weak returns from our stocks in Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included an underweight position in metals & mining company BHP Billiton (U.K./Australia) and overweights in financial Lloyds Banking Group (U.K.) and auto maker Mazda Motor Corp. (Japan). Stock positions that detracted included underweights in auto maker Toyota Motor Corp. (Japan) and telecommunication services companies Softbank (Japan) and BT Group (U.K.). Sector exposures (as a result of stock selection) added value, largely from our underweight to Materials, the weakest sector, and overweights to Telecommunication Services and Health Care, which performed well. Currency allocation was helped by an underweight position in the Australian dollar, which declined, but hurt somewhat by an underweight in the Swiss franc, which also declined. Country allocation had little meaningful impact as the benefit from underweighting Australia and France, which underperformed, was offset by the negative impact from overweighting Germany, which underperformed, and several other positions. Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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 attractive opportunities offered up by market conditions.
GMO 2013
GMO International Core Equity Strategy

Inception: 1/31/02; Benchmark: MSCI EAFE Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 26.15 22.78
One Year 26.15 22.78

Five Year 12.37 12.44
Ten Year 7.74 6.91
7.09 5.71
2004 23.28 20.25
2005 15.58 13.54
2006 25.56 26.34
2007
2008
2009 23.73 31.78
2010
2011
2012 14.44 17.32
12.13 -41.34 11.17 -43.38
10.33 -9.09 7.75 -12.14
Total S.A. Royal Dutch Shell PLC BP PLC Vodafone Group PLC AstraZeneca PLC Telefonica S.A. Banco Santander S.A. E.ON AG Enel S.p.A. Rio Tinto PLC Total
4.3% 3.9% 3.3% 2.6% 2.5% 2.4% 1.7% 1.6% 1.5% 1.4% 25.2%

Strategy Benchmark
Characteristics5
Strategy Benchmark
1.81 0.95 0.98 0.44
0.00 1.00 1.00 0.34
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Rate Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
14.0 8.5 1.4 9.9 $30.0 3.4

5
x x x % %
17.4 9.2 1.7 11.3 $33.5 3.0
x x x % %
Regional Weights
Region
Sector Weights
Sector
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash
-6
Underweight/Overweight Against Benchmark (%) 1.5 4.3 -3.3 -0.9 1.6 -3.3 0.1 0.1 -3 0 3 6
Underweight/Overweight Against Benchmark Strategy Benchmark 2.8 Consumer Discretionary 14.7 % 11.9 % -7.1 Consumer Staples 3.8 10.9 8.6 15.9 Energy 7.3 -7.3 Financials 18.3 25.6 -2.5 Health Care 7.5 10.0 -1.2 Industrials 11.7 12.9 -1.0 Information Technology 3.5 4.5 -1.5 Materials 6.1 7.6 5.2 Telecom. Services 10.9 5.7 4.1 Utilities 7.6 3.5 -10 -5 0 5 10
GICS Sectors
Quarterly Strategy Attribution The International Core Equity Strategy returned +7.1% net of fees during the fourth quarter of 2013, compared to the MSCI EAFE index, which returned +5.7%. In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, country allocation, and currency allocation also added value. On a sector basis, selection was strongest within Consumer Discretionary, Utilities, Financials, Energy, and Materials although our Telecommunication Services underperformed. By country, our stocks in the United Kingdom added the most value while those in Italy, France, and Hong Kong also contributed. Weak returns from our stocks in Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in energy company BP (U.K.), pharmaceutical AstraZeneca (U.K.), and financial Banco Santander (Spain). Stock positions that detracted included overweights in auto maker Peugeot (France), financial QBE Insurance (Australia), and utility Tokyo Electric Power (Japan). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweight to Consumer Staples, which did not. Country allocation had a positive impact mainly from our underweight position in Switzerland, which underperformed. Currency allocation helped slightly mainly from an underweight position in the Australian dollar, which declined.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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.
1
GMO 2013
GMO International Core Equity Strategy

Inception: 1/31/02; Benchmark: MSCI EAFE Index Year-to-Date Strategy Attribution
The International Core Equity Strategy returned +26.2% net of fees during the calendar year 2013, compared to the MSCI EAFE index, which returned +22.8%. In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures, currency allocation, and country allocation also added value. On a sector basis, stock selection was strongest within Consumer Discretionary, Financials, Energy, and Materials, but weak in Telecommunication Services and Health Care. By country, our stocks in the United Kingdom and France added the most value while those in Australia, Finland, and Hong Kong also contributed. Weak returns from our stocks in Germany and Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in technology company Nokia (Finland) and wireless telecom KDDI Corp. (Japan) as well as an underweight position in metals and mining company BHP Billiton (U.K./Australia). Stock positions that detracted included overweights in metals and mining company Rio Tinto (U.K./ Australia) and utilities E.On (Germany) and Enel (Italy). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweights to Materials and Consumer Staples, which did not. Overweights in the weak Energy and Utilities sectors detracted. Currency allocation helped, mainly from an underweight position in the Australian dollar, which declined and overweight in the euro, which appreciated. Our overweight to the Japanese yen hurt somewhat. Country allocation had a small positive impact as the benefit from our overweight position in Japan, which outperformed, and underweights in Australia and Hong Kong, which trailed, outweighed the negative impact from overweighting Italy, which underperformed. Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Currency Hedged International Equity Strategy

Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 28.21 26.67
One Year 28.21 26.67

Five Year 11.03 11.67
Ten Year 7.46 6.67
7.31 6.26
2004 14.77 12.01
2005 27.32 29.67
2006 19.31 19.19
2007
2008
2009 16.11 25.67
2010
2011
2012 16.51 17.54
5.88 -34.09 5.32 -39.77
7.72 -9.68 5.60 -12.10
Royal Dutch Shell PLC Total S.A. BP PLC Vodafone Group PLC Telefonica S.A. AstraZeneca PLC ENI S.p.A. Banco Santander S.A. E.ON AG Enel S.p.A. Total
5.1% 4.8% 3.6% 3.0% 2.6% 2.5% 1.9% 1.7% 1.6% 1.6% 28.4%

Strategy Benchmark
Characteristics5
Strategy Benchmark
2.25 0.82 0.88 0.41
0.00 1.00 1.00 0.25
Price/Earnings - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
13.2 1.2 10.2 $31.5 3.5
x x % %
17.4 1.7 11.3 $33.5 3.0
x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 1.2 3.9 -2.8 -1.6 1.3 -3.9 1.9 -6 -3 0 3 6
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark -0.3 Consumer Discretionary 11.6 % 11.9 % -7.9 Consumer Staples 3.0 10.9 11.5 Energy 18.8 7.3 -3.7 Financials 21.9 25.6 -2.6 Health Care 7.4 10.0 Industrials 9.6 12.9 -3.3 Information Technology 2.5 4.5 -2.0 -1.7 Materials 5.9 7.6 Telecom. Services 11.5 5.7 5.8 Utilities 7.9 3.5 4.4 Sector -20 -10 0 10 20
GICS Sectors
Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Cash
Quarterly Strategy Attribution The Currency Hedged International Equity Strategy returned +7.3% net of fees during the fourth quarter of 2013, compared to the MSCI EAFE (Hedged) index, which returned +6.3%. Hedging added to returns for U.S. dollar-based investors as currencies declined on average relative to the U.S. dollar in the quarter. Among the major currencies, the Japanese yen fell by 7%, the Australian dollar by 4%, while the euro, British pound, and Swiss franc all gained about 2%. The unhedged EAFE index returned +5.7%. The Currency Hedged International Equity Strategy was invested in the International Intrinsic Value Strategy during the period. Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by the outperformance of the International Intrinsic Value Strategy versus its style benchmark.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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.
1
GMO 2013
GMO Currency Hedged International Equity Strategy

Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index Year-to-Date Strategy Attribution
The Currency Hedged International Equity Strategy returned +28.2% net of fees during the calendar year 2013, compared to the MSCI EAFE (Hedged) index, which returned +26.7%. Hedging added to returns for U.S. dollar-based investors as currencies on average declined relative to the U.S. dollar in the period. Among the major currencies, the Japanese yen fell by 18% and the Australian dollar by 14% while the euro gained 4.5%, the Swiss franc 3%, and the British pound 2%. The unhedged EAFE index returned +22.8%. Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by both the outperformance of the International Intrinsic Value Strategy versus its style index and the increase in weighting toward Value, which outperformed Growth. In the second quarter of 2013 the Strategy shifted to an approximately 100% Value exposure. Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Tax-Managed International Equities Strategy As of December 31, 2013

Inception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax) Performance Net of Fees1
Top Ten Holdings2,6

Five Year 12.26 12.44 11.77 11.47
2010
4Q 2013 Before-Tax Strategy 3 Benchmark 4 After-Tax Strategy Benchmark

YTD 2013 26.55 22.78 25.02 20.97

2005 16.55 13.54
Strategy
One Year 26.55 22.78 25.02 20.97

Ten Year 8.17 6.91 7.52 5.91

2011
Since Inception 8.46 5.51 7.83 4.71

2012
7.11 5.71 6.02 5.40

2004 24.36 20.25
2006 25.90 26.34
2007
2008
2009 23.71 31.78
Total S.A. Royal Dutch Shell PLC BP PLC Vodafone Group PLC Telefonica S.A. AstraZeneca PLC Banco Santander S.A. E.ON AG Sanofi-Aventis S.A. Rio Tinto PLC Total
4.6% 4.0% 3.8% 3.1% 2.2% 2.2% 1.5% 1.5% 1.4% 1.4% 25.7%
13.75 -40.71 11.17 -43.38
9.38 -8.18 7.75 -12.14
13.37 17.32

Benchmark
Characteristics6
Strategy Benchmark
3.27 0.90 0.93 0.37
0.00 1.00 1.00 0.18
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil
14.0 6.7 1.4 3.3 9.9 $30.0
x x x % %
17.4 11.6 1.7 3.0 11.3 $33.5
x x x % %
Regional Weights6
Region Underweight/Overweight Against Benchmark (%) 0.5 4.3
Sector Weights6
Underweight/Overweight Against Benchmark Strategy Benchmark 1.9 Consumer Discretionary 13.8 % 11.9 % -7.3 Consumer Staples 3.6 10.9 9.2 16.5 Energy 7.3 -4.1 Financials 21.5 25.6 -1.1 Health Care 8.9 10.0 -2.0 Industrials 10.9 12.9 -2.4 Information Technology 2.1 4.5 -3.1 Materials 4.5 7.6 5.2 Telecom. Services 10.9 5.7 3.7 Utilities 7.2 3.5 Sector -10 -5 0 5 10
GICS Sectors
Europe ex-UK United Kingdom -2.5 Japan -1.2 Southeast Asia Canada Australia/New Zealand -4.1 Emerging Cash
-6 -3
1.0 0.3 1.6 0 3 6

The Tax-Managed International Equities Strategy returned +7.1% net of fees for the fourth quarter of 2013, while the MSCI EAFE index returned +5.7%. In the strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures and country allocation also added value. On a sector basis, selection was strongest within Financials, Energy, Utilities, and Consumer Discretionary. By country, our stocks in the United Kingdom added the most value while those in Italy and Hong Kong also contributed. Weak returns from our stocks in Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in energy company BP (U.K.), pharmaceutical AstraZeneca (U.K.), and financial Banco Santander (Spain). Stock positions that detracted included overweights in auto maker Peugeot (France), financial Asiasons Capital Limited (Singapore), and financial QBE Insurance (Australia). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweight to Consumer Staples, which did not. Country allocation had a positive impact mainly from our underweight position in Switzerland, which underperformed, and overweight in Spain, which outperformed.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 Market conditions, tax legislation and government regulations may limit the Strategys ability to utilize tax efficient strategies. After-tax returns are calculated using the historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investors tax situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement. 4 The Strategy benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Manager estimates the MSCI EAFE Indexs after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Indexs dividend yield and to its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the MSCI EAFE Index). The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 6 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. GMO 2013
1
GMO Tax-Managed International Equities Strategy As of December 31, 2013

Inception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax) Year-to-Date Strategy Attribution The Tax-Managed International Equities Strategy returned +26.5% net of fees during the calendar year 2013, while the MSCI EAFE index returned +22.8%. In the Strategy, stock selection was primarily responsible for the outperformance relative to EAFE while sector exposures and country allocation also added value. On a sector basis, selection was strongest within Consumer Discretionary, Financials, Energy, Materials, and Utilities, but weak in Telecommunication Services. By country, our stocks in the United Kingdom added the most value while those in France, Italy, Australia, and Hong Kong also contributed. Weak returns from our stocks in Japan detracted from returns. Individual stock positions that were significant contributors to relative performance included overweights in wireless telecom KDDI Corp. (Japan), technology company Nokia (Finland), and travel company Thomas Cook Group (U.K.). Stock positions that detracted included overweights in utility Enel (Italy), metals and mining company Rio Tinto (U.K./Australia), and an underweight position in pharmaceutical Roche (Switzerland). Sector exposures (as a result of stock selection) added value, largely from our overweight to Telecommunication Services, which performed well, and underweights to Materials and Consumer Staples, which did not. Overweights in the weak Energy and Utilities sectors along with an underweight in the strong Financials sector detracted. Country allocation had a positive impact, mainly from our overweight position in Japan, which outperformed, and underweights in Australia and Hong Kong, which trailed. Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Emerging Markets Strategy

Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 -5.19 -0.57
One Year -5.19 -0.57

Five Year 13.38 15.89
Ten Year 10.08 12.24
0.32 2.15
2004 26.54 28.11
2005 40.15 35.19
2006 29.51 35.11
2007
2008
2009 71.89 81.03
2010
2011
2012 15.19 18.89
37.22 -55.74 40.28 -53.74
20.20 -16.95 20.64 -19.03
OAO Gazprom 3.3% Lukoil Oil Company 3.0% Vale S.A. 2.9% Samsung Electronics Co. Ltd. ( 2.9% China Mobile Ltd. 2.6% Ind. & Comm. Bank of China 2.2% KGHM Polska Miedz S.A. 2.2% China Construction Bank 2.2% Surgutneftegaz 2.1% Banco do Brasil S.A. 1.9% Total 25.3%

Strategy Benchmark
Characteristics5
Strategy Benchmark
1.94 0.99 0.93 0.21
0.00 1.00 1.00 0.13
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Avg Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
9.3 5.5 1.1 12.5 $8.3 4.0

5
x x x % %
14.9 9.7 1.5 11.3 $6.8 2.6
x x x % %
Regional Weights
Region
Sector Weights
Underweight/Overweight Against Benchmark (%) 0.7 -7.0 12.5 0.8 -3.5 -3.7 0.4 -20 -10 0 10 20
Developed East Asia Europe Latin/South America Mideast/Africa South Asia Cash
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 8.5 % 10.1 % -1.6 Consumer Staples 1.7 8.6 -6.9 Energy 17.0 9.8 7.2 -1.2 Financials 24.1 25.3 -1.6 Health Care 0.7 2.3 -3.6 Industrials 4.0 7.6 -4.1 Information Technology 12.7 16.8 1.2 Materials 10.9 9.7 7.8 14.5 Telecom. Services 6.7 2.9 Utilities 6.0 3.1 -10 -5 0 5 10
GICS Sectors

The Emerging Markets Strategy rose 0.3% net of fees in the fourth quarter, underperforming the 2.2% increase of the S&P/IFCI Composite by 1.8%. Overall, country/sector selection detracted 1.5% and stock selection lost 0.3%. Emerging markets posted their second best month of the year in October as expectations of a tapering by the Federal Reserve receded. They however ceded ground in November, with the brunt being borne by the commodity complex, after data showed a slowdown in Chinese manufacturing. Emerging markets retreated further in December. The month was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied in the quarter, ranging from a 14.1% drop in Turkey to a 19.4% jump in Egypt. Sector returns were far more clustered, varying from a 2.6% fall in Energy to a rise of 7.9% for IT. Brazils stocks fell as a decline in Chinese manufacturing added to concern that Chinas imports will falter as its leaders start to implement policy reforms. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our underweight in Brazil Energy and Consumer Staples helped performance. The Chinese stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our underweight in Chinese Utilities and Health Care hurt performance. Indias central bank raised interest rates for the second month in October to fight accelerating inflation, while also easing emergency liquidity curbs that were imposed to support the currency. Inflation is around 10% even as economic growth slows. Toward the end of the quarter, the market rose on increased speculation of a decisive government coming to power in the next elections. The opposition scored well in recently held state elections that were seen as a prelude to the national elections due by May 2014. Our underweight in Indian IT and Financials negatively impacted performance. The Russian stock market dropped with the fall in crude oil prices. Russia receives about half of its budget revenue from oil and natural gas sales. Also hurting investor sentiment has been concern that the economic recovery is foundering. Growth is expected to come in around 1.8% in 2013, a pace that would mark the weakest expansion since the recession in 2009. Toward the end of the quarter investor sentiment received a boost from President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our overweight in Russian Energy, our largest country/sector bet, detracted from performance. Stocks in Thailand fell on concern political turmoil will worsen as the nations army chief refused to rule out a coup following deadly street protests. Anti-government demonstrators have been calling for the military to back their bid to oust Prime Minister Yingluck Shinawatras government. Yinglucks move to call for snap elections has not been accepted by the opposition who want to set up an unelected council. Our overweight in Thai sectors such as Energy and Utilities hurt performance. Stock selection detracted from performance, particularly in Chinese Financials and Taiwan IT. 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 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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. GMO 2013
GMO Emerging Markets Strategy

Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index Year-to-Date Strategy Attribution
The Emerging Markets Strategy fell 5.2% net of fees in 2013, underperforming the S&P/IFC Investable Composite, which dropped 0.6%, by 4.6%. Emerging markets rose at the start of the year on the back of Chinas recovery and a rosier global outlook. These gains were soon eroded with disappointing news on the Italian elections and developments in the Chinese economy such as additional limits on property investment as well as on wealth management products. Developed markets, especially the U.S, remained a bright spot with reports that new home sales and consumer sentiment beat estimates. A Federal Reserve statement in July that any monetary tightening would be implemented only after clear indications of improvements in the U.S. economy helped retrace losses incurred in June. The best months of the year came in September and October after expectations of tapering by the Federal Reserve receded. A major reform announcement in China provided also some cheer. The end of the year was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied over the year, ranging from a 29.8% drop in Peru to a 51.0% jump in Greece. Sector returns were far more clustered, varying from a 17.0% fall in Materials to a rise of 13.9% for IT. Stocks in Brazil fell on the dimmed outlook for commodity producers amid concern of a slowdown in China, Brazils top trading partner. Investor sentiment in Brazil has also been impacted by the governments interventionist policies in sectors such as Utilities and Energy. Inflation in Brazil accelerated to 5.9%, rising to the top of the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2%. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our overweight in Brazil Financials and Materials detracted from performance. Chinese local authorities introduced more limits on home purchases after the central government demanded increased efforts to cool the property market. Financials were hit after regulators tightened rules on wealth-management products and the cabinet called for new measures to deregulate interest rates. Toward the end of the year, the stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our underweight in Chinese IT hurt performance. The Russian stock market began the year buffeted by the Cyprus debt crisis. Investor sentiment dived after a proposal to tax Cypriot savings accounts to secure a 10-billion euro bailout from the eurozone. Russia is Cypruss biggest direct investor because of a dual taxavoidance treaty. Weakness in commodity prices through most of the year hurt investor sentiment in Russia. Sentiment, however, was boosted by a government proposal that state companies pay a minimum 35% of net income as dividends from 2016 based on international accounting standards. Toward the end of the year investors also cheered President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our overweight in Russian Energy, our largest country/sector bet, contributed to performance. Indonesias current account deficit widened to a record, increasing pressure on its currency. Policy makers are also wrestling with inflation. The central bank has raised its benchmark rate several times this year, taking it to 7.5%, a jump of 1.75% since mid-June. Foreign direct investment grew at its slowest pace in three years. Economic growth has been disappointing for a few quarters and dropped under 6% for the first time since 2010. Our overweight in Indonesian Consumer Discretionary detracted from performance. The Korean market cheered reports of an improving economic outlook. The government forecast growth would accelerate to 3.9% in 2014 from 2.7% this year. Exports, which account for around half of GDP, jumped 7.1% in November from a year ago. The central bank kept its seven-day repurchase rate at 2.5%, the lowest since 2010. Our overweight in Korean Telecommunications and Financials positively impacted performance. Investor sentiment in Peru was hit by the drop in copper prices, the countrys largest export. Commodity prices tumbled in response to a revised forecast from the International Monetary Strategy projecting lower growth globally and in China, the worlds biggest consumer of industrial metals. The stock market was also hurt by President Humalas suggestion that the government might purchase shares in oil major Repsols local unit, which led to concerns of greater state control of the economy. Our overweight in Peru Materials negatively impacted performance. Stock selection in China Financials, Peru Materials, China Industrials, and Taiwan IT negatively impacted returns. Stock selection in Russian Energy was a significantly positive contributor. Overall, country selection detracted 2.6%, while stock selection lost 2.0%. Outlook: The emerging equity market's performance in 2013 highlights the need for strong investment discipline and process. While market movements along the greed and fear spectrum make for interesting commentary, our investment process will continue to focus on finding the most undervalued countries, sectors, and companies offered up by market conditions. Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statement will be realized.
GMO 2013
GMO Emerging Countries Strategy

