gmo q1 2014

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

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

GMO Capabilities

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

GMO U.S. Equities Page

U.S. Equity Allocation 5

GMO International Equities Page

International Active EAFE 6

International Active Foreign Small Companies 7

International Intrinsic Value 8

International Core Equity 9

Currency Hedged International Equity 10

International Small Companies*

Tax-Managed International Equities 11

GMO Emerging Equities Page

Emerging Markets 121Emerging Countries*

Emerging Domestic Opportunities 13

GMO Global Equities Page

Global Focused Equity 14

Quality 15

Global Equity 16

GMO Alternative Assets Page

Resources 17

GMO Fixed Income Page

Core Plus Bond 18

International Bond 19

Currency Hedged Int'l. Bond 20

Global Bond 21

Emerging Country Debt*

Emerging Country Local Debt*

GMO Asset Allocation Page

Global Asset Allocation 22

Real Return Global Balanced Asset Alloc. 23

Benchmark-Free Allocation 24

Global Allocation Absolute Return 25

Real Return Asset Allocation 26

Global All Country Equity Allocation 27

Global Developed Equity Allocation 28

International All Country Equity Alloc. 29

International Developed Equity Allocation 30

Tax-Managed Global Balanced 31

GMO Absolute Return Page

Total Equities 32

Tactical Opportunities 33

Emerging Country Debt Long/Short*

Currency Hedge 34

Fixed Income Hedge 35

Emerging Currency Hedge 36

Mean Reversion 37

Systematic Global Macro 38

Multi-Strategy*

1

2014 Performance of GMO Strategies and Benchmarks

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

Copyright © 2014 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written permission from GMO.

Total Return Net of Fees Average Annual Total Return

GMO U.S. Equity Inception 1Q YTD YTD Value One Five Ten Since

Strategies/Benchmarks Date 2014 2014 Added Year Year Year Inception

U.S. Equity Allocation 2/28/89 2.12 2.12 0.31 17.63 18.05 6.55 10.80Blended Benchmark 1.81 1.81 22.03 21.58 7.66 10.24

GMO International Equity Inception 1Q YTD YTD Value One Five Ten Since


International Active EAFE 5/31/81 -1.01 -1.01 -1.67 19.41 14.15 6.07 12.14MSCI EAFE 0.66 0.66 17.54 16.02 6.53 9.26

Int'l. Active Foreign Small Companies 1/31/95 3.06 3.06 -0.66 23.67 23.45 11.05 11.99S&P Developed ex-U.S. Small Cap 3.72 3.72 22.26 21.29 9.37 7.82

International Intrinsic Value 3/31/87 3.33 3.33 2.11 26.22 15.24 6.69 8.50MSCI EAFE Value 1.22 1.22 20.17 16.11 6.41 7.37MSCI EAFE 0.66 0.66 17.54 16.02 6.53 5.60

International Core Equity 1/31/02 2.92 2.92 2.26 25.38 16.54 7.38 9.19MSCI EAFE 0.66 0.66 17.54 16.02 6.53 7.52

Currency Hedged International Equity 6/30/95 2.34 2.34 2.58 22.09 13.93 7.25 8.13MSCI EAFE (Hedged) -0.24 -0.24 15.32 13.90 6.24 6.42

Tax-Managed International Equities 8/31/98 3.11 3.11 2.45 26.13 16.30 7.81 8.53MSCI EAFE 0.66 0.66 17.54 16.02 6.53 5.46

GMO Emerging Equity Inception 1Q YTD YTD Value One Five Ten Since


Emerging Markets 12/31/93 -2.94 -2.94 -2.30 -5.91 13.01 8.93 7.73S&P/IFCI Composite -0.64 -0.64 -0.12 15.45 11.07 5.98MSCI Emerging Markets -0.43 -0.43 -1.21 14.48 10.11 5.40

Emerging Domestic Opportunities 3/31/11 -2.51 -2.51 -2.08 -4.40 n/a n/a 4.62MSCI Emerging Markets -0.43 -0.43 -1.21 n/a n/a -2.86

GMO Global Equity Inception 1Q YTD YTD Value One Five Ten Since


Global Focused Equity 12/31/11 0.74 0.74 -0.35 29.49 n/a n/a 22.65MSCI ACWI 1.08 1.08 16.58 n/a n/a 17.65

Quality 2/29/04 2.01 2.01 0.20 15.80 17.16 6.69 6.49S&P 500 1.81 1.81 21.86 21.16 7.42 7.19

Global Equity 7/31/96 3.41 3.41 2.14 25.97 18.03 7.03 8.00MSCI World 1.26 1.26 19.06 18.28 6.83 6.46


GMO Alternative Asset Inception 1Q YTD YTD Value One Five Ten Since


Resources 12/31/11 1.19 1.19 1.09 8.58 n/a n/a 6.57MSCI ACWI Commodity Producers 0.10 0.10 5.55 n/a n/a 2.38

2



* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.


GMO Fixed Income Inception 1Q YTD YTD Value One Five Ten Since


Core Plus Bond 4/30/97 3.07 3.07 1.23 0.01 10.80 4.44 6.03Barclays U.S. Aggregate 1.84 1.84 -0.10 4.80 4.46 5.77

International Bond 12/31/93 5.19 5.19 1.89 3.70 11.50 5.08 7.14J.P. Morgan GBI Global ex U.S. 3.31 3.31 2.32 4.29 4.42 5.66

Currency Hedged Int'l. Bond 9/30/94 4.89 4.89 1.48 2.68 10.25 4.79 7.92J.P. Morgan GBI Global 3.41 3.41 3.77 4.84 4.97 6.86 ex-Japan ex U.S. (Hedged) +

Global Bond* 12/31/95 4.14 4.14 1.44 1.20 10.49 4.41 5.95J.P. Morgan GBI Global 2.70 2.70 0.90 3.94 4.36 5.18

GMO Asset Allocation Inception 1Q YTD YTD Value One Five Ten Since


Global Asset Allocation 6/30/88 1.71 1.71 0.30 10.21 12.60 7.03 9.91Blended Benchmark 1.41 1.41 10.60 13.44 5.96 8.23

Real Return Global Balanced Asset Alloc. 6/30/04 1.92 1.92 0.74 10.54 10.32 n/a 7.47Blended Benchmark 1.18 1.18 11.19 12.00 n/a 5.75

Benchmark-Free Allocation 7/31/01 1.19 1.19 0.74 8.05 10.50 8.59 11.21CPI 0.45 0.45 1.42 2.07 2.33 2.27

Global Allocation Absolute Return 7/31/01 1.17 1.17 0.72 6.98 8.86 7.72 9.78CPI 0.45 0.45 1.42 2.07 2.33 2.27

Real Return Asset Allocation 12/31/09 0.46 0.46 0.01 2.56 n/a n/a 0.31CPI 0.45 0.45 1.42 n/a n/a 1.90

Global All Country Equity Allocation 12/31/93 2.00 2.00 0.91 16.70 16.38 8.14 9.44Blended Benchmark 1.09 1.09 16.90 18.12 6.89 7.57

Global Developed Equity Allocation 3/31/87 2.61 2.61 1.34 20.56 17.00 7.91 9.69Blended Benchmark 1.26 1.26 19.06 18.29 6.75 7.52

International All Country Equity Alloc. 2/28/94 1.84 1.84 1.33 16.29 15.33 7.95 7.99Blended Benchmark 0.51 0.51 12.48 15.44 7.06 5.99

International Developed Equity Allocation 11/30/91 3.24 3.24 2.58 23.31 16.36 7.82 8.79Blended Benchmark 0.66 0.66 17.54 16.14 6.77 6.67

Tax-Managed Global Balanced 12/31/02 1.64 1.64 0.12 8.75 9.68 6.43 8.03GMO Tax-Managed Global Balanced Index 1.52 1.52 10.02 12.88 5.89 7.29

3




GMO Absolute Return Inception 1Q YTD YTD Value One Five Ten Since


Total Equities 9/30/00 1.13 1.13 1.12 15.30 5.49 3.02 6.52Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 1.56 1.80

Tactical Opportunities 9/30/04 -2.63 -2.63 -2.64 -13.55 -16.15 n/a -6.90Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 n/a 1.59

Currency Hedge 7/31/03 4.01 4.01 3.92 -11.59 3.47 -1.23 -0.04J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 2.31 2.24

Fixed Income Hedge 8/31/05 4.53 4.53 4.44 -1.11 10.03 n/a -0.51J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 n/a 2.31

Emerging Currency Hedge 3/31/06 1.78 1.78 1.69 -4.28 6.94 n/a 2.11J.P. Morgan U.S. 3 Month Cash 0.09 0.09 0.38 0.61 n/a 2.17

Mean Reversion 2/28/02 0.91 0.91 0.90 -3.10 -2.23 4.20 7.40Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 1.56 1.52

Systematic Global Macro 3/31/02 1.89 1.89 1.88 8.56 8.00 6.49 7.54Citigroup 3-Mo. T-Bill 0.01 0.01 0.05 0.09 1.56 1.52

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As of March 31, 2014

GMO © 2014

GMO U.S. Equity Allocation Strategy Inception: 2/28/89; Benchmark: Russell 3000 Index

1 Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income. 2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities. 3 The GMO blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMO’s presentation thereof. 4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s 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.

The U.S. Equity Allocation Strategy returned +2.1% net of fees for the first quarter of 2014, leading the +1.8% return of the S&P 500 index.

Sector selection had a positive impact on relative returns for the quarter. The strategy saw positive returns relative to the S&P 500

attributable to an overweight in Health Care and underweight positions in Consumer Discretionary and Industrials. An overweight in Consumer Staples and underweight positions in Utilities and Financials detracted.

Stock selection detracted from relative returns for the quarter. Selections in Information Technology added to relative returns while

selections in Consumer Staples, Energy, and Consumer Discretionary detracted. Individual stocks adding to relative returns in the first quarter included overweight positions in Microsoft, Oracle, and Johnson & Johnson. Stock selections detracting from relative returns included overweight positions in Coca-Cola, Philip Morris International, and Chevron.

Quarterly Strategy Attribution

Performance Net of Fees1 Top Ten Holdings2,5

Risk Profile Since 2/28/894 Sector Weights5

Characteristics5

GICS Sectors

Oracle Corp. 5.2%Int'l. Business Machines 5.1%Microsoft Corp. 5.0%Johnson & Johnson 4.8%Google Inc. (Cl A) 4.5%Philip Morris Int'l. Inc. 4.3%Procter & Gamble Co. 4.3%Cisco Systems Inc. 4.1%Chevron Corp. 3.1%Express Scripts Holding Co 3.0% Total 43.4%

Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 18.5 x 19.8 x

Price/Book - Hist 1 Yr Wtd Avg 3.5 x 2.6 x

Dividend Yield - Hist 1 Yr Wtd Avg 2.1 % 1.9 %

Return on Equity - Hist 1 Yr Med 20.2 % 16.4 %

Market Cap - Weighted Median $Bil $130.1 $46.4

Underweight/OverweightSector Against Benchmark Strategy Benchmark

Consumer Discretionary 4.8 % 12.9 %Consumer Staples 20.0 8.4Energy 5.5 9.3Financials 4.0 17.6Health Care 22.1 13.0Industrials 6.6 11.5Information Technology 36.2 18.2Materials 0.8 3.8Telecom. Services 0.0 2.2Utilities 0.0 3.1-3.1

-2.2

-3.0

18.0

-4.9

9.1-13.6

-3.8

11.6

-8.1

-20 -10 0 10 20

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

1Q YTD One Five Ten Since2014 2014 Year Year Year Inception

Strategy 2.12 2.12 17.63 18.05 6.55 10.80Benchmark 3 1.81 1.81 22.03 21.58 7.66 10.24

Annual Total Return (%)

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 10.74 3.68 9.93 2.25 -27.87 20.54 7.43 9.91 12.25 27.95

Benchmark 3 11.45 5.53 15.71 5.39 -37.15 27.46 16.26 1.58 16.21 32.85

Strategy Benchmark

Alpha 1.70 0.00

Beta 0.83 1.00R2 0.92 1.00

Sharpe Ratio 0.57 0.46

5


GMO © 2014

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

Performance Net of Fees1

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

Country selection was ahead of the benchmark. Our positioning in Continental Europe added to returns, particularly an overweight

position in Italy, which outperformed in the quarter. An underweight position in Switzerland partially offset the gain. Stock selection was behind the benchmark in the first quarter. Holdings in Japan, Australia, Continental Europe, and the emerging

markets underperformed.

