1q 2015 gmo quarterly update
DESCRIPTION
1Q GMO Quarterly UpdateTRANSCRIPT
-
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.comGMOLLC2015
GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship Manager.Fornewbusinessinquiries,pleasecontactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.comThisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.
GMOQuarterlyUpdate March31,2015
-
March31,2015
1
GMOCapabilities
GMOMultiAssetClass PageBenchmarkFreeAllocation 4Global AllocationAbsoluteReturn 6Global AssetAllocation 8Real ReturnGlobal BalancedAssetAllocation 10TaxManagedGlobal Balanced 12
GMOGlobalEquities PageGlobal All CountryEquityAllocation 14Global DevelopedEquityAllocation 16Global FocusedEquity 18Quality 20Resources 22
GMOInternationalEquities PageInternational All CountryEquityAllocation 24International DevelopedEquityAllocation 26TaxManagedInternational Equities*International Equity 28International ActiveEAFE 30International ActiveForeignSmall Companies 32International Small Companies*
GMOU.S.Equities PageU.S.EquityAllocation 34
GMOEmergingEquities PageEmergingMarkets 36EmergingCountries*EmergingDomesticOpportunities 38
GMOFixedIncome PageGlobal Bond 40International Bond 42CurrencyHedgedInternational Bond 44CorePlus Bond 46EmergingCountryDebt*EmergingCountryLocal Debt*DebtOpportunities 48
GMOAbsoluteReturn PageEmergingCountryDebtLong/Short*FixedIncomeHedge 50MeanReversion 52SystematicGlobal Macro 54Tactical Opportunities 56Total Equities 58MultiStrategy*
*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnotincludedinthisdocument.ForinformationpleasecontactGMO.
-
March31,2015
2
PerformanceofGMOStrategiesandBenchmarks
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Copyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without writtenpermission from GMO.
TotalReturnNetofFees AverageAnnualTotalReturn
GMOMultiAssetClassStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
BenchmarkFreeAllocation 7/31/01 1.35 1.35 1.52 1.44 6.10 7.51 10.47CPI 0.17 0.17 0.04 1.60 2.01 2.10GlobalAllocationAbsoluteReturn 7/31/01 0.92 0.92 1.09 1.56 5.59 6.79 9.16CPI 0.17 0.17 0.04 1.60 2.01 2.10GlobalAssetAllocation 6/30/88 1.24 1.24 0.89 0.76 6.71 6.25 9.55GMOGlobalAssetAllocation+ 2.13 2.13 5.61 7.67 5.90 8.13RealReturnGlobalBalancedAssetAllocation 6/30/04 0.98 0.98 0.79 1.06 6.77 6.29 6.86GMORealReturnGlobalBalancedAABlended+ 1.77 1.77 4.83 7.07 5.41 5.67TaxManagedGlobalBalanced 12/31/02 2.02 2.02 0.13 2.40 6.24 5.74 7.56GMOTaxManagedGlobalBalancedIndex 1.89 1.89 5.40 7.57 5.81 7.14
GMOGlobalEquityStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
GlobalAllCountryEquityAllocation 12/31/93 2.93 2.93 0.62 0.17 8.68 6.94 8.99MSCIACWI++ 2.31 2.31 5.42 9.30 6.41 7.47GlobalDevelopedEquityAllocation 3/31/87 3.10 3.10 0.79 0.82 9.63 6.79 9.36MSCIWorld+ 2.31 2.31 6.03 10.01 6.39 7.47GlobalFocusedEquity 12/31/11 2.71 2.71 0.40 1.34 14.72MSCIACWI 2.31 2.31 5.42 13.76Quality 2/29/04 0.42 0.42 0.53 10.78 13.03 7.52 6.87S&P500 0.95 0.95 12.73 14.47 8.01 7.68Resources 12/31/11 1.14 1.14 3.25 18.67 1.95MSCIACWICommodityProducers 4.39 4.39 18.52 4.57
GMOInternationalEquityStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
InternationalAllCountryEquityAllocation 2/28/94 3.54 3.54 0.05 4.68 5.34 5.69 7.36MSCIACWIexUSA+ 3.49 3.49 1.04 4.84 5.40 5.64InternationalDevelopedEquityAllocation 11/30/91 4.40 4.40 0.48 4.95 7.03 5.55 8.17MSCIEAFE++ 4.88 4.88 0.92 6.16 5.14 6.34InternationalEquity 3/31/87 4.36 4.36 0.52 5.02 5.89 4.37 7.98MSCIEAFE+ 4.88 4.88 0.31 5.83 4.51 7.08MSCIEAFE 4.88 4.88 0.92 6.16 4.95 5.36InternationalActiveEAFE 5/31/81 5.68 5.68 0.80 5.00 4.55 3.99 11.60MSCIEAFE 4.88 4.88 0.92 6.16 4.95 8.95Int'l.ActiveForeignSmallCompanies 1/31/95 6.52 6.52 2.09 6.49 8.91 8.04 11.00S&PDevelopedexU.S.SmallCap 4.43 4.43 2.76 8.53 6.91 7.27
GMOU.S.EquityStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
U.S.EquityAllocation 2/28/89 0.57 0.57 1.23 8.15 12.86 6.77 10.69Russell3000+++ 1.80 1.80 12.75 14.64 8.23 10.33
-
March31,2015
3
PerformanceofGMOStrategiesandBenchmarks
* 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, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
TotalReturnNetofFees AverageAnnualTotalReturn
GMOEmergingEquityStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
EmergingMarkets 12/31/93 0.21 0.21 1.94 2.86 0.06 6.47 7.21S&P/IFCIComposite 2.15 2.15 1.65 2.58 9.41 5.77MSCIEmergingMarkets 2.24 2.24 0.44 1.75 8.48 5.16EmergingDomesticOpportunities 3/31/11 3.74 3.74 1.50 6.10 4.98MSCIEmergingMarkets 2.24 2.24 0.44 2.05
GMOFixedIncomeStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