Inception: 9/30/97; Benchmark: S&P/IFCI Composite Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 -5.95 -0.57
One Year -5.95 -0.57

Five Year 12.68 15.89
Ten Year 9.35 12.24
0.60 2.15
2004 24.89 28.11
2005 37.54 35.19
2006 28.95 35.11
2007
2008
2009 69.96 81.03
2010
2011
2012 14.11 18.89
37.44 -55.81 40.28 -53.74
19.89 -16.94 20.64 -19.03
Samsung Electronics Co. Ltd. 3.1% KGHM Polska Miedz S.A. 3.0% OAO Gazprom 2.8% Banco do Brasil S.A. 2.6% Surgutneftegaz 2.4% Transneft 2.3% China Mobile Ltd. 2.2% Vale S.A. 2.2% Cez A.S. 2.2% Lukoil Oil Company 2.1% Total 24.9%

Strategy Benchmark
Characteristics5
Strategy Benchmark
0.19 1.04 0.93 0.22
0.00 1.00 1.00 0.22
9.5 5.5 1.1 12.4 $8.3 3.8
x x x % %
14.9 9.7 1.5 11.3 $6.8 2.6
x x x % %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) 0.8 -7.3 12.7 -0.4 -3.0 -3.2 0.6 -20 -10 0 10 20
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark 0.4 Consumer Discretionary 10.5 % 10.1 % -6.7 Consumer Staples 1.9 8.6 5.3 Energy 15.1 9.8 -1.0 Financials 24.3 25.3 -1.8 Health Care 0.5 2.3 -4.4 Industrials 3.2 7.6 -3.4 Information Technology 13.4 16.8 1.9 Materials 11.6 9.7 8.5 15.2 Telecom. Services 6.7 1.2 Utilities 4.3 3.1 -10 -5 0 5 10
GICS Sectors
Developed East Asia Europe Latin/South America Mideast/Africa South Asia Cash

The Emerging Countries Strategy rose 0.6% net of fees in the fourth quarter, underperforming the 2.2% increase of the S&P/IFCI Composite by 1.6%. Overall, country/ sector selection detracted 1.6% and stock selection added 0.1%. Emerging markets posted their second best month of the year in October as expectations of a tapering by the Federal Reserve receded. They however ceded ground in November, with the brunt being borne by the commodity complex, after data showed a slowdown in Chinese manufacturing. Emerging markets retreated further in December. The month was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied in the quarter, ranging from a 14.1% drop in Turkey to a 19.4% jump in Egypt. Sector returns were far more clustered, varying from a 2.6% fall in Energy to a rise of 7.9% for IT. Brazils stocks fell as a decline in Chinese manufacturing added to concern that Chinas imports will falter as its leaders start to implement policy reforms. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our underweight in Brazil Energy and Consumer Staples helped performance. The Chinese stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our underweight in Chinese Utilities and Health Care hurt performance. Indias central bank raised interest rates for the second month in October to fight accelerating inflation, while also easing emergency liquidity curbs that were imposed to support the currency. Inflation is around 10% even as economic growth slows. Toward the end of the quarter, the market rose on increased speculation of a decisive government coming to power in the next elections. The opposition scored well in recently held state elections that were seen as a prelude to the national elections due by May 2014. Our underweight in Indian Financials negatively impacted performance. The Russian stock market dropped with the fall in crude oil prices. Russia receives about half of its budget revenue from oil and natural gas sales. Also hurting investor sentiment has been concern that the economic recovery is foundering. Growth is expected to come in around 1.8% in 2013, a pace that would mark the weakest expansion since the recession in 2009. Toward the end of the quarter investor sentiment received a boost from President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our overweight in Russian Energy, our largest country/sector bet, detracted from performance. Stocks in Thailand fell on concern political turmoil will worsen as the nations army chief refused to rule out a coup following deadly street protests. Anti-government demonstrators have been calling for the military to back their bid to oust Prime Minister Yingluck Shinawatras government. Yinglucks move to call for snap elections has not been accepted by the opposition who want to set up an unelected council. Our overweight in Thai sectors such as Energy and Utilities hurt performance. Stock selection detracted from performance, particularly in Chinese Financials and Korean Consumer Discretionary. 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 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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.
GMO 2013
GMO Emerging Countries Strategy

Inception: 9/30/97; Benchmark: S&P/IFCI Composite Index Year-to-Date Strategy Attribution
The Emerging Countries Strategy fell 6.0% net of fees in 2013, underperforming the S&P/IFC Investable Composite, which dropped 0.6%, by 5.4%. Emerging markets rose at the start of the year on the back of Chinas recovery and a rosier global outlook. These gains were soon eroded with disappointing news on the Italian elections and developments in the Chinese economy such as additional limits on property investment as well as on wealth management products. Developed markets, especially the U.S, remained a bright spot with reports that new home sales and consumer sentiment beat estimates. A Federal Reserve statement in July that any monetary tightening would be implemented only after clear indications of improvements in the U.S. economy helped retrace losses incurred in June. The best months of the year came in September and October after expectations of tapering by the Federal Reserve receded. A major reform announcement in China provided also some cheer. The end of the year was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied over the year, ranging from a 29.8% drop in Peru to a 51.0% jump in Greece. Sector returns were far more clustered, varying from a 17.0% fall in Materials to a rise of 13.9% for IT. Stocks in Brazil fell on the dimmed outlook for commodity producers amid concern of a slowdown in China, Brazils top trading partner. Investor sentiment in Brazil has also been impacted by the governments interventionist policies in sectors such as Utilities and Energy. Inflation in Brazil accelerated to 5.9%, rising above the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.0%. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our overweight in Brazil Financials and Materials detracted from performance. Chinese local authorities introduced more limits on home purchases after the central government demanded increased efforts to cool the property market. Financials were hit after regulators tightened rules on wealth-management products and the cabinet called for new measures to deregulate interest rates. Toward the end of the year, the stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our underweight in Chinese IT hurt performance. The Russian stock market began the year buffeted by the Cyprus debt crisis. Investor sentiment dived after a proposal to tax Cypriot savings accounts to secure a 10-billion euro bailout from the eurozone. Russia is Cypruss biggest direct investor because of a dual taxavoidance treaty. Weakness in commodity prices through most of the year hurt investor sentiment in Russia. Sentiment, however, was boosted by a government proposal that state companies pay a minimum 35% of net income as dividends from 2016 based on international accounting standards. Toward the end of the year investors also cheered President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our overweight in Russian Energy, our largest country/sector bet, contributed to performance. Indonesias current account deficit widened to a record, increasing pressure on its currency. Policy makers are also wrestling with inflation. The central bank has raised its benchmark rate several times this year, taking it to 7.5%, a jump of 1.75% since mid-June. Foreign direct investment grew at its slowest pace in three years. Economic growth has been disappointing for a few quarters and dropped under 6% for the first time since 2010. Our overweight in Indonesian Consumer Discretionary detracted from performance. The Korean market cheered reports of an improving economic outlook. The government forecast growth would be 3.8% in 2014. Exports, which account for around half of GDP, jumped 7.1% in November from a year ago. The central bank kept its seven-day repurchase rate at 2.5%, the lowest since 2010. Our overweight in Korean Telecommunications and Financials positively impacted performance. Investor sentiment in Peru was hit by the drop in copper prices, the countrys largest export. Commodity prices tumbled in response to a revised forecast from the International Monetary Strategy projecting lower growth globally and in China, the worlds biggest consumer of industrial metals. The stock market was also hurt by President Humalas suggestion that the government might purchase shares in oil major Repsols local unit, which led to concerns of greater state control of the economy. Our overweight in Peru Materials negatively impacted performance. Stock selection in, Peru Materials, Korea IT, and Philippine Consumer Discretionary negatively impacted returns. Stock selection in Russian Energy was a significantly positive contributor. Overall, country selection detracted 4.0%, while stock selection lost 1.4%.
Outlook: The emerging equity market's performance in 2013 highlights the need for strong investment discipline and process. While
market movements along the greed and fear spectrum make for interesting commentary, our investment process will continue to focus on finding the most undervalued countries, sectors, and companies offered up by market conditions. Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statement will be realized.
GMO 2013
GMO Emerging Domestic Opportunities Strategy As of December 31, 2013

Inception: 3/31/11 Performance Net of Fees1
Top Ten Holdings2,6

Five Year n/a n/a Ten Year n/a n/a Since Inception 6.02 -2.97

3
YTD 2013 3.80 -2.60
One Year 3.80 -2.60

2.37 1.83
2011 Strategy Benchmark -8.99 -20.06
2012 24.33 18.22
Copa Holdings S.A. (Cl A) Baidu.com Inc. Brilliance Chna Autmtive Nestle S.A. HSBC Holdings PLC Herbalife Ltd. Colgate-Palmolive Co. Nu Skin Enterprises Inc. Yahoo! Inc. British American Tobacco Total
4.4% 3.5% 2.5% 2.2% 2.2% 2.1% 2.0% 1.9% 1.8% 1.8% 24.4%

Strategy Benchmark
Characteristics6
Strategy Benchmark
8.19 0.73 0.84 0.38
0.00 1.00 1.00 -0.16
18.5 15.1 2.7 18.7 $4.2 2.2

6
x x x % %
14.8 9.5 1.5 12.1 $8.9 2.6
x x x % %
Regional Weights
Region
5,6
Sector Weights
Underweight/Overweight Against Benchmark (%) 22.1 -0.2 -6.3 -4.7 6.0 4.6 -15 0 15 30
Developed East Asia -21.4 Europe Latin/South America Mideast/Africa South Asia Cash
-30
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 16.5 % 8.9 % 7.6 Consumer Staples 21.2 8.6 12.6 Energy 1.6 11.3 -9.7 -4.2 Financials 22.5 26.7 2.4 Health Care 4.1 1.7 7.3 Industrials 13.8 6.5 -7.4 Information Technology 8.6 16.0 -8.3 Materials 1.4 9.7 0.0 Telecom. Services 7.4 7.4 -0.5 Utilities 2.9 3.4 -20 -10 0 10 20
GICS Sectors

The Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the world's 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 markets posted their second best month of the year in October as expectations of a tapering by the Federal Reserve receded. They however ceded ground in November, with the brunt being borne by the commodity complex, after data showed a slowdown in Chinese manufacturing. Emerging markets retreated further in December. The month was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied in the quarter, ranging from a 14.1% drop in Turkey to a 19.4% jump in Egypt. Domestic demand driven sector returns were far more clustered, varying from a 1.6% fall in Consumer Staples to a rise of 4.7% for Utilities. The Emerging Domestic Opportunities Strategy rose 2.4% net of fees in the fourth quarter. Brazils stocks fell as a decline in Chinese manufacturing added to concern that Chinas imports will falter as its leaders start to implement policy reforms. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our holdings in Brazil Financials and Industrials negatively impacted performance. The Chinese stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our exposure to Chinese sectors such as Consumer Discretionary, IT, and Industrials helped performance. Mexicos president, Pena Nieto, has spent his first year pushing an agenda to spur growth, including opening the state-controlled energy sector to more private investment. Mexico also passed a financial system overhaul that, in the words of a central bank deputy governor, should be reflected in greater credit growth, which in turn should lead to faster GDP, not just cyclical but long term. An improving outlook for the U.S. is another boost as it is Mexicos biggest export market. Our positions in Mexican Financials and Materials added to performance. The Russian stock market dropped at the start of the quarter with the fall in crude oil prices. Russia receives about half of its budget revenue from oil and natural gas sales. Also hurting investor sentiment has been concern that the economic recovery is foundering. Growth is expected to come in around 1.8% in 2013, a pace that would mark the weakest expansion since the recession in 2009. Toward the end of the quarter investor sentiment received a boost from President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our investments in Russian Consumer Discretionary and IT contributed to performance. Stocks in Thailand fell on concern political turmoil will worsen as the nations army chief refused to rule out a coup following deadly street protests. Anti-government demonstrators have been calling for the military to back their bid to oust Prime Minister Yingluck Shinawatras government. Yinglucks move to call for snap elections has not been accepted by the opposition who want to set up an unelected council. Our holdings in Thai sectors such as Telecommunications and Industrials hurt performance.
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. Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 5 Weights are based on exposure, which will include the impact from hedges held, if any. 6 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. GMO 2013
1 2 3
GMO Emerging Domestic Opportunities Strategy As of December 31, 2013

Inception: 3/31/11 Year-to-Date Strategy Attribution 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.
Market Review: Emerging markets rose at the start of the year on the back of Chinas recovery and a rosier global outlook. These gains were soon eroded with disappointing news on the Italian elections and developments in the Chinese economy such as additional limits on property investment as well as on wealth management products. Developed markets, especially the U.S, remained a bright spot with reports that new home sales and consumer sentiment beat estimates. A Federal Reserve statement in July that any monetary tightening would be implemented only after clear indications of improvements in the U.S. economy helped retrace losses incurred in June. The best months of the year came in September and October after expectations of tapering by the Federal Reserve receded. A major reform announcement in China provided also some cheer. The end of the year was marked by several shifts in the political landscape with significant deteriorations in sentiment in Thailand and Turkey but improvements in India and Russia. Country returns varied over the year, ranging from a 29.8% drop in Peru to a 51.0% jump in Greece. Domestic-demand-driven sector returns were more clustered, ranging from a drop of 4.2% in Financials to a 5.8% rise in Consumer Discretionary. Portfolio Review: The Emerging Domestic Opportunities Strategy outpaced a flat year in the asset class to rise 3.8% net of fees.
Stocks in Brazil fell on the dimmed outlook for commodity producers amid concern over a slowdown in China, Brazils top trading partner. Investor sentiment in Brazil has also been impacted by the governments interventionist policies in sectors such as Utilities and Energy. Inflation in Brazil accelerated to 5.9%, rising above the central banks target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.0%. Investors also worried as they pored over U.S. economic data for clues on when the Fed would start tapering its stimulus. Further depressing sentiment has been speculation that the ongoing economic slowdown and government deficits in Brazil will lead to a lower credit rating. Our holdings in Brazil Industrials and Financials detracted from performance. Chinese local authorities introduced more limits on home purchases after the central government demanded increased efforts to cool the property market. Financials were hit after regulators tightened rules on wealth management products and the cabinet called for new measures to deregulate interest rates. Toward the end of the year, the stock market was boosted by the government unveiling the biggest reform package since the 1990s after the third plenum, a top-level Communist Party meeting, in early November. The pledges made included establishing market-determined prices for resources, encouraging private sector and foreign investment, and promoting urbanization by scaling back the hukou, or household registration system, to allow rural migration to small cities. Lending costs have jumped as part of this transition as the government throttles back on its involvement in setting interest rates. Our exposure to Chinese sectors such as Consumer Discretionary and IT contributed to performance. Indonesias current account deficit widened to a record, increasing pressure on its currency. Policy makers are also wrestling with inflation. The central bank has raised its benchmark rate several times this year, taking it to 7.5%, a jump of 1.75% since mid-June. Foreign direct investment grew at its slowest pace in three years. Economic growth has been disappointing for a few quarters and dropped under 6% for the first time since 2010. Our investments in Indonesian sectors such as Financials, Materials, and Consumer Discretionary hurt performance. The Korean market cheered reports of an improving economic outlook. The government forecast growth would be 3.8% in 2014. Exports, which account for around half of GDP, jumped 7.1% in November from a year ago. The central bank kept its seven-day repurchase rate at 2.5%, the lowest since 2010. Our exposure to Korean Financials positively impacted performance. The Russian stock market began the year buffeted by the Cyprus debt crisis. Investor sentiment dived after a proposal to tax Cypriot savings accounts to secure a 10-billion euro bailout from the eurozone. Russia is Cypruss biggest direct investor because of a dual taxavoidance treaty. Weakness in commodity prices through most of the year hurt investor sentiment in Russia. Sentiment, however, was boosted by a government proposal that state companies pay a minimum 35% of net income as dividends from 2016 based on international accounting standards. Toward the end of the year investors also cheered President Putins pardon of Mikhail Khodorkovsky, the former billionaire owner of Yukos Oil. His imprisonment was seen as a blow to corporate governance. Our positions in Russian sectors such as IT, Consumer Staples, and Financials helped performance. Outlook: While market movements along the greed and fear spectrum make for interesting commentary, our investment process will continue to focus on finding the most undervalued countries, sectors, and companies that best take advantage of domestic demand in emerging markets. Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statement will be realized.
GMO 2013
GMO Global Focused Equity Strategy

Inception: 12/31/11 Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 31.29 22.80
One Year 31.29 22.80

Five Year n/a n/a
Ten Year n/a n/a
7.30 7.31
2012 Strategy Benchmark 19.71 16.13
Samsung Electronics Co. 3.5% Brookfield Residential 3.1% Lupus Capital PLC 2.2% Mazda Motor Corp. 2.2% Mitsubishi Tokyo Financial 2.2% Genomma Lab Internacional 2.2% Aberdeen Asset Management 2.2% Taylor Woodrow PLC 2.2% Hitachi Ltd. 2.1% Sumitomo Mitsui Financial 2.1% Total 24.0%