Top Overweight Holdings2,5

Risk Profile Since 5/31/814


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 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 portfolio’s 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.

Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5



Strategy -1.01 -1.01 19.41 14.15 6.07 12.14Benchmark 3 0.66 0.66 17.54 16.02 6.53 9.26


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 22.33 13.52 27.52 10.58 -41.24 25.53 5.01 -11.65 14.92 24.11

Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78

Strategy Benchmark

Alpha 3.71 0.00

Beta 0.82 1.00R2 0.84 1.00


Strategy Benchmark


Price/Cash Flow - Hist 1 Yr Wtd Med 9.9 x 10.8 x



Underweight/OverweightRegion Against Benchmark (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Australia/New Zealand

Emerging

Cash 3.2

4.5

-3.1

-2.9

-4.2

-1.2

3.8

-6 -3 0 3 6


Consumer Discretionary 14.1 % 11.8 %Consumer Staples 8.6 11.0Energy 7.8 6.9Financials 25.8 25.6Health Care 5.2 10.4Industrials 16.3 12.9Information Technology 5.5 4.5Materials 6.6 8.1Telecom. Services 4.5 5.0Utilities 5.6 3.81.8

-0.5-1.5

1.03.4

-5.20.2

0.9-2.4

2.3

-6 -3 0 3 6

Sumitomo Mitsui Financial 1.8%Eni S.p.A. 1.7%Total S.A. 1.4%Repsol YPF S.A. 1.3%British American Tobacco 1.3%Banca Popolare di Milano 1.2%E.ON AG 1.2%Mitsubishi Tokyo Financial 1.2%Mazda Motor Corp. 1.2%Rexel S.A. 1.1%Assicurazioni Generali S.p.A. 1.1%Criteria CaixaCorp S.A. 1.1%Samsung Electronics Co. 1.1%Asciano Group 1.1%Publicis Groupe S.A. 1.1%

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GMO © 2014

GMO Int’l. Active Foreign Small Companies Strategy Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index


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

Our positioning in Continental Europe added to returns, particularly an overweight position in Italy, which outperformed in the

quarter. An overweight position in Japan partially offset the gain. Stock selection underperformed the benchmark. Our holdings in Japan, Korea, and the emerging markets underperformed. Stock

selection was positive in Canada and the United Kingdom.

Top Overweight Holdings2,5




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.



Sector Weights5 Regional Weights5

Characteristics5

GICS Sectors





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 29.30 18.91 36.24 8.00 -45.91 47.63 24.76 -15.21 21.64 28.92

Benchmark 28.73 22.10 29.42 7.32 -47.67 45.07 21.96 -14.49 18.55 26.06

Strategy Benchmark

Alpha 4.56 0.00

Beta 0.92 1.00R2 0.94 1.00


Strategy Benchmark






Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 2.0

3.4

0.4

-2.6

-3.6

-2.9

-0.6

3.9

-6 -3 0 3 6



-0.5-0.4-0.7

1.0-1.2

-2.12.1

-2.36.5

-10 -5 0 5 10

Mediobanca Banca di Credito 1.6%Capstone Mining Corp. 1.4%Credito Emiliano S.p.A. 1.4%Faurecia S.A. 1.3%Incitec Pivot Ltd. 1.2%Euler Hermes 1.2%Rheinmetall AG 1.2%Tyman Plc 1.1%Asciano Group 1.1%Altran Technologies S.A. 1.1%Sodexho Alliance S.A. 1.1%Filtrona PLC 1.1%Euromoney Institutional Inve 1.1%Aryzta AG 1.1%Toll Holdings Ltd. 1.0%

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GMO © 2014

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





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 market’s free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.




Characteristics5

The International Intrinsic Value Strategy returned +3.3% net of fees during the first quarter of 2014, compared to the broad market MSCI EAFE index, which returned +0.7%, and the MSCI EAFE Value benchmark, which returned +1.2%.

In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Sector exposures also added value while currency allocation did not.

Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Telecommunication Services, Energy, Financials, and Industrials also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most significant contribution although holdings in the U.K., Italy, and Germany also helped.

Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy company Total (France), and auto maker Peugeot (France). Stock positions that detracted included an overweight in telecommunication services company Telefonica (Spain) and underweight positions in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).

Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our underweight in Japan, which underperformed. Underweights to Switzerland and Denmark, which outperformed, were a drag on returns.

Sector exposures (as a result of stock selection) added some value, mainly from our overweight to Utilities, which performed well. The negative impact from our overweight in Telecommunication Services, which lagged, and our underweight to Health Care, which outperformed, offset that somewhat.

Currency allocation hurt slightly from an underweight position in the Australian dollar, which appreciated. Performance was not quite as good relative to the MSCI EAFE Value index, which was helped by a bigger weighting in the stronger Utilities sector and less

exposure in the weaker Consumer Discretionary sector.

GICS Sectors



Strategy 3.33 3.33 26.22 15.24 6.69 8.50MSCI EAFE Value 3 1.22 1.22 20.17 16.11 6.41 7.37

MSCI EAFE 3 0.66 0.66 17.54 16.02 6.53 5.60


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 25.23 13.98 25.78 10.21 -40.31 21.41 7.53 -10.18 12.98 25.62MSCI EAFE Value 24.33 13.80 30.38 5.96 -44.09 34.23 3.25 -12.17 17.69 22.95

MSCI EAFE 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78

Total S.A. 5.5%Royal Dutch Shell PLC 5.2%BP PLC 3.8%AstraZeneca PLC 2.6%Telefonica S.A. 2.5%ENI S.p.A. 2.5%Sanofi-Aventis S.A. 2.2%DaimlerChrysler AG 2.1%E.ON AG 1.9%Enel S.p.A. 1.9% Total 30.2%

StrategyM SCI

EAFE ValueM SCIEAFE

Alpha 1.78 0.00 0.00

Beta 0.83 1.00 1.00R2 0.87 1.00 1.00

Sharpe Ratio 0.31 0.21 0.11

StrategyM SCI

EAFE ValueM SCIEAFE

Price/Earnings - Hist 1 Yr Wtd Med 12.8 x 13.7 x 17.0 xPrice/Cash Flow - Hist 1 Yr Wtd Med 5.8 x 7.4 x 10.8 xPrice/Book - Hist 1 Yr Wtd Avg 1.2 x 1.3 x 1.7 xReturn on Equity - Hist 1 Yr Med 10.4 % 10.1 % 11.5 %Market Cap - Weighted Median $Bil $33.7 $37.5 $33.9Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.8 % 3.1 %

Underweight/OverweightRegion Against M SCI EAFE Value (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 0.5

-5.4

1.0

-2.4

-5.6

-3.1

15.1

-20 -10 0 10 20

Underweight/OverweightSector Against M SCI EAFE Value Strategy Benchmark


5.6-2.7-0.6

0.6-2.4

-19.110.2

-1.25.6

-20 -10 0 10 20

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GMO © 2014

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





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.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The International Core Equity Strategy returned +2.9% net of fees during the first quarter of 2014, compared to the MSCI EAFE index, which returned +0.7%.

In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Currency allocation detracted slightly while sector exposures had little impact.

Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Telecommunication Services, Energy, Financials, Health Care, and Industrials also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most significant contribution although holdings in Italy, the U.K., Germany, and Japan also helped.

Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy company Total (France), and pharmaceutical AstraZeneca (U.K.). Stock positions that detracted included an overweight in telecommunication services company Telefonica (Spain) and underweight positions in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).

Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our underweight in Japan, which underperformed. Our underweight to Switzerland, which outperformed, was a drag on returns.

Currency allocation hurt slightly from an underweight position in the Australian dollar, which appreciated. Sector exposures (as a result of stock selection) had minimal impact as our overweight to Utilities, which performed well, added value. The negative

impact from our overweight in Telecommunication Services, which lagged, and our underweight to Health Care, which outperformed, offset that.





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 23.28 15.58 25.56 12.13 -41.34 23.73 10.33 -9.09 14.44 26.15

Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78

Total S.A. 5.2%Royal Dutch Shell PLC 5.0%BP PLC 3.7%AstraZeneca PLC 2.7%Telefonica S.A. 2.6%DaimlerChrysler AG 2.4%ENI S.p.A. 2.3%Sanofi-Aventis S.A. 2.1%E.ON AG 2.0%Enel S.p.A. 1.9% Total 29.9%

Strategy Benchmark

Alpha 1.98 0.00

Beta 0.95 1.00R2 0.98 1.00


Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 12.8 x 17.0 xEarnings/Share - F'cast LT Med Growth Rate 6.5 x 8.8 xPrice/Book - Hist 1 Yr Wtd Avg 1.3 x 1.7 xReturn on Equity - Hist 1 Yr Med 10.9 % 11.5 %Market Cap - Weighted Median $Bil $35.1 $33.9Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.1 %



7.0-1.8-2.5-2.5

-4.2-11.4

12.9-6.6

3.2

-20 -10 0 10 20


Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 1.1

-5.4

0.5

-1.8

-7.1

1.4

11.3

-20 -10 0 10 20

9


GMO © 2014

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


The Currency Hedged International Equity Strategy returned +2.3% net of fees during the first quarter of 2014, compared to the MSCI EAFE (Hedged) index, which returned -0.2%.

Hedging detracted from returns for U.S. dollar-based investors as currencies appreciated on average relative to the U.S. dollar in the quarter.

Among the major currencies, the Australian dollar gained 3.6%, the Japanese yen rose 2.1%, the British pound increased 0.7%, and the euro was unchanged. The Canadian dollar fell by 3.7%. The unhedged EAFE index returned +0.7%.

The Currency Hedged International Equity Strategy was invested in the International Equity Fund during the period.

Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by the outperformance of the International Equity Fund versus its style benchmark.

