-
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.comGMOLLC2014
GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship
Manager.Fornewbusinessinquiries,pleasecontactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.comThisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.
GMOQuarterlyUpdate December31,2014
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December31,2014
1
GMOCapabilities
GMOMultiAssetClass PageBenchmarkFreeAllocation 4Global
AllocationAbsoluteReturn 6Global AssetAllocation 8Real ReturnGlobal
BalancedAssetAllocation 10TaxManagedGlobal Balanced 12
GMOGlobalEquities PageGlobal All CountryEquityAllocation
14Global DevelopedEquityAllocation 16Global FocusedEquity 18Quality
20Resources 22
GMOInternationalEquities PageInternational All
CountryEquityAllocation 24International DevelopedEquityAllocation
26TaxManagedInternational Equities*International Equity
28International ActiveEAFE 30International ActiveForeignSmall
Companies 32International Small Companies*
GMOU.S.Equities PageU.S.EquityAllocation 34
GMOEmergingEquities PageEmergingMarkets
36EmergingCountries*EmergingDomesticOpportunities 38
GMOFixedIncome PageGlobal Bond 40International Bond
42CurrencyHedgedInternational Bond 44CorePlus Bond
46EmergingCountryDebt*EmergingCountryLocal Debt*DebtOpportunities
48
GMOAbsoluteReturn
PageEmergingCountryDebtLong/Short*FixedIncomeHedge 50MeanReversion
52SystematicGlobal Macro 54Tactical Opportunities 56Total Equities
58MultiStrategy*
*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnotincludedinthisdocument.ForinformationpleasecontactGMO.
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December31,2014
2
PerformanceofGMOStrategiesandBenchmarks
TotalReturnNetofFees AverageAnnualTotalReturn
GMOMultiAssetClassStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
BenchmarkFreeAllocation 7/31/01 0.74 1.31 0.64 1.31 6.15 7.53
10.56CPI 0.62 0.67 0.67 1.66 2.14
2.15GlobalAllocationAbsoluteReturn 7/31/01 0.60 1.82 1.15 1.82 5.65
6.89 9.26CPI 0.62 0.67 0.67 1.66 2.14 2.15GlobalAssetAllocation
6/30/88 1.21 1.27 3.59 1.27 6.87 6.12 9.60GMOGlobalAssetAllocation+
0.90 4.87 4.87 7.81 5.55 8.12RealReturnGlobalBalancedAssetAlloc.
6/30/04 0.92 2.01 2.21 2.01 6.81 6.26
6.92GMORealReturnGlobalBalancedAABlended+ 0.97 4.22 4.22 7.20 5.16
5.63TaxManagedGlobalBalanced 12/31/02 0.69 2.02 3.00 2.02 6.09 5.60
7.55GMOTaxManagedGlobalBalancedIndex 0.58 5.02 5.02 7.69 5.47
7.12
GMOGlobalEquityStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
GlobalAllCountryEquityAllocation 12/31/93 2.20 0.65 4.82 0.65
8.50 6.65 8.95MSCIACWI++ 0.41 4.17 4.17 9.49 6.04
7.44GlobalDevelopedEquityAllocation 3/31/87 1.86 0.38 4.56 0.38
9.42 6.46 9.33MSCIWorld+ 1.01 4.94 4.94 10.21 6.02
7.45GlobalFocusedEquity 12/31/11 2.35 3.24 7.40 3.24 N/A N/A
14.99MSCIACWI 0.41 4.16 4.16 N/A N/A 14.10Quality 2/29/04 5.17
12.54 1.14 12.54 13.25 7.23 7.00S&P500 4.93 13.69 13.69 15.45
7.67 7.77Resources 12/31/11 18.58 16.79 2.10 16.79 N/A N/A
1.74MSCIACWICommodityProducers 14.05 14.69 14.69 N/A N/A 3.50
GMOInternationalEquityStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
InternationalAllCountryEquityAlloc. 2/28/94 5.48 6.22 2.33 6.22
5.04 5.43 7.27MSCIACWIexUSA+ 3.87 3.88 3.88 4.43 5.06
5.54InternationalDevelopedEquityAllocation 11/30/91 5.54 5.97 1.07