Strategy Benchmark
Characteristics5
Strategy Benchmark
0.42 1.29 0.85 1.63
0.00 1.00 1.00 1.74
Price/Earnings - Hist 1 Yr Wtd M ed Price/Cash Flow - Hist 1 Yr Wtd M ed Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
17.1 12.0 1.8 1.6
x x x %
18.4 12.4 2.1 2.4
x x x %
Regional Weights5
Region Underweight/Overweight Against Benchmark (%) -4.8 -0.4 2.0 0.3 -1.6 -0.9 0.9 -1.8 6.4 -5 0 5 10
Sector
Sector Weights5
Underweight/Overweight Against Benchmark Strategy Benchmark Consumer Discretionary 18.5 % 12.0 % 6.5 Consumer Staples 5.8 9.8 -4.0 Energy 9.1 9.8 -0.7 Financials 20.2 21.5 -1.3 Health Care 8.4 10.3 -1.9 Industrials 13.6 11.0 2.6 Information Technology 14.4 12.5 1.9 Materials 10.1 5.9 4.2 Telecom. Services 0.0 4.2 -4.2 Utilities 0.0 3.1 -3.1 -10 -5 0 5 10
GICS Sectors
United States Europe ex-UK United Kingdom Japan Southeast Asia Canada Australia/New Zealand Emerging Cash
-10

The Global Focused Equity Strategy rose 7.3% net of fees for the quarter. The strategys reference benchmark, MSCI All Country World index, gained 7.3%. The largest contribution to performance came from a holding in Mediobanca in Italy. The bank started to unravel its cross holdings and, for the first time in many years, focus on operational improvement. The restructuring program has had some early benefits, causing the stock to perform well over the quarter. ArcelorMittal, another contributor, outperformed as the steel company reiterated its full-year guidance. Investors are hopeful the macro situation in Europe may have bottomed, and we are seeing signs of improvement in the United States. U.S. steel consumption is close to previous peak levels, and the prices are starting to rise. If this continues, it will greatly benefit companies like ArcelorMittal, which has cut costs aggressively and will benefit from operational leverage due to improving volumes. Mediaset outperformed as market participants keep rerating the broadcasters. In the past five years, the Spanish broadcast TV players have consolidated and drastically cut costs. A duopoly, which includes Mediaset, now controls 90% of the TV advertising market and should be able to demonstrate some pricing power as soon as the economy recovers. The largest detractor from performance was EPL Oil & Gas in the United States. The company announced production disruptions in two of its fields. Production in EPLs West Delta asset had to be curtailed for safety reasons due to tropical storm Karen. However, when the wells were brought back on line, flow rates were significantly impaired. It is not uncommon for shut-in oil wells to have reduced production after the resumption of production, but the magnitude of the decrease caught the market by surprise. In addition, a third party pipeline that EPL used to transport production was shut down for routine maintenance and inspection. The pipeline has since resumed operation. These two events combined caused EPL to report lower production results for the third quarter as well as lower guidance for year-end production rates. An investment in Ananda Development in Thailand has been a disappointment thus far, but the stock appears very cheap. By our estimation, this property company has approximately THB40bn in real estate on its balance sheet at current market values, but total liabilities of only TBH12.5bn, including THB4.8bn of equity. Assuming the company sold all of its property and paid off its debts, this would still leave assets of over THB30bn but a current market cap of only THB6bn. Unfortunately, the company has seen delays in both construction and in property transfer to buyers (which drives earnings), and the market has lost patience. We are still accumulating shares in this low liquidity stock.
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 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; 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. GMO 2013
1
GMO Global Focused Equity Strategy

Inception: 12/31/11 Year-to-Date Strategy Attribution
The Global Focused Equity Strategy rose 31.3% net of fees in 2013. The Strategys reference benchmark, MSCI All Country World Index gained 22.8%. The largest contributors to performance were Mediaset, Daimler, and ING. Mediaset outperformed as market participants kept rerating the broadcasters. In the past five years, the Spanish broadcast TV players have consolidated and drastically cut costs. A duopoly, which includes Mediaset, now controls 90% of the TV advertising market and should be able to demonstrate some pricing power as soon as the economy recovers. The German car company Daimler also performed well in the year. The company entered 2013 with low expectations as to its potential areas of growth; the economy was not promising and its new model line-up looked lackluster. When the Chinese growth story appeared to be not as dire as predicted and the redesigned E-Class was well received, sales more than exceeded expectations. In the past few years ING, a Dutch financial, sold off its insurance business as well as some smaller areas of the business in which it was not a market leader. The new business model will be a more traditional bank without the added leverage of the insurance arm. The massive restructuring was well received by the market. The largest detractor was BTG Pactual in Brazil. The company underperformed as investors factored in the slowing Brazilian economy and its impact on loan growth. The market also worried about BTGs exposure to the Eike Batista group after one of the companies of the group had a large write-down of its assets. Outlook: Current valuations in the global equity markets reveal no large factor or group of stocks that appears substantially cheaper than another. There is a dearth of valuation dispersion between geographies, between industries, or between styles such as small and large. As a result of the relative lack of thematic valuation opportunity, alpha will have to be delivered via good old-fashioned stock picking. But, while average valuations between countries, sectors, and factors are in a relatively tight band, the valuation dispersion of stocks within those buckets is still fairly wide, meaning there are still plenty of inefficiencies and mispriced companies to provide excess profits. In fact, we believe there are particularly cheap stocks in Europe, Japan, and Emerging Asia. In Europe, value still resides in companies geared to a domestic recovery. Industrials, materials, and financials that have significant business exposure to the European economy represent a compelling opportunity. Many of these companies are in the midst of restructuring, cutting costs, and reducing leverage. Companies that are able to achieve breakeven or even positive cash flow on currently depressed revenue levels should handsomely reward investors if the European recovery becomes more robust. The European economy remains the thing to watch. While a recovery in Europe is clearly being discounted by the equity markets, growth is anticipated to be modest. Anything better would certainly be a surprise and markets should rally correspondingly. The upcoming Asset Quality Review by the ECB could be a source of good news if it reveals solid balance sheets in the banking sector. Healthy capital positions combined with nascent underlying loan demand will be the true signs of a sustainable recovery in Europe. Japan continues to pursue structural reform under Abes Three Arrows program. The most important policy remains the first arrow of monetary stimulus intended to create nominal asset price increases. Margins in Japan are still very low and operating leverage is so high that, even with modest restructuring and a modicum of pricing power, corporate profits could improve dramatically. With current earnings, valuation looks fair but if policy measures achieve their goals the market is compellingly cheap. The equity market will continue to favor those companies that should benefit from a modestly devaluing yen such as banks, retailers, and industrials. In the midst of these broader themes there can still be found a cohort of Japanese companies that continue their march toward greater efficiency and higher profitability, and that will reward investors regardless of what happens in the broader economy. In emerging markets, there is the appearance of extreme value, but those stocks that are optically cheap come with high risk. There are only a few countries in aggregate selling below 10 times earnings and all of them are in the emerging markets: China, Russia, Turkey, and Korea. We are most excited about Korea and Turkey. Korea has been out of favor with investors for several years and, as a result, a number of franchises with strong competitive positions can be bought on the cheap. Turkey has some isolated opportunities but it is a struggle to find enough liquidity to make these ideas impactful. In Russia, value is found primarily in the resource sector and comes with an uncomfortable amount of ongoing geopolitical risk. China continues to be a worry for us. While the slowing economy has certainly been recognized by markets, the extent of bad loans and hidden leverage in the banking system has the potential for catastrophe. The Chinese economy has yet to fully digest the massive credit expansion thrust upon it by policy makers after the global financial crisis. The middle kingdom could find a way to muddle through, but systemic risk is high. The major economic themes of 2013 are intact as we enter 2014. The United States will continue to lead other regions, mainly Europe, in a slow recovery from economic malaise. Deleveraging by U.S. consumers and European sovereign governments will still act as a governor on growth, but a counterbalance will be provided by loose monetary policy. While Europe in particular is not out of the woods, global macroeconomic conditions have a trajectory of modest but steady improvement. China contains risk, but as long as the rest of the world is on the mend, any trouble there should be relatively isolated. With few thematic valuation opportunities in the global equity markets, the burden for alpha will rest squarely on good stock selection. Fortunately, there are plenty of forgotten and neglected companies that are either restructuring their business or benefiting from the better prevailing economic climate. Either way, we believe these companies will surprise market expectations and provide those early contrarian investors with strong returns. Forward-looking statements are based on the reasonable beliefs of GMO. There can be no guarantee that any forward-looking statement will be realized.
GMO 2013
GMO Quality Strategy

Inception: 2/29/04; Benchmark: S&P 500 Index Performance Net of Fees1

Top Ten Holdings2,4
Five Year 14.69 17.94 Ten Year n/a n/a Since Inception 6.45 7.19

3
YTD 2013 25.47 32.39
One Year 25.47 32.39

9.41 10.51
2005 -0.79 4.91
2006 12.69 15.80
2007
2008
2009 19.89 26.46
2010 5.48 15.06
2011 11.84 2.11
2012 11.81 16.00
6.04 -24.08 5.49 -37.00
Google Inc. (Cl A) Oracle Corp. Microsoft Corp. Johnson & Johnson Chevron Corp. Int'l. Business Machines Coca-Cola Co. Procter & Gamble Co. Philip Morris Int'l. Inc. Wal-Mart Stores Inc. Total
5.3% 5.1% 4.9% 4.8% 4.7% 4.6% 4.5% 4.2% 4.1% 3.1% 45.3%
Characteristics4
Strategy Benchmark

Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 18.8 x Price/Book - Hist 1 Yr Wtd Avg 3.8 x Dividend Yield - Hist 1 Yr Wtd Avg 2.3 % Return on Equity - Hist 1 Yr Med 20.3 % Market Cap - Weighted Median $Bil $146.5 Debt/Equity - Wtd Med 0.6 x
19.9 2.7 1.9 16.5 $69.8 0.8
x x % % x
0.77 0.73 0.86 0.42
0.00 1.00 1.00 0.38
Regional Weights4
Cash Int'l. Equities 0.7% 6.4% U.S. Equities 92.9%
Sector
Sector Weights4
Underweight/Overweight Against Benchmark Strategy Benchmark
-8.5 Consumer Discretionary Consumer Staples -3.3 Energy -16.2 Financials Health Care -6.1 Industrials Information Technology -3.1 Materials -2.1 Telecom. Services -2.9 Utilities -20 -10 0 10
4.0 %
16.3 26.1
13.6 12.1
7.0 0.0 26.6 4.8 30.7 0.4 0.2 0.0
12.5 % 9.8 10.3 16.2 13.0 10.9 18.6 3.5 2.3 2.9
GICS Sectors
20

The Quality Strategy returned +9.4% in the fourth quarter while the S&P 500 returned +10.5% and the MSCI World index returned +8.0%. Quality stocks modestly outperformed low quality stocks and generally performed in line with broad market indices in the fourth quarter. Many of the worries that dominated the investment landscape earlier in the year faded from investors minds. Continued signs of an improving European economy and the Feds announcement of a deliberate pace to the taper gave a bump to stocks across the Quality spectrum. Large cap stocks edged out 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 won, while low profit volatility lost slightly to the broader market. Sector selection contributed modestly to relative returns for the quarter. The strategy saw positive returns versus the S&P 500 attributable to its overweight position in Information Technology and underweight in Utilities. Our overweight position in Consumer Staples detracted from relative returns. Stock selection detracted from relative returns for the quarter. Selections in Consumer Staples, Health Care, and Consumer Discretionary were the primary drivers of poor relative performance for the quarter. Individual stocks detracting from relative returns included overweights to Cisco Systems and Philip Morris International. Stock selections contributing to relative returns included overweights in Google and Oracle. We believe that patient investors will be compensated for owning quality companies based on their current valuations. The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. 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 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. 5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.
1
GMO 2013
GMO Quality Strategy

Inception: 2/29/04; Benchmark: S&P 500 Index Year-to-Date Strategy Attribution
The Quality Strategy returned +25.5% net of fees in 2013, trailing the +32.4% return of the S&P 500 index and the +26.7% return of the MSCI World index. Quality stocks underperformed the broad market in 2013. Although the return pattern varied from quarter to quarter, lower quality, higher volatility stocks performed better throughout the year as taper fears ebbed and generally benign conditions persisted in Europe. In 2013, large cap stocks lost relative to the broader market both within quality and the larger universe. The components of Quality low leverage and high, stable profits all lost for the year versus the broader market. Stock sector selection detracted from relative returns for the year. The Strategy saw positive returns versus the S&P 500 attributable to its overweight position in Health Care and underweights to Telecommunication Services and Utilities. Our overweight positions in Consumer Staples and Information Technology, and our underweights in Financials, Consumer Discretionary, and Industrials detracted from relative returns for the year. Stock selection also detracted from relative returns for the year. Selections in Health Care, Consumer Staples, and Consumer Discretionary detracted from returns versus the S&P 500 while selections in Information Technology added to relative returns. Individual stocks adding to relative returns included overweight positions in Hewlett Packard and Google. Stock selections detracting from relative returns included overweight positions in IBM, Philip Morris International, and Coca-Cola. Outlook: We believe that patient investors will be compensated for owning quality companies based on their current valuations. The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Global Equity Strategy

Inception: 7/31/96; Benchmark: MSCI World Index Performance Net of Fees1

Top Ten Holdings2,5

3
YTD 2013 29.43 26.68
One Year 29.43 26.68

9.02 8.00
2004 17.95 14.72
2005 11.08 9.49
2006 21.19 20.07
2007
2008
2009 24.61 29.99
2010 10.40 11.76
2011 -3.28 -5.54
2012 12.01 15.83
6.16 -38.72 9.04 -40.71
Microsoft Corp. Total S.A. Royal Dutch Shell PLC Chevron Corp. BP PLC Procter & Gamble Co. Google Inc. (Cl A) Johnson & Johnson Oracle Corp. Enel S.p.A. Total
Strategy
2.0% 1.9% 1.9% 1.7% 1.6% 1.5% 1.5% 1.4% 1.2% 1.2% 15.9%

Strategy Benchmark
Characteristics5
Benchmark
1.74 0.92 0.95 0.35
0.00 1.00 1.00 0.24
Price/Earnings - Hist 1 Yr Wtd Med Price/Cash Flow - Hist 1 Yr Wtd Med Price/Book - Hist 1 Yr Wtd Avg Return on Equity - Hist 1 Yr Wtd Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
15.8 10.0 1.7 13.7 $44.8 2.6

5
x x x % %
18.7 12.6 2.2 14.2 $44.8 2.4
x x x % %
Regional Weights
Region
Sector Weights
North America Europe ex-UK United Kingdom Japan Pacific ex-Japan Cash
Underweight/Overweight Against Benchmark (%) -4.2 4.7 0.2 0.7 -3.2 1.9 -6 -3 0 3 6
Underweight/Overweight Sector Against Benchmark Strategy Benchmark Consumer Discretionary 12.7 % 12.3 % 0.4 Consumer Staples 8.6 9.9 -1.3 3.2 12.8 Energy 9.6 -2.9 Financials 18.0 20.9 -0.6 Health Care 10.7 11.3 -2.0 Industrials 9.5 11.5 1.7 Information Technology 13.8 12.1 -1.3 Materials 4.2 5.5 1.8 Telecom. Services 5.6 3.8 1.1 Utilities 4.2 3.1 -4 -2 0 2 4
GICS Sectors

The Global Equity Strategy returned +9.0% net of fees in U.S. dollar terms for the fourth quarter, outperforming the +8.0% return of the MSCI World index by 1.0%. The Strategy returned +29.4% for the year and was 2.8 percentage points ahead of the index. Relative returns were helped by positive contributions across geographic regions and across investment approaches. This quarter was a decent time to be overweight in European equity markets on undemanding valuations, and a great time to be underweight in the more highly rated resource countries. Nine months without a new disaster in the Eurozone, coupled with hints of improvement in economic activity, allowed market participants to imagine a post-crisis Europe. Absolute returns were strong as a result. At the same time, commodity prices have been softening - iron ore fell sharply mid-year driven by falling Chinese demand, gold lost ground as the end of U.S. quantitative easing loomed into view - meaning that the resource countries, most importantly Australia and Canada, both underweight, neither bargains, lagged equity returns in general. Country and currency selection made positive contributions to the strategys relative returns. The U.S. equity market rose strongly again. Our valuation metrics suggested that the S&P 500 was overvalued at the start of 2013 and much more so by the end when tapering was announced; the strategys holdings of U.S. quality stocks lagged the U.S. market but beat the global indices thereby contributing to relative returns. The other U.S. value and momentum holdings beat the S&P 500 comfortably. We began the process of reinforcing the quality of the strategys U.S. holdings at the tail-end of the year. The strategys stock selection disciplines contributed positively to the quarters performance. The quality-adjusted valuation discipline benefitted from holdings in European financials and utility companies. Positions driven by our return forecasts outperformed but were held back by the U.S. high quality allocation. Momentum stock picking benefitted from buoyant conditions for American tech and biotechnology firms. Stock markets appear overvalued; at the end of November, the implicit return for U.S. equities on our data was -1.3% p.a. after inflation for the next seven years and +1.2% p.a. for developed markets outside of the U.S.. Developed market equities are priced to deliver slightly negative real returns on this basis. The good news is that we believe there are pockets of equity markets that are priced to deliver better returns. U.S. high quality companies remain by far the most attractive U.S. equity grouping from our valuation perspective, having lagged the S&P 500 this year. They were priced to deliver a real return of 2.4% p.a. at the end of November. Value stocks in developed markets outside the U.S. are still weighed down by the effects of Europes crises and remain priced to deliver absolute returns of 4.0% p.a. Emerging markets have been treading water for several years (flat even as developed markets boomed this year) and are priced to return 3.4% p.a. according to our numbers. 1 Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is 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. GMO 2013
GMO Resources Strategy

Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index Performance Net of Fees1

Top Ten Holdings2,5
Five Year n/a n/a Ten Year n/a n/a Since Inception 6.78 2.63

3
YTD 2013 4.39 3.31
One Year 4.39 3.31

2.26 4.39
Royal Dutch Shell PLC Rio Tinto PLC Vale S.A. BP PLC Total S.A. OAO Gazprom Mitsubishi Corp. Mitsui & Co. Ltd. Itochu Corp. Yara International ASA Total
4.3% 3.9% 3.9% 3.7% 3.3% 2.5% 2.4% 2.4% 2.3% 2.1% 30.8%

Strategy Benchmark
Characteristics5
Strategy Benchmark
3.95 1.08 0.96 0.40
0.00 1.00 1.00 0.17
Price/Earnings - Hist 1 Yr Wtd Med Earnings/Share - F'cast LT Med Growth Rate Return on Equity - Hist 1 Yr Med Market Cap - Weighted Median $Bil Dividend Yield - Hist 1 Yr Wtd Avg
10.2 7.2 11.7 $25.1 3.6