GlobalBond* 12/31/95 2.33 2.33 0.54 1.54 5.19 3.69 5.55J.P.MorganGBIGlobal 1.79 1.79 3.73 1.98 3.43 4.70InternationalBond 12/31/93 4.70 4.70 0.62 8.22 4.42 3.38 6.37J.P.MorganGBIGlobalexU.S. 4.08 4.08 9.50 0.63 2.69 4.89CurrencyHedgedInternationalBond 9/30/94 3.15 3.15 0.68 14.66 8.92 5.65 8.24J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+ 3.83 3.83 13.56 6.59 5.76 7.18CorePlusBond 4/30/97 1.17 1.17 0.44 7.29 7.53 4.97 6.10BarclaysU.S.Aggregate 1.61 1.61 5.72 4.41 4.93 5.77DebtOpportunities 10/31/11 0.62 0.62 0.53 3.49 6.62J.P.MorganU.S.3MonthCash 0.09 0.09 0.35 0.52
GMOAbsoluteReturnStrategies Inception1Q2015
YTD2015
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
FixedIncomeHedge 8/31/05 5.95 5.95 6.04 10.03 8.33 0.54J.P.MorganU.S.3MonthCash 0.09 0.09 0.35 0.50 2.11MeanReversion 2/28/02 2.69 2.69 2.70 8.12 0.58 2.22 6.13Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.40SystematicGlobalMacro 3/31/02 6.26 6.26 6.25 8.70 6.50 7.48 7.64Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.40TacticalOpportunities 9/30/04 7.58 7.58 7.59 7.42 6.37 7.02 6.95Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.44TotalEquities 9/30/00 3.29 3.29 3.28 0.63 5.75 2.36 6.01Citigroup3Mo.TBill 0.01 0.01 0.03 0.07 1.41 1.68
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
4GMOLLC2015
GMOBenchmarkFreeAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocationComposite(theComposite).PriortoJanuary1,2012,theaccountsintheCompositeservedastheprincipalcomponentofabroaderrealreturnstrategy.BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasastandaloneinvestment.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
1Q2015 1.35 0.17YTD2015 1.35 0.17
AnnualTotalReturn(%)2014 1.31 0.672013 11.24 1.562012 10.35 1.872011 3.60 2.952010 4.58 1.252009 19.86 2.862008 12.07 0.162007 10.93 4.122006 12.75 2.582005 16.32 3.45
AnnualizedReturn(%)
1.44
6.107.51
10.47
0.041.60 2.01 2.10
024681012
1YR 5YR 10YR ITD
Strategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,6.9EuropeValue, 9.8EmergingMarkets, 17.8
Cash&CashEquiv.,7.0
Japan,2.4U.S.OpportunisticValue,2.7
AssetBacked Securities,4.0InterestRates& FX,21.1Systematic GlobalMacro,5.1SpecialOpportunity,3.1MergerArbitrage,5.4
AlphaOnly,10.1EmergingDebt,4.6
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
EquityCharacteristicsStrategy
Price/EarningsHist1YrWtdMed 15.6 xPrice/BookHist1YrWtdAvg 1.4 xReturnonEquityHist1YrMed 9.5 %MarketCapWeightedMedian$Bil $33.2DividendYieldHist1YrWtdAvg 2.9 %5YearRiskProfile2
StrategyStd.Deviation 6.30SharpeRatio 0.96Drawdown(3/31/106/30/10) 5.91
BondPortfolio3BondPortfolioDuration 2.1 yearsCreditRatingsAAA 5.7% BB 6.0%AA 71.5% B 2.7%A 1.7%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
5GMOLLC2015
GMOBenchmarkFreeAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
6GMOLLC2015
GMOGlobalAllocationAbsoluteReturnStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
1Q2015 0.92 0.17YTD2015 0.92 0.17
AnnualTotalReturn(%)2014 1.80 0.672013 10.04 1.562012 9.42 1.872011 4.22 2.952010 3.02 1.252009 14.92 2.862008 7.19 0.162007 9.99 4.122006 11.01 2.582005 13.54 3.45
AnnualizedReturn(%)
1.56
5.596.79
9.16
0.041.60 2.01 2.10
0246810
1YR 5YR 10YR ITD
Strategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,10.6EuropeValue, 11.6OtherInt'l.OpportunisticValue,1.1EmergingMarkets, 12.0
Cash&CashEquiv.,1.5
SystematicGlobalMacro,3.6SpecialOpportunity,3.1RiskPremium,2.1
Japan,3.6U.S.OpportunisticValue,1.6
EmergingDebt,4.6AssetBacked Securities,3.4Interest Rates&FX,19.8
Multi Strategy,20.0AlphaOnly,1.4
EquityRegionalWeights(%)29.6
20.48.9
2.19.0
30.1
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
EquityCharacteristicsStrategy
Price/EarningsHist1YrWtdMedian 16.6 xPrice/BookHist1YrWtdAvg 1.6 xReturnonEquityHist1YrMed 10.7 %MarketCapWeightedMedian$Bil $30.1DividendYieldHist1YrWtdAvg 3.1 %
BondPortfolio3BondPortfolioDuration 2.4 yearsCreditRatingsAAA 5.2% BB 6.2%AA 71.4% B 2.8%A 1.6%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
7GMOLLC2015
GMOGlobalAllocationAbsoluteReturnStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Bonds
Performance (%)
Net of Fees, USD (Rep Account) +0.93
Gross of Fees, USD (Rep Account) +1.18
CPI Index (prelim through most recent month-end) -0.41
Value Added +1.59
Alts Equity CashEquity Bonds AltsCash
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
8GMOLLC2015
GMOGlobalAssetAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
1Q2015 1.24 2.13YTD2015 1.24 2.13