5.97 6.48 5.14 8.06MSCIEAFE++ 3.57 4.90 4.90 5.37 4.63
6.19InternationalEquity 3/31/87 5.32 5.97 2.18 5.97 5.21 3.97
7.89MSCIEAFE+ 3.57 3.79 3.79 4.77 4.07 6.97MSCIEAFE 3.57 4.90 4.90
5.33 4.43 5.23InternationalActiveEAFE 5/31/81 5.22 11.04 6.14 11.04
3.32 3.35 11.50MSCIEAFE 3.57 4.90 4.90 5.33 4.43
8.86Int'l.ActiveForeignSmallCompanies 1/31/95 3.70 9.53 6.11 9.53
8.46 7.69 10.79S&PDevelopedexU.S.SmallCap 2.59 3.42 3.42 8.52
6.84 7.13
GMOU.S.EquityStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
U.S.EquityAllocation 2/28/89 3.55 9.76 3.00 9.76 13.23 6.55
10.78Russell3000+++ 5.24 12.76 12.76 15.51 7.80 10.36
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Copyright 2014 by GMO. All rights reserved. This document may
not be reproduced, distributed or transmitted, in whole or in
portion, by any means, without writtenpermission from GMO.
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December31,2014
3
PerformanceofGMOStrategiesandBenchmarks
* Returns for one of the accounts in the composite are based on
estimated market values for the period from and including October
2008 through February 2009.
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
TotalReturnNetofFees AverageAnnualTotalReturn
GMOEmergingEquityStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
EmergingMarkets 12/31/93 5.03 5.92 4.80 5.92 0.51 6.87
7.29S&P/IFCIComposite 4.57 1.12 1.12 2.69 9.37
5.73MSCIEmergingMarkets 4.50 2.19 2.19 1.78 8.43
5.11EmergingDomesticOpportunities 3/31/11 0.83 0.30 1.89 0.30 N/A
N/A 4.30MSCIEmergingMarkets 4.50 2.19 2.19 N/A N/A 2.76
GMOFixedIncomeStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
GlobalBond* 12/31/95 0.13 4.98 4.31 4.98 6.11 3.68
5.75J.P.MorganGBIGlobal 0.91 0.67 0.67 2.13 3.36
4.86InternationalBond 12/31/93 2.50 1.30 3.83 1.30 5.63 3.58
6.69J.P.MorganGBIGlobalexU.S. 2.87 2.53 2.53 1.08 2.80
5.16CurrencyHedgedInt'l.Bond 9/30/94 4.22 16.59 3.49 16.59 9.41
5.44 8.18J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+ 3.52 13.10 13.10
6.24 5.49 7.07CorePlusBond 4/30/97 2.19 9.31 3.35 9.31 8.22 4.83
6.12BarclaysU.S.Aggregate 1.79 5.97 5.97 4.45 4.71
5.76DebtOpportunities 10/31/11 0.26 4.36 4.01 4.36 N/A N/A
6.94J.P.MorganU.S.3MonthCash 0.08 0.35 0.35 N/A N/A 0.53
GMOAbsoluteReturnStrategies Inception4Q2014
YTD2014
YTDValueAdded
OneYear
FiveYear
TenYear
SinceInception
FixedIncomeHedge 8/31/05 7.51 22.31 21.97 22.31 10.75 N/A
1.22J.P.MorganU.S.3MonthCash 0.08 0.35 0.35 0.49 N/A
2.15MeanReversion 2/28/02 3.35 4.73 4.76 4.73 0.42 3.01
6.48Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46
1.43SystematicGlobalMacro 3/31/02 3.22 4.45 4.42 4.45 6.13 6.89
7.29Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46
1.43TacticalOpportunities 9/30/04 0.08 2.47 2.50 2.47 7.28 5.81
6.40Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46 1.47TotalEquities
9/30/00 1.64 2.71 2.74 2.71 5.23 2.75 5.88Citigroup3Mo.TBill 0.00
0.03 0.03 0.07 1.46 1.71
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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STRATEGYPROFILE
4GMOLLC2014
GMOBenchmarkFreeAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocationComposite(theComposite).PriortoJanuary1,2012,theaccountsintheCompositeservedastheprincipalcomponentofabroaderrealreturnstrategy.BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasastandaloneinvestment.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Std. Deviation is a measure of the volatility of a portfolios
return. Sharpe Ratio isthe return over the risk free rate per unit
of risk. Drawdown is the largestnegative cumulative portfolio
return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt,
developed rates, andassetbacked exposure. Ratings for the emerging
debt and developed ratesportions of the portfolio are derived by
taking the Standard and Poors countryratings and applying these
ratings to the country exposures of the portfolio. Forthe
assetbacked portion of the portfolio, credit ratings are derived by
using thelowest rating among rating agencies at the issue level.
Final credit ratings areexpressed based upon Standard and Poors
ratings scale. Standard & Poors ratessecurities from AAA
(highest quality) to C (lowest quality), and D to
indicatesecurities in default; some securities are not rated (NR).
BB and below areconsidered below investment grade securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
4Q2014 0.74 0.62YTD2014 1.31 0.67
AnnualTotalReturn(%)2013 11.24 1.562012 10.35 1.872011 3.60
2.952010 4.58 1.252009 19.86 2.862008 12.07 0.162007 10.93 4.122006
12.75 2.582005 16.32 3.452004 17.96 3.35
AnnualizedReturn(%)
1.31
6.157.53
10.56
0.671.66 2.14 2.15
024681012
1year 5years 10years ITDStrategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,13.6EuropeValue,
10.5OtherInt'l.OpportunisticValue,0.5EmergingMarkets, 8.5
Cash&CashEquiv.,6.9
Japan,2.5U.S.OpportunisticValue,3.2
AssetBacked Securities,4.2Developed Rates,22.3Systematic
GlobalMacro,5.0SpecialOpportunity,3.0MergerArbitrage,6.2
AlphaOnly,9.9EmergingDebt,3.5
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
EquityCharacteristicsStrategy
Price/EarningsHist1YrWtdMed 16.8 xPrice/BookHist1YrWtdAvg 1.6
xReturnonEquityHist1YrMed 14.2 %MarketCapWeightedMedian$Bil
$62.1DividendYieldHist1YrWtdAvg 2.9 %5YearRiskProfile2
StrategyStd.Deviation 6.19SharpeRatio
0.98Drawdown(4/30/106/30/10) 5.91
BondPortfolio3BondPortfolioDuration 2.0 yearsCreditRatingsAAA
4.4% BB 4.7%AA 73.6% B 1.6%A 2.5% NR 0.5%BBB 9.2%
EquityRegionalWeights(%)22.021.2
6.30.8
6.143.5
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
5GMOLLC2014
GMOBenchmarkFreeAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
0.80GrossofFees,USD(RepAccount)
0.53CPIIndex(prelimthroughmostrecentmonthend) 0.25ValueAdded
0.27
AltsBondsAlts Bonds CashEquity EquityCash
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
6GMOLLC2014
GMOGlobalAllocationAbsoluteReturnStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Std. Deviation is a measure of the volatility of a portfolios
return. Sharpe Ratio isthe return over the risk free rate per unit
of risk. Drawdown is the largestnegative cumulative portfolio
return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt,
developed rates, andassetbacked exposure. Ratings for the emerging
debt and developed ratesportions of the portfolio are derived by
taking the Standard and Poors countryratings and applying these
ratings to the country exposures of the portfolio. Forthe
assetbacked portion of the portfolio, credit ratings are derived by
using thelowest rating among rating agencies at the issue level.
Final credit ratings areexpressed based upon Standard and Poors
ratings scale. Standard & Poors ratessecurities from AAA
(highest quality) to C (lowest quality), and D to
indicatesecurities in default; some securities are not rated (NR).
BB and below areconsidered below investment grade securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
4Q2014 0.60 0.62YTD2014 1.82 0.67
AnnualTotalReturn(%)2013 10.04 1.562012 9.42 1.872011 4.22
2.952010 3.02 1.252009 14.92 2.862008 7.19 0.162007 9.99 4.122006
11.01 2.582005 13.54 3.452004 15.29 3.35
AnnualizedReturn(%)
1.82
5.656.89
9.26
0.671.66 2.14 2.15
0246810
1year 5years 10years ITDStrategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,11.6EuropeValue,
12.2OtherInt'l.OpportunisticValue,1.0EmergingMarkets, 9.0
Cash&CashEquiv.,1.7
SystematicGlobalMacro,3.6SpecialOpportunity,3.0RiskPremium,2.0Japan,3.4U.S.OpportunisticValue,1.9
EmergingDebt,3.4AssetBacked
Securities,3.5DevelopedRates,22.3
Multi Strategy,20.0AlphaOnly,1.4
EquityRegionalWeights(%)23.123.9
8.62.0
7.834.7
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
EquityCharacteristicsStrategy
Price/EarningsHist1YrWtdMedian 16.5 xPrice/BookHist1YrWtdAvg 1.5
xReturnonEquityHist1YrMed 10.8 %MarketCapWeightedMedian$Bil
$36.0DividendYieldHist1YrWtdAvg 3.3 %
BondPortfolio3BondPortfolioDuration 2.9 yearsCreditRatingsAAA
3.7% BB 4.5%AA 76.0% B 1.5%A 2.1% NR 0.5%BBB 8.5%
5YearRiskProfile2Strategy
Std.Deviation 5.30SharpeRatio 1.05Drawdown(3/31/106/30/10)
4.95
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QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
7GMOLLC2014
GMOGlobalAllocationAbsoluteReturnStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance (%)
Net of Fees, USD (Rep Account) -0.59
Gross of Fees, USD (Rep Account) -0.35
CPI Index (prelim through most recent month-end) -0.25
Value Added -0.10
BondsAlts AltsEquity Equity CashBonds Cash
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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STRATEGYPROFILE
8GMOLLC2014
GMOGlobalAssetAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt,
developed rates, andassetbacked exposure. Ratings for the emerging
debt and developed ratesportions of the portfolio are derived by
taking the Standard and Poors countryratings and applying these
ratings to the country exposures of the portfolio. Forthe
assetbacked portion of the portfolio, credit ratings are derived by
using thelowest rating among rating agencies at the issue level.
Final credit ratings areexpressed based upon Standard and Poors
ratings scale. Standard & Poors ratessecurities from AAA
(highest quality) to C (lowest quality), and D to
indicatesecurities in default; some securities are not rated (NR).
BB and below areconsidered below investment grade securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
4Q2014 1.21 0.90YTD2014 1.27 4.87
AnnualTotalReturn(%)2013 12.38 13.602012 11.11 12.132011 2.13
1.802010 7.93 11.052009 24.15 24.142008 20.83 27.722007 7.94
9.262006 12.30 13.412005 9.06 5.992004 13.55 10.26
AnnualizedReturn(%)
1.27
6.87 6.12
9.60
4.87
7.81
5.55
8.12
024681012
1year 5years 10years ITDStrategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,14.5EuropeValue,
18.7OtherInt'l.OpportunisticValue,1.5EmergingMarkets, 9.4
Cash&CashEquiv.,5.6
Japan,5.2U.S.OpportunisticValue,2.4
AssetBacked Securities,4.4Developed
Rates,22.2SystematicGlobalMacro,3.0Risk Premium,2.5
AlphaOnly,6.9EmergingDebt,3.6
EquityRegionalWeights(%)18.2
27.810.0
2.39
32.6
10.315.3
7.27.77.1
52.4
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy BenchmarkEquityCharacteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMed 16.4 x 18.3
xPrice/BookHist1YrWtdAvg 1.5 x 2.1 xReturnonEquityHist1YrMed 10.7 %
15.3 %MarketCapWeightedMedian$Bil $36.0
$39.2DividendYieldHist1YrWtdAvg 3.3 % 2.5 %5YearRiskProfile2
Strategy BenchmarkAlpha 0.23 0.00Beta 0.85 1.00R2 0.94
1.00SharpeRatio 0.84 0.84Std.Deviation 8.08
9.25BondPortfolio3BondPortfolioDuration 2.8 yearsCreditRatingsAAA
4.5% BB 4.7%AA 73.2% B 1.6%A 2.5% NR 0.5%BBB 9.3%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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December31,2014
9GMOLLC2014
GMOGlobalAssetAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount) 1.21Gross
ofFees,USD(RepAccount) 0.98GMOGlobalAssetAllocationIndex
+0.90ValueAdded 1.88
BondsCash CashAlts Bonds AltsEquity Equity
-
December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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STRATEGYPROFILE
10GMOLLC2014
GMORealReturnGlobalBalancedAssetAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 The credit ratings above may encompass emerging debt,
developed rates, andassetbacked exposure. Ratings for the emerging
debt and developed ratesportions of the portfolio are derived by
taking the Standard and Poors countryratings and applying these
ratings to the country exposures of the portfolio. Forthe
assetbacked portion of the portfolio, credit ratings are derived by
using thelowest rating among rating agencies at the issue level.
Final credit ratings areexpressed based upon Standard and Poors
ratings scale. Standard & Poors ratessecurities from AAA
(highest quality) to C (lowest quality), and D to
indicatesecurities in default; some securities are not rated (NR).
BB and below areconsidered below investment grade securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.EquityIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
4Q2014 0.92 0.97YTD2014 2.01 4.22
AnnualTotalReturn(%)2013 13.68 14.952012 10.65 10.422011 3.16
1.762010 5.00 8.942009 13.02 19.172008 11.36 25.172007 7.63
7.872006 13.26 13.692005 8.09 6.822004 10.11 7.45
AnnualizedReturn(%)
2.01
6.816.26
6.92
4.22
7.20
5.16 5.63
0
2
4
6
8
1year 5years 10years ITDStrategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.91 0.00Beta 0.82 1.00R2 0.91 1.00SharpeRatio 0.92
0.83Std.Deviation 7.32 8.55
GroupExposures(%)1
0
20
40
60
80
100U.S.Quality,14.1EuropeValue,
16.8OtherInt'l.OpportunisticValue,1.4EmergingMarkets, 8.2
AssetBackedSecurities,2.9DevelopedRates,17.5
Japan,4.7U.S.OpportunisticValue,2.3
MultiStrategy,29.0EmergingDebt,3.1
EquityRegionalWeights(%)17.2
27.29.8
2.28.9
34.6
0.017.1
8.08.67.9
58.4
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy Benchmark
EquityCharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.6 x 18.5
xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 11.1 %
15.6 %MarketCapWeightedMedian$Bil $37.1
$46.2DividendYieldHist1YrWtdAvg 3.2 % 2.4 %
BondPortfolio3BondPortfolioDuration 2.7 yearsCreditRatingsAAA
3.7% BB 4.9%AA 74.1% B 1.7%A 2.2% NR 0.5%BBB 9.4%
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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December31,2014
11GMOLLC2014
GMORealReturnGlobalBalancedAssetAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance (%)
Net of Fees, USD -0.93
Gross of Fees, USD (Rep Account) -0.68
GMO Real Return Global Balanced Asset Allocation Blended Ind
+0.97
Value Added -1.65
Equity EquityAlts CashBonds AltsCash Bonds
-
December31,2014
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STRATEGYPROFILE
12GMOLLC2014
GMOTaxManagedGlobalBalancedStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.Equity CashIntl.DevelopedEquityEmergingEquity
AlternativeStrategiesFixedIncomeAbsoluteReturn
TotalReturn(%)Strategy Benchmark
4Q2014 0.69 0.58YTD2014 2.02 5.02
AnnualTotalReturn(%)2013 10.86 12.782012 9.71 11.472011 1.34
0.272010 6.88 9.992009 14.29 23.902008 14.95 25.892007 7.16
7.122006 12.08 12.952005 9.91 5.912004 12.73 10.02
AnnualizedReturn(%)
2.02
6.09 5.60
7.55
5.02
7.69
5.477.12
0246810
1year 5years 10years ITDStrategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100 U.S.Quality,14.9EuropeValue,
18.3OtherInt'l.OpportunisticValue,1.1EmergingMarkets, 7.4
Cash&CashEquiv.,1.3
MunicipalBonds,33.3EmergingCountryDebt,2.0RiskPremium,2.6Japan,4.1U.S.OpportunisticValue,1.7
MultiStrategy,13.4
EquityRegionalWeights(%)15.5
29.98.6
1.99.1
35.1
10.315.3
7.27.77.1
52.4
EmergingEuropeexUK
JapanOtherInternational
UnitedKingdomUnitedStates
Strategy Benchmark
EquityCharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.9 x 18.3
xPrice/CashFlowHist1YrWtdMedian 10.7 x 13.7
xPrice/BookHist1YrWtdAvg 1.6 x 2.1 xReturnonEquityHist1YrMed 13.4 %
15.3 %MarketCapWeightedMedian$Bil $36.0
$39.2DividendYieldHist1YrWtdAvg 3.1 % 2.5 %
5YearRiskProfile2Strategy Benchmark
Alpha 0.45 0.00Beta 0.85 1.00R2 0.96 1.00SharpeRatio 0.81
0.89Std.Deviation 7.42 8.57
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QUARTERLYATTRIBUTION
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December31,2014
13GMOLLC2014
GMOTaxManagedGlobalBalancedStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
0.71GrossofFees,USD(RepAccount) 0.46TaxManagedGlobalBalancedIndex
+0.58ValueAdded 1.04
CashAlts Bonds BondsAltsEquity CashEquity
-
December31,2014
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STRATEGYPROFILE
14GMOLLC2014
GMOGlobalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.EquityIntl.DevelopedEquity
EmergingEquityCash
TotalReturn(%)Strategy Benchmark
4Q2014 2.20 0.41YTD2014 0.65 4.17
AnnualTotalReturn(%)2013 21.33 23.462012 14.74 16.342011 1.29
6.872010 10.12 12.942009 24.19 34.452008 31.41 41.822007 11.12
10.382006 18.87 20.342005 12.51 9.952004 17.62 14.86
AnnualizedReturn(%)
0.65
8.506.65
8.95
4.17
9.49
6.047.44
20246810
1year 5years 10years ITDStrategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.03 0.00Beta 0.90 1.00R2 0.96 1.00SharpeRatio 0.64
0.65Std.Deviation 13.20 14.41
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,30.5
EuropeValue, 34.7
OtherInt'l.OpportunisticValue,2.8EmergingMarkets,
15.8Cash&CashEquiv.,1.5
Japan,9.6
U.S.OpportunisticValue,5.0
TopCountryWeights(%)35.6
9.6
8.7
8.4
7.4
52.4
7.2
7.1
3.3
3.1
UnitedStatesJapan
UnitedKingdomFrance
Germany
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.8 x 18.3
xPrice/BookHist1YