As of February 28, 2022

GMO RESOURCES STRATEGY

OVERVIEW FACTS
The GMO Resources Strategy seeks to deliver total return by investing in the
equities of companies in the natural resources sector. Strategy Inception Date December 28, 2011

Benchmark MSCI ACWI Commodity Producers

Total Assets as of 01/31/22 $2.5bn USD

PORTFOLIO MANAGEMENT
Lucas White, CFA Tom Hancock
▪ Joined GMO in 2006 ▪ Joined GMO in 1995
▪ 24 yrs industry experience ▪ 26 yrs industry experience
▪ B.A. from Duke University ▪ Ph.D. from Harvard University

Performance Net of Fees (USD)

TOTAL RETURN (%) ANNUALIZED RETURNS (%) AS OF 02/28/2022
MSCI ACWI Commodity
Portfolio Producers
MTD 1.29 5.71 35.00
30.66
QTD 3.22 13.92 30.00

YTD 3.22 13.92 25.00

20.00 16.26
ANNUAL TOTAL RETURN (%) 13.80
15.00
2021 22.73 28.14 8.91
10.00 8.03 7.70
2020 22.53 -12.32
2019 20.31 13.06 5.00 1.39 2.47
2018 -7.19 -11.75 0.00
2017 28.36 13.70
1 Year 5 Years 10 Years ITD
2016 44.77 32.44
2015 -22.06 -25.83
Portfolio MSCI ACWI Commodity Producers
2014 -16.78 -14.69
Composite Inception Date: December 31, 2011
2013 4.39 3.31
2012 9.23 1.96

Returns shown for periods greater than one year are on an annualized basis.

Performance data quoted represents past performance and is not predictive of future performance. Net returns are presented after the deduction of a model advisory fee and
incentive fee if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of
dividends and other income, as applicable. Fees paid by accounts within the composite may be higher or lower than the model fees used. A Global Investment Performance
Standards (GIPS®) Composite Report is available on GMO.com by clicking the GIPS® Composite Report link in the documents section of the strategy page. GIPS® is a
registered trademark owned by CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained
herein. Actual fees are disclosed in Part 2 of GMO's Form ADV and are also available in each strategy’s Composite Report.
Risks associated with investing in the Strategy may include Focused Investment Risk, Commodities Risk, Market Risk - Equities, Management and Operational Risk, and Non-U.S.
Investment Risk.

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 As of February 28, 2022

GMO RESOURCES STRATEGY

CHARACTERISTICS RISK PROFILE - 5-YEAR TRAILING
MSCI ACWI MSCI ACWI
Commodity Commodity
Portfolio Producers Portfolio Producers
Price/Earnings - Forecast 1 Yr Wtd Mdn 9.1x 10.2x Alpha (Jensen's) 8.41 N/A
Price/Book - Hist 1 Yr Wtd Avg 1.5x 1.7x
Beta 0.97 N/A
Price/Cash Flow - Hist 1 Yr Wtd Mdn 6.1x 7.0x
R Squared 0.87 N/A
Return on Equity - Hist 1 Yr Mdn 13.1% 14.1%
Sharpe Ratio 0.64 0.31
Dividend Yield - Hist 1 Yr Wtd Avg 4.6% 4.3%
Market Cap - Wtd Mdn Bil 5.6 USD 59.2 USD Standard Deviation 23.64 22.83
Number of Equity Holdings 108 214 Alpha is a measure of risk-adjusted return. Beta is a measure of a portfolio's
sensitivity to the market. R-Squared 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. Std Deviation
is a measure of the volatility of a portfolio. Risk profile data is net.

EXPOSURE BY SEGMENT (%) TOP HOLDINGS

Segment Exposure Company Country Segment %
Energy 54.99 Kosmos Energy Ltd United States Fossil Fuels 4.63
Fossil Fuels 30.26 Diversified
Brazil 4.36
Energy Drilling, Equipment, & Services 1.62 Bradespar SA Metals & Mining
Diversified
Clean Energy 23.1 United Kingdom 3.82
Glencore PLC Metals & Mining
Industrial Metals 31.67
Petroleo Brasileiro SA Brazil Fossil Fuels 3.63
Diversified Metals & Mining 18.94
Shell PLC United Kingdom Fossil Fuels 3.37
Copper 8.07
Renewable Energy Group Inc United States Clean Energy 3.23
Lithium 3.38
Grupo Mexico SAB de CV Mexico Copper 3.02
Platinum Group Metals 1.29
Canadian Solar Inc Canada Clean Energy 2.97
Agriculture 8.99
Agricultural Productivity 1.92 Darling Ingredients Inc United States Clean Energy 2.91

Farming 2.58 Sunrun Inc United States Clean Energy 2.73

Precision Agriculture 3 Total 34.67

Timber 0.48
Fish Farming 1
Water 2.03
Cash 2.33 Portfolio holdings are percent of equity. Where applicable, the top holdings are
derived by looking through to the underlying portfolios in which the asset allocation
strategy invests and, where appropriate, individual security positions are aggregated.
They are subject to change and should not be considered a recommendation to buy
individual securities. This portfolio continues to hold de minimis Russian exposure as
a result of past positioning and ongoing illiquidity. GMO has suspended net new
purchases of Russian securities firm-wide.

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 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.

About GMO: Founded in 1977, GMO is a private partnership whose sole business is investment management. The firm manages global portfolios with
offices and clients around the world. Investment offerings include equity, fixed income, multi-asset class, and alternative strategies. GMO is known for
blended fundamental and quantitative investment research expertise and a long-term orientation toward value opportunities.