Top Ten Holdings2,5




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.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5



Strategy 2.34 2.34 22.09 13.93 7.25 8.13Benchmark 3 -0.24 -0.24 15.32 13.90 6.24 6.42


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 14.77 27.32 19.31 5.88 -34.09 16.11 7.72 -9.68 16.51 28.21

Benchmark 12.01 29.67 19.19 5.32 -39.77 25.67 5.60 -12.10 17.54 26.67

Total S.A. 5.5%Royal Dutch Shell PLC 5.2%BP PLC 3.8%AstraZeneca PLC 2.6%Telefonica S.A. 2.5%ENI S.p.A. 2.5%Sanofi-Aventis S.A. 2.2%DaimlerChrysler AG 2.1%E.ON AG 1.9%Enel S.p.A. 1.9% Total 30.2%

Strategy Benchmark

Alpha 2.36 0.00

Beta 0.82 1.00R2 0.88 1.00


Strategy Benchmark



Return on Equity - Hist 1 Yr Wtd Med 10.4 % 11.5 %





6.9

-1.8-2.6-3.2

-4.5-9.3

14.1-7.2

1.0

-20 -10 0 10 20


Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 2.7

-5.5

1.0

-2.4

-6.1

0.3

10.0

-20 -10 0 10 20

10


GMO © 2014

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


The Tax-Managed International Equities Strategy returned +3.1% net of fees for the first quarter of 2014, while the MSCI EAFE index returned +0.7%. In the Strategy, stock selection and country allocation were primarily responsible for the outperformance relative to EAFE. Currency exposures detracted

slightly while sector exposures made a small positive contribution. Stock selection was strongest within Consumer Discretionary, on a sector basis, but Utilities, Financials, Telecommunication Services, Energy, and Industrials

also added value. Our Materials holdings detracted from relative performance. By country, our stocks in France made the most significant contribution although holdings in Italy, the U.K., and Germany also helped.

Individual stock positions that were significant contributors to relative performance included overweights in electric utility Enel (Italy), energy company Total (France), and pharmaceutical AstraZeneca (U.K.). Stock positions that detracted included an overweight in telecommunication services company Telefonica (Spain) and underweight position in pharmaceuticals Novo Nordisk (Denmark) and Roche (Switzerland).

Country allocation added value largely from our overweight in Italy, but also from overweights in Spain and France, which outperformed, and our underweight in Japan, which underperformed. Our underweights to Switzerland and Denmark, which outperformed, dragged down returns.

Currency exposures hurt slightly from an underweight position in the Australian dollar, which appreciated. Sector exposures (as a result of stock selection) added some value, mainly from our overweights to Utilities and Energy, which performed well. The negative

impact from our overweight in Telecommunication Services, which lagged, offset that somewhat.

Top Ten Holdings2,6


GICS Sectors



Characteristics6


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 Strategy’s 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 investor’s 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 Index’s after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Index’s 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.




2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 24.36 16.55 25.90 13.75 -40.71 23.71 9.38 -8.18 13.37 26.55Benchmark 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32 22.78

Total S.A. 4.8%Royal Dutch Shell PLC 4.7%BP PLC 3.8%Telefonica S.A. 2.3%AstraZeneca PLC 2.3%ENI S.p.A. 1.9%Sanofi-Aventis S.A. 1.9%DaimlerChrysler AG 1.8%E.ON AG 1.7%Enel S.p.A. 1.5% Total 26.7%

Strategy Benchmark

Alpha 3.39 0.00

Beta 0.90 1.00R2 0.93 1.00


Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 12.8 x 17.0 xPrice/Cash Flow - Hist 1 Yr Wtd Med 5.8 x 10.8 xPrice/Book - Hist 1 Yr Wtd Avg 1.2 x 1.7 xDividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.1 %Return on Equity - Hist 1 Yr Med 10.7 % 11.5 %Market Cap - Weighted Median $Bil $31.5 $33.9


Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 3.0

9.5

-5.7

0.9

-2.3

-7.8

-0.6

3.1

-10 -5 0 5 10



5.8-3.9-2.0-3.2-2.8

-8.414.8

-7.61.2

-20 -10 0 10 20



Before-TaxStrategy 3 3.11 3.11 26.13 16.30 7.81 8.53Benchmark 4 0.66 0.66 17.54 16.02 6.53 5.46

After-TaxStrategy 3.15 3.15 25.54 15.96 7.24 7.96Benchmark 0.25 0.25 15.74 14.83 5.51 3.76

11


GMO © 2014

GMO Emerging Markets Strategy Inception: 12/31/93; Benchmark: S&P/IFCI Composite Index


The Emerging Markets Strategy fell 2.9% net of fees in the first quarter, underperforming the 0.6% drop of the S&P/IFCI Composite by 2.3%. Overall, country/sector selection detracted 1.7% and stock selection lost 0.6%.

Emerging market equities had a poor start to the year as manufacturing in China contracted and the Federal Reserve continued with its tapering. The asset class recouped most of its losses later in the quarter as the focus shifted to low valuations, improving current account deficits, and prospects of positive leadership changes in some of the larger countries. Country returns varied over the quarter, ranging from a 21.2% jump in Indonesia to a 14.4% drop in Russia. Sector returns were more clustered, varying from a 3.9% leap in Information Technology to a fall of 5.9% for Telecommunications.

Investors in the Chinese stock market are concerned about the impact of a decelerating economy. Industrial profit growth has slowed, real estate has shown signs of weakness, and currency movements have become more volatile. New home price growth in China’s first-tier cities slowed in January after local governments further tightened restrictions on property investments. The yuan has weakened as the monetary authorities’ attempt to disabuse speculators of the notion that the currency’s appreciation will be a steady one-way bet. Our overweight in Chinese Financials and Telecommunications hurt performance.

The Indian stock market has been boosted by improving government finances, easing inflation and diminishing current account deficits. Also helping have been expectations of a change in leadership after the elections in April-May. Our underweight in Indian Financials negatively impacted performance.

Stocks in Indonesia rose after the market was upgraded by analysts citing cheap valuations, an improving trade balance, and appropriate monetary policy. Sentiment was also boosted as expectations rose of Joko Widodo winning the presidential election to be held in July this year. Our overweight in Indonesian Consumer Discretionary added to performance.

Investor sentiment in the Russian stock market has been hit hard by the government’s involvement in Ukraine. The United States and European Union have imposed political and economic sanctions on Russia and investors fear the impact of further sanctions. Our overweight in Russian Energy and Financials detracted from performance.

Stock selection detracted from performance, particularly in Brazilian Financials and Taiwan IT.

Top Ten Holdings2,5




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.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5



Strategy -2.94 -2.94 -5.91 13.01 8.93 7.73Benchmark 3 -0.64 -0.64 -0.12 15.45 11.07 5.98


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 26.54 40.15 29.51 37.22 -55.74 71.89 20.20 -16.95 15.19 -5.19

Benchmark 28.11 35.19 35.11 40.28 -53.74 81.03 20.64 -19.03 18.89 -0.57

Samsung Electronics Co. Ltd. ( 3.1%OAO Gazprom 3.1%Lukoil Oil Company 2.8%China Mobile Ltd. 2.5%Vale S.A. 2.2%China Construction Bank 2.2%Surgutneftegaz 2.1%Banco do Brasil S.A. 2.1%Ind. & Comm. Bank of China 2.0%KGHM Polska Miedz S.A. 2.0% Total 24.1%

Strategy Benchmark

Alpha 1.79 0.00

Beta 0.99 1.00R2 0.93 1.00


Strategy Benchmark




Return on Equity - Hist 1 Yr Avg 13.0 % 11.7 %




Developed

East Asia

Europe

Latin/South America

Mideast/Africa

South Asia

Cash -0.2

-3.7

-3.8

0.7

14.3

-8.1

0.8

-20 -10 0 10 20



7.7-0.1

-4.2-3.9

-1.5-0.7

7.5-6.7

-2.5

-10 -5 0 5 10

12


GMO © 2014

GMO Emerging Domestic Opportunities Strategy Inception: 3/31/11


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 market equities had a poor start to the year as manufacturing in China contracted and the Federal Reserve continued with its tapering. The asset class recouped most of its losses later in the quarter as the focus shifted to low valuations, improving current account deficits, and prospects of positive leadership changes in some of the larger countries. Country returns varied over the quarter, ranging from a 21.3% jump in Indonesia to a14.5% drop in Russia. Domestic demand driven sector returns were more clustered, varying from a 3.9% leap in Consumer Discretionary to a fall of 5.8% for Telecommunications.

The Emerging Domestic Opportunities Strategy fell 2.5% net of fees in the first quarter. Investors in the Chinese stock market are concerned about the impact of a decelerating economy. Industrial profit growth has slowed, real estate has shown signs of

weakness, and currency movements have become more volatile. New home price growth in China’s first-tier cities slowed in January after local governments further tightened restrictions on property investments. The yuan has weakened as the monetary authorities’ attempt to disabuse speculators of the notion that the currency’s appreciation will be a steady one-way bet. Our exposure to Chinese sectors such as Financials, Industrials, and IT hurt performance.

The Indian stock market has been boosted by improving government finances, easing inflation, and diminishing current account deficits. Also helping have been expectations of a change in leadership after the elections in April-May. Our investments in Indian sectors such as Consumer Discretionary, Financials, and Industrials contributed to performance.

Stocks in Indonesia rose after the market was upgraded by analysts citing cheap valuations, an improving trade balance, and appropriate monetary policy. Sentiment was also boosted as expectations rose of Joko Widodo winning the presidential election to be held in July this year. Our holdings in Indonesian Financials added to performance.

Investor sentiment in the Russian stock market has been hit hard by the government’s involvement in Ukraine. The United States and European Union have imposed political and economic sanctions on Russia and investors fear the impact of further sanctions. Our positions in Russian sectors such as Consumer Discretionary, Financials, and Telecommunications detracted from performance.

Top Ten Holdings2,6




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 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.


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.

Characteristics6



Strategy -2.51 -2.51 -4.40 n/a n/a 4.62Benchmark 3 -0.43 -0.43 -1.21 n/a n/a -2.86

Colgate-Palmolive Co. 4.5%HDFC Bank Ltd. 3.7%Copa Holdings S.A. (Cl A) 3.5%Nestle S.A. 2.9%QUALCOMM Inc. 2.8%Lupin Ltd. 2.5%Abbott Laboratories 2.4%British American Tobacco 2.2%Unilever PLC 2.1%Brilliance Chna Autmtive 2.0% Total 28.6%

Strategy Benchmark

Alpha 6.78 0.00

Beta 0.76 1.00R2 0.83 1.00

Sharpe Ratio 0.28 -0.15

Strategy Benchmark




Return on Equity - Hist 1 Yr Avg 14.8 % 12.3 %





1.1-7.4

-10.75.46.2

-2.9-8.9

13.24.6

-20 -10 0 10 20 GICS Sectors

Sector Weights6 Regional Weights5,6


Developed

East Asia

Europe

Latin/South America

Mideast/Africa

South Asia

Cash 9.0

9.9

-3.3

-7.3

-3.4-26.1

21.1

-30 -15 0 15 30


2011 2012 2013

Strategy -8.99 24.33 3.80

Benchmark -20.06 18.22 -2.60

13


GMO © 2014

GMO Global Focused Equity Strategy Inception: 12/31/11


The Global Focused Equity Strategy rose 0.7% net of fees for the quarter. The Strategy’s reference benchmark, MSCI All Country World index gained 1.1%.

The largest contribution to performance came from a holding in American Airlines in the United States. Having completed its merger with US Airways, American Airlines emerges as the latest U.S.-based legacy carrier to take advantage of industry wide capacity discipline, significant opportunities for post-merger integration synergies, and stable demand and pricing. Despite impressive price appreciation, American remains a very cheap stock with material earnings momentum, excess cash, and we believe the ability to deliver both positive earnings surprises and additional multiple expansion.