AnnualTotalReturn(%)2014 1.24 4.872013 12.38 13.602012 11.11 12.132011 2.13 1.802010 7.93 11.052009 24.15 24.142008 20.83 27.722007 7.94 9.262006 12.30 13.412005 9.06 5.99
AnnualizedReturn(%)
0.76
6.71 6.25
9.55
5.61
7.675.90
8.13
024681012
1YR 5YR 10YR ITD
Strategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,13.4EuropeValue, 17.7OtherInt'l.OpportunisticValue,1.6EmergingMarkets, 11.9
Cash&CashEquiv.,5.7
Japan,5.5U.S.OpportunisticValue,2.0
AssetBacked Securities,4.5InterestRates&FX,20.2SystematicGlobalMacro,3.1Risk Premium,2.7
AlphaOnly,7.0EmergingDebt,4.6
EquityRegionalWeights(%)22.824.0
10.52.4
10.529.7
10.416.0
7.77.56.9
51.6
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy BenchmarkEquityCharacteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMed 16.7 x 19.7 xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 10.9 % 14.9 %MarketCapWeightedMedian$Bil $34.9 $39.7DividendYieldHist1YrWtdAvg 3.1 % 2.4 %5YearRiskProfile2
Strategy BenchmarkAlpha 0.12 0.00Beta 0.86 1.00R2 0.93 1.00SharpeRatio 0.82 0.83Std.Deviation 8.14 9.13BondPortfolio3BondPortfolioDuration 2.3 yearsCreditRatingsAAA 6.4% BB 6.3%AA 69.0% B 2.7%A 1.9%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
9GMOLLC2015
GMOGlobalAssetAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
10GMOLLC2015
GMORealReturnGlobalBalancedAssetAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
1Q2015 0.98 1.77YTD2015 0.98 1.77
AnnualTotalReturn(%)2014 2.00 4.222013 13.68 14.952012 10.65 10.422011 3.16 1.762010 5.00 8.942009 13.02 19.172008 11.36 25.172007 7.63 7.872006 13.26 13.692005 8.09 6.82
AnnualizedReturn(%)
1.06
6.77 6.296.86
4.83
7.07
5.41 5.67
0
2
4
6
8
1YR 5YR 10YR ITD
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.88 0.00Beta 0.83 1.00R2 0.88 1.00SharpeRatio 0.89 0.83Std.Deviation 7.50 8.48
GroupExposures(%)1
0
20
40
60
80
100U.S.Quality,12.6EuropeValue, 15.5OtherInt'l.OpportunisticValue,1.4EmergingMarkets, 12.1
AssetBackedSecurities,2.8InterestRates&FX,16.1
Japan,4.8U.S.OpportunisticValue,1.9
MultiStrategy,29.0EmergingDebt,3.3
Cash&CashEquiv.,0.6
EquityRegionalWeights(%)24.9
22.810.0
2.310
30.1
0.017.8
8.68.47.7
57.6
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy Benchmark
EquityCharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.6 x 20.1 xPrice/BookHist1YrWtdAvg 1.6 x 2.3 xReturnonEquityHist1YrMed 10.9 % 15.1 %MarketCapWeightedMedian$Bil $33.2 $45.4DividendYieldHist1YrWtdAvg 3.1 % 2.4 %
BondPortfolio3BondPortfolioDuration 2.3 yearsCreditRatingsAAA 5.3% BB 5.8%AA 72.7% B 2.6%A 1.6%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
11GMOLLC2015
GMORealReturnGlobalBalancedAssetAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Performance (%)
Net of Fees, USD +0.98
Gross of Fees, USD (Rep Account) +1.23
GMO Real Return Global Balanced Asset Allocation Blended Ind +1.77
Value Added -0.54
CashCash BondsEquity Bonds Equity
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
12GMOLLC2015
GMOTaxManagedGlobalBalancedStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
1Q2015 2.02 1.89YTD2015 2.02 1.89
AnnualTotalReturn(%)2014 2.02 5.022013 10.86 12.782012 9.71 11.472011 1.34 0.272010 6.88 9.992009 14.29 23.902008 14.95 25.892007 7.16 7.122006 12.08 12.952005 9.91 5.91
AnnualizedReturn(%)
2.40
6.24 5.74
7.56
5.40
7.57
5.817.14
0
2
4
6
8
1YR 5YR 10YR ITD
Strategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,13.1
EuropeValue, 16.2EmergingMarkets, 11.3
Cash&CashEquiv.,0.9
MunicipalBonds,34.1EmergingCountryDebt,2.0RiskPremium,2.6Japan,4.1U.S.OpportunisticValue,2.5
MultiStrategy,13.3
EquityRegionalWeights(%)23.4
26.08.4
1.28.0
33.0
10.416.0
7.77.56.9
51.6
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy Benchmark
EquityCharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 17.2 x 19.7 xPrice/CashFlowHist1YrWtdMedian 10.7 x 13.9 xPrice/BookHist1YrWtdAvg 1.7 x 2.2 xReturnonEquityHist1YrMed 13.1 % 14.9 %MarketCapWeightedMedian$Bil $34.2 $39.7DividendYieldHist1YrWtdAvg 2.8 % 2.4 %
5YearRiskProfile2Strategy Benchmark
Alpha 0.24 0.00Beta 0.85 1.00R2 0.96 1.00SharpeRatio 0.83 0.89Std.Deviation 7.39 8.46
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
13GMOLLC2015
GMOTaxManagedGlobalBalancedStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Performance(%)NetofFees,USD(RepAccount) +2.00GrossofFees,USD(RepAccount) +2.25TaxManagedGlobalBalancedIndex +1.89ValueAdded +0.36
AltsCashBondsAltsEquity Equity Bonds Cash
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
14GMOLLC2015
GMOGlobalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
U.S.EquityIntl.DevelopedEquity
EmergingEquityCash
TotalReturn(%)Strategy Benchmark
1Q2015 2.93 2.31YTD2015 2.93 2.31