5
x x % %
13.2 6.0 12.6 $52.6 3.1
x x % %
Country Weights5
Country Underweight/Overweight Against Benchmark (%) Strategy Benchmark Sector -2.7 11.8 3.0 5.1 2.6 -5.0 1.1 3.0 0.9 -3.3 1.1 -10 0 10 20
Sector Weights
United States -17.6 United Kingdom Japan Russia Norway Brazil Canada France Spain Italy Other Cash
-20
21.0 15.8 13.8 6.7 6.2 5.8 5.2 5.0 3.6 2.5 13.3 1.1
38.6 % 18.5 2.0 3.7 1.1 3.2 10.2 3.9 0.6 1.6 16.6 0.0
Underweight/Overweight Against Benchmark Strategy Benchmark 0.0 Consumer Discretionary 0.0 % 0.0 % 1.5 Consumer Staples 3.2 1.7 -22.7 Energy 47.6 70.3 0.1 Financials 0.1 0.0 0.0 Health Care 0.0 0.0 17.0 Industrials 17.0 0.0 0.0 Information Technology 0.0 0.0 -1.8 Materials 26.2 28.0 0.0 Telecom. Services 0.0 0.0 5.9 Utilities 5.9 0.0 -30 -15 0 15 30
GICS Sectors
Quarterly Strategy Attribution The Resources Strategy returned +2.3% net of fees during the fourth quarter of 2013 while the MSCI ACWI Commodity Producers index returned +4.4%. 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 detracted from returns, particularly in Energy and Consumer Staples, where our holdings underperformed. Individual stock positions that detracted from relative performance included an underweight position in energy company ExxonMobil (U.S.), and overweights in trading companies Marubeni Corp. (Japan) and Mitsubishi Corp. (Japan). Stocks that contributed to relative performance included an underweight position in energy company Anadarko Petroleum (U.S.) and overweight positions in utility Endesa (Spain), and metals and mining company Rio Tinto (U.K./Australia). Sector exposures also hurt relative returns mainly from our overweight to Industrials, which underperformed, but also from our underweight in Energy, which outperformed. The positive impact from our overweight in the strong Utilities sector offset this somewhat.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The MSCI 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; 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. GMO 2013
1
GMO Resources Strategy

Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index Year-to-Date Strategy Attribution
The Resources Strategy returned +4.4% net of fees during the calendar year 2013, while the MSCI ACWI Commodity Producers index returned +3.3%. 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. Sector exposures added value to relative returns, mainly from our overweights in Industrials and Utilities, which both performed strongly, but also from our underweight in Materials, which had weak returns. Stock selection within sectors had a negative impact as our holdings in Energy and Consumer Staples underperformed Individual stock positions that were significant contributors to relative performance included overweights in industrial Vestas Wind Systems (Denmark), utility Electricite de France (France), and an underweight position in metals and mining company Barrick Gold Corp. (Canada). Stock positions that detracted included underweights in energy companies ExxonMobil Corp. (U.S.) and Chevron Corp. (U.S.) and an overweight in metals and mining company Vale (Brazil). Outlook: The international developed markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Core Plus Bond Strategy

Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 0.21 -2.03
One Year 0.21 -2.03

Five Year 10.46 4.44
Ten Year 4.58 4.55
-0.41 -0.14
2004 6.59 4.34
2005 3.95 2.43
2006 5.76 4.33
2007 -1.01 6.97
2008 -18.00 5.24
2009 20.90 5.93
2010 13.24 6.54
2011 9.89 7.84
2012 9.07 4.22

Strategy Benchmark
Characteristics4,5
Modified Duration Coupon Maturity Yield to Maturity Emerging Cntry Debt Exp. 5.6 4.0 7.4 3.3 4 % Yrs. % %
-0.16 1.11 0.50 0.63
0.00 1.00 1.00 0.93
Regional Weights4,6
Underweight/Overweight Against Benchmark (%)
Currency Weights4
Europe North America Pacific Emerging

-30 -15 0 -15.7
1.1 21.1
Europe North America Pacific
-2.5 -3.0 5.5 -6 -3 0 3 6
4.4 15 30
Quarterly Strategy Attribution The Core Plus Bond Strategy returned -0.4% net of fees during the fourth quarter, trailing the return of its benchmark, the Barclays U.S. Aggregate index. The Barclays U.S. Aggregate index posted total return losses, returning -0.1%. Rising U.S. Treasury yields were responsible for losses, fully offsetting gains from tightening sector spreads. U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the quarter: the 10-year U.S. Treasury yield rose by 39 basis points to end the quarter at 3.0%, and the 2year yields rose by 7 basis points to end the quarter at 0.4%. The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 9 basis points during the quarter, with spreads tightening by as much as 31 basis points (triple-B Credit) and by as little as 4 basis points (triple-A Credit). Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during the fourth quarter, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also added value during the quarter, while developed markets currency selection and developed markets interest-rate positioning detracted.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one year and rated investment grade or higher. 3 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 4 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. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GMO 2013
1
GMO Core Plus Bond Strategy

Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index Year-to-Date Strategy Attribution
The Core Plus Bond Strategy returned +0.2% net of fees in 2013, outperforming the 2.0% return of its benchmark, the Barclays U.S. Aggregate index, by 2.2%. For the index, rising U.S. Treasury yields were responsible for losses, fully offsetting gains from tightening spreads in most sectors. U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the year: the 10-year U.S. Treasury yield rose by 126 basis points to end the year at 3.0%, and the 2year yields rose by 14 basis points to end the year at 0.4%. The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 8 basis points during the year, with spreads tightening by as much as 28 basis points (U.S. Corporates) and by as little as 2 basis points (double-A Credit). Only ABS (+13 basis points), U.S. Agency (+4 basis points), and CMBS (+2 basis points) spreads widened in 2013. Asset-backed exposures in GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during the year, leading gains. In addition, developed markets interest-rate positioning also added value during the year, as did exposure to emerging country debt via the GMO Emerging Country Debt Strategy. Developed markets currency selection detracted. Outlook: Entering 2014, the strategy maintains overweight duration positions in U.S., eurozone, Canadian, Swedish, and Australian bond markets, and underweight positions in Japanese, U.K., and Swiss markets. In currencies, the strategy is overweight in New Zealand dollars, sterling, Australian dollars, and Canadian dollars, and underweight in and Swedish krona, U.S. dollars, yen, Swiss francs, euros, and Norwegian krone. At year-end, approximately 4.4% of the strategy was invested in emerging country debt, and 16% of the strategy was invested in asset-backed securities directly and via SDCF and WOOF.
GMO 2013
GMO International Bond Strategy

Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 -0.57 -5.08

2004 14.88 12.04 2005 -8.08 -9.24 2006 9.33 6.84 2007 3.66 11.30
One Year -0.57 -5.08

Five Year 9.37 2.39

2009 20.59 3.94 2010 15.18 6.78
Ten Year 4.89 4.25

2011 6.71 5.91

2012 6.21 0.85
-0.86 -1.45
2003
2008 -13.95 11.39
Strategy 26.95 Benchmark 18.63

Strategy Benchmark
Characteristics4,5
1.52 0.96 0.76 0.45
0.00 1.00 1.00 0.32
Regional Weights4,6
Currency Weights4

-30 -15 0 -16.4
1.9 21.2
-2.8 -2.8 5.6 -6 -3 0 3 6
4.2 15 30
Quarterly Strategy Attribution The International Bond Strategy returned -0.9% net of fees in the fourth quarter, outperforming the J.P. Morgan GBI Global ex U.S. index return of -1.4% by 0.6%. The U.S. dollars rise versus some developed currencies, particularly the yen, accounted for negative index returns. Government bond markets were mixed in Q4 2013. In local currency J.P. Morgan Global Bond index terms, the U.K., -1.5%, led those that posted losses, while Sweden and Japan turned in the quarters only gains, posting +0.4% and +0.2%, respectively. The U.K. economy showed signs of growth during the quarter given an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. Lower-than-expected inflation allowed the Riksbank to cut rates by 25 basis points to 0.75% in December. In other bond markets, the U.S., euro area, Australia, Canada, and Switzerland posted total return losses of -0.2% to -0.9%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened in Q4, with Sweden and the U.S. steepening the most. In currencies, foreign currencies were mixed against the dollar during the quarter. Sterling rose by 2.3%, while the yen declined by 6.6%. The dollar-bloc currencies were uniformly weak: Australian dollar declined by 4.3%, the Canadian dollar by 3.3%, and the New Zealand dollar by 1.2%. On the other hand, the euro gained 1.8%, slightly outpacing the Swiss franc, which gained 1.7%; the euro ended the year 2.3% above the Swiss National Banks 1.2 EURCHF floor. In the Scandinavian countries, Swedish krona was flat, while Norwegian krone declined by 0.9%. During the quarter, policy actions were also mixed. The U.S. Federal Reserve finally began the asset-purchase taper discussed in Q2. Meanwhile, the ECB and the Swedish Riksbank each cut policy interest rates to new lows: 0.25% and 0.75%, respectively. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during the fourth quarter, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also added value during the quarter, while developed markets interest-rate positioning and developed markets currency selection detracted.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The J.P. Morgan 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 4 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. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GMO 2013
1
GMO International Bond Strategy

Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index Year-to-Date Strategy Attribution
The International Bond Strategy returned -0.6% net of fees in 2013, outperforming the J.P. Morgan GBI Global ex U.S. index return of -5.1% by 4.5%. For the index, the U.S. dollars rise versus some developed currencies, particularly the yen, accounted for negative returns. Government bond yields headed higher in 2013, with yields rising in most markets. In fact, the yield of J.P. Morgans Global Bond Index, which began the year at 1.8%, rose by 44 basis points, delivering the worst bond returns since 2009. Government bond markets mostly fell during the year: in local currency terms, losses were the highest in the U.K. (-4.2%) and the lowest in Switzerland (-1.9%). Japan was the only market to post gains, with +2.2%, and Australia ended the year flat. Gilts had their biggest annual loss since 1994. The U.K. economy showed signs of growth throughout the year with an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. JGB bonds rallied on news that consumer prices dropped, industrial production declined, and the economy grew less than forecasted, prompting the Bank of Japan to increase debt purchases. Other bond markets, the U.S., Sweden, Canada, the eurozone, and Switzerland, posted returns in the -2.0% to 3.4% range. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board, with curves in the U.S. and Canada steepening the most. In currencies, the yen continued its steep decline, falling by 17.7% in 2013. The yen has declined by 27% in real effective terms since Abenomics was announced last year, and its level is now slightly below where it was in June 2007, just prior to the start of the U.S. credit crisis. The euro was the best performer in 2013, gaining 4.5% relative to the dollar, and spending the entire year comfortably above the Swiss National Banks EURCHF 1.2 floor. The ongoing rebalancing of peripheral economies continued to sap demand for imports by those countries, and thus the eurozones aggregate current account position vis--vis the rest of the world strengthened. Rounding out the weak currencies were Australian dollar (-13.8%), Norwegian krone (8.3%), and Canadian dollar (-6.3%). All three had developed a following among emerging country reserve managers, who had been recycling accumulated U.S. dollars purchased for currency intervention used to offset the U.S.s aggressive QE policies. However, with the U.S. Federal Reserve taper comments in the second quarter and the actual taper in December, the cycle went into reverse. Asset-backed exposures in the GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during 2013, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Strategy also added value during the year, while developed markets interest-rate positioning and developed markets currency selection detracted. Outlook: Entering 2014, the strategy maintains overweight duration positions in U.S., eurozone, Canadian, Swedish, and Australian bond markets, and underweight positions in Japanese, U.K., and Swiss markets. In currencies, the strategy is overweight in New Zealand dollars, sterling, Australian dollars, and Canadian dollars, and underweight in and Swedish krona, U.S. dollars, yen, Swiss francs, euros, and Norwegian krone. At year-end, approximately 4.2% of the strategy was invested in emerging country debt, and 29% of the strategy was invested in asset-backed securities via SDCF and WOOF.
GMO 2013
GMO Currency Hedged International Bond Strategy

Performance Net of Fees1
Total Return (%)
Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) + Index

2
YTD 2013 0.14 0.65

2004 8.91 6.73 2005 7.25 6.54 2006 2.45 1.79 2007 -4.00 3.42
One Year 0.14 0.65

Five Year 9.83 4.25

2009 18.81 2.90 2010 11.70 3.71
Ten Year 4.72 4.88

2011 7.97 6.10

2012 11.34 8.07
0.23 0.56
2003
2008 -13.56 9.22
Strategy Benchmark
8.77 1.99

Strategy Benchmark
Characteristics4,5
1.09 0.98 0.38 0.92
0.00 1.00 1.00 1.14
Regional Weights4,6
Currency Weights4

-30 -15 0 -15.9
1.9 20.9
-2.3 -3.1 5.4 -6 -3 0 3 6
4.4 15 30
Quarterly Strategy Attribution The Currency Hedged International Bond Strategy returned +0.2% net of fees in the fourth quarter, underperforming the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index total return of +0.6% by 0.3%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index rose by 4 basis points during the quarter. Government bond markets were mixed in Q4 2013. In local currency J.P. Morgan Global Bond index terms, the U.K., -1.5%, led those that posted losses, while Sweden and Japan turned in the quarters only gains, posting +0.4% and +0.2%, respectively. The U.K. economy showed signs of growth during the quarter given an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. Lower-than-expected inflation allowed the Riksbank to cut rates by 25 basis points to 0.75% in December. In other bond markets, the U.S., euro area, Australia, Canada, and Switzerland posted total return losses of -0.2% to -0.9%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened in Q4, with Sweden and the U.S. steepening the most. In currencies, foreign currencies were mixed against the dollar during the quarter. Sterling rose by 2.3%, while the yen declined by 6.6%. The dollar-bloc currencies were uniformly weak: Australian dollar declined by 4.3%, the Canadian dollar by 3.3%, and the New Zealand dollar by 1.2%. On the other hand, the euro gained 1.8%, slightly outpacing the Swiss franc, which gained 1.7%; the euro ended the year 2.3% above the Swiss National Banks 1.2 EURCHF floor. In the Scandinavian countries, Swedish krona was flat, while Norwegian krone declined by 0.9%. During the quarter, policy actions were also mixed. The U.S. Federal Reserve finally began the asset-purchase taper discussed in Q2. Meanwhile, the ECB and the Swedish Riksbank each cut policy interest rates to new lows: 0.25% and 0.75%, respectively. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during the fourth quarter, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also added value during the quarter, while developed markets interest-rate positioning and developed markets currency selection detracted.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The J.P. Morgan 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 4 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. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted.
1
GMO 2013
GMO Currency Hedged International Bond Strategy

Year-to-Date Strategy Attribution
Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) + Index
The Currency Hedged International Bond Strategy returned +0.1% net of fees in 2013, underperforming the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index total return of +0.6% by 0.5%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index rose by 37 basis points during the quarter. Government bond yields headed higher in 2013, with yields rising in most markets. In fact, the yield of J.P. Morgans Global Bond Index, which began the year at 1.8%, rose by 44 basis points, delivering the worst bond returns since 2009. Government bond markets mostly fell during the year: in local currency terms, losses were the highest in the U.K. (-4.2%) and the lowest in Switzerland (-1.9%). Japan was the only market to post gains, with +2.2%, and Australia ended the year flat. Gilts had their biggest annual loss since 1994. The U.K. economy showed signs of growth throughout the year with an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. JGB bonds rallied on news that consumer prices dropped, industrial production declined, and the economy grew less than forecasted, prompting the Bank of Japan to increase debt purchases. Other bond markets, the U.S., Sweden, Canada, the eurozone, and Switzerland, posted returns in the -2.0% to 3.4% range. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board, with curves in the U.S. and Canada steepening the most. In currencies, the yen continued its steep decline, falling by 17.7% in 2013. The yen has declined by 27% in real effective terms since Abenomics was announced last year, and its level is now slightly below where it was in June 2007, just prior to the start of the U.S. credit crisis. The euro was the best performer in 2013, gaining 4.5% relative to the dollar, and spending the entire year comfortably above the Swiss National Banks EURCHF 1.2 floor. The ongoing rebalancing of peripheral economies continued to sap demand for imports by those countries, and thus the eurozones aggregate current account position vis--vis the rest of the world strengthened. Rounding out the weak currencies were Australian dollar (-13.8%), Norwegian krone (8.3%), and Canadian dollar (-6.3%). All three had developed a following among emerging country reserve managers, who had been recycling accumulated U.S. dollars purchased for currency intervention used to offset the U.S.s aggressive QE policies. However, with the U.S. Federal Reserve taper comments in the second quarter and the actual taper in December, the cycle went into reverse. Asset-backed exposures in the GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during 2013, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Strategy also added value during the year, while developed markets interest-rate positioning and developed markets currency selection detracted. Outlook: Entering 2014, the strategy maintains overweight duration positions in U.S., eurozone, Canadian, Swedish, and Australian bond markets, and underweight positions in Japanese, U.K., and Swiss markets. In currencies, the strategy is overweight in New Zealand dollars, sterling, Australian dollars, and Canadian dollars, and underweight in and Swedish krona, U.S. dollars, yen, Swiss francs, euros, and Norwegian krone. At year-end, approximately 4.4% of the strategy was invested in emerging country debt, and 18% of the strategy was invested in asset-backed securities via SDCF and WOOF.
GMO 2013
GMO Global Bond Strategy

Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 -2.56 -4.50

2004 12.12 10.10 2005 -5.84 -6.53 2006 7.94 5.94 2007 2.58 10.81
One Year -2.56 -4.50

Five Year 9.04 2.38

2009 20.30 1.91 2010 14.14 6.42
Ten Year 4.36 4.29

2011 8.30 7.22

2012 6.36 1.30
-1.24 -1.26
2003
2008 -14.93 12.00

Strategy Benchmark
Characteristics4,5
0.84 0.94 0.67 0.41
0.00 1.00 1.00 0.36
Regional Weights4,6
Currency Weights4

-30 -15 0 -16.0
1.6 21.1
-2.6 -2.7 5.5 -6 -3 0 3 6
4.3 15 30
Quarterly Strategy Attribution The Global Bond Strategy returned -1.2% net of fees during the fourth quarter, outperforming the J.P. Morgan GBI Global index return of -1.3% by 0.2%. The U.S. dollars rise versus some developed currencies, particularly the yen, accounted for the bulk of negative index returns, with the 13-basis-point rise in the yield of the index also contributing to losses. Government bond markets were mixed in Q4 2013. In local currency J.P. Morgan Global Bond index terms, the U.K., -1.5%, led those that posted losses, while Sweden and Japan turned in the quarters only gains, posting +0.4% and +0.2%, respectively. The U.K. economy showed signs of growth during the quarter given an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. Lower-than-expected inflation allowed the Riksbank to cut rates by 25 basis points to 0.75% in December. In other bond markets, the U.S., euro area, Australia, Canada, and Switzerland posted total return losses of -0.2% to -0.9%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened in Q4, with Sweden and the U.S. steepening the most. In currencies, foreign currencies were mixed against the dollar during the quarter. Sterling rose by 2.3%, while the yen declined by 6.6%. The dollar-bloc currencies were uniformly weak: Australian dollar declined by 4.3%, the Canadian dollar by 3.3%, and the New Zealand dollar by 1.2%. On the other hand, the euro gained 1.8%, slightly outpacing the Swiss franc, which gained 1.7%; the euro ended the year 2.3% above the Swiss National Banks 1.2 EURCHF floor. In the Scandinavian countries, Swedish krona was flat, while Norwegian krone declined by 0.9%. During the quarter, policy actions were also mixed. The U.S. Federal Reserve finally began the asset-purchase taper discussed in Q2. Meanwhile, the ECB and the Swedish Riksbank each cut policy interest rates to new lows: 0.25% and 0.75%, respectively. Exposures to GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during the fourth quarter, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Fund also added value during the quarter, while developed markets interest-rate positioning and developed markets currency selection detracted.
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. 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 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. 4 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. 5 Please note portfolio yield includes the yield on the portfolios cash assets, for example, via the Short Duration Collateral Fund. 6 Regional weights are duration adjusted. GMO 2013
1
GMO Global Bond Strategy

Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index Year-to-Date Strategy Attribution
The Global Bond Strategy returned -2.6% net of fees during 2013, outperforming the J.P. Morgan GBI Global index return of -4.5% by 1.9%. For the index, the U.S. dollars rise versus some developed currencies, particularly the yen, accounted for the bulk of negative returns, with the 44-basis-point rise in the yield of the index also contributing to losses. Government bond yields headed higher in 2013, with yields rising in most markets. In fact, the yield of J.P. Morgans Global Bond Index, which began the year at 1.8%, rose by 44 basis points, delivering the worst bond returns since 2009. Government bond markets mostly fell during the year: in local currency terms, losses were the highest in the U.K. (-4.2%) and the lowest in Switzerland (-1.9%). Japan was the only market to post gains, with +2.2%, and Australia ended the year flat. Gilts had their biggest annual loss since 1994. The U.K. economy showed signs of growth throughout the year with an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. JGB bonds rallied on news that consumer prices dropped, industrial production declined, and the economy grew less than forecasted, prompting the Bank of Japan to increase debt purchases. Other bond markets, the U.S., Sweden, Canada, the eurozone, and Switzerland, posted returns in the -2.0% to 3.4% range. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board, with curves in the U.S. and Canada steepening the most. In currencies, the yen continued its steep decline, falling by 17.7% in 2013. The yen has declined by 27% in real effective terms since Abenomics was announced last year, and its level is now slightly below where it was in June 2007, just prior to the start of the U.S. credit crisis. The euro was the best performer in 2013, gaining 4.5% relative to the dollar, and spending the entire year comfortably above the Swiss National Banks EURCHF 1.2 floor. The ongoing rebalancing of peripheral economies continued to sap demand for imports by those countries, and thus the eurozones aggregate current account position vis--vis the rest of the world strengthened. Rounding out the weak currencies were Australian dollar (-13.8%), Norwegian krone (8.3%), and Canadian dollar (-6.3%). All three had developed a following among emerging country reserve managers, who had been recycling accumulated U.S. dollars purchased for currency intervention used to offset the U.S.s aggressive QE policies. However, with the U.S. Federal Reserve taper comments in the second quarter and the actual taper in December, the cycle went into reverse. Asset-backed exposures in the GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively during 2013, leading gains. Exposure to emerging country debt via the GMO Emerging Country Debt Strategy also added value during the year, while developed markets interest-rate positioning and developed markets currency selection detracted. Outlook: Entering 2014, the strategy maintains overweight duration positions in U.S., eurozone, Canadian, Swedish, and Australian bond markets, and underweight positions in Japanese, U.K., and Swiss markets. In currencies, the strategy is overweight in New Zealand dollars, sterling, Australian dollars, and Canadian dollars, and underweight in and Swedish krona, U.S. dollars, yen, Swiss francs, euros, and Norwegian krone. At year-end, approximately 4.3% of the strategy was invested in emerging country debt, and 26% of the strategy was invested in asset-backed securities via SDCF and WOOF.
GMO 2013
GMO Global Asset Allocation Strategy

Inception: 6/30/88; Benchmark: Blended Benchmark Performance Net of Fees1
Total Return (%)

2
YTD 2013 12.38 13.60
One Year 12.38 13.60

Five Year 11.31 11.51
Ten Year 7.34 6.08
4.19 4.67
2004 13.55 10.26
2005 9.06 5.99
2006 12.30 13.41
2007
2008
2009 24.15 24.14
2010 7.93 11.05
2011 2.13 -1.80
2012 11.11 12.13
7.94 -20.83 9.26 -27.72
Strategy Composition3
Special Alternativ e Asset Opportunity Situations 0.5% 5.4% Alpha Only 9.3% Cash & Cash Equiv alents 1.9% Debt Opportunities 2.9% Asset Allocation Bond 9.8% Emerging Country Debt 3.5% Strategic Fixed Income 4.5% Domestic Bond 0.7% Emerging Markets Risk 8.6% Premium 2.4%
Benchmark Composition
(65% MSCI ACWI / 35% Barclays U.S. Aggregate)
U.S. Flexible Equities* 23.1%
Fixed Income 35.0%
U.S. Equities 31.6%
International Intrinsic Value 27.4%
Emerging Equities 6.9%
* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities were invested in securities that GMO considers to be of high quality.
International Equities 26.5%
Strategy Weights Relative to Benchmark3

20% 10% 0% -10% -20% +17.1% +3.3% -8.5% U.S. Equities Int'l. Equities Emerging Equities +1.7%

Strategy Benchmark
-13.6% Fixed Income
Other
2.69 0.79 0.86 0.74
0.00 1.00 1.00 0.46

The Global Asset Allocation Strategy finished the quarter up +4.2% net of fees, behind its benchmark by 0.5%. Allocation was the primary detractor from performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a slight negative return. Asset allocation contributions were negative. The broad strategy underweight to equities detracted from performance given the strong market rally. Within equities, the strategy was underweight the U.S., which led the rally over the fourth quarter. The tilt toward value within international equity and the underweight to fixed income helped performance. Over the quarter, we made incremental changes to portfolio allocations. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. We had been hedging a portion of our developed market currency exposure back to the U.S. dollar based on a view that the dollar was cheap. The dollar has risen, and we removed the hedge as we believe that the dollar is currently fairly valued. We continue to maintain significant allocations to absolute return strategies, but we trimmed our allocation to the Alternative Asset Opportunity Strategy in favor of holding cash. Implementations impact this quarter was de minimis. International Intrinsic Value outperformed its benchmark due to positive security selection (particularly in the Financials and Utilities sectors), and the Alternative Asset Opportunity Strategy had a strong quarter. However, this positive performance was offset by Emerging Markets equity and Quality. Emerging Market equities had negative security selection, driven primarily by country-sector allocation decisions, such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials. Quality underperformed the broader U.S. market rally. 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 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 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. GMO 2013
GMO Global Asset Allocation Strategy

Inception: 6/30/88; Benchmark: Blended Benchmark Year-to-Date Strategy Attribution
The Global Asset Allocation Strategy returned +12.4% net of fees for the year, underperforming its benchmark by 1.2%. Asset allocation and implementation both detracted from performance. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10year U.S. Treasury and the 10-year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered -2.0%. Throughout the year, the Strategy maintained an underweight to equities, and within the equity allocation, an underweight to the U.S. This positioning was a drag on performance amid a strong equity rally led by the U.S. An overweight to emerging equity markets also detracted from performance. A position in Japanese equities (largely hedged to the U.S. dollar) contributed positively to performance as did the significant underweight to fixed income duration. Implementation had mixed results in 2013, detracting from performance overall. Quality underperformed the broader U.S. equity market by over 6% as U.S. investors favored more cyclical stocks in a rising market; this was the largest detractor from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (primarily driven by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was also a meaningful drag on performance. Offsetting this was positive performance across several other strategies, including the Emerging Country Debt Strategy, which beat its benchmark by over 5% (driven both by strong market selection, in particular an overweight to Argentina, and positive security selection), and the International Intrinsic Value Strategy, which beat its benchmark by over 2.6% (due to positive security selection, especially in the U.K., Japan, and Italy). The absolute return allocation delivered a small positive return in 2013 due to strong performance from the Alternative Asset Opportunity Strategy, which was partially offset by negative performance from Alpha Only. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in TIPS, absolute return strategies, and cash.
GMO 2013
GMO Real Return Global Balanced Asset Allocation Strategy As of December 31, 2013

2
YTD 2013 13.68 14.95
One Year 13.68 14.95

Ten Year n/a n/a
4.32 4.73
2005 8.09 5.80
2006 13.26 13.69
2007
2008
2009 13.02 19.17
2010 5.00 8.94
2011 3.16 -1.76
2012 10.65 10.42
7.63 -11.36 7.87 -25.17
Multi-Strategy 30.0% U.S. Flexible Equities* 24.4%
(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% Barclays U.S. Agg.)
Cash 20.0% U.S. Equities 32.6%
Cash & Cash Equiv alents 0.1% Debt Opportunities 2.3% Asset Allocation Bond 7.7% Emerging Country Debt 2.9% Strategic Fixed Income 0.6% Domestic Bond Emerging Risk 0.3% Markets Premium 2.4% 1.4%
Fixed Income 20.0%


20% 10% 0% -10% -20% U.S. Equities Int'l. Equities Fixed Income Absolute Return -8.2% -6.2% +4.2% +10.1%

Strategy Benchmark
3.30 0.63 0.79 0.83
0.00 1.00 1.00 0.41

The Real Return Global Balanced Asset Allocation Strategy returned +4.3% net of fees in the quarter, underperforming its benchmark by 0.4%. Asset allocation was the driver of underperformance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.04% and 0.80%, respectively. The Barclays U.S. Aggregate Bond index delivered a slight negative return. Asset allocation was the driver of negative performance. The broad portfolio underweight to equities detracted from performance given the strong market rally. Within equities the portfolio was underweight the U.S., which led the rally over the fourth quarter. The emerging market equities allocation was also a drag on performance. The negative performance was partially offset by the tilt to value within international equities, the underweight to fixed income duration, and the allocation to credit. Over the quarter, we made incremental changes to portfolio allocations. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. We had been hedging a portion of our developed market currency exposure back to the U.S. dollar based on a view that the dollar was cheap. The dollar has risen, and we removed the hedge as we believe that the dollar is currently fairly valued. Implementation's impact this quarter was de minimis. International Intrinsic Value outperformed its benchmark due to positive security selection (particularly in the Financials and Utilities sectors), and the Multi-Strategy Fund delivered positive absolute return this quarter. However, this positive performance was offset by Emerging Market equities and Quality. Emerging Market equities had negative security selection driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials. Quality underperformed the broader U.S. market rally. Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The 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 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. GMO 2013
1
GMO Real Return Global Balanced Asset Allocation Strategy As of December 31, 2013
Inception: 6/30/04; Benchmark: Blended Benchmark Year-to-Date Strategy Attribution The Real Return Global Balanced Asset Allocation Strategy returned +13.7% net of fees for the year, underperforming its benchmark by 1.3%. Asset allocation and implementation both detracted from performance. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10year U.S. Treasury and the 10-year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered -2.0%. Throughout the year, the strategy maintained a modest underweight to equities, and within the equity allocation, an underweight to the U.S. This positioning was a drag on performance amid a strong equity rally led by the U.S. An allocation to emerging equity markets also detracted from performance. A position in Japanese equities (largely hedged to the U.S. dollar) contributed positively to performance as did the significant underweight to fixed income duration. Implementation had mixed results in 2013, overall detracting from performance. Quality underperformed the broader U.S. equity market by over 6% as U.S. investors favored more cyclical stocks in a rising market; this was the largest detractor from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was also a meaningful drag on performance. Offsetting this was positive performance across several other strategies, including the Emerging Country Debt Strategy, which beat its benchmark by over 5% (driven both by strong market selection, in particular an overweight to Argentina, and positive security selection), and the International Intrinsic Value Strategy, which beat its benchmark by over 2.6% (due to positive security selection, especially in the U.K., Japan, and Italy). Multi-Strategy delivered a positive return of +1.3% in 2013; five out of ten of the portfolios underlying strategies delivered positive absolute return. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in TIPS, absolute return strategies, and cash.
GMO 2013
GMO Benchmark-Free Allocation Strategy

Inception: 7/31/01; Benchmark: CPI Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 11.24 1.56

2004 17.96 3.35 2005 16.32 3.45 2006 12.75 2.58 2007 10.93 4.12
One Year 11.24 1.56

Five Year 9.78 2.09

2009 19.86 2.86 2010 4.58 1.25
Ten Year 9.18 2.41

2011 3.60 2.95

2012 10.35 1.87
3.69 0.27
2003
2008 -12.07 0.16
Cash & Collateral Alternativ e 3.0% Asset Opportunity 9.0%
Absolute Strategy Weights3

60% +54.0%
Global Quality 20.0%
40% +23.0% 20% 0% Equities Fixed Income Credit +11.0% +9.0% Absolute Return 3.0% Cash
Alpha Only 14.0%
Emerging Country Debt 4.0% ABS & Credit 5.0% TIPS 11.0% Risk Premium 5.0%
International Value (Currency Hedged) 19.0%

Strategy
Emerging Equities 10.0%
Std. Deviation Sharpe Ratio Drawdown

(10/31/07-2/28/09)
8.33 1.17 -19.34

The Benchmark Free Allocation Strategy returned +3.7% net of fees in the quarter. Asset allocation was the primary driver of performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a slight negative return. The 54% allocation to equities contributed essentially all of the positive return with quality, international value, and emerging markets equity stocks all positing positive returns. Quality underperformed the broader U.S. market rally as U.S. investors favored more cyclical stocks in a rising market. The international value allocation added value through security selection, particularly in the Financials and Utilities sectors over the past quarter. Unfortunately, security selection in the emerging markets equity allocation detracted from performance driven primarily by country-sector allocation decisions such as the overweights to Russian Energy, Brazilian Financials, and Thailand Energy, which underperformed. The TIPS allocation was a modest detractor from performance, partially offset by the positive performance of the credit allocation (ABS and emerging country debt). The Emerging Country Debt Strategy outperformed its benchmark by over 1% over the fourth quarter; the overweight to Argentina was the largest driver of positive performance. Absolute return strategies contributed to performance over the quarter due to strong returns from the Alternative Asset Opportunity Strategy; Alpha Only was a slight detractor. We continue to maintain significant allocations to absolute return strategies, but we trimmed our allocation to the Alternative Asset Opportunity Strategy in favor of holding cash. 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. The performance of the Benchmark-Free Allocation Strategy appearing in the chart above shows the past performance of the Benchmark-Free Allocation Composite (the Composite) which consists of accounts and/or mutual funds managed by Grantham, Mayo, Van Otterloo & Co. LLC (GMO). The Composite is comprised of those fee-paying accounts under discretionary management by GMO that have investment objectives, policies and strategies substantially similar to the other accounts included in the Composite. Prior to January 1, 2012, the accounts in the Composite served as the principal component (approximately 80%) of a broader real return strategy** (which has its own GIPS composite) pursued predominantly by separate account clients of GMO. The Benchmark-Free Allocation Strategy is not expected to differ significantly from that component of the broader real return strategy. It is expected that the strategys investment exposures will not differ significantly from the allocations the strategy would have had as a component of the broader real return strategy, although the strategy will likely allocate a greater percentage of its assets to the strategies that have cash-like benchmarks. Not all of the accounts included in the Composite may be mutual funds; however, all the accounts have invested their assets in other mutual funds. All of the accounts that make up the Composite have been managed by the Asset Allocation Division. Although the mutual funds and the client accounts comprising the Composite have substantially similar investment objectives and strategies, you should not assume that the mutual funds or the client accounts will achieve the same performance as the other accounts in the Composite. The client accounts in the Composite can change from time to time. The performance of each account may differ based on client specific limitations and/or restrictions and different weightings among the mutual funds. 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 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. 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
GMO 2013
GMO Benchmark-Free Allocation Strategy

Inception: 7/31/01; Benchmark: CPI Index Year-to-Date Strategy Attribution
The Benchmark-Free Allocation Strategy returned +11.2% net of fees in 2013, outperforming the CPI target for the year by 9.7%. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10year U.S. Treasury and the 10-year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered -2.0%. During 2013, the Strategy maintained, on average, a bit more than a 50% allocation to equity markets, so it benefited from the strong rally. U.S. Quality and currency hedged international value stocks both delivered over 20%, as did Japanese equities (largely hedged to the U.S. dollar), which we sold off during the year, taking gains. The emerging market equities position was a modest drag on performance. Quality lagged the U.S. equity market rally as U.S. investors favored more cyclical stocks in a rising market. The international value allocation, which was heavily concentrated in European value stocks, performed well as Europe stabilized in 2013; security selection in that portfolio added to performance, particularly in the U.K. and France. Unfortunately, security selection in the emerging markets equity allocation detracted from performance, driven primarily by country-sector allocation decisions such as the overweights to Brazil Materials, Poland Materials, and Indonesian Consumer Discretionary, which underperformed. During July, we added a 10% allocation to TIPS as yields had backed up into positive territory. Since then, the position has detracted slightly from performance as yields continued to rise. The credit allocation (namely ABS) delivered additional positive returns. The Emerging Country Debt Strategy outperformed its benchmark by over 5%, driven both by strong market selection (in particular an overweight to Argentina) and positive security selection. The absolute return allocation delivered a small positive return in 2013 due to strong performance from the Alternative Asset Opportunity Strategy, which was partially offset by negative performance from Alpha Only. The performance of the Alternative Asset Opportunity Strategy was driven by equity selection and a net long equity position, as well as relative value commodity positions. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in TIPS, absolute return strategies, and cash.
GMO 2013
GMO Global Allocation Absolute Return Strategy

Inception: 7/31/01; Benchmark: CPI Performance Net of Fees1
Total Return (%)

2
YTD 2013 10.04 1.56
One Year 10.04 1.56

Five Year 8.24 2.09
Ten Year 8.22 2.41
3.40 0.27
2004 15.29 3.35
2005 13.54 3.45
2006 11.01 2.58
2007 9.99 4.12
2008 -7.19 0.16
2009 14.92 2.86
2010 3.02 1.25
2011 4.22 2.95
2012 9.42 1.87
Multi-Strategy 20.0% Quality 20.0%

60% 40% 20% 0%
Currency Hedged International Equity 18.8%
+53.0% +27.8% +19.3%
Special Situations 0.5% Alpha Only 3.8% Alternativ e Asset Opportunity 3.5% U.S. Treasury 1.1% Debt Opportunities 3.2% Asset Allocation Bond Risk 9.8% Emerging Premium Country Debt Strategic Emerging 4.9% 3.5% Fixed Income Markets 9.3% 1.6%
Equities
Fixed Income
Absolute Return

Strategy

(10/31/07-2/28/09)
6.75 1.23 -12.38
Quarterly Strategy Attribution The Global Allocation Absolute Return Strategy returned +3.4% net of fees in the quarter. Asset allocation was the driver of positive performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a slight negative return. Positive performance was driven largely by the approximately 53% long exposure to equities. Quality, currency hedged international, and emerging market equities all posted positive returns during the quarter. The allocation to TIPS was a modest drag on performance while emerging country debt made a slight positive contribution to return. Absolute return oriented strategies added modestly to performance. The Alternative Asset Opportunity Fund and Multi-Strategy both posted positive returns this quarter. Implementation was a modest drag on performance with Quality underperforming the broader U.S. equity market rally and the Emerging Markets Fund underperforming its benchmark due primarily to country-sector allocation decisions such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials. This was partially offset by strong security selection in the international equity allocation.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. 3 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. 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. GMO 2013
1
GMO Global Allocation Absolute Return Strategy

Inception: 7/31/01; Benchmark: CPI Year-to-Date Strategy Attribution
The Global Allocation Absolute Return Strategy returned +10.0% net of fees in 2013, outperforming the CPI target by 8.5%. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10year U.S. Treasury and the 10-year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered -2.0%. During 2013, the strategy maintained, on average, a bit more than a 50% allocation to equity markets, so it benefited from the strong rally. U.S. Quality and currency hedged international value stocks both delivered over 20%, as did Japanese equities (largely hedged to the U.S. dollar), which we sold off during the year, taking gains. The emerging market equities allocation was a modest drag on performance. During July, we added an 8% allocation to TIPS as yields had backed up into positive territory. Since then, the position has detracted slightly from performance. The credit allocation (namely ABS and Emerging Country Debt) delivered additional positive returns. Implementation had mixed results in 2013, overall detracting from performance. Quality underperformed the broader U.S. equity market by over 6% as U.S. investors favored more cyclical stocks in a rising market; this was the largest detractor from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (primarily driven by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was also a meaningful drag on performance. Offsetting this was positive performance across several other strategies, including the Emerging Country Debt Strategy, which beat its benchmark by over 5% (driven both by strong market selection, in particular an overweight to Argentina, and positive security selection), and the currency hedged international equity allocation, which had positive security selection, especially in the U.K., Japan, and Italy. Multi-Strategy delivered a positive return of +1.3% in 2013; five out of ten of the portfolios underlying strategies delivered positive absolute return. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in TIPS, absolute return strategies, and cash.
GMO 2013
GMO Real Return Asset Allocation Strategy