One of the largest detractors from performance was Aberdeen Asset Management in the United Kingdom. Investors worried about the impact of weak emerging markets on the asset manager’s fund flows. In normal circumstances we would view such weakness as a buying opportunity, but in this instance concerns about other areas of the business led us to exit our position in the stock. These concerns centered on the impending acquisition of Scottish Widows Investment Partnership (SWIP) from Lloyds. We believe that SWIP is a structurally weak business and that Aberdeen’s recent success has been attributable to an absence of acquisitions and a focus instead on organic growth. We believe the SWIP deal dilutes the quality of underlying business and it also entails significant equity issuance, which is unwelcome. The company may tout the deal as earnings enhancing, but this does not equate to value creation and, in our view, SWIP is likely to continue to be dogged by substantial fund outflows, even under Aberdeen’s stewardship.

Top Ten Holdings2,5


Sector Weights5

GICS Sectors

Regional Weights5


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.



Samsung Electronics Co. 3.5%KapStone Paper & Package 2.3%Gran Tierra Energy Inc. 2.2%Capital Product Partners LP 2.1%Tronox Ltd 2.1%Hitachi Ltd. 2.1%United Continental Holdings 2.1%Arch Capital Group Ltd. 2.1%American Airlines Group 2.1%Morgan Stanley 2.1% Total 22.7%

Strategy Benchmark






United States

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 2.5

1.7

2.2

0.4

-1.5

0.1

-0.4

-0.5

-4.5

-6 -3 0 3 6



-2.47.2

2.20.6

-2.6-2.1

4.1-6.0

2.4

-10 -5 0 5 10

Risk Profile Since 12/31/114 Characteristics5

Strategy Benchmark

Alpha 0.81 0.00

Beta 1.24 1.00R2 0.85 1.00




Strategy 0.74 0.74 29.49 n/a n/a 22.65Benchmark 3 1.08 1.08 16.58 n/a n/a 17.65


2012 2013

Strategy 19.71 31.29

Benchmark 16.13 22.80

14


GMO © 2014

GMO Quality Strategy Inception: 2/29/04; Benchmark: S&P 500 Index


The Quality Strategy returned +2.0% net of fees in the first quarter while developed market indexes returned +1.8% for the S&P 500 and +1.3% for MSCI World.

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

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

Sector selection contributed to relative returns for the quarter. The Strategy saw positive returns versus the S&P 500 attributable to its overweight position in Health Care and underweight in Consumer Discretionary. Our overweight position in Consumer Staples detracted modestly from relative returns.

Stock selection detracted from relative returns for the quarter. Selections in Consumer Staples and Energy were the primary drivers of poor relative performance for the quarter. This was partially offset by selections within Information Technology. Individual stocks detracting from relative returns included overweights to Coca-Cola and Philip Morris International. Stock selections contributing to relative returns included overweights in Microsoft and Oracle.

We believe that patient investors will be compensated for owning high quality companies based on their current valuations. Our investment process emphasizes analysis over emotion. Whether the market is in the grips of fear, greed, or somewhere in between, we will focus on finding the most undervalued opportunities offered up by market conditions.

Top Ten Holdings2,4


Sector Weights4

Characteristics4



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.



GICS Sectors

Regional Weights4




Int'l. Business Machines 5.2%Microsoft Corp. 5.1%Philip Morris Int'l. Inc. 4.8%Johnson & Johnson 4.8%Oracle Corp. 4.6%Google Inc. (Cl A) 4.5%Procter & Gamble Co. 3.9%Chevron Corp. 3.5%Cisco Systems Inc. 3.1%Coca-Cola Co. 3.1% Total 42.6%

Strategy Benchmark




Return on Equity - Hist 1 Yr Med 20.9 % 17.3 %


Debt/Equity - Wtd Med 0.5 x 0.8 x

Strategy Benchmark

Alpha 0.80 0.00

Beta 0.73 1.00R2 0.86 1.00


U.S. Equities88.9%

Int'l. Equities10.6%

Cash0.5%



-1.6-2.7

15.2

-4.610.6

-16.4

-4.7

14.7

-7.6

-20 -10 0 10 20


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 3.54 -0.79 12.69 6.04 -24.08 19.89 5.48 11.84 11.81 25.47

Benchmark 7.39 4.91 15.80 5.49 -37.00 26.46 15.06 2.11 16.00 32.39

15


GMO © 2014

GMO Global Equity Strategy Inception: 7/31/96; Benchmark: MSCI World Index





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.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The Global Equity Strategy returned +3.4% net of fees in U.S. dollar terms for the first quarter, as compared to the MSCI World index’s +1.3% return. Our allocation to value stocks in Europe and the U.K. was the most significant contributor to relative returns during the quarter.

Entering 2014, the prudently bullish consensus from global equity investors reasoned that, while the remarkable percentage gains of a year ago may not be repeated, there was ample reason to believe there was room for further advance. After all, global central banks remained quite accommodative and economic indicators in key markets continued to improve. The first three months of 2014 brought plenty of excitement, with concerns about slowing economic growth in China, the geopolitical situation in Ukraine, and the careful balance between central bank stimulus and local economic growth in major countries around the globe providing ample headline fodder and making for a volatile path for equity markets around the globe. The end result after all that volatility, however, was a relatively benign quarter of absolute returns. The MSCI ACWI Index’s +1.1% quarterly return was led by strong returns from U.S. and European equities, with the S&P 500 and MSCI Europe indexes returning +1.8% and +2.1%, respectively. Emerging markets and Japanese equities lagged during the period, with the MSCI Emerging Markets Index returning -0.4% and the MSCI Japan Index returning -5.6%.

The strategy’s first quarter performance was driven most significantly by the two major valuation themes presently driving positioning: U.S. high quality and European value. Our significant allocation to European and U.K. value companies was the principal driver of strong relative returns during the quarter, as a combination of strong performance for European stocks in general and value stocks within Europe fueled strong returns for the group. Our allocation to U.S. high quality stocks had a small impact on relative returns, as being underweight the U.S. market had a negative impact on returns but the high quality U.S. stocks we selected delivered modest positive returns relative to the U.S. market.

At the individual country level, the strategy benefited from overweight positions and strong stock selection in Italy and France and strong stock selection in the United States. Underweight positions in Switzerland and Denmark had a modest negative impact on relative returns.

At the sector level, the strategy benefited from an underweight position and stock selection in Consumer Discretionary and stock selection in Utilities, Industrials, and Information Technology. Stock selection within Materials had a negative impact on relative returns.

At the individual security level, European value companies and U.S. high quality names accounted for the strategy’s strongest performers during the period, with overweight positions in Enel, Total, GDF Suez, Microsoft, and Fiat among the leading contributors to relative return. Overweight positions in U.S. energy firm Chevron and Japanese materials company JFE Holdings and not owning Danish health care firm Novo Nordisk were the leading individual security detractors from relative returns during the period.

Over the quarter, we added an allocation to Emerging Markets equities, with the majority of the increased weight in Emerging coming from a reduction in our U.S. allocation. From a positioning perspective we continue to favor high quality stocks in the U.S. and value stocks within Europe/U.K. and Emerging due to the comparatively attractive valuations of these groups.


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 17.95 11.08 21.19 6.16 -38.72 24.61 10.40 -3.28 12.01 29.42

Benchmark 14.72 9.49 20.07 9.04 -40.71 29.99 11.76 -5.54 15.83 26.68

Royal Dutch Shell PLC 2.4%Total S.A. 2.3%Microsoft Corp. 2.2%Johnson & Johnson 2.0%Oracle Corp. 1.9%Wells Fargo & Co. 1.8%Int'l. Business Machines 1.8%Google Inc. (Cl A) 1.8%JPMorgan Chase & Co. 1.8%BP PLC 1.8% Total 19.8%

Strategy Benchmark

Alpha 1.85 0.00

Beta 0.92 1.00R2 0.95 1.00


Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 14.4 x 18.3 xPrice/Cash Flow - Hist 1 Yr Wtd Med 9.7 x 12.6 xPrice/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 xReturn on Equity - Hist 1 Yr Wtd Med 12.2 % 14.2 %Market Cap - Weighted Median $Bil $54.4 $44.0Dividend Yield - Hist 1 Yr Wtd Avg 3.0 % 2.5 %



3.2-1.0

4.0-3.6

-1.1-4.5

4.0-1.0

-1.7

-6 -3 0 3 6





North America

Europe ex-UK

United Kingdom

Japan

Pacific ex-Japan

Emerging

Cash 1.5

10.0

-3.9

-0.9

0.6

9.2

-16.6

-20 -10 0 10 20

16


GMO © 2014

GMO Resources Strategy Inception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index


The Resources Strategy returned +1.2% net of fees during the first quarter of 2014 while the MSCI ACWI Commodity Producers returned +0.1%.

The Resources Strategy is currently focused on stocks that should benefit from a rise in natural resource prices. That focus has the Strategy invested primarily in companies with interests in Energy, Agriculture, and Industrial Metals.

Stock selection contributed to returns, particularly in Energy, where our holdings outperformed. Our Materials holdings detracted somewhat.

Individual stock positions that were significant contributors to relative performance included an overweight position in energy company Petrobras (Brazil) and underweight positions in energy companies ExxonMobil (U.S.) and BG Group (U.K.). Stocks that detracted from relative performance included an overweight position in metals and mining company Vale (Brazil) and underweight positions in energy companies EOG Resources (U.S.) and Canadian Natural Resources (Canada).

Sector exposures also helped relative returns mainly from our overweight to Utilities, which outperformed, but also from our underweight to Materials, which underperformed.

Top Ten Holdings2,5



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.



Sector Weights5

GICS Sectors

Country Weights5

Characteristics5




Strategy Benchmark

Price/Earnings - Hist 1 Yr Wtd Med 10.6 x 13.3 xEarnings/Share - F'cast LT Med Growth Rate 6.5 x 6.5 xReturn on Equity - Hist 1 Yr Med 11.1 % 11.5 %Market Cap - Weighted Median $Bil $28.8 $52.1Dividend Yield - Hist 1 Yr Wtd Avg 4.0 % 3.2 %

Underweight/OverweightCountry Against Benchmark (%) Strategy Benchmark

United States 17.5 38.4 %

United Kingdom 14.4 18.6

Japan 11.4 1.8

Russia 9.8 3.4

Norway 7.2 1.2

Brazil 6.1 2.9

France 6.0 4.1

Spain 5.7 0.6

Italy 4.1 1.7China 3.5 2.8

Other 13.4 24.8

Cash 1.2 0.01.2

-11.40.7

2.4

5.1

1.9

3.2

6.0

6.4

9.6

-4.2

-20.9

-30 -15 0 15 30



0.0-11.6

0.013.1

0.00.1

-9.41.5

0.0

-20 -10 0 10 20

Royal Dutch Shell PLC 4.9%Total S.A. 4.3%Petroleo Brasileiro S/A 4.0%BP PLC 3.9%Chevron Corp. 3.8%Lukoil Oil Company 3.7%OAO Gazprom 3.7%Exxon Mobil Corp. 3.2%Statoil ASA 2.6%Repsol YPF S.A. 2.4% Total 36.5%


Strategy Benchmark

Alpha 4.04 0.00

Beta 1.06 1.00R2 0.96 1.00



2012 2013

Strategy 9.23 4.39

Benchmark 1.96 3.31

17


GMO © 2014

GMO Core Plus Bond Strategy Inception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index


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

While the overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by only 1 basis point during the quarter,

spreads tightened by as much as 19 basis points (CMBS). Only MBS spreads and triple-A credit spreads widened, by 4 basis points and 1 basis point, respectively.