AnnualTotalReturn(%)2014 0.69 4.172013 21.33 23.462012 14.74 16.342011 1.29 6.872010 10.12 12.942009 24.19 34.452008 31.41 41.822007 11.12 10.382006 18.87 20.342005 12.51 9.95
AnnualizedReturn(%)
0.17
8.68
6.94
8.99
5.42
9.30
6.417.47
0246810
1YR 5YR 10YR ITD
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.26 0.00Beta 0.90 1.00R2 0.96 1.00SharpeRatio 0.65 0.65Std.Deviation 13.17 14.24
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,29.3
EuropeValue, 31.8
OtherInt'l.OpportunisticValue,2.9EmergingMarkets, 20.4Cash&CashEquiv.,1.2
Japan,9.9
U.S.OpportunisticValue,4.4
TopCountryWeights(%)33.8
9.9
9.9
7
5.8
51.6
7.7
6.9
3.4
3.3
UnitedStatesJapan
UnitedKingdomFrance
Germany
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.9 x 19.7 xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 12.1 % 14.9 %MarketCapWeightedMedian$Bil $40.2 $39.7DividendYieldHist1YrWtdAvg 3.0 % 2.4 %
TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 2.0TotalS.A. France Energy 2.0ExpressScriptsHldg. UnitedStates HealthCare 1.9Amazon.comInc. UnitedStates ConsumerDiscretiona 1.7BPPLC UnitedKingdom Energy 1.7Total 9.3
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
15GMOLLC2015
GMOGlobalAllCountryEquityAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
16GMOLLC2015
GMOGlobalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
U.S.EquityIntl.DevelopedEquity
EmergingEquityCash
TotalReturn(%)Strategy Benchmark
1Q2015 3.10 2.31YTD2015 3.10 2.31
AnnualTotalReturn(%)2014 0.32 4.942013 25.82 26.682012 14.14 15.842011 0.40 5.522010 9.25 11.772009 20.55 29.972008 33.19 40.702007 9.69 9.022006 20.22 20.052005 12.26 9.42
AnnualizedReturn(%)
0.82
9.63
6.79
9.36
6.03
10.01
6.397.47
024681012
1YR 5YR 10YR ITD
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.44 0.00Beta 0.92 1.00R2 0.96 1.00SharpeRatio 0.73 0.71Std.Deviation 13.16 14.06
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,31.8
EuropeValue, 37.5
OtherInt'l.OpportunisticValue,3.3EmergingMarkets, 9.6Cash&CashEquiv.,1.3
Japan,11.7
U.S.OpportunisticValue,4.8
TopCountryWeights(%)36.6
11.7
11.6
8.3
6.9
57.6
8.6
7.7
3.8
3.7
UnitedStatesJapan
UnitedKingdomFrance
Germany
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 17.3 x 20.1 xPrice/BookHist1YrWtdAvg 1.7 x 2.3 xReturnonEquityHist1YrMed 12.4 % 15.1 %MarketCapWeightedMedian$Bil $52.0 $45.4DividendYieldHist1YrWtdAvg 2.9 % 2.4 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 2.3TotalS.A. France Energy 2.3ExpressScriptsHldg. UnitedStates HealthCare 2.1BPPLC UnitedKingdom Energy 2.0NissanMotorCo.Ltd. Japan ConsumerDiscretiona 2.0Total 10.7
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
17GMOLLC2015
GMOGlobalDevelopedEquityAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Performance(%)NetofFees,USD(RepAccount) +2.77GrossofFees,USD(RepAccount) +2.62MSCIWorld +2.31ValueAdded +0.31
IntlU.S. IntlEM EMU.S.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
18GMOLLC2015
GMOGlobalFocusedEquityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareandcontrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
RiskProfileSince12/31/111Strategy Index
Alpha 2.36 0.00Beta 1.24 1.00R2 0.85 1.00SharpeRatio 1.03 1.29Std.Deviation 14.25 10.59Characteristics
Strategy IndexPrice/EarningsHist1YrWtdMedian 17.2 x 19.7 xPrice/CashFlowHist1YrWtdMedian 9.0 x 13.9 xPrice/BookHist1YrWtdAvg 1.6 % 2.2 %DividendYieldHist1YrWtdAvg $2.0 $2.4TopTenHoldings2Company %ofEquityMallinckrodtPLC 2.6MichaelKorsHoldingsLtd. 2.5AppleInc. 2.5ActavisPLC 2.5GeneralMotorsCo. 2.5AnthemInc 2.5ITTCorp 2.5CapitalProductPartnersLP 2.5HalliburtonCo. 2.4LyondellBasellIndustriesN.V.ClA 2.4Total 24.9
GICSSectorWeights(%)Under/Overweightvs.Index Strategy Index
13.2 12.61.7 9.78.5 7.5
20.2 21.512.3 12.116.1 10.57.8 14.0
12.2 5.36.0 3.61.9 3.2
0.68.0
1.01.3
0.25.6
6.26.9
2.41.3
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
RegionWeights(%)Underweight/OverweightAgainstIndex
3.50.2
3.22.1
0.51.6
1.92.7
4.8
Australia/NewZealandCanada
EmergingEuropeexUK
JapanSoutheastAsia
UnitedKingdomUnitedStates
Cash+UnrealizedG/L
TotalReturn(%)Strategy Index
1Q2015 2.71 2.31YTD2015 2.71 2.31
AnnualTotalReturn(%)2014 3.24 4.162013 31.29 22.802012 19.71 16.13
AnnualizedReturn(%)
1.34
14.72
5.42
13.76
505101520
1YR ITD
Strategy Index
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
19GMOLLC2015
GMOGlobalFocusedEquityStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
The Global Focused Equity Strategy climbed 2.7% net of fees for the quarter. The Strategys reference benchmark, MSCI All Country World index rose 2.3%.