Inception: 12/31/09; Benchmark: CPI Index Performance Net of Fees1

Strategy

2
YTD 2013 5.48 1.56
One Year 5.48 1.56
Five Year n/a n/a
Ten Year n/a n/a
2.98 0.27

(12/31/09-6/30/10)
6.01 0.02 -12.96
2010 Strategy -11.89 Benchmark 1.25
2011 1.87 2.95
2012 6.53 1.87
Exposure (%)
Relative Value4
Exposure (%)
Global Quality International Value (Currency Hedged) Emerging ex-China Risk Premium ABS & Credit Emerging Debt Credit Opportunities Multi-Strategy
-30 -15 0
20.0 15.0 13.0 5.0 5.5 3.5 3.0 20.0 15 30
Vol Balanced Quality Vol Balanced Emerging Vol Balanced Anti-China Antipodean 10-Yr. Bonds* Global 10-Yr. Bonds* Japanese 10-Yr. Bonds*
30 3 -3 12 -6 -13
Currencies4
Exposure (%)

60% 40% 20% 0% Equities Fixed Income Absolute Return +9.0% +53.0% +23.0%
Euro Swiss Franc Indian Rupee Asian Currency Basket
5 -5 4 -4
Quarterly Strategy Attribution The Real Return Asset Allocation Strategy returned +3.0% net of fees in the quarter. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a slight negative return. Long equity positions across quality, international value, and emerging markets ex-China were additive, but partially offset by a short position in the S&P 500 ex-Financials. Currency positions, specifically a long position in the Indian rupee, added to performance. Multi-Strategy and Credit Opportunities both contributed modestly to performance this quarter. Near the end of the quarter, we sold down our S&P 500 hedge position, which we did not believe offered a return greater than cash. This move was not directly associated with our long Quality versus a short S&P ex-Financials position, and was done in conjunction with other adjustments we made to the strategy. We own some risk assets that have decent, albeit not great, return forecasts. We also have some long/short trades that we believe offer return potential. As we put together the portfolio, we are thinking about our allocation to risk assets and our long/short trades separately, whereas in the past they were often intermixed. Ultimately, the result will be a portfolio in which we have greater confidence.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. GMO 2013
1
GMO Real Return Asset Allocation Strategy

Inception: 12/31/09; Benchmark: CPI Index Year-to-Date Strategy Attribution The Real Return Asset Allocation Strategy returned +5.5% net of fees in 2013.
All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10year U.S. Treasury and the 10-year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered -2.0%. The majority of the positive performance was generated by a net long equity position; long holdings across U.S. quality, international value, and Japanese equities were partially offset by an S&P 500 ex-Financial short. An emerging markets ex-China equity position detracted from performance. Incrementally adding to performance were a long position in credit (ABS and Emerging Country Debt) and currency positions (in particular, short commodity currencies). Multi-Strategy delivered a positive return of +1.3% in 2013; five out of ten of the portfolios underlying strategies delivered positive absolute return. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in TIPS, absolute return strategies, and cash.
GMO 2013
GMO Global All Country Equity Allocation Strategy As of December 31, 2013

2
YTD 2013 21.33 23.46
One Year 21.33 23.46

Five Year 13.45 15.23
Ten Year 8.46 7.08
7.27 7.41
2004 17.62 14.86
2005 12.51 9.95
2006 18.87 20.34
2007
2008
2009 24.19 34.45
2010 10.12 12.94
2011 -1.29 -6.87
2012 14.74 16.34
11.12 -31.41 10.38 -41.82
Emerging Markets 13.1% U.S. Core 3.5%
(MSCI ACWI)
Emerging Markets 10.6% U.S. Equities 48.6%

Developed Int'l. Equities 40.8%

10% 5% 0% -5% -10% +3.7% +2.5%

Strategy Benchmark
-6.2% U.S. Equities Developed Int'l. Equities Emerging Equities
2.70 0.82 0.91 0.49
0.00 1.00 1.00 0.30

The Global All Country Equity Allocation Strategy returned +7.3% net of fees for the quarter, underperforming its benchmark by 0.1%. The contribution from implementation was negligible; asset allocation accounted for all of the underperformance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when the tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. Asset allocation decisions had a modest negative impact on performance. An underweight to U.S. stocks relative to international stocks was a detractor as was the overweight to emerging market equities. The tilt toward value and away from growth in international equities helped as value outperformed growth. Over the quarter, we made incremental changes to portfolio allocations. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. We had been hedging a portion of our developed market currency exposure back to the U.S. dollar based on a view that the dollar was cheap. The dollar has risen, and we removed the hedge as we believe that the dollar is currently fairly valued. Implementation's impact this quarter was de minimis. International Intrinsic Value outperformed its benchmark due to security selection, particularly within Financials and Utilities. However, this positive performance was offset by Emerging Markets and Quality. Emerging Market equities had negative security selection driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials. Quality underperformed the broader U.S. market rally.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The 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 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. GMO 2013
1
GMO Global All Country Equity Allocation Strategy As of December 31, 2013
Inception: 12/31/93; Benchmark: Blended Benchmark Year-to-Date Strategy Attribution The Global All Country Equity Allocation Strategy was up 21.3% net of fees for the year, underperforming its benchmark by -2.1%. Asset allocation and implementation detracted from performance equally. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Asset allocation detracted about 1% from performance. Throughout the year, the Strategy maintained an underweight to the U.S. This positioning was a drag on performance amid a strong equity rally led by the U.S. An overweight to emerging equity markets also detracted from performance. A position in Japanese equities (largely hedged to the U.S. dollar) contributed positively to performance as did a developed markets currency hedge to the U.S. dollar. Implementation also detracted about 1% from performance. Quality underperformed the broader U.S. equity market by over 6% as U.S. investors favored more cyclical stocks in a rising market; this was the largest detractor from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was also a meaningful drag on performance. Offsetting this was positive performance across several other strategies, including the International Intrinsic Value Strategy, which beat its benchmark by over 2.6% (due to positive security selection, especially in the U.K., Japan, and Italy). Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. We are investing in the select pockets that still offer a positive expected return: high quality stocks in the U.S., value stocks in international markets, and emerging markets equity.
GMO 2013
GMO Global Developed Equity Allocation Strategy

Total Return (%)

2
YTD 2013 25.82 26.68

2004 17.36 13.64 2005 12.26 9.42 2006 20.22 20.05 2007
One Year 25.82 26.68

Five Year 13.50 15.03

2009 20.55 29.97 2010 9.25 11.77
Ten Year 8.14 6.87

2011 -0.40 -5.52

2012 14.14 15.84
8.12 8.00
2003
2008
9.69 -33.19 9.02 -40.70
Emerging Markets U.S. Core 5.1% 1.8%
(MSCI World Index)
U.S. Equities 54.4%

6% 3% 0% -3% -6% -5.2% U.S. Equities International Equities +5.1%

Strategy Benchmark
2.75 0.84 0.89 0.44
0.00 1.00 1.00 0.25

The Global Developed Equity Allocation Strategy returned +8.1% net of fees for the quarter, outperforming its benchmark by 0.1%. Implementation drove the positive performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when the tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns world-wide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. Asset allocation decisions had a de minimis impact on performance. An underweight to U.S. stocks relative to international stocks was a detractor as was the allocation to emerging markets. However, the tilt toward value and away from growth in international equities helped as value outperformed growth. Over the quarter, we made incremental changes to strategy allocations. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. We had been hedging a portion of our developed market currency exposure back to the U.S. dollar based on a view that the dollar was cheap. The dollar has risen, and we removed the hedge as we believe that the dollar is currently fairly valued. Implementation's impact this quarter was positive. International Intrinsic Value outperformed its benchmark due to security selection, particularly within Financials and Utilities. However, Quality underperformed the broader U.S. market rally, partially offsetting the positive performance.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The 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 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.
1
GMO 2013
GMO Global Developed Equity Allocation Strategy

The Global Developed Equity Allocation Strategy was up 25.8% net of fees for the year, underperforming its benchmark by 0.9%. Implementation was the primary driver of the underperformance. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Asset allocation detracted slightly from performance. Throughout the year, the Strategy maintained an underweight to the U.S. This positioning was a drag on performance amid a strong equity rally led by the U.S. The allocation to emerging equity markets also detracted from performance. A position in Japanese equities (largely hedged to the U.S. dollar) contributed positively to performance as did a developed markets currency hedge to the U.S. dollar. Implementation detracted from performance. Quality underperformed the broader U.S. equity market by over 6% as U.S. investors favored more cyclical stocks in a rising market; this was the largest detractor from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was also a meaningful drag on performance. Offsetting this was positive performance across several other strategies, including the International Intrinsic Value Strategy, which beat its benchmark by over 2.6% (due to positive security selection, especially in the U.K., Japan, and Italy). Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. We are investing in the select pockets that still offer a positive expected return: high quality stocks in the U.S., value stocks in international markets, and emerging markets equity.
GMO 2013
GMO International All Country Equity Allocation Strategy

Total Return (%)

2
YTD 2013 16.71 15.47

2004 24.06 21.11 2005 19.03 16.71 2006 25.91 26.94 2007
One Year 16.71 15.47

Five Year 11.74 12.61

2009 27.77 40.16 2010
Ten Year 8.42 7.52

2011

2012 16.82 16.90
5.14 4.78
2003
2008
17.39 -40.96 16.08 -45.26
12.74 -11.31 10.83 -13.63
Emerging Markets 23.2% International Intrinsic Value 76.8%
(MSCI ACWI ex USA Index)
Emerging Markets 20.7% Developed Int'l. 79.3%

4% 2% 0% -2% -4% -2.5% Developed Int'l. Equities Emerging Equities +2.5%

Strategy Benchmark
2.21 0.92 0.94 0.31
0.00 1.00 1.00 0.18

The International All Country Equity Allocation Strategy returned +5.1% net of fees for the quarter, outperforming its benchmark by 0.4%. The contribution of implementation was negligible; asset allocation accounted for all of the outperformance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when the tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. Asset allocation contributed 0.4%. The tilt to value added to performance, but was partially offset by the overweight to emerging market equities. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. Implementations impact this quarter was de minimis. International Intrinsic Value outperformed its benchmark due to security selection, particularly within Financials and Utilities. However, this positive performance was offset by Emerging Markets. Emerging Market equities had negative security selection driven primarily by country-sector allocation decisions, such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 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) ex USA Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. 3 The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.
1
GMO 2013
GMO International All Country Equity Allocation Strategy

The International All Country Equity Allocation Strategy returned +16.7% net of fees for the year, outperforming its benchmark by 1.2%. Asset allocation added about 1.4%, while implementation detracted roughly 0.2%. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Within asset allocation, the tilt to value, which we increased throughout the year, was the largest driver of positive performance. The position in Japanese equities (largely hedged to the U.S. dollar), which we sold off during the year, taking gains, also added value. This positive performance was partially offset by the overweight to emerging equities. Implementation detracted from performance. The Emerging Markets Strategy, which underperformed its benchmark by over 5% (primarily driven by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed) was a meaningful drag on performance. Offsetting this was the International Intrinsic Value Strategy, which beat its benchmark by over 2.6% (due to positive security selection, especially in the U.K., Japan, and Italy). Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. We are investing in the pockets that still offer a positive expected return: value stocks in international markets, and emerging markets equity.
GMO 2013
GMO International Developed Equity Allocation Strategy

Total Return (%)

2
YTD 2013 24.13 22.78
One Year 24.13 22.78

Five Year 11.77 12.54
Ten Year 8.17 7.20
6.39 5.71
2004 24.89 21.17
2005 15.56 14.41
2006 25.50 26.62
2007
2008
2009 19.84 32.16
2010
2011
2012 17.09 17.32
12.69 -38.39 11.58 -43.33
10.58 -9.45 7.93 -12.14
Emerging Markets 2.0%
(MSCI EAFE Index)

Strategy Benchmark
2.49 0.87 0.90 0.37
0.00 1.00 1.00 0.22
Quarterly Strategy Attribution The International Developed Equity Allocation Strategy returned +6.4% net of fees for the quarter, outperforming its benchmark by 0.7%. Asset allocation and implementation both contributed to positive performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when the tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. Asset allocation contributed positively to performance. The tilt to value added to performance, but was partially offset by the allocation to emerging market equities. Reflecting the significant spread between our forecasts for international growth and value stocks, we sold out of the remaining modest allocation to international growth equity and purchased value. Implementation contributed 0.6%. International Intrinsic Value outperformed its benchmark due to security selection, particularly within Financials and Utilities. However, this positive performance was partially offset by Emerging Market equities. Emerging Market equities had negative security selection driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and the overweights to China Financials and Brazil Financials.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 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 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.
1
GMO 2013
GMO International Developed Equity Allocation Strategy

The International Developed Equity Allocation Strategy returned +24.1% net of fees for the year, modestly outperforming its benchmark by 1.4%. Implementation contributed 1.6% of outperformance; asset allocation detracted by 0.2% All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among the highest performers with a +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the questions of when the Federal Reserve would begin to taper and by how much, reflected most notably by the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most equity markets around the globe posted similarly strong performance, with the exception of the emerging markets, which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Asset allocation detracted from performance due mainly to the allocation to emerging market equities. Implementation was the driver of positive performance. The International Intrinsic Value Strategy outperformed its benchmark by over 2.6% due to positive security selection in the U.K., Italy, and Japan. Poor performance in the Emerging Markets Strategy offset this slightly. The Emerging Markets Strategy underperformed its benchmark by over 5%, driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. We are investing in the pockets that still offer a positive expected return: value stocks in international markets and emerging markets equity.
GMO 2013
GMO U.S. Equity Allocation Strategy

Total Return (%)

2
YTD 2013 27.95 32.85

2004 10.74 11.45 2005 3.68 5.53 2006 9.93 15.71 2007
One Year 27.95 32.85

Five Year 15.37 18.37

2009 20.54 27.46 2010 7.43 16.26
Ten Year 6.65 7.68

2011 9.91 1.58

2012 12.25 16.21
9.67 10.39
2003
2008
2.25 -27.87 5.39 -37.15
Small/Mid Cap 2.6%
(Russell 3000 Index)
Small/Mid Cap 18.3%

U.S. Core 47.7%
U.S. Flexible Equities 49.7%
Large Cap 81.7%

20% 10% 0% -10% -20% Large Cap -15.7% Small/Mid Cap +15.7%

Strategy Benchmark
1.63 0.84 0.92 0.56
0.00 1.00 1.00 0.46
Quarterly Strategy Attribution The U.S. Equity Allocation Strategy finished the quarter with a return of +9.7% net of fees, underperforming its benchmark by 0.7%. Implementation was the primary driver of underperformance. Quality significantly lagged the broader U.S. equity market, which is not unusual in the context of strong equity market rally. U.S. Core Equity underperformed its benchmark by 1.0% and U.S. Small/Mid Cap outperformed its benchmark by 2.8%.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The 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. 3 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net.
1
GMO 2013
GMO U.S. Equity Allocation Strategy

The U.S. Equity Allocation Strategy was up 28.0% net of fees for the year, underperforming its benchmark by 4.9%. Implementation accounted for the majority of the underperformance. Quality significantly underperformed the broader U.S. equity market, as U.S. investors favored more cyclical stocks in a rising market. Outlook: GMO began 2013 calling the U.S. equity markets moderately overvalued. Since then, the S&P 500 has rallied terrifically and, consequently, our forecast has gone down significantly. Will U.S. stocks become even more overvalued in 2014? That is certainly possible. Quality stocks continue to have a positive (albeit unexciting) expected return over the next seven years, according to our forecasts whereas our expectations for the broader U.S. equity market are in negative territory. For that reason, we will continue to concentrate the portfolio in high quality stocks.
GMO 2013
GMO Tax-Managed Global Balanced Strategy

Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 10.86 12.78

2004 12.73 10.02 2005 9.91 5.91 2006 12.08 12.95 2007
One Year 10.86 12.78


2009 14.29 23.90 2010 6.88 9.99
Ten Year 6.66 5.97

2011 1.34 -0.27

2012 9.71 11.47
3.95 4.46
2003
2008
7.16 -14.95 7.12 -25.89
Multi-Strategy 13.3% U.S. Equities 19.8%
(GMO Tax-Managed Global Balanced Index)
Fixed Income 40.0%
U.S. Equities 29.2%
Municipal Bonds 28.8% International Equities 26.0%
Emerging Risk Country Debt Emerging Premium Equities 1.9% 2.3% 7.8%
Emerging Markets 6.4%

20% 10% 0% -10% -20% +13.3% +3.8% +1.4% -9.3% Emerging Fixed Income Markets Absolute Return

Strategy Benchmark
-9.4% U.S. Equities Int'l. Equities
2.28 0.73 0.90 0.85
0.00 1.00 1.00 0.59

The Tax-Managed Global Balanced Strategy returned +3.9% net of fees for the quarter, underperforming its benchmark by 0.5%. Asset allocation detracted from performance while implementation contributed positively to performance. Tapering has begun. In December, Chairman Bernanke announced that the Federal Reserve would reduce asset purchases by $10 billion starting in January, finally putting to rest uncertainty about when tapering would begin and by how much. Equity markets were undaunted by this announcement; the S&P 500 finished the quarter up 10.5%, capping off a stunning year-long rally. Global equity markets followed suit, ending the year with positive fourth quarter returns worldwide. Even the emerging markets, which struggled in 2013, posted positive returns in the fourth quarter. This market surge appears to have been driven by nothing more than a lack of negative surprises. U.S. bond yields ticked up throughout the quarter; the 10-year Treasury and 10-year TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a slight negative return. Asset allocation was the driver of negative performance. The broad portfolio underweight to equities detracted from performance given the strong market rally. Within equities, the portfolio was underweight the U.S., which led the rally over the fourth quarter, and overweight emerging market equities, both a drag on performance. The underweight to fixed income duration helped performance as yields rose over the quarter, and the allocation to Emerging Country Debt was additive. Implementation contributed +0.3%. The international equity allocation had positive security selection, which was partially offset by negative security selection across U.S. equities and emerging market equities. Multi-Strategy was up 0.7% gross of fees over the quarter with six of its ten underlying strategies delivering positive absolute return.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The 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 warranties, has not prepared or approved this report, and has no liability hereunder. 3 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. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolios sensitivity to the market; R2 is a measure of how well a portfolio tracks the market; Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is net. GMO 2013
1
GMO Tax-Managed Global Balanced Strategy

Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index Year-to-Date Strategy Attribution
The Tax Managed Global Balanced Strategy returned +10.9% net of fees for the year, underperforming its benchmark by 1.9%. Asset allocation was the primary driver of the underperformance. All eyes were on central bankers in 2013. Particular focus centered on quantitative easing by the Bank of Japan and the U.S. Federal Reserve. The jury is still out on whether or not Japans monetary policy will effectively stimulate growth, but the Japanese equity market was among highest performers with +55% return in local terms. In the U.S., volatility across stocks and bonds was driven by the question of when the Federal Reserve would begin to taper and by how much, notably the taper tantrum in May and June and the September surprise when the Fed refrained from tapering. In December, Chairman Bernanke announced that asset purchases would be reduced by $10 billion starting in January, resolving much uncertainty. For the year, the S&P 500 was up 32%; most other global equity markets posted similarly strong performance, with the exception of the emerging markets which were down 2.6% in U.S. dollar terms (up 3.4% measured in local currency). Bond yields rose during the year; the 10 year U.S. Treasury and the 10 year U.S. TIPS ended the year with yields of 3.0% and 0.8%, respectively. The Barclays U.S. Aggregate index delivered a -2.0% return. Throughout the year, the Strategy maintained an underweight to equities, and within the equity allocation, an underweight to the U.S. This positioning was a drag on performance amid a strong equity rally led by the U.S. An overweight to emerging equity markets also detracted from performance. The underweight to fixed income contributed positively to performance. Implementation had mixed results in 2013. Quality underperformed the broader U.S. equity market as U.S. investors favored more cyclical stocks in a rising market, and the Emerging Markets Strategy underperformed its benchmark by over 5%, driven primarily by country-sector allocation decisions such as the underweight to China Information Technology and overweights to Brazil Materials and Poland Materials, which underperformed. This was partially offset by positive security selection within the international equity allocation and positive performance (+1.3%) from Multi-Strategy. Outlook: GMO began 2013 calling most equity markets at least moderately overvalued and bemoaning the lack of cheap assets to get excited about. Since then, global equities have rallied terrifically and, consequently, the opportunity set has not improved. Will equities become extremely overvalued in 2014? That is certainly possible. On the fixed income side, the outlook has improved slightly as yields have risen over the year. TIPS, which had been offering an opportunity to lock in negative real yields in early 2013, now boast real yields in positive territory, providing some decently priced inflation protection. In our portfolios, we are investing in the select pockets of risk assets that still offer a positive expected return (e.g., high quality stocks in the U.S., value stocks in international markets, emerging markets debt and equity, and ABS) with the remainder in municipal bonds, absolute return strategies, and cash.
GMO 2013
GMO Total Equities Strategy

Inception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index Performance Net of Fees1
Total Return (%)

2
YTD 2013 17.49 0.05
One Year 17.49 0.05

Five Year 4.18 0.10
Ten Year 3.14 1.59
4.74 0.01
2003 Strategy Benchmark -5.61 1.07
2004 1.07 1.24
2005 3.56 3.00
2006 -1.90 4.76
2007 -5.37 4.74
2008 14.26 1.80
2009 -7.47 0.16
2010 3.51 0.13
2011 0.40 0.08
2012 8.64 0.07
Exposure3, 4
By Strategy (%)
By Region (%)
Equities Merger Arbitrage Volatility Other Total

0.0 32.0 16.5
51.5
Non-U.S. U.S. Total
56.1 43.9 100.0
100.0
Quarterly Strategy Attribution Global equities finished a year-long rally with a strong fourth quarter amid continued economic improvement and central bank stimulus. U.S. equities delivered the strongest gains during the quarter, with the S&P 500 rising 10.5%. The MSCI Europe index returned +7.9% and the MSCI EAFE index returned +5.7%. The MSCI ACWI returned +7.3% for the quarter. The Total Equities Strategy returned +4.7% net of fees for the period, with the majority of the positive absolute result driven by exposure to Equities. Our equities strategies posted a +10.7% return for the period, a result that led the MSCI ACWI index. Our volatility strategies posted a +6.0% return for the quarter while merger arbitrage delivered a -1.3% return for the period.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 The above information is based on a representative account in the Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy. 4 Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets.
1
GMO 2013
GMO Total Equities Strategy

Inception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index Year-to-Date Strategy Attribution
Global equities posted strong absolute returns in 2013. A combination of better-than-expected economic performance in many countries and continued stimulus from central banks around the globe prompted a rally in most global equity markets. The MSCI ACWI index returned +22.8% for the year. Within ACWI, the Health Care and Consumer Discretionary sectors delivered the strongest absolute returns, while Materials, Utilities, and Energy were the biggest laggards compared to the broad market. The Total Equities Strategy posted a +17.5% return net of fees for the year, with the majority of the positive absolute result driven by exposure to Equities. Our Equities strategies posted a +39.6% return for the year, a result higher than the MSCI ACWI index. Our Volatility strategies posted a +12.5% return for the year, a result lower than the MSCI ACWI index. Finally, Merger Arbitrage delivered a +1.3% return for the year, lagging the MSCI ACWI index. Outlook: We dont know what opportunities and challenges will present themselves in 2014, but we are confident we have the team and tools to identify them when they do. 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.
GMO 2013
GMO Tactical Opportunities Strategy


Strategy

2
YTD 2013 -9.64 0.05

2006 -1.65 4.76 2007 17.87 4.74 2008 36.52 1.80 2009 -41.60 0.16
One Year -9.64 0.05

Five Year -16.32 0.10

2011 27.51 0.08
Ten Year n/a n/a

2012 -18.36 0.07
Since Inception -6.81 1.63
4.09 0.01
2004 2005 -13.24 3.00

(11/30/08-9/30/13)
18.24 -0.46 -62.53
2010 -25.31 0.13
Strategy -7.57 Benchmark 0.44
Characteristics4
Long Short
Sector Exposure4
Sector
P/E - Ex Neg Earn Hist 1 Yr Wtd Med % Negative Earnings Price/Book - Hist 1 Yr Wtd Avg Dividend Yield - Hist 1 Yr Wtd Avg
Return on Equity - Hist 1 Yr Med

Market Cap - Weighted Median $Bil Debt/Equity Wtd Med % Long/Short
18.8 0.0 3.7 2.3 20.3 $146.5 0.6 138
x % x % % x %
27.5 38.7 2.4 1.3 7.3 $10.3 1.3 137
x % x % %
x
%
Regional Weights4
Region Net Weight -8.7 9.8 -20 -10 0 10 20
Consumer Discretionary Consumer Staples -12.8 Energy -38.4 Financials Health Care -5.4 Industrials Information Technology -7.4 Materials -3.9 Telecom. Services -2.6 Utilities
-60 -30
Net Weight -16.4 35.4
Long
Short
23.8 28.7
5.5 % 36.1 10.0 0.0 36.6 6.7 41.7 0.6 0.4 0.0
21.9 % 0.7 22.8 38.4 12.8 12.1 13.0 8.0 4.3 2.6
30
60
GICS Sectors
United States Non-United States
Quarterly Strategy Attribution The Tactical Opportunities Strategy gained 4.1% net of fees in the fourth quarter of 2013. The positive contribution from the long portfolio offset the negative impact of the short portfolio in the fourth quarter. High quality stocks modestly outperformed low quality stocks and generally performed in line with broad market indices in the fourth quarter. Many of the worries that dominated the investment landscape earlier in the year faded from investors minds. Continued signs of an improving European economy and the Feds announcement of a deliberate pace to the taper gave a bid to stocks across the Quality spectrum. Large cap stocks edged out 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 won, while low profit volatility lost slightly to the broader market. In the long portfolio, all sectors contributed positively to the absolute performance of the portfolio with the largest contributing sectors being Information Technology, followed by Health Care, then Consumer Staples. The top individual stocks contributing to returns included Google, Oracle, and Hewlett-Packard. The top detractors for the long portfolio were Cisco Systems, IBM, and Philip Morris International. The opposite was seen in the short portfolio for the quarter. With the exception of Health Care, all other sectors detracted from performance. Short exposure within Financials followed by Industrials caused the majority of the negative returns for the quarter. The strategys average net exposure for the quarter remained neutral.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. Exposure information is not normalized and shown as a percent of total net assets.
1
GMO 2013
GMO Tactical Opportunities Strategy

Inception: 9/30/04; Benchmark: Citigroup 3-Month T-Bill Index Year-to-Date Strategy Attribution The Tactical Opportunities Strategy fell 9.6% net of fees for the year ending December 31, 2013.
The positive contributors from the long portfolio were offset by the larger negative impacts of the short portfolio. High quality stocks underperformed the broad market in 2013. Although the return pattern varied from quarter to quarter, lower quality, higher volatility stocks performed better throughout the year as taper fears ebbed and generally benign conditions persisted in Europe. In 2013, large cap stocks lost relative to the broader market both within quality and the larger universe. The components of Quality low leverage and high, stable profits all lost for the year versus the broader market. Information Technology, followed by Health Care and Consumer Staples were the strongest sectors contributing to positive returns in the long portfolio. Hewlett-Packard and Google were the top performing stocks in the long portfolio for the year. IBM, Philip Morris, and Coca-Cola led the year as the largest detractors in the long portfolio. The largest detractors in the short portfolio came from short exposure to Financials, followed by Consumer Discretionary and Information Technology. The average weight of non-U.S. domiciled companies in the long portfolio has decreased to 8% as opportunities outside the U.S. have become less attractive relative to those in the U.S. We continue to find the majority of Quality opportunities to be U.S.-domiciled multinationals. The Strategys average net exposure for the year was neutral. Outlook: We believe that patient investors will be compensated for owning quality companies based on their current valuations. The U.S. markets 2013 advance highlights the need for strong investment discipline and process. 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.
GMO 2013
GMO Currency Hedge Strategy

Inception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index Performance Net of Fees1

Strategy

2
YTD 2013 -10.17 0.40
One Year -10.17 0.40

Five Year 3.39 0.71
Ten Year -0.98 2.33
-3.55 0.09

(6/30/07-12/31/08)
10.99 -0.18 -41.95
2004 2.93 1.48
2005 8.94 3.37
2006 13.60 5.25
2007
2008
2009 23.08 1.45
2010 3.17 0.45
2011 1.25 0.44
2012 2.31 0.82
-15.57 -28.70 5.70 4.12
Performance Attribution4
Net Contribution (%)
Currency Weights4
Net Weight
Europe North America Asia Pacific Cash Mgmt/Fees/Other

-4
-2.1 -0.5 -1.1 0.2 -2 0 2 4
Europe North America Asia Pacific

-60
-24.8 -29.9 54.9 -30 0 30 60
Quarterly Strategy Attribution In the fourth quarter of 2013, the Currency Hedge Strategy returned -3.6% net of fees, compared to its benchmark, the J.P. Morgan U.S. 3 Month Cash index, which gained 0.1%. Year to date, the strategy was down 10.2%. Foreign currencies were mixed against the dollar during the quarter. Sterling rose by 2.3%, while the yen declined by 6.6%. The dollar -bloc currencies were uniformly weak: the Australian dollar declined by 4.3%, the Canadian dollar by 3.3%, and the New Zealand dollar by 1.2%. On the other hand, the euro gained 1.8%, slightly outpacing the Swiss franc, which gained 1.7%; the euro ended the year 2.3% above the Swiss National Banks 1.2 EURCHF floor. In the Scandis, Swedish krona was flat, while Norwegian krone declined by 0.9%. During the quarter, policy actions were also mixed. The U.S. Federal Reserve finally began the asset-purchase taper discussed in the second quarter. Meanwhile, the ECB and the Swedish Riksbank each cut policy interest rates to new lows: 0.25% and 0.75%, respectively. In performance attribution, cross-market positions detracted, mainly the long in Australian dollar and the shorts in Swedish krona and the euro. The yen short, on the other hand, was successful. Volatility positioning detracted, while other opportunistic positions added value.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. GMO 2013
1
GMO Currency Hedge Strategy

Inception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index Year-to-Date Strategy Attribution
The Currency Hedge Strategy returned -10.2% net of fees in 2013, underperforming its benchmark, the J.P. Morgan 3 Month Cash index, which was up 0.4%. The yen continued its steep decline, falling by 17.7% in 2013. The yen has declined by 27% in real effective terms since Abenomics was announced last year, and its level is now slightly below where it was in June 2007, just prior to the start of the U.S. credit crisis. At the fall IMF meetings, assistant BoJ governor Kazuo Momma characterized Japans radical policy experiment thus: were doing everything the textbooks advise expanding our balance sheet, creating money. The stakes are high: if we fail, economics may be wrong. Momma has been at the BoJ since 1981 so has a long history over which to compare the current policy efforts relative to past failed ones that ultimately had global repercussions. Judging by the consensus forecast for Japans inflation, which topped the BoJs stated 2% goal for the first time (and was the highest since the early 1990s), economic forecasters believe that the BoJs policies will at least work to ignite inflation. The euro was the best performer in 2013, gaining 4.5% relative to the dollar, and spending the entire year comfortably above the Swiss National Banks EURCHF 1.2 floor. The ongoing rebalancing of peripheral economies continued to sap demand for imports by those countries, and thus the eurozones aggregate current account position vis a vis the rest of the world strengthened. Rounding out the weak currencies were Australian dollar (-13.8%), Norwegian krone (8.3%), and Canadian dollar (-6.3%). All three had developed a following among emerging country reserve managers, who had been recycling accumulated U.S. dollars purchased for currency intervention used to offset the U.S.s aggressive QE policies. However, with the U.S. Federal Reserve taper comments in the second quarter and the actual taper in December, the cycle went into reverse. Higher U.S. interest rates drained support for emerging currencies, whose central banks were then obliged to sell these accumulated foreign currencies to defend against sharp currency weakness. In performance attribution, the main currency model contributed more than all of the years negative performance, as options strategies helped to mitigate losses. The only currencies in which the Strategy registered gains were sterling and the yen. Notable losses were those in Norway, the euro, Australian dollar, and Canadian dollar. Outlook: Entering 2014, heightened delivered daily currency volatility has caused position sizes to shrink. The Strategy is still now more short the U.S. dollar than at year-end 2012, mainly favoring a new long in sterling and a roughly stable long in New Zealand dollar. The Australian dollar is down by more than half, although the currency still has favorable interest-rate differentials. The yen position is still short, although shorts in the euro and Swiss franc have been reduced. The Scandis flipped from long to short, substantially so in Sweden.
GMO 2013
GMO Fixed Income Hedge Strategy


Strategy

2
YTD 2013 -3.79 0.40
One Year -3.79 0.40

Ten Year n/a n/a
-1.48 0.09

(5/31/06-1/31/09)
13.39 -0.19 -49.18
2006
2007
2008
2009 21.63 1.45
2010 11.03 0.45
2011 15.85 0.44
2012 10.07 0.82
-4.61 -23.39 -25.45 5.25 5.70 4.12
Performance Attribution4
Strategy Net Contribution (%) -0.6 -0.6 0.6 0.0 0.0 -0.7 -0.3 -2 -1 0 1 2
Country Weights4
Net Weight (%)
Cross-Market Tactical Duration Overlay Yield Curve Swaption Volatility STRIPS vs. LIBOR Other Opportunistic Cash Mgmt/ABS/Fees/Other
Europe North America Asia Pacific

-400
-30.7 190.9 -161.7 -200 0 200 400
Quarterly Strategy Attribution The Fixed Income Hedge Strategy returned -1.5% net of fees in the fourth quarter of 2013, underperforming its benchmark, the J.P. Morgan U.S. 3 Month Cash index, by 1.6%. Tactical duration positions, opportunistic strategies, and cross-market strategies weighed on performance during the quarter, while gains from yield curve positioning partly offset losses. Government bond markets were mixed during the fourth quarter of 2013: in local currency index terms, the U.K., -1.5%, led those that posted losses, while Sweden and Japan turned in the quarters only gains, posting +0.4% and +0.2%, respectively. The U.K. economy showed signs of growth during the quarter given an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. Lower-than-expected inflation allowed the Riksbank to cut rates by 25 basis points to 0.75% in December. In other bond markets, the U.S., euro area, Australia, Canada, and Switzerland posted total return losses of -0.2% to -0.9%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened in the fourth quarter, with Sweden and the U.S. steepening the most. In policy actions, the European Central Bank also cut rates by 25 basis points, to 0.25%. The cross-market strategy posted losses primarily due to a long position in the U.S., where yields rose. This also affected the Tactical Duration Overlay. Opportunistic strategies further detracted as a cross-market mean reversion trade moved against the strategy. Thanks primarily to the steepening yield curve in Sweden, the integrated yield curve slope strategy added value during the quarter.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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.
1
GMO 2013
GMO Fixed Income Hedge Strategy

In 2013, the Fixed Income Hedge Strategy had a return of -3.8% net of fees compared with its benchmark, the J.P. Morgan 3 Month Cash Index, which gained 0.4% Government bond yields headed higher in 2013, with yields rising in most markets. In fact, the yield of J.P. Morgans Global Bond Index, which began the year at 1.8%, rose by 44 basis points, delivering the worst bond returns since 2009. Government bond markets mostly fell during the year: in local currency terms, losses were the highest in the U.K. (-4.2%) and the lowest in Switzerland (-1.9%). Japan was the only market to post gains, with +2.2%, and Australia ended the year flat. Gilts had their biggest annual loss since 1994. The U.K. economy showed signs of growth throughout the year given an increase in consumer spending, business investment expansion, and a rise in mortgage approvals. JGB bonds rallied on news that consumer prices dropped, industrial production declined, and the economy grew less than forecasted, prompting the Bank of Japan to increase debt purchases. Other bond markets the U.S., Sweden, Canada, Germany, and Switzerland posted returns in the -2% to 3.4% range. Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board, with curves in the U.S. and Canada steepening the most. In 2013 policy rate actions, the European Central Bank cut rates in two 25-basis-point increments to end the year at 0.25%. In an effort to maintain economic momentum, the Reserve Bank of Australia cut rates by a cumulative 50 basis points to end the year at 2.5%. Lower-than-expected inflation allowed the Riksbank to cut rates by 25 basis points to 0.75% in December. In non-rate actions, in December the U.S. Federal Reserve began the asset-purchase taper it spoke about in the second quarter. The cross-market strategy drove losses given incorrect positioning in U.S., Canadian, Swedish, Japanese, and German duration positions. Partly offsetting losses, U.K. and Australian bond markets added back some value. Opportunistic strategies also detracted as a cross-market, mean-reversion trade moved against the strategy. Gains from the main yield curve strategy partly offset overall losses, thanks mostly to steepening yield curves in Sweden and Canada. Tactical Duration Overlay positions also added value during the year, as the strategy correctly positioned U.S. duration at various times during the year. Outlook: Entering 2014, the Strategy maintains long duration positions in U.S., German, Canadian, Swedish, and Australian bond markets, and short positions in Japanese, U.K., and Swiss markets. Further, the Strategy is positioned for relative flattening in Swiss, euro, and U.S. rates markets relative to those in Australia, the U.K., and Sweden.
GMO 2013
GMO Emerging Currency Hedge Strategy