U.S. interest rates were mixed, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 28

basis points to end the quarter at 2.7%, while 2‑year yields rose by 5 basis points to end the quarter at 0.4%. Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Strategy (DOF) and GMO World Opportunity

Overlay Strategy (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection, developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also contributed during the quarter.




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.



5 Regional weights are duration adjusted.

Currency Weights4 Regional Weights4,5

Characteristics4



Strategy 3.07 3.07 0.01 10.80 4.44 6.03Benchmark 2 1.84 1.84 -0.10 4.80 4.46 5.77


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 6.59 3.95 5.76 -1.01 -18.00 20.90 13.24 9.89 9.07 0.07

Benchmark 4.34 2.43 4.33 6.97 5.24 5.93 6.54 7.84 4.22 -2.03

Strategy Benchmark

Alpha -0.11 0.00

Beta 1.11 1.00R2 0.50 1.00


Modified Duration 5.0Coupon 3.7 %Maturity 7.3 Yrs.Yield to Maturity 3.2 %Emerging Cntry Debt Exp. 5 %

Underweight/OverweightAgainst Benchmark (%)

Europe

North America

Pacific

Emerging 4.5

-15.9

4.7

1.1

-20 -10 0 10 20


Europe

North America

Pacific 1.4

0.5

-1.9

-4 -2 0 2 4

18


GMO © 2014

GMO International Bond Strategy Inception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index


The International Bond Strategy returned +5.2% net of fees in the first quarter, outperforming the J.P. Morgan GBI Global ex U.S. index return of +3.3% by 1.9%. The 22-basis-point fall in the index yield accounted for the bulk of positive index returns, with the U.S. dollar’s fall versus most developed currencies contributing to gains.

Government bond markets rose during the first quarter of 2014, with most of the gains coming in January during the wobble in risk assets. After rising sharply into year end, the yield on the J.P. Morgan Global Bond index declined from 2.2% to 2.0% in January, as a sharp fall in global equities increased demand for safe-haven assets. For the rest of the quarter, the yield ranged +/- 5 bps around 2%.

In local currency bond index terms, gains were the highest in Sweden (+2.7%), and the lowest in Japan (+0.8%). In other bond markets, the euro area, U.K., Canada, Switzerland, and Australia posted total return gains of +1.2% to +2.6%.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) flattened in Q1, with Canada and the euro area flattening the most.

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

Central banks of the countries in the Strategy’s opportunity set reported no policy rate changes during the quarter. Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Strategy (DOF) and GMO World Opportunity

Overlay Strategy (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection, developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also contributed during the quarter.




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.





Characteristics4

Modified Duration 7.3

Coupon 3.2 %

Maturity 9.1 Yrs.

Yield to Maturity 2.7 %

Emerging Cntry Debt Exp. 4 %


Europe

North America

Pacific 0.8

2.1

-2.9

-4 -2 0 2 4





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 14.88 -8.08 9.33 3.66 -13.95 20.59 15.18 6.71 6.21 -0.57

Benchmark 12.04 -9.24 6.84 11.30 11.39 3.94 6.78 5.91 0.85 -5.08

Strategy Benchmark

Alpha 1.61 0.00

Beta 0.96 1.00R2 0.76 1.00



Europe

North America

Pacific

Emerging 4.1

-17.5

14.9

0.6

-20 -10 0 10 20

19


GMO © 2014

GMO Currency Hedged International Bond Strategy Inception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) Index


The Currency Hedged International Bond Strategy returned +4.9% net of fees in the first quarter, outperforming the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index total return of +3.4% by 1.5%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index fell by 36 basis points during the quarter.





Central banks of the countries in the Strategy’s opportunity set reported no policy rate changes during the quarter. Developed markets currency selection contributed positively during the first quarter, leading gains. Exposures to asset-backed

securities held indirectly through GMO Debt Opportunities Strategy and GMO World Opportunity Overlay Strategy, developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also contributed during the quarter.




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.





Characteristics4





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 8.91 7.25 2.45 -4.00 -13.56 18.81 11.70 7.97 11.34 0.14

Benchmark 6.73 6.54 1.79 3.42 9.22 2.90 3.71 6.10 8.07 0.65

Strategy Benchmark

Alpha 1.14 0.00

Beta 0.98 1.00R2 0.38 1.00



Coupon 4.4 %

Maturity 9.3 Yrs.




Europe

North America

Pacific 1.3

-0.4

-0.8

-4 -2 0 2 4


Europe

North America

Pacific

Emerging 4.4

-15.7

15.3

1.0

-20 -10 0 10 20

20


GMO © 2014


GMO Global Bond Strategy Inception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index

The Global Bond Strategy returned +4.1% net of fees during the first quarter, outperforming the J.P. Morgan GBI Global index return of +2.7% by 1.4%. The 19-basis-point fall in the index yield accounted for the bulk of positive index returns, with the U.S. dollar’s fall versus most developed currencies contributing to gains.





Central banks of the countries in the Strategy’s opportunity set reported no policy rate changes during the quarter. Exposures to asset-backed securities held indirectly through GMO Debt Opportunities Fund (DOF) and GMO World Opportunity

Overlay Fund (WOOF) contributed positively during the first quarter, leading gains. Developed markets currency selection, developed markets interest-rate positioning, and exposure to emerging country debt via the GMO Emerging Country Debt Strategy also contributed during the quarter.



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. 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.





Characteristics4





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 12.12 -5.84 7.94 2.58 -14.93 20.30 14.14 8.30 6.36 -2.56

Benchmark 10.10 -6.53 5.94 10.81 12.00 1.91 6.42 7.22 1.30 -4.50

Strategy Benchmark

Alpha 0.91 0.00

Beta 0.94 1.00R2 0.68 1.00



Coupon 3.2 %

Maturity 8.1 Yrs.




Europe

North America

Pacific

Emerging 4.1

-16.6

11.9

0.5

-20 -10 0 10 20


Europe

North America

Pacific 0.9

2.3

-3.2

-4 -2 0 2 4

21


GMO © 2014

GMO Global Asset Allocation Strategy Inception: 6/30/88; Benchmark: GMO Global Asset Allocation Index


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.




The Global Asset Allocation Strategy finished the quarter up 1.7% net of fees, ahead of its benchmark by 0.3%. Asset allocation detracted from performance while implementation contributed to performance.

Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55 billion per month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate. Overall, the Fed’s March statement has generally been interpreted as hawkish. President Putin’s annexation of Crimea leaves investors wondering what fallout, if any, is coming; Russian equities and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first quarter of 2014. The U.S. equity market maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.

Asset allocation detracted 0.6% from performance. The portfolio was underweight equity and fixed income while both the MSCI ACWI and the Barclays U.S. Aggregate delivered positive performance.

Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation in the portfolio. During the first quarter we reallocated approximately 4% from equities into TIPS, bringing the equity allocation to roughly 58%. We favor TIPS for their positive real yield and protection from unexpected inflation.

Implementation delivered +0.9% during the quarter. Several underlying strategies contributed to this outperformance. The international equity portfolio outperformed MSCI EAFE Value due to country selection (in particular overweights to Italy and Spain) and security selection. However, this positive performance was partially offset by our position in emerging markets equity. Specifically, the allocation to Russian energy stocks (the portfolio’s largest active weight position) performed poorly during the quarter due to geopolitical events in that region.



Strategy Composition3

Strategy Weights Relative to Benchmark3

Benchmark Composition (65% MSCI ACWI / 35% Barclays U.S. Aggregate)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 13.55 9.06 12.30 7.94 -20.83 24.15 7.93 2.13 11.11 12.38

Benchmark 10.26 5.99 13.41 9.26 -27.72 24.14 11.05 -1.80 12.13 13.60

Strategy Benchmark

Alpha 2.68 0.00

Beta 0.79 1.00R2 0.86 1.00


U.S. Equities31.9%

InternationalEquities26.3%

EmergingEquities6.8%

Fixed Income35.0%

U.S. Equitykey exposure to

U.S. Quality19.3%

International Equitykey exposure to

European/UK Value27.1%

RiskPremium

2.5%

EmergingMarkets

8.6%

StrategicFixed Income

4.5%

EmergingCountry Debt

3.7%

TIPS13.4%

ABS3.8%

Alpha Only9.4%

Alternativ eAsset Opportunity

5.3%

SpecialSituations

0.5%

Cash & CashEquiv alents

1.9%

-12.6%

+3.3% +1.8%

-9.6%

+17.1%

-20%-10%

0%10%20%

U.S. Equities Int'l. Equities EmergingEquities

Fixed Income Other

22


GMO © 2014

GMO Real Return Global Balanced Asset Allocation Strategy Inception: 6/30/04; Benchmark: Blended Benchmark


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.




The Real Return Global Balanced Asset Allocation Strategy returned +1.9% net of fees in the quarter, outperforming its benchmark by 0.7%. Implementation was the driver of outperformance.


Asset allocation detracted modestly from performance during the quarter. The portfolio was underweight equity and fixed income while both the MSCI World index and the Barclays U.S. Aggregate delivered positive performance. Likewise, the emerging markets equity exposure was a detractor.

Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation in the portfolio. During the first quarter we reallocated approximately 4% from equities into TIPS; the current equity allocation is roughly 52%. We favor TIPS for their positive real yield and protection from unexpected inflation. Also, during the quarter, we increased the allocation to emerging markets equity to approximately 8%. As the emerging markets have not participated in the general market rally, they have become our highest expected return asset class.

Implementation delivered over +1.0% during the quarter. Several underlying strategies contributed to this outperformance. The international equity portfolio outperformed MSCI EAFE Value due to country selection (in particular overweights to Italy and Spain) and security selection. However, this positive performance was partially offset by emerging markets equity. In particular, the allocation to Russian energy stocks (the portfolio’s largest active weight position) performed poorly during the quarter due to geopolitical events in that region. Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Strategy (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross-market positioning).





Benchmark Composition

(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% Barclays U.S. Agg.)



Strategy 1.92 1.92 10.54 10.32 n/a 7.47Benchmark 2 1.18 1.18 11.19 12.00 n/a 5.75

Strategy Benchmark

Alpha 3.26 0.00

Beta 0.63 1.00R2 0.79 1.00


U.S. Equities32.9%


Fixed Income20.0%

Cash20.0%


U.S. Quality17.6%



RiskPremium

2.2%EmergingMarkets

8.0%

StrategicFixed Income

0.6%


3.0%

TIPS11.5%

ABS2.6%

Cash & CashEquiv alents

0.1%

Multi-Strategy30.0%

-15.3%

+7.6%

-2.3%

+10.1%

-20%

-10%

0%

10%

20%

U.S. Equities Int'l. Equities Fixed Income Absolute Return


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 10.11 8.09 13.26 7.63 -11.36 13.02 5.00 3.16 10.65 13.68

Benchmark 7.45 6.82 13.69 7.87 -25.17 19.17 8.94 -1.76 10.42 14.95

23


GMO © 2014

GMO Benchmark-Free Allocation Strategy Inception: 7/31/01; Benchmark: Consumer Price Index


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.


4 Std. Deviation is a measure of the volatility of a portfolio’s 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.


The Benchmark-Free Allocation Strategy returned +1.2% net of fees in the quarter. Asset allocation and implementation both contributed to positive performance.