Positive contributions came from holdings in Toll Holdings in Australia, Peugeot in France, and Anthem and Capital Product Partners in the United States. Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. Toll was slowly restructuring while waiting for a cyclical upswing in business volumes. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Anthem continues to perform well as regulatory uncertainty around managed care companies subsides, as well as strong demand for their services, and the companys attractive capital return and reasonable valuation. Capital Product Partners exposure to improving volume and pricing power in the product tanker markets as well as its attractive 10% dividend yield helped the name outperform.
Negative contribution came from National Oilwell Varco (NOV) in the United Sates, Bluescope Steel in Australia, and Gran Tierra Energy in Canada. The continued uncertainty facing the oil markets negatively impacted our shares in NOV, an oil services firm, and Bluescope fell with the declining price of steel. Additionally, Gran Tierra, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
20GMOLLC2015
GMOQualityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
5YearRiskProfile1Strategy Benchmark
Alpha 1.39 0.00Beta 0.80 1.00R2 0.88 1.00SharpeRatio 1.18 1.12Std.Deviation 11.00 12.86
RegionWeights(%)18.3
80.6
1.1
0.0
100.0
0.0
NonUS
US
Cash
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 20.9 x 20.1 xPrice/BookHist1YrWtdAvg 4.1 x 2.8 xReturnonEquityHist1YrMed 19.2 % 18.0 %MarketCapWeightedMedian$Bil $112.8 $77.1Debt/EquityWtdMed 0.6 x 1.0 xDividendYieldHist1YrWtdAvg 2.1 % 2.0 %
TopHoldings2Company Sector %ofEquityExpressScriptsHoldingCo HealthCare 5.4OracleCorp. InformationTechnology 4.6Johnson&Johnson HealthCare 4.5GoogleInc.(ClA) InformationTechnology 4.3CocaColaCo. ConsumerStaples 4.3Total 23.11 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
GICSSectorWeights(%)5.6
24.80.50.0
24.38.0
33.51.61.7
0.0
12.69.7
8.016.2
14.910.4
19.73.22.33.0
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
TotalReturn(%)Strategy Benchmark
1Q2015 0.42 0.95YTD2015 0.42 0.95
AnnualTotalReturn(%)2014 12.54 13.692013 25.47 32.392012 11.81 16.002011 11.84 2.112010 5.48 15.062009 19.89 26.462008 24.08 37.002007 6.04 5.492006 12.69 15.802005 0.79 4.91
AnnualizedReturn(%)
10.7813.03
7.52 6.87
12.7314.47
8.01 7.68
0
5
10
15
20
1YR 5YR 10YR ITD
Strategy Benchmark
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
21GMOLLC2015
GMOQualityStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
22GMOLLC2015
GMOResourcesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
RiskProfileSince12/31/111Strategy Benchmark
Alpha 3.00 0.00Beta 1.08 1.00R2 0.95 1.00SharpeRatio 0.11 0.29Std.Deviation 17.48 15.74
TopCountryWeights(%)16.9
12.4
10.5
6.3
6.2
17.9
3.3
2.2
3.3
41.1
UnitedKingdomRussia
Japan
China
UnitedStatesStrategy Benchmark
GICSSectorWeights(%)0.01.5
63.80.00.0
10.60.0
18.40.0
5.8
0.02.0
68.20.00.00.00.0
29.70.00.0
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 10.8 x 12.6 xEarnings/ShareF'castLTMedianGrowthRate 5.8 x 6.8 xReturnonEquityHist1YrMed 9.9 % 10.7 %MarketCapWeightedMedian$Bil $23.7 $42.4DividendYieldHist1YrWtdAvg 4.6 % 3.8 %
TopHoldings2Company Country Sector %ofEquityGazpromOAO Russia Energy 5.1CNOOCLtd. China Energy 4.9LukOilOAO Russia Energy 4.9BPPLC UnitedKingdom Energy 4.8RoyalDutchShell UnitedKingdom Energy 4.8Total 24.5
TotalReturn(%)Strategy Benchmark
1Q2015 1.14 4.39YTD2015 1.14 4.39
AnnualTotalReturn(%)2014 16.78 14.692013 4.39 3.312012 9.23 1.96
AnnualizedReturn(%)
18.67
1.95
18.52
4.57
20151050
1YR ITD
Strategy Benchmark
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
23GMOLLC2015
GMOResourcesStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
24GMOLLC2015
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 49.4
OtherInt'l.OpportunisticValue,4.5EmergingMarkets, 29.8Cash&CashEquiv.,1.0
Japan,15.4
GMOInternationalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
Intl.DevelopedEquity EmergingEquity Cash
TotalReturn(%)Strategy Benchmark
1Q2015 3.54 3.49YTD2015 3.54 3.49
AnnualTotalReturn(%)2014 6.21 3.882013 16.71 15.472012 16.82 16.902011 11.31 13.632010 12.74 10.822009 27.77 40.162008 40.96 45.262007 17.39 16.082006 25.91 26.942005 19.03 16.71
AnnualizedReturn(%)
4.68
5.34 5.697.36
1.04
4.84 5.40 5.64
1050
5
10
1YR 5YR 10YR ITD
Strategy Benchmark
TopCountryWeights(%)15.3
15.3
10.9
9.0
5.3
15.9
14.2
7.0
6.8
5.0
Japan
UnitedKingdomFrance
Germany
China
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.56 0.00Beta 0.99 1.00R2 0.97 1.00SharpeRatio 0.32 0.30Std.Deviation 16.21 16.15Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.0 x 18.6 xPrice/BookHist1YrWtdAvg 1.3 x 1.7 xReturnonEquityHist1YrMed 7.8 % 11.2 %MarketCapWeightedMedian$Bil $22.9 $25.4DividendYieldHist1YrWtdAvg 3.6 % 2.8 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.1TotalS.A. France Energy 3.1BPPLC UnitedKingdom Energy 2.6NissanMotorCo.Ltd. Japan ConsumerDisc. 2.6AstraZenecaPLC UnitedKingdom HealthCare 2.1Total 13.5
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
25GMOLLC2015
GMOInternationalAllCountryEquityAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
26GMOLLC2015
GMOInternationalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
Intl.DevelopedEquity EmergingEquity Cash
TotalReturn(%)Strategy Benchmark
1Q2015 4.40 4.88YTD2015 4.40 4.88
AnnualTotalReturn(%)2014 6.03 4.902013 24.13 22.782012 17.09 17.322011 9.45 12.142010 10.58 7.932009 19.84 32.162008 38.39 43.332007 12.69 11.582006 25.50 26.622005 15.56 14.41
AnnualizedReturn(%)
4.95
7.035.55
8.17
0.92
6.16 5.14 6.34
1050
5
10
1YR 5YR 10YR ITD
Strategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 63.4
OtherInt'l.OpportunisticValue,5.6EmergingMarkets, 10.0Cash&CashEquiv.,1.2
Japan,19.8
TopCountryWeights(%)19.8
19.7
14
11.6
4.2
22.2
19.8
9.7
9.5
2.3
Japan
UnitedKingdomFrance
Germany
Italy
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 1.11 0.00Beta 0.96 1.00R2 0.97 1.00SharpeRatio 0.43 0.37Std.Deviation 16.06 16.44Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.5 x 19.3 xPrice/BookHist1YrWtdAvg 1.3 x 1.8 xReturnonEquityHist1YrMed 7.6 % 11.1 %MarketCapWeightedMedian$Bil $26.6 $29.8DividendYieldHist1YrWtdAvg 3.5 % 2.9 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.9TotalS.A. France Energy 3.9BPPLC UnitedKingdom Energy 3.4NissanMotorCo.Ltd. Japan ConsumerDisc. 3.3AstraZenecaPLC UnitedKingdom HealthCare 2.7Total 17.2
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
27GMOLLC2015
GMOInternationalDevelopedEquityAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
28GMOLLC2015
GMOInternationalEquityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netofwithholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
Intl.DevelopedEquity Cash
TotalReturn(%)Strategy MSCIEAFE MSCIEAFE+
1Q2015 4.36 4.88 4.88YTD2015 4.36 4.88 4.88
AnnualTotalReturn(%)2014 5.96 4.90 3.792013 25.62 22.78 22.952012 12.98 17.32 17.692011 10.18 12.14 12.172010 7.53 7.75 3.252009 21.41 31.78 34.232008 40.31 43.38 44.092007 10.21 11.17 5.962006 25.78 26.34 30.382005 13.98 13.54 13.80
AnnualizedReturn(%)
5.02
5.894.37
7.98
0.92
6.16 4.95 5.36
0.31
5.83 4.517.08
1050
5
10
1YR 5YR 10YR ITD
Strategy MSCIEAFE MSCIEAFE+
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 70.6
OtherInt'l. OpportunisticValue,6.1Cash&CashEquiv.,1.3Japan,22.0
TopCountryWeights(%)22.0
21.9
15.7
13.0
4.7
22.2
19.8
9.7
9.5
2.3
Japan
UnitedKingdomFrance
Germany
Italy
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.36 0.00Beta 0.95 1.00R2 0.97 1.00SharpeRatio 0.35 0.33Std.Deviation 16.61 17.29Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 16.5 x 19.3 xPrice/CashFlowHist1YrWtdMedian 6.3 x 12.2 xPrice/BookHist1YrWtdAvg 1.4 x 1.8 xReturnonEquityHist1YrMed 7.7 % 11.1 %MarketCapWeightedMedian$Bil $29.2 $29.8DividendYieldHist1YrWtdAvg 3.5 % 2.9 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 4.4TotalS.A. France Energy 4.4BPPLC UnitedKingdom Energy 3.7NissanMotorCo.Ltd. Japan ConsumerDisc. 3.7AstraZenecaPLC UnitedKingdom HealthCare 3.0Total 19.2
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
29GMOLLC2015
GMOInternationalEquityStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
30GMOLLC2015
GMOInternationalActiveEAFEStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
1Q2015 5.68 4.88YTD2015 5.68 4.88
AnnualTotalReturn(%)2014 11.03 4.902013 24.11 22.782012 14.92 17.322011 11.65 12.142010 5.01 7.752009 25.53 31.782008 41.24 43.382007 10.58 11.172006 27.52 26.342005 13.52 13.54
AnnualizedReturn(%)
5.00
4.55 3.99
11.60
0.92
6.16 4.958.95
105051015
1YR 5YR 10YR ITD
Strategy Benchmark
5YearRiskProfile1Strategy Benchmark
Alpha 1.64 0.00Beta 1.01 1.00R2 0.98 1.00SharpeRatio 0.27 0.37Std.Deviation 16.71 16.44
TopOverweightHoldings2CompanyMitsubishiTokyoFinancialGroupInc. 4.2SumitomoMitsuiFinancialGroupInc. 4.2TelecomItaliaS.p.A. 2.1ZurichFinancialServicesAG 2.1AstraZenecaPLC 2.1MediasetS.p.A. 2.0AllianzAGHolding 1.9AssicurazioniGeneraliS.p.A. 1.8AscianoGroup 1.8ImperialTobaccoGroupPLC 1.7
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.4 x 19.3 xPrice/CashFlowHist1YrWtdMedian 8.3 x 12.2 xPrice/BookHist1YrWtdAvg 1.4 x 1.8 xDividendYieldHist1YrWtdAvg 2.9 % 2.9 %
GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark
14.0 13.16.3 11.03.8 5.1
36.3 26.02.8 11.48.0 12.79.4 4.92.9 7.5
11.0 4.75.5 3.6
0.94.7
1.310.3
8.64.7
4.54.6
6.31.9
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
RegionWeights(%)Underweight/OverweightAgainstBenchmark
3.27.1
1.51.1
2.72.9
4.2
Australia/NewZealandEmerging
EuropeexUKJapan
SoutheastAsiaUnitedKingdom
Cash+UnrealizedG/L
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
31GMOLLC2015
GMOInternationalActiveEAFEStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
The International Active EAFE Strategy gained 5.7% net of fees in the first quarter; the Strategy was 0.8 percentage points ahead of the MSCI EAFE index, which rose 4.9%.
Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were less exposed to the United Kingdom than the benchmark. In addition, while our weight in Europe is slightly lower than that of the benchmark, we have an overweight position in the eurozone. In January we hedged the account such that the exposure of the portfolio to the euro was closer to that of the benchmark, andthe hedge against the euro was positive in the quarter.
Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Australia, and Hong Kong outperformed.
In Europe, performance was led by Peugeot, Banca Popolare di Milano, and Deutsche Telekom. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. European telecom companies did well, especially Deutsche Telekom. There are several reasons we like these names, among them that that the consolidation of the industry within markets has started, and their regulatory environment has finally become a tailwind after many years of holding them back. These companies stand to benefit from a market repair scenario, where a data consumption boom drives a rebound in the ARPU.
Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. In Hong Kong, Cheung Kong Holdings, historically a holding company for the operating assets of famed investor Li Ka Shing, announced a reorganization that will consolidate all of the property assets into one listed company, and all non-property into a separate listing. This could mean a narrowing of the large discount to NAV at which the stock has traditionally traded.
On the negative side, stock selection in Japan hurt returns. Hitachi Ltd. fell on news that it would buy Italian company Finmeccanica's rail and signal assets. While the market had anticipated the transaction, the price was a negative surprise.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
32GMOLLC2015
GMOInternationalActiveForeignSmallCompaniesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthesmallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompaniesfromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization(float)oftheBMIineachcountry.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
1Q2015 6.52 4.43YTD2015 6.52 4.43
AnnualTotalReturn(%)2014 9.53 3.422013 28.92 26.062012 21.64 18.552011 15.21 14.492010 24.76 21.962009 47.63 45.072008 45.91 47.672007 8.00 7.322006 36.24 29.422005 18.91 22.10
AnnualizedReturn(%)
6.49
8.91 8.0411.00
2.76
8.53 6.91 7.27
105051015
1YR 5YR 10YR ITD
Strategy Benchmark
TopOverweightHoldings2CompanyMediasetS.p.A. 1.8AscianoGroup 1.6GrandCityPropertiesSA 1.5IncitecPivotLtd. 1.5FaureciaS.A. 1.5SopraGroup 1.5KabaHoldingAG 1.4TAGImmobilienAG 1.4Filtrona PLC 1.3NexityS.A. 1.3
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 20.4 x 21.9 xPrice/CashFlowHist1YrWtdMedian 11.2 x 13.4 xPrice/BookHist1YrWtdAvg 1.5 x 1.7 xDividendYieldHist1YrWtdAvg 2.1 % 2.2 %
GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark
25.4 17.73.1 5.52.3 2.7
26.8 22.92.6 7.3
19.8 21.47.8 8.8
10.7 10.01.5 1.50.0 2.3
7.72.4
0.43.9
4.71.61.0
0.70.0
2.3
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
5YearRiskProfile1Strategy Benchmark
Alpha 0.74 0.00Beta 0.96 1.00R2 0.98 1.00SharpeRatio 0.54 0.50Std.Deviation 16.32 16.82
RegionWeights(%)Underweight/OverweightAgainstBenchmark
1.14.5
5.04.8
0.97.3
3.63.6
Australia/NewZealandCanada
EmergingEuropeexUK
JapanSoutheastAsia
UnitedKingdomCash+UnrealizedG/L
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
33GMOLLC2015
GMOInternationalActiveForeignSmallCompaniesStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 2.1 percentage points in the first quarter, gaining 6.5% net of fees while the benchmark rose 4.4%.
Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were more exposed to Italy than the benchmark. Less exposure in Canada also helped performance. In addition, while our weight in Europe is slightly higher than that of benchmark, we have a larger overweight position in the eurozone. In January we hedged the Strategy such that the exposure of the portfolio to the euro was closer to that of the benchmark, and the hedge against the euro contributed positively in the quarter.
Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Japan, and Australia outperformed. In Europe, performance was led by Peugeot and Banca Popolare di Milano. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to BancaPopolare di Milano drove up the share price. In Japan, Aoyama Trading used its stockpile of cash to initiate a share repurchase. Australian logistics company Toll outperformed because it received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company.
On the negative side, stock selection in Canada hurt returns. Capstone Mining fell as copper prices have been weak due to faltering demand, particularly from emerging markets. Additionally, Gran Tierra Energy, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
34GMOLLC2015
GMOU.S.EquityAllocationStrategyPERFORMANCENETOFFEES
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,85.5
Cash&CashEquiv.,1.5U.S.OpportunisticValue,13.0
U.S.Equity Cash
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblendedbenchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.
1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
1Q2015 0.57 1.80YTD2015 0.57 1.80
AnnualTotalReturn(%)2014 9.82 12.762013 27.95 32.852012 12.25 16.212011 9.91 1.582010 7.43 16.262009 20.54 27.462008 27.87 37.152007 2.25 5.392006 9.93 15.712005 3.68 5.53
AnnualizedReturn(%)
8.15
12.86
6.77
10.6912.75
14.64
8.2310.33
0
5
10
15
20
1YR 5YR 10YR ITD
Strategy Benchmark
GICSSectorWeights(%)9.9
18.79.9
2.221.3
8.628.0
1.40.00.0
12.69.7
8.016.2
14.910.4
19.73.22.33.0
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMed 20.9 x 20.1 xPrice/BookHist1YrWtdAvg 3.7 x 2.8 xReturnonEquityHist1YrMed 18.8 % 18.0 %MarketCapWeightedMedian$Bil $116.5 $77.1DividendYieldHist1YrWtdAvg 1.9 % 2.0 %
TopHoldings3Company Sector %ofEquityExpressScriptsHoldingCo HealthCare 5.6Amazon.comInc. ConsumerDiscretionary 5.0Johnson&Johnson HealthCare 4.6AppleInc. InformationTechnology 4.4ChevronCorp. Energy 4.3Total 23.9
5YearRiskProfile2Strategy Benchmark
Alpha 0.85 0.00Beta 0.82 1.00R2 0.91 1.00SharpeRatio 1.14 1.11Std.Deviation 11.25 13.13
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
35GMOLLC2015
GMOU.S.EquityAllocationStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Performance(%)NetofFees,USD(RepAccount) +0.62GrossofFees,USD(RepAccount) +0.73S&P500 +0.95ValueAdded 0.22
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
36GMOLLC2015
GMOEmergingMarketsStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
TotalReturn(%)Strategy Benchmark
1Q2015 0.21 2.15YTD2015 0.21 2.15
AnnualTotalReturn(%)2014 5.92 1.122013 5.19 0.572012 15.19 18.892011 16.95 19.032010 20.20 20.642009 71.89 81.032008 55.74 53.742007 37.22 40.282006 29.51 35.112005 40.15 35.19
AnnualizedReturn(%)
2.860.06
6.47 7.21
1.65 2.58
9.41
5.77
50
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
5YearRiskProfile1Strategy Benchmark
Alpha 2.71 0.00Beta 1.02 1.00R2 0.97 1.00SharpeRatio 0.01 0.14Std.Deviation 18.61 17.90
TopTenHoldings2Company %ofEquitySamsungElectronicsCo.Ltd. 5.2HDFCBankLtd. 4.0Surgutneftegaz 3.6China ConstructionBankCorp. 2.9Industrial&CommercialBankofChina Lt 2.8BankofChina Ltd. 2.3HyundaiMotorCo.Ltd. 1.8China MobileLtd. 1.8LukOilOAO 1.8GazpromOAO 1.8Total 28.0
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 10.4 x 16.2 xPrice/CashFlowHist1YrWtdMedian 6.3 x 10.6 xPrice/BookHist1YrWtdAvg 1.1 x 1.6 xReturnonEquityHist1YrAvg 11.7 % 10.9 %MarketCapWeightedMedian$Bil $6.6 $6.6NumberofEquityHoldings 425 2,523DividendYieldHist1YrWtdAvg 3.9 % 2.5 %
RegionWeights(%)Underweight/OverweightAgainstBenchmark
0.75.8
14.70.0
6.83.1
0.3
DevelopedEastAsiaEurope
Latin/SouthAmericaMideast/Africa
SouthAsiaCash+UnrealizedG/LGICSSectorWeights(%)
Under/Overweightvs.Benchmark Strategy Benchmark8.1 10.51.8 7.8
14.9 6.930.2 27.31.2 2.92.7 8.2
17.9 19.46.8 7.49.1 6.37.2 3.3
2.46.0
8.02.9
1.75.5
1.50.6
2.83.9
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
March31,2015
37GMOLLC2015
GMOEmergingMarketsStrategy
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
The Emerging Markets Strategy gained 0.2% net of fees in the first quarter, underperforming the 2.2% rise in the S&P/IFCI Composite by 1.9%. Overall, country-sector allocation detracted 1.2% and stock selection lost 0.6%.
Emerging market equities began the quarter celebrating the 1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia to a 29.3% drop in Greece. Sector returns were more clustered, varying from an 8.5% rise in IT to a fall of 3.2% for Utilities.
Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rating is hampering the administrations ability to implement its measures. Our overweights in Brazil sectors such as Utilities, Materials, and Telecommunications detracted from performance.
Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our underweight in China IT and Consumer Discretionary hurt performance.
The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the countrys biggest export earner. Investor sentiment was also lifted by a truce in Ukraine. Our overweight in Russia Energy and Financials helped performance.
Stocks in Greece dropped on continuing worries over the tussle between Greece and its creditors to recraft its bailout package. The government had obtained an extension by backing away from election pledges to ease budget cuts and restructure debt. However, it has yet to produce a revised economic plan that satisfies creditors. Our underweight in Greece Financials added to performance.
Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our overweight in Turkey Financials negatively impacted performance.
Stock selection detracted from performance. Segments such as Russia Energy and Turkey Materials had particularly strong selection while areas such as Korea Consumer Discretionary and India Financials saw especially weak selection.
-
March31,2015
40RowesWharf|Boston,Massachusetts02110(617)3307500| www.gmo.com
STRATEGYPROFILE
38GMOLLC2015
GMOEmergingDomesticOpportunitiesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinanefforttocompareandcontrasttheStrategyversusabroademergingmarketsindex.TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
RiskProfileSince3/31/112Strategy Index
Alpha 6.47 0.00Beta 0.73 1.00R2 0.81 1.00SharpeRatio 0.35 0.12Std.Deviation 14.26 17.52
TopTenHoldings3Company %ofEquityColgatePalmoliveCo. 4.6HDFCBankLtd. 3.9LupinLtd. 3.5Industrial&CommercialBankofChina Ltd. 3.4AbbottLaboratories 2.6AnheuserBuschInBev 2.4Baidu.comInc. 2.3TRUETelecommunicationGrowthInfrastruc 1.9BrillianceChnaAutmtiveHldgs 1.8BDOUnibankInc 1.7Total 28.1
CharacteristicsStrategy Index
Price/EarningsHist1YrWtdMedian 22.1 x 16.0 xPrice/CashFlowHist1YrWtdMedian 18.8 x 10.5 xPrice/BookHist1YrWtdAvg 2.9 x 1.6 xReturnonEquityHist1YrAvg 15.7 % 11.6 %MarketCapWeightedMedian$Bil $4.0 $9.1NumberofEquityHoldings 122 836DividendYieldHist1YrWtdAvg 2.3 % 2.6 %
1 Weights are based on exposure, which will include the impact from hedges held,if any.
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.
RegionWeights(%)1Underweight/OverweightAgainstIndex
14.116.8
2.98.6
5.110.38.9
D