Strategy

2
YTD 2013 -5.78 0.40
One Year -5.78 0.40

Five Year 7.03 0.71
Ten Year n/a n/a
-1.35 0.09

(7/31/08-12/31/08)
11.07 0.05 -31.52
2007
2008
2009 35.51 1.45
2010 9.88 0.45
2011 -5.14 0.44
2012 5.56 0.82
9.72 -28.32 5.70 4.12
Quarterly Strategy Attribution In the fourth quarter of 2013, the Emerging Currency Hedge Strategy returned -1.3% net of fees, while the strategy's benchmark, the J.P. Morgan U.S. 3 Month Cash index returned +0.1%. Most emerging currencies registered declines during the quarter. The pace of the managed decline in Argentina's currency quickened, with the spot official rate falling by 11.2%. However, the currency returned 5.7% inclusive of carry, as the forwards had overanticipated the decline. The same could not be said of the Turkish lira, the Brazilian real, the Indonesian rupiah, Thai baht, Czech crown, or Chilean peso, each of which registered spot declines in excess of 4%, but where total returns ranged from -4.4% to -2.5%. On the positive side, the 1.8% rise in the euro lifted CEE currencies Poland +3.5%, Hungary +2.0%, and Romania 1.9%. The divergence in Czech relative to the rest happened in November, when the Czech central bank intervened Swiss-style in the currency, introducing and then defending a EURCZK 27 floor for the pair. Central bank policy moves were mixed: Brazil, India, Indonesia, and Turkey all hiked policy rates, while Chile, Mexico, Hungary, Romania, and Thailand cut rates. Elsewhere, the ECB cut its policy rate, and the U.S. Federal Reserve began tapering its bond purchases under extraordinary policy measures. By number of currencies, wins and losses were well balanced in the strategy; however, by magnitude, losses totaled more than gains. Notable on the negative side were longs in Brazil, Chile, Czech, Turkey, South Africa, and Indonesia. Notable on the positive side were longs in Poland, Nigeria, India, Korea, as well as the short in the Philippines. The strategy's net long position declined modestly to 57% from 66%, mostly due to the introduction of a large short in Czech crown as well as the cutting to near zero of a long in Chilean peso. The strategy cut somewhat its short in the Philippines peso, but added to a short in Taiwan dollar.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. GMO 2013
1
GMO Emerging Currency Hedge Strategy

The Emerging Currency Hedge Strategy returned of -5.8% net of fees in 2013, underperforming its benchmark, the J.P. Morgan 3 Month Cash index, which was up 0.4%. Very few currencies either from advanced countries or emerging countries gained in spot terms relative to the U.S. dollar this year. A turnaround in the U.S. economy buoyed U.S. equity markets and led to a general rise in U.S. interest rates, draining support for foreign currencies. Among advanced countries, the major exception was the euro, which gained 4.5%, as fears over a breakup of the single currency receded, and the zones aggregate current account position moved into substantial surplus. Meanwhile the Japanese yen declined by 17.7% to be one of the years worst-performing currencies, adding competitive pressure to other Asian currencies. Among emerging currencies, the stand-out performer was the Israeli shekel, which gained 7.5%. A change in the leadership at Bank of Israel was interpreted as bringing less currency intervention, particularly in light of the development of offshore gas fields that promise to reshape radically the countrys balance of payments position. CEE currencies Romania, Poland, and Hungary gained 2% to 4%, trailing a bit the euros rise. Czech crown, meanwhile, declined by 4.2% for the year, as the Czech central bank intervened Swiss-style in the currency, introducing and then defending a EURCZK 27 floor for the pair. On the downside, Argentine peso led spot losses, -25%, although the forward market over-anticipated an even faster decline, resulting in a +17% total return for the currency. Indonesian rupiah was the heaviest hit of the less-managed currencies, -20.8% in spot terms and -12.1% in total return terms. Next was South African rand, -19.1% spot and 14.7% total. Turkish lira, Brazilian real, and Indian rupee rounded out the currencies with double-digit spot declines. Negative currency contributions stemmed mainly from longs in Indonesian rupiah, South African rand, Czech crown, and Brazilian real, and Turkish lira. The Strategy notched small gains in longs in Romania and Nigeria as well as shorts in Philippines and Taiwan. Outlook: The strategy is currently positioned for a rebound in some emerging currencies relative to the U.S. dollar with an overall net long of 57%. That said, the strategy is short in China, Hong Kong, the Philippines, Singapore, Thailand and Taiwan in Asia, and Czech in CEEMA. Notable longs exist across the rest of CEEMEA, for example in Nigeria, Turkey, Russia, Poland, South Africa, Hungary, Poland, and Israel. In Latin America, the strategy prefers Peru, Brazil, and Colombia.
GMO 2013
GMO Mean Reversion Strategy


Strategy

2
YTD 2013 -0.62 0.05

2005 6.97 3.00 2006 5.63 4.76 2007 18.63 4.74 2008 18.43 1.80
One Year -0.62 0.05

Five Year -2.31 0.10

2010 -8.61 0.13
Ten Year 4.64 1.59

2011 6.77 0.08

2012 5.98 0.07
1.03 0.01
2003 2004 11.42 1.24

(2/28/09-12/31/10)
8.98 0.66 -25.19
2009 -13.43 0.16
Fixed Income & Inflation Exposure4,5

Position
Currency Exposure4
Position Absolute % 14.1 12.4
Australian 10 Yr. Bonds Kiwi 10 Yr. Bonds ABS/Credit UK 10 Yr. Bonds Canadian Rates U.S. 10 Yr. Bonds German Bunds Japanese Interest Rates
Absolute % 23.5 12.8 1.6 -3.5 -3.6 -4.1 -4.1 -48.1 -80 -40 0 40 80
Euro Indian Rupee Commodity Currency Basket -4.8 Asian Currency Basket -7.1 Chinese Yuan Renminbi -8.2 Swiss Franc -14.4
-20 -10 0 10
20
Quality Exposure4
Position Absolute % 89.4 -71.5 -100 -50 0 50 100
Other Equity Exposure4

Position Absolute % 9.4 -8.6 -15.7 -20 -10 0 10 20
Quality S&P 500 ex-Financials
Emerging Equities Chinese Equities S&P 500 Beta Hedge
Other Exposure4
Position Absolute % 5.0 -6 -3 0 3 6
Credit Opportunies Fund

The fourth quarter of 2013 was a slightly positive one for the Mean Reversion Strategy, which returned +1.0% net of fees. It was a strong quarter for equities, particularly U.S. equities. The S&P 500 was up 10.5% in the quarter, MSCI EAFE was up 5.7%, and MSCI Emerging was up 1.8%. Our equity positions contributed 1.3% in the quarter, with quality providing the biggest boost. While quality didn't keep up with the S&P 500 in the quarter, it did rise 9.4%, above its beta-adjusted expectation, and financials (which we have excluded from the short position against quality) outperformed the S&P 500 by about 2%. In total the quality position added around 1.5% in the quarter. The emerging position was a small negative, as the anti-China shorts rose about 3% in the quarter, against a long emerging portfolio that rose 1.5%. The biggest negative in the quarter was our bond positions. Our large short position on the bond side is the JGBs, which were close to unchanged in the quarter, against rising bond yields elsewhere around the world. Our largest long position, Australian bonds, basically brought up the rear, with a yield increase of 33 basis points. The aggregate loss from the two bond bets was 65 basis points, with most of that coming from the JGB versus global bonds trade. Currencies, on the other hand, were a nice plus in the quarter, adding over 50 basis points. The rupee, after a rough three quarters, rose against the U.S. dollar while most of the rest of the Asian basket fell, adding about 40 basis points. The commodity currencies, particularly the Australian dollar, were also weak in the quarter, with that trade adding another 10 basis points. Credit Opportunities Strategy was a small positive, rising 2% in the quarter. The strategy benefited slightly from spread tightening, but it has quite a low credit spread beta at present, so most of the return came from the yield on the portfolio. During the quarter, we increased our long Australian plus New Zealand bond/short global bond trade as the yield spread widened. We slightly increased our JGB short as well, continued selling down the Japanese CPI swap positions we have been reducing for a number of months, and slightly increased the rupee position around the beginning of the quarter.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. 5 Displayed in local 10-year equivalents, except for ABS/Credit and China/Sovereign Banks CDS. GMO 2013
1
GMO Mean Reversion Strategy

The Mean Reversion Strategy returned -0.6% net of fees in 2013. It was a strong year for developed equities with the S&P 500 up 32% and MSCI EAFE rising 23%; MSCI Emerging fell 2.6%. Quality was a slight negative for the year as it rose a bit under 26%, just behind its beta-adjusted expectation. The emerging position was a bigger negative, costing about 1.2% as our emerging equity portfolio fell close to 1% and our anti-China positions (many of which are listed in the developed world) rose about 11%. The significant win for the year within equities was the Japanese position, which added about 1% in the first half of the year as Japan rose strongly in the aftermath of Abes election victory and policy changes. There was only one material negative in the year on the non-equity side, but unfortunately it was larger than all of the positives. Our nominal bond positions cost us around 1.8% in the year, as our least favorite bonds (JGBs) were the best performers in the developed world and our favorites (Australia and New Zealand) were among the worst performers. Other positions contributed positively, but none of them in particularly large size. Currencies contributed 30 basis points in the year, as our commodity currency short helped. Weakness in the Indian rupee was a negative in the first part of the year, but losses were reduced in the fourth quarter as it outperformed the broader Asian currency basket. Our Japanese inflation swap position added 40 basis points as Abes reflationary policies were taken seriously by the market. We have been slowly selling down this position for a good portion of the year. We had a correlation trade work out in our favor, as we had been betting that correlations between stocks and bonds would be less negative than they had been, which the Taper tantrum in May helped on. This added 15 basis points. And our credit positions added 60 basis points, as our ABS positions rose as spreads continued to tighten and Credit Opportunities rose 6.6% in the year. Outlook: The outlook for 2014 looks reasonably good for the mean reversion portfolio, insofar as we can say much about a single year. The quality bet after a lackluster 2013 is looking quite attractive from a valuation perspective and the two major bond bets we have on, world versus Japan and Australia and New Zealand versus world, will make money if yields revert as well as if yields stay the same, which is not always the case for value-driven positions within fixed income. The opportunity set within currencies is smaller, but the bets we have on look decently attractive as well.
GMO 2013
GMO Systematic Global Macro Strategy


Strategy

2
YTD 2013 9.58 0.05

2005 4.63 3.00 2006 8.39 4.76 2007 15.06 4.74 2008 -3.88 1.80
One Year 9.58 0.05

Five Year 8.24 0.10

2010 10.37 0.13
Ten Year 6.56 1.59

2011 5.79 0.08

2012 0.73 0.07
1.05 0.01
2003 2004 1.33 1.24

(6/30/08-9/30/08)
8.49 0.70 -14.32
2009 15.28 0.16
Strategy Benchmark
3.79 1.07
Equity Market Selection4

Country Net Weight (%) 42.0 36.0 21.0 -1.0 -2.0 -11.0 -13.0 72.0 -80 -40 0 40 80
Country
Bond Market Selection4

Net Weight (%) 22.0 1.7 -8.0 15.7 -30 -15 0 15 30
Netherlands Italy United Kingdom Germany Sweden Australia Japan Net Equity Markets
United States Asset Backed Japan Net Bond Markets
Commodity Markets4
Commodity Net Weight (%) 20.0 5.0 5.0 5.0 -4.0 -5.0 -5.0 -7.0 -9.0 -10.0 -10.0 -15.0 -30 -15 0 15 30
Currency Selection4
Currency Net Weight (%) 48.0
U.S. Dollar Canadian Dollar -4.0 Norwegian Krone -4.0 Australian Dollar -40.0 Net Cash -75.7
-80 -40 0 40
80
Other4
Other Net Weight (%) 3.0 3.0 -4 -2 0 2 4
Soybeans Corn Cocoa Hogs Natural Gas Soy Oil Coffee Heating Oil Copper Gold Wheat Net Commodities
Volatility Index Net Other

The Systematic Global Macro Strategy added 1.0% net of fees over the December quarter. After adding 1.3% in October, the Strategy lost value in November and December. The largest contributor to performance was a net long allocation to equity markets, which added 3.9% as global equities, as measured by the MSCI World index in U.S. dollars, gained 8.0%. Other asset class exposures in commodities (net short) and bonds (we switched from net short to net long) cost 0.5%, while a small long position in VIX futures cost 1.2%. Commodity market selection and currency selection added 1.1% and 1.0%, respectively. In commodities, a long position in soybeans and a short position in wheat added 1.6%, a short position in gold added 1.0%, and short positions in coffee and soybean oil added 0.6%. However, positions in energy markets, particularly shorts in natural gas and heating oil lost value. In currencies, a large short position in the Australian dollar added 1.0% as it weakened against the U.S. dollar, held long, during November and December. Equity market selection cost 2.3% for the quarter with losses occurring in November and December. This was mostly due to a long position in the U.K., which gained only 5.0%, underperforming a short position in Japan, which gained 12.6%. The Strategy holds long positions in attractively priced European equity markets, is short expensive commodity markets, such as heating oil, gold, and copper, and is long U.S. dollars (against the Australian dollar) and U.S. 10-year bonds. Market selection positions remain concentrated in equity and commodity markets. In equities we are positioned to profit from Japan and Australia underperforming European markets, mostly for valuation reasons. Yield and momentum supports a long position in soybeans and short positions in soybean oil, wheat, and coffee.
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. 3 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative cumulative portfolio return from peak to trough. Risk profile data is net. 4 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. GMO 2013
1
GMO Systematic Global Macro Strategy

The Systematic Global Macro Strategy added value in each quarter of 2013 to return +9.6% net of fees for the year. Positive performance came from asset allocation, commodity market selection, and currency selection. Equity market selection and bond market selection subtracted value. Global equity markets advanced 26.7% in 2013 and our net long exposure to equity markets contributed 13.0% to performance. There were minor gains from net bond and commodity exposures but our positioning in VIX futures cost 2.4% for the year. As a result, asset allocation added 14.1%. Commodity market selection contributed 9.6% with short positions in gold (which fell 28.2%), silver (-36.3%), wheat (-27.7%), and coffee (-27.3%) being the main contributors. A long position in gasoline also added value, but other long positions were mixed. Currency selection contributed 1.5%: we held a short position in the weakening Australian dollar throughout most of the year. Equity market selection cost 8.7% over the year. While equity markets as an asset class advanced 26.7%, our largest long positions in the U.K. (+17.9%), the Netherlands (+20.3), and Italy (+19.8) all underperformed, costing 4.8% to portfolio returns. Our positioning among Asian markets, including short positions in Japan and Australia, and long positions in Hong Kong and Singapore, cost 3.9%. Bond market selection cost 0.6%, due mostly to a short position in Japan. Currently the Strategy holds long positions in attractively priced European equity markets, is short expensive commodity markets, such as heating oil, gold, and copper, and is long U.S. dollars (against the Australian dollar) and U.S. 10-year bonds. Market selection positions remain concentrated in equity and commodity markets. Outlook: We expect equity markets to again be supported by stimulus policies and move higher in 2014, but at some point this support will be pulled back. Currently, other traditional asset classes are just not that appealing in our opinion: bond markets are trading near historical low yields, cash rates are near zero, and commodity markets generally are trading at levels well above normal despite sentiment being poor. As a result, asset allocation will be challenging in 2014. The good news is that there remains a good spread of valuations and yields among commodity markets that can be exploited by systematic market selection. We also see opportunities for equity markets that underperformed in 2013 to catch up in 2014. Currency opportunities are not as good in our view, although we believe a short AUD/ USD position can partly hedge against broad equity market declines. In summary, equity market and commodity market selection should provide good opportunities to add value in 2014.
GMO 2013
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or index-plus strategy. Actual composition of a strategys portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and expenses. One cannot invest directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is shown in the strategys prospectus. GMO may change a strategys benchmark from time to time.
Full Name Barclays U.S. Aggregate Index Description 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.
Benchmarks and Indices
Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills. CPI Index GMO Blended Global All Country Equity Allocation 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. The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended Global 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. The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The 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. 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. 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. 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. 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.
GMO Blended Global Asset Allocation Index
GMO Blended Global Developed Equity Allocation Index
GMO Blended International All Country Equity Allocation Index
GMO Blended International Developed Equity Allocation Index
GMO Blended Real Return Global Balanced Asset Allocation Index
GMO Blended U.S. Equity Allocation Index
GMO Tax-Managed Global Balanced Index
J.P. Morgan GBI Global J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) + J.P. Morgan GBI Global exU.S. Index
J.P. Morgan U.S. 3 Month Cash The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. Index dollar Euro-deposits. The duration of the Index is generally 90 days.
84
Full Name MSCI ACWI
Description 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. 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. 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 reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85% of each markets free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.
MSCI ACWI Commodity Producers
MSCI ACWI ex USA
MSCI EAFE Growth Index
MSCI EAFE (Hedged) Index
MSCI EAFE Index
MSCI EAFE Value Index
MSCI Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. MSCI Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is 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. The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell 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. The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and 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. The Russell 2500 Index is an independently maintained and widely published index comprised of the stocks of the 2,500 smallest U.S. companies based on total market capitalization and current index membership. 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. Russell 2500 + Index is comprised of Russell 2500 Index from 12/31/1991 to 12/31/1996, Russell 2500 Value Index from 12/31/1996 to 1/13/2012, and the Russell 2500 Index thereafter. 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. 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. The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&P Developed ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country. The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. 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.
MSCI World Index
Russell 1000 Growth Index
Russell 1000 Value Index
Russell 2500 Index
Russell 2500 + Index Russell 3000 Index
S&P 500 Index
S&P Developed ex-U.S. Small Cap Index
S&P/IFCI Composite Index
85

Quarterly Update 4 Q 13

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Quarterly Update 4 Q 13

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

GMO Asset Allocation

GMO International Equities

GMO Emerging Equities

GMO Absolute Return

GMO Global Equities

GMO Alternative Assets

GMO Fixed Income

2013 Performance of GMO Strategies and Benchmarks

GMO U.S. Equity Strategies/Benchmarks

Inception Date 9/30/85 5/31/99 12/31/88 12/31/91

YTD Value Added -2.73 0.85 -0.84 7.44

GMO International Equity Strategies/Benchmarks

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

YTD Value Added 1.33 2.86 2.67

1/31/02 6/30/95 8/31/98

3.38 1.55 3.77

2013 Performance of GMO Strategies and Benchmarks

GMO Emerging Equity Strategies/Benchmarks

Inception Date 12/31/93

YTD Value Added -4.63

GMO Global Equity Strategies/Benchmarks

Inception Date 12/31/11 2/29/04 7/31/96

YTD Value Added 8.49 -6.92 2.75

GMO Alternative Asset Strategies/Benchmarks

Inception Date 12/31/11

YTD Value Added 1.08

GMO Fixed Income Strategies/Benchmarks

Inception Date 4/30/97 12/31/93 9/30/94

YTD Value Added 2.24 4.50 -0.51

2013 Performance of GMO Strategies and Benchmarks

GMO Asset Allocation Strategies/Benchmarks

GMO Absolute Return Strategies/Benchmarks

Inception Date 9/30/00 9/30/04 7/31/03 8/31/05 3/31/06 2/28/02 3/31/02

GMO U.S. Core Strategy

As of December 31, 2013

4Q 2013 Strategy Benchmark

YTD 2013 29.66 32.39

One Year 29.66 32.39

2003 Strategy 26.64 Benchmark 28.69

2004 9.85 10.88

2005 3.66 4.91

2006 9.74 15.80

2009 21.40 26.46

2010 8.95 15.06

2011 8.16 2.11

2012 12.87 16.00

1.64 -30.17 5.49 -37.00

Risk Profile Since 9/30/854

Alpha Beta 2 R Sharpe Ratio

0.93 0.92 0.95 0.52

0.00 1.00 1.00 0.47

19.9 2.7 1.9 16.5 $69.8

GMO U.S. Core Strategy

As of December 31, 2013

GMO Intrinsic Value Strategy

As of December 31, 2013

4Q 2013 Strategy Benchmark

YTD 2013 33.38 32.53

One Year 33.38 32.53

2003 Strategy 30.42 Benchmark 30.03

2004 12.12 16.49

2005 5.57 7.05