All portfolio allocations, with the exception of emerging markets equity, contributed modestly to the total return during the quarter. Quality contributed positive absolute return this quarter as it kept up with the broader U.S. equity market. Value stocks outperformed growth stocks

in international developed markets. The international value allocation also added value through country selection (in particular overweights to Italy and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance during the quarter. In particular, the allocation to Russian energy stocks (the portfolio’s largest active weight position) performed poorly during the quarter due to the geopolitical events in the region.

The TIPS position added to performance during the quarter as real yields came down. The credit allocation (ABS and emerging country debt) likewise contributed modestly to return as did the Alpha Only and Alternative Asset Opportunity Strategies. Alpha Only, which goes long an active equity portfolio but shorts out the beta, performed well this quarter, benefiting from the selection of quality (which kept up with the equity market, and hence outperformed its beta) and international value (which outperformed international growth, and benefited from positive security selection).

Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation in the portfolio. During the first quarter we decreased the equity exposure by about 5%, bringing the current equity allocation to about 49%. We reallocated most of that capital to TIPS. We favor TIPS for their positive real yield and protection from unexpected inflation. During the quarter we also removed the currency hedge on international value equities. In 2013, the U.S. dollar was cheap relative to other developed market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today, we believe that the dollar is roughly fairly valued.



Absolute Strategy Weights3 Strategy Composition3





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 17.96 16.32 12.75 10.93 -12.07 19.86 4.58 3.60 10.35 11.24

Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56

Strategy

Std. Deviation 8.30

Sharpe Ratio 1.16Drawdown

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

U.S. Equitykey exposureto U.S. Quality

16.0%



EmergingEquities10.0%Risk

Premium5.0%

TIPS14.0%

ABS &Credit5.0%


4.0%

Alpha Only14.0%


8.0%

Cash & Collateral6.0%

+49.0%

+14.0% +9.0%+22.0%

6.0%

0%

20%

40%

60%

Equities Fixed Income Credit AbsoluteReturn

Cash

24


GMO © 2014

GMO Global Allocation Absolute Return Strategy Inception: 7/31/01; Benchmark: Consumer Price Index


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.




The Global Allocation Absolute Return Strategy returned +1.2% net of fees in the quarter. Asset allocation and implementation both contributed to positive performance.


All portfolio allocations, with the exception of emerging markets equity, contributed modestly to the total return during the quarter. Quality contributed positive absolute return this quarter as it kept up with the broader U.S. equity market. Value stocks outperformed growth stocks

in international developed markets. The international value allocation also added value through country selection (in particular overweights to Italy and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance during the quarter. In particular, the allocation to Russian energy stocks (the portfolio’s largest active weight position) performed poorly during the quarter due to the geopolitical events in the region.

The TIPS position added to performance during the quarter as real yields came down. The credit allocation (ABS and emerging country debt) likewise contributed modestly to return as did the Alpha Only and Alternative Asset Opportunity Strategies. Alpha Only, which goes long an active equity portfolio but shorts out the beta, performed well this quarter, benefiting from the selection of quality (which kept up with the equity market, and hence outperformed its beta) and international value (which outperformed international growth, and benefited from positive security selection).

Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Strategy (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross-market positioning).

Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation in the portfolio. During the first quarter we decreased the equity exposure by about 5%, bringing the current equity allocation to about 49%. We reallocated most of that capital to TIPS. We favor TIPS for their positive real yield and protection from unexpected inflation. During the quarter, we also removed the currency hedge on the international value equities. In 2013, the U.S. dollar was cheap relative to other developed market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today, we believe that the dollar is roughly fairly valued.



Absolute Strategy Weights3 Strategy Composition3





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 15.29 13.54 11.01 9.99 -7.19 14.92 3.02 4.22 9.42 10.04

Benchmark 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87 1.56

Strategy

Std. Deviation 6.73

Sharpe Ratio 1.22Drawdown

(10/31/07-2/28/09)-12.38


U.S. Quality16.1%



RiskPremium

5.0%EmergingMarkets

9.6%Strategic

Fixed Income1.6%


3.6%

AssetAllocation Bond

13.4%

Debt Opportunities3.3%

U.S. Treasury1.4%


3.4%

Alpha Only3.8%

SpecialSituations

0.4%

Multi-Strategy20.0%

+49.2%

+23.2%+27.7%

0%

20%

40%

60%

Equities Fixed Income Absolute Return

25


GMO © 2014


GMO Real Return Asset Allocation Strategy Inception: 12/31/09; Benchmark: Consumer Price Index


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.



The Real Return Asset Allocation Strategy returned +0.5% net of fees in the quarter. Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55 billion per

month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate. Overall, the Fed's March statement has generally been interpreted as hawkish. President Putin's annexation of Crimea leaves investors wondering what fallout, if any, is coming; Russian equities and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first quarter of 2014. The U.S. equity market maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.

All long exposures, with the exception of emerging markets equity, contributed modestly to the total return during the quarter. U.S. high quality stocks contributed positive absolute return this quarter. Value stocks outperformed growth stocks in international developed markets. The international value allocation also added value through country selection (in particular overweights to Italy and Spain) and security selection. Emerging markets equity was a slight negative contributor to performance during the quarter. In particular, the allocation to Russian energy stocks (the portfolio's largest active weight position) performed poorly during the quarter due to the geopolitical events in the region. The credit allocation (ABS and emerging country debt) likewise contributed modestly to return.

Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the long equity allocation in the portfolio. Also, during the quarter, we removed the currency hedge on the international value equities. In 2013, the U.S. dollar was cheap relative to other developed market currencies, so we hedged the international currency exposure. During the year, the hedge paid off as the dollar appreciated. Today, we believe that the dollar is roughly fairly valued.

The equity spread trades and currency positions were additive while the rates spread trades detracted from return. Volatility-balanced quality added to performance as quality kept up with the S&P 500 and therefore outperformed its beta. The China equity hedge also added value during the quarter. The Antipodean bond trade detracted from performance as yields fell less in Australia and New Zealand than they did in the global bond markets. Both the long Indian rupee and the short Chinese yuan currency trades were additive during the quarter.

Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Fund (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Fund (due to positive cross-market positioning). Likewise, the Credit Opportunities Fund added value.


Relative Value4

Absolute Strategy Weights4

Currencies4



Strategy

Std. Deviation 6.01Sharpe Ratio 0.04

Drawdown(12/31/09-6/30/10)

-12.96

Exposure (%)

EuroSwiss Franc

Indian RupeeAsian Currency Basket

-55

-44





2010 2011 2012 2013

Strategy -11.89 1.87 6.53 5.48

Benchmark 1.25 2.95 1.87 1.56

Exposure (%)

U.S. Equity-Key exposure to U.S. Quality

International Equity-Key exposure to European/UK Value

Emerging ex-ChinaEquity Risk PremiumABS & CreditEmerging DebtCredit OpportunitiesMulti-Strategy 20.0

3.0

4.0

5.0

5.010.0

18.0

16.0

-30 -15 0 15 30

Exposure (%)

Vol Balanced QualityVol Balanced EmergingVol Balanced Anti-China

Global 10-Yr. Bonds*Japanese 10-Yr. Bonds*

Antipodean 10-Yr. Bonds*Global 10-Yr. Bonds*

-33

30

-138

-1715

+49.0%

+9.0%

+23.0%

0%

20%

40%

60%

Equities Fixed Income Absolute Return

26


GMO © 2014

GMO Global All Country Equity Allocation Strategy Inception: 12/31/93; Benchmark: MSCI All Country World Index


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.




The Global All Country Equity Allocation Strategy returned +2.0% net of fees for the quarter, as compared to the MSCI ACWI’s +1.1% return. Asset allocation and implementation each made a positive contribution to relative returns during the period.

Entering 2014, the prudently bullish consensus from global equity investors reasoned that, while the remarkable percentage gains of a year ago may not be repeated, there was ample reason to believe there was room for further advance. After all, global central banks remained quite accommodative and economic indicators in key markets continued to improve. The first three months of 2014 brought plenty of excitement, with concerns about slowing economic growth in China, the geopolitical situation in Ukraine, and the careful balance between central bank stimulus and local economic growth in major countries around the globe providing ample headline fodder and making for a volatile path for equity markets around the globe. The end result after all that volatility, however, was a relatively benign quarter of absolute returns. The MSCI ACWI’s +1.1% quarterly return was led by strong returns from U.S. and European equities, with the S&P 500 and MSCI Europe indexes returning +1.8% and +2.1%, respectively. Emerging markets and Japanese equities lagged during the period, with the MSCI Emerging Markets index returning -0.4% and the MSCI Japan index returning -5.6%.

Asset allocation decisions had a positive impact on performance, driven primarily by an allocation to international equities. Our allocation to emerging markets detracted from relative returns.

Implementation also had a positive impact on performance during the quarter. The main source of positive implementation effect was International Equity, which outperformed MSCI EAFE and MSCI EAFE Value by a strong margin. This strong relative performance was driven by a significant allocation to European and U.K. value companies. Implementation had a small impact in the U.S., as high quality U.S. stocks delivered modest returns relative to U.S. indexes. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian Energy and Brazil Materials were the most significant detractors.

Over the quarter, we made incremental changes to the portfolio allocation. Reflecting the comparatively attractive return opportunities in European and U.K. value stocks, we increased our allocation to International equities, reducing U.S. equity exposure.






(MSCI ACWI)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 17.62 12.51 18.87 11.12 -31.41 24.19 10.12 -1.29 14.74 21.33

Benchmark 14.86 9.95 20.34 10.38 -41.82 34.45 12.94 -6.87 16.34 23.46

Strategy Benchmark

Alpha 2.72 0.00

Beta 0.82 1.00R2 0.91 1.00


U.S. Equities49.0%

DevelopedInt'l. Equities

40.5%

Emerging Markets10.5%

U.S. Equitykey exposure to U.S. Quality

39.8%



EmergingMarkets13.5%

-9.2%

+6.2%+3.0%

-10%

-5%

0%

5%

10%

U.S. Equities International Equities Emerging Equities

27


GMO © 2014

GMO Global Developed Equity Allocation Strategy Inception: 3/31/87; Benchmark: MSCI World Index


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.




The Global Developed Equity Allocation Strategy returned +2.6% net of fees for the quarter, as compared to the MSCI World index’s +1.3% return. Asset allocation and implementation each made a positive contribution to relative returns during the period.


Asset allocation decisions had a positive impact on performance, driven primarily by allocations to international equities and emerging equities. Implementation also had a positive impact on performance during the quarter. The main source of positive implementation effect was International

Equity, which outperformed MSCI EAFE and MSCI EAFE Value by a strong margin. This strong relative performance was driven by a significant allocation to European and U.K. value companies. Implementation had a small impact in the U.S., as high quality U.S. stocks delivered modest returns relative to U.S. indexes. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian Energy and Brazil Materials were the most significant detractors.

Over the quarter, we increased our allocation to emerging market equities, with the majority of the increased weight in emerging coming from a reduction in our U.S. allocation.






(MSCI World Index)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 17.36 12.26 20.22 9.69 -33.19 20.55 9.25 -0.40 14.14 25.82

Benchmark 13.64 9.42 20.05 9.02 -40.70 29.97 11.77 -5.52 15.84 26.68

Strategy Benchmark

Alpha 2.78 0.00

Beta 0.84 1.00R2 0.89 1.00


U.S. Equities54.8%


U.S. Equitykey exposure to U.S. Quality

41.7%




-13.1%

+13.2%

-20%

-10%

0%

10%

20%

U.S. Equities International Equities

28


GMO © 2014

GMO International All Country Equity Allocation Strategy Inception: 2/28/94; Benchmark: MSCI All Country World ex USA Index


2 The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World Index) ex USA (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.




The International All Country Equity Allocation Strategy returned +1.8% net of fees for the quarter, as compared to the MSCI ACWI ex-USA return of +0.5%. Asset allocation and implementation each made a positive contribution to relative returns during the period.


Asset allocation decisions had a positive impact on performance. Our allocation to international equities had a positive return impact while our allocation to emerging markets detracted from relative returns.

Implementation also had a positive impact on performance during the quarter. The main source of positive implementation effect was International Equity, which outperformed MSCI EAFE and MSCI EAFE Value by a strong margin. This strong relative performance was driven by a significant allocation to European and U.K. value companies. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian Energy and Brazil Materials were the most significant detractors.






(MSCI ACWI ex USA)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 24.06 19.03 25.91 17.39 -40.96 27.77 12.74 -11.31 16.82 16.71

Benchmark 21.11 16.71 26.94 16.08 -45.26 40.16 10.83 -13.63 16.90 15.47

Strategy Benchmark

Alpha 2.25 0.00

Beta 0.92 1.00R2 0.94 1.00


DevelopedInt'l.

79.4%





-3.2%

+3.2%

-4%

-2%

0%

2%

4%

International Equities Emerging Equities

29


GMO © 2014

GMO International Developed Equity Allocation Strategy Inception: 11/30/91; Benchmark: MSCI EAFE Index


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.




The International Developed Equity Allocation Strategy returned +3.2% net of fees for the quarter, as compared to the MSCI EAFE Index’s +0.7% return. Asset allocation and implementation each made a positive contribution to relative returns during the period.


Asset allocation decisions had a positive impact on performance. Our allocations to international equities and emerging market equities each had a positive relative return impact.

Implementation also had a positive impact on performance during the quarter. The main source of positive implementation effect was International Equity, which outperformed MSCI EAFE and MSCI EAFE Value by a strong margin. This strong relative performance was driven by a significant allocation to European and U.K. value companies. Implementation had a negative impact within emerging markets, where our valuation-driven exposure to Russian Energy and Brazil Materials were the most significant detractors.

Over the quarter, we increased our allocation to emerging market equities, with the increased weight in emerging coming from a reduction in our international allocation.



Strategy Composition3 Benchmark Composition

(MSCI EAFE Index)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 24.89 15.56 25.50 12.69 -38.39 19.84 10.58 -9.45 17.09 24.13

Benchmark 21.17 14.41 26.62 11.58 -43.33 32.16 7.93 -12.14 17.32 22.78

Strategy Benchmark

Alpha 2.59 0.00

Beta 0.87 1.00R2 0.90 1.00





30


GMO © 2014

GMO Tax-Managed Global Balanced Strategy Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index


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.




The Tax-Managed Global Balanced Strategy returned +1.6% net of fees for the quarter, outperforming its benchmark by 0.1%. Asset allocation detracted from performance while implementation contributed.

Uncertainty reigns as investors wait to see how recent events will play out. Federal Reserve Chair Yellen further tapered bond purchases (currently at $55 billion per month) and backed away from the guidance that breaching a 6.5% unemployment rate is a key criterion for an increase in the Fed Funds Rate. Overall, the Fed's March statement has generally been interpreted as hawkish. President Putin's annexation of Crimea leaves investors wondering what fallout, if any, is coming; Russian equities and the ruble both suffered during the quarter. Global stock and bond markets delivered modest returns during the first quarter of 2014. The U.S. equity market maintains a positive trajectory with the S&P 500 up 1.8%. Outside of the U.S., MSCI EAFE gained 0.7%, held back by poor returns in Japan. The quarter saw very mixed performance across the emerging markets, with the MSCI Emerging Markets index at -0.4% overall. U.S. bond yields were down during the quarter; the 10-year Treasury yield fell from 3.00% to 2.72%, and the 10-year TIPS yield fell from 0.80% to 0.60%.

Asset allocation detracted from performance. The strategy was underweight equity and fixed income while both the global equities and muni bonds delivered positive performance. Our outlook on equities has deteriorated over time as the equity markets have become more and more expensive; we are reflecting this by reducing the equity allocation in the portfolio by about 4%. These assets were reallocated primarily to muni bonds.

Implementation contributed to performance. The international equity strategy outperformed MSCI EAFE Value due to country selection (in particular overweights to Italy and Spain) and security selection. However, this positive performance was partially offset by emerging markets equity. In particular the allocation to Russian energy stocks (the strategy's largest active weight position) performed poorly during the quarter due to geopolitical events in that region. Multi-Strategy had positive performance for the quarter; the largest contributors to performance were the Systematic Global Macro Strategy (due to strong equity market positioning, long Europe and short Asia), and Fixed Income Hedge Strategy (due to positive cross-market positioning).






(GMO Tax-Managed Global Balanced Index)





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 12.73 9.91 12.08 7.16 -14.95 14.29 6.88 1.34 9.71 10.86

Benchmark 10.02 5.91 12.95 7.12 -25.89 23.90 9.99 -0.27 11.47 12.78

Strategy Benchmark

Alpha 2.27 0.00

Beta 0.74 1.00R2 0.90 1.00


U.S. Equities29.4%



Fixed Income40.0%

U.S. Equities17.3%


RiskPremium

2.3%EmergingEquities

8.5%


2.1%

MunicipalBonds31.0%

Multi-Strategy13.5%

-12.1%

+3.3% +2.2%

-6.9%

+13.5%

-20%-10%

0%10%20%

U.S. Equities Int'l. Equities EmergingMarkets

Fixed Income AbsoluteReturn

31


GMO © 2014

GMO Total Equities Strategy Inception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index


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.


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

The MSCI ACWI returned +1.1% for the quarter. The Total Equities Strategy also returned +1.1% net of fees for the period, with the

majority of the positive absolute result driven by exposure to Equities. Our Equities strategies posted a +4.0% return for the period, a result that led the MSCI ACWI. Our Volatility strategies posted a -0.1% return for the quarter while Merger Arbitrage delivered a -1.4% return for the period.


Exposure3, 4





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 1.07 3.56 -1.90 -5.37 14.26 -7.47 3.51 0.40 8.64 17.49

Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05

By Strategy (%)

Equities

Merger Arbitrage

Volatility

Other

Total 100.0

0.0

29.4

32.7

38.0

By Region (%)

Non-U.S.

U.S.

Total 100.0

43.9

56.1

32


GMO © 2014

GMO Tactical Opportunities Strategy Inception: 9/30/04; Benchmark: Citigroup 3-Month T-Bill Index


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 portfolio’s 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.


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

Quality stocks modestly underperformed low quality stocks and generally performed in line with broad market indexes in the first

quarter. The first quarter of 2014 proved to be a more challenging environment for equities than predominated in 2013. Growing concerns about growth in emerging markets, political turmoil in the Ukraine, and softer economic data in the U.S. all dampened the appetite for risk assets during the quarter.

Large cap stocks lost to small cap stocks both within quality and the larger universe. The components of quality - low leverage, stable

and high profits - had mixed results for the quarter. Low leverage and high profitability lost, and low profit volatility performed better than the broader market.

In the long portfolio, U.S. high quality stocks underperformed non-U.S. high quality stocks. The largest detractors in the long portfolio

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

The Strategy’s average net exposure for the quarter remained neutral.



Characteristics4 Sector Exposure4

Regional Weights4

GICS Sectors



Strategy -2.63 -2.63 -13.55 -16.15 n/a -6.90Benchmark 2 0.01 0.01 0.05 0.09 n/a 1.59

Long Short

P/E - Ex Neg Earn Hist 1 Yr Wtd Med 19.1 x 28.8 x% Negative Earnings 0.0 % 34.4 %Price/Book - Hist 1 Yr Wtd Avg 3.9 x 2.6 xDividend Yield - Hist 1 Yr Wtd Avg 2.3 % 1.7 %Return on Equity - Hist 1 Yr Med 20.9 % 6.0 %Market Cap - Weighted Median $Bil $130.1 $10.4Debt/Equity – Wtd Med 0.5 x 1.3 x% Long/Short 129 % 124 %

Region Net Weight

United States

Non-United States 13.8

-9.1

-20 -10 0 10 20


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy -7.57 -13.24 -1.65 17.87 36.52 -41.60 -25.31 27.51 -18.36 -9.64

Benchmark 0.44 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05

Strategy

Std. Deviation 18.12

Sharpe Ratio -0.47

Drawdown(11/30/08-2/28/14)

-63.62

Sector Net Weight Long Short


-2.5

-6.3

30.4

-3.5

19.4-32.2

-11.5

30.4

-14.9

-40 -20 0 20 40

33


GMO © 2014

GMO Currency Hedge Strategy Inception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index


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.




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

Foreign currencies were mixed against the dollar during the quarter. New Zealand dollar led gains, +5.4%, as the Reserve Bank

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

In performance attribution, cross-market positions added, mainly the long in New Zealand dollar, followed by the longs in Norwegian

krone and Australian dollar and the short in Canadian dollar. Opportunistic and volatility positions were flat for the quarter.



Performance Attribution4 Currency Weights4



Strategy 4.01 4.01 -11.59 3.47 -1.23 -0.04Benchmark 2 0.09 0.09 0.38 0.61 2.31 2.24


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 2.93 8.94 13.60 -15.57 -28.70 23.08 3.17 1.25 2.31 -10.17

Benchmark 1.48 3.37 5.25 5.70 4.12 1.45 0.45 0.44 0.82 0.40

Strategy


Sharpe Ratio -0.14

Drawdown(6/30/07-12/31/08)

-41.95

Net Weight

Europe

North America

Asia Pacific 10.9

6.7

-17.7

-20 -10 0 10 20

Net Contribution (%)

Europe

North America

Asia Pacific

Cash Mgmt/Fees/Other -0.8

4.2

0.4

0.1

-6 -3 0 3 6

34


GMO © 2014






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

Government bond markets rose during the first quarter of 2014, with most of the gains coming in January during the wobble in risk

assets. After rising sharply into year end, the yield on the J.P. Morgan Global Bond index declined from 2.2% to 2.0% in January, as a sharp fall in global equities increased demand for safe-haven assets. For the rest of the quarter, the yield ranged +/- 5 bps around 2%.

In local currency bond index terms, gains were the highest in Sweden (+2.7%), and the lowest in Japan (+0.8%). In other bond

markets, the euro area, U.K., Canada, Switzerland, and Australia posted total return gains of +1.2% to +2.6%. Global yield curves (measured by the difference between 10-year and 2-year swap rates) flattened in Q1, with Canada and the euro area

flattening the most. Central banks of the countries in the strategy’s opportunity set reported no policy rate changes during the quarter. The cross-market strategy posted gains thanks to long positions in the euro area, the U.S., Sweden, and Canada. Short positions in

Japan, the U.K., and Switzerland detracted, but were unable to fully offset gains. Thanks to flattening yield curves in Switzerland and the euro area, the integrated yield curve slope strategy also added value during the quarter.

Tactical Duration Overlay positions detracted; the strategy was long U.S. duration during the March sell-off in U.S. Treasuries.

Opportunistic strategies also detracted as a cross-market mean reversion trade moved against the strategy.



Performance Attribution4 Country Weights4

GMO Fixed Income Hedge Strategy Inception: 8/31/05; Benchmark: J.P. Morgan U.S. 3 Month Cash Index



Strategy 4.53 4.53 -1.11 10.03 n/a -0.51Benchmark 2 0.09 0.09 0.38 0.61 n/a 2.31

Strategy


Sharpe Ratio -0.15

Drawdown(5/31/06-1/31/09)

-49.18

Strategy Net Contribution (%)

Cross-Market

Tactical Duration Overlay

Yield Curve

Swaption Volatility

STRIPS vs. LIBOR

Other Opportunistic

Cash Mgmt/ABS/Fees/Other -0.7

-0.3

0.1

0.0

2.2

-0.3

3.4

-4 -2 0 2 4

Net Weight (%)

Europe

North America

Asia Pacific -160.0

75.0

5.0

-200 -100 0 100 200


2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 1.45 -4.61 -23.39 -25.45 21.63 11.03 15.85 10.07 -3.79

Benchmark 1.32 5.25 5.70 4.12 1.45 0.45 0.44 0.82 0.40

35


GMO © 2014

GMO Emerging Currency Hedge Strategy Inception: 3/31/06; Benchmark: J.P. Morgan U.S. 3 Month Cash Index






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

Currencies were mixed during the quarter. Among the main, liquid currencies, there were gains as high as 7.1% for Indonesia rupiah

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

Russian ruble fell by 6.5% amidst severe political uncertainty caused by President Putin’s Crimea incursion. The central bank was

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

A number of less-liquid, heavily managed currencies suffered substantial declines this quarter. Although the strategy does not currently

have positions in these currencies, it watches them for opportunities. Various combinations of low international reserves, political uncertainty, and weakening current account positions all were in play as >10% declines were registered in Argentina, Ukraine, Kazakhstan, Ghana, Zambia, and Costa Rica.

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

helpful, as was the Taiwan dollar short. The Strategy’s net long position declined modestly to 47% from 57%, due mostly to a flip from long to short in Hungary and from

long to zero in Israel, as well as a cut in the long position in Indonesia. The implied yield of the portfolio is 4.8%.





Strategy 1.78 1.78 -4.28 6.94 n/a 2.11Benchmark 2 0.09 0.09 0.38 0.61 n/a 2.17

Strategy


Sharpe Ratio 0.07

Drawdown(7/31/08-12/31/08)

-31.52


2006 2007 2008 2009 2010 2011 2012 2013

Strategy 5.13 9.72 -28.32 35.51 9.88 -5.14 5.56 -5.78

Benchmark 4.07 5.70 4.12 1.45 0.45 0.44 0.82 0.40

36


GMO © 2014

GMO Mean Reversion Strategy Inception: 2/28/02; Benchmark: Citigroup 3-Month T-Bill Index



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.


The first quarter of 2014 was a positive one for the Mean Reversion Strategy, with a net return of +0.9%. It was a somewhat positive quarter for equities, with the S&P 500 up 1.8%, MSCI EAFE up 0.7%, while MSCI Emerging fell slightly, down 0.4%. Our equity positions made us 0.8% in the quarter. Quality was the biggest piece of this, adding 0.6%, as the quality portfolio beat the S&P 500 by 0.2%, well above its beta-adjusted expectation given the rise in the index. Emerging also helped, despite the fact that our EM longs fell by about 1.4% in the quarter, as our anti-China positions fell over 3%. In aggregate, the emerging position added about 0.2%.

The biggest negative in the quarter was our bond positions. It was a strong quarter for bonds globally, with 10-year U.S. treasury yields falling 28 basis points, U.K. Gilts 41 basis points, and German Bunds 37 basis points. The JGBs had the decency to trail in the rally, with yields falling 12 basis points, which meant that that trade was a mild plus, but Australia and New Zealand also trailed the rest of the world, with yields only falling 16 and 14 basis points, respectively. This led to an aggregate loss on our bond positions of 70 basis points.

Currencies, on the other hand, were a nice plus in the quarter, adding 60 basis points. The rupee continued to strengthen versus the U.S. dollar, rising almost 3%, while the Chinese yuan, the biggest single piece of the basket we hold against it, weakened by 2.6%. The commodity currency position was also a small plus as the Canadian dollar was particularly weak in the quarter, countering decent gains by the Australian and New Zealand dollars, causing the aggregate to weaken versus the Asia basket. The euro/Swiss franc trade was a small loser as the franc inched closer to the 1.2 ceiling on the euro.

The Japanese inflation swaps that we have been slowly trading out of also helped in the quarter, adding close to 30 basis points.

Credit Opportunities was a nice positive in the quarter, rising about 3.6%, due partially to narrowing spreads, but also due to some particularly strong performance in a few loans, distressed munis, and post-reorg equities.

During the quarter, we increased our long Australian and New Zealand bond/short global bond trade as the yield spread widened and initiated a new position long UK Gilts/short German Bunds. We also initiated a new currency position, short the Israeli shekel versus a basket of developed and emerging currencies.



Fixed Income & Inflation Exposure4,5

Currency Exposure4 Other Exposure4



Strategy 0.91 0.91 -3.10 -2.23 4.20 7.40Benchmark 2 0.01 0.01 0.05 0.09 1.56 1.52


2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 11.42 6.97 5.63 18.63 18.43 -13.43 -8.61 6.77 5.98 -0.62

Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05

Strategy

Std. Deviation 8.90

Sharpe Ratio 0.66

Drawdown(2/28/09-12/31/10)

-25.19

Position Absolute %AUD 10 Yr. Bonds*Kiwi 10 Yr. Bonds*UK 10 Yr. Bonds*Canadian Rates*U.S. 10 Yr. Bonds*German Bunds*Japanese Interest Rates* -49.4

-11.0-5.0-5.0

1.016.2

28.5

-80 -40 0 40 80

Equity Exposure4

Position Absolute %U.S. EquitiesFinancialsEmerging EquitiesAnti-ChinaS&P 500 -93.1

-8.68.614.9

85.5

-200 -100 0 100 200

Position Absolute %EuroIndian RupeeEmerging CurrenciesChinese YuanCommodity CurrenciesIsraeli New ShekelAsia Currency BasketSwiss Francs -14.3

-10.0-5.7-4.8-4.8

2.912.4

14.3

-20 -10 0 10 20

Position Absolute %Credit Opportunies Fund 5.0

-6 -3 0 3 6

37


GMO © 2014

GMO Systematic Global Macro Strategy Inception: 3/31/02; Benchmark: Citigroup 3-Month T-Bill Index



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.


The Systematic Global Macro Strategy returned +1.9% net of fees over the first quarter of 2014. Our equity market selection contributed positive returns, currency selection lost value, while the other strategies had minor impacts on performance.

The strategy gained 1.6% in January from positive market selection as developed equity markets (MSCI World index) fell 3.7%. Equity markets leapt 5.0% higher in February and our strategy added 0.3%, then both equity markets (+0.1%) and the strategy (-0.1%) were close to flat in March.

As emerging market concerns drove equity markets lower in January, our equity market selection boosted portfolio returns from holding long positions in outperforming European markets and a short position in the weaker Japanese market. Currency positions added value as the U.S. dollar appreciated against large short positions in Australian and Canadian dollars. A long position in VIX futures added value as it rallied 17%. Finally, a net long allocation to bond markets added value as bond markets gained 1.6%, according to the J.P. Morgan GBI Global index.

However performance was mixed over the remainder of the quarter. In February, gains from our net long equity markets allocation were mostly offset by a net short commodity allocation, a long position in VIX futures, and a short position in the Australian dollar. In March, positive performance from equity market selection – our largest long position in Italy advanced 6.1% - was also offset by a short position in the Australian dollar. The Australian dollar appreciated 3.6% against the greenback, its second consecutive monthly gain.

Despite large moves in commodity markets, our market selection had little impact on performance. Gains from long positions in soybeans (+14.4%) and hogs (+10.1%), and a short position in copper (-5.1%) were offset by short positions in coffee (+58.1%) and wheat (+15.5%).



Bond Market Selection4

Currency Selection4

Commodity Markets4

Equity Market Selection4

Country Net Weight (%)United StatesAsset Backed JapanNet Bond Markets 7.0

-34.01.0

40.0

-60 -30 0 30 60

Commodity Net Weight (%)SoybeansCocoaCottonSugarGasolineSoy OilWheatCopperGoldNet Commodities -6.0

-10.0-6.3-5.5-4.0-3.3

-0.31.0

4.018.3

-20 -10 0 10 20





2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Strategy 1.33 4.63 8.39 15.06 -3.88 15.28 10.37 5.79 0.73 9.58

Benchmark 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07 0.05

Strategy

Std. Deviation 8.41

Sharpe Ratio 0.72

Drawdown(6/30/08-9/30/08)

-14.32

Country Net Weight (%)ItalyNetherlandsUnited KingdomTaiwanVolatility IndexSingaporeMSCI EmergingUnited StatesKoreaJapanNet Equity Markets 74.0

-17.0-3.5

1.01.52.02.57.0

15.031.034.5

-80 -40 0 40 80

* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It should not be included in gross exposure calculations. ** The Cash exposure is a balancing item for all other positions (including foreign exchange, but excluding U.S. Dollar). It should not be included in gross exposure calculations.

Currency Net Weight (%)Canadian DollarAustralian DollarU.S. Dollar*Cash** -28.0

47.0-33.0

-14.0

-60 -30 0 30 60

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Full Name Description

Barclays U.S. Aggregate Index The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least one year and rated investment grade or higher.

Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.

CPI Index The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.

GMO Blended Global All Country Equity Allocation Index

The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended Global Asset Allocation Index

The blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended Global Developed Equity Allocation Index

The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended International All Country Equity Allocation Index

The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended International Developed Equity Allocation Index

The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended Real Return Global Balanced Asset Allocation Index

The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended U.S. Equity Allocation Index

The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMO’s presentation thereof.

GMO Tax-Managed Global Balanced Index

The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

J.P. Morgan GBI Global The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of one year or more.

J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) +

The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan GBI Global ex U.S. (Hedged) through 12/31/2003 and (ii) the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) thereafter.

J.P. Morgan GBI Global ex-U.S. Index

The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of one year or more.

J.P. Morgan U.S. 3 Month Cash Index

The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The duration of the Index is generally 90 days.

Benchmarks and Indices GMO measures each strategy’s 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 strategy’s 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 strategy’s Benchmark differs from the broad based index against which performance is shown in the strategy’s prospectus. GMO may change a strategy’s benchmark from time to time.

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Full Name Description

MSCI ACWI The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI ACWI Commodity Producers

The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of listed large and mid capitalization commodity producers within the global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI ACWI ex USA The MSCI ACWI ex USA (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international (excluding U.S. and including emerging) large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

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

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

MSCI EAFE Value Index The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85% of each market’s 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 Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

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

Russell 3000 Index The Russell 3000 Index is an independently maintained and widely published index comprised of the stocks of the 3,000 largest U.S. companies based on total market capitalization. These companies represent approximately 98% of the total market capitalization of the U.S. equity market. Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell ® is a trademark of Russell Investment Group.

S&P 500 Index The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.

S&P Developed ex-U.S. Small Cap Index

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

S&P/IFCI Composite Index The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.

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gmo q1 2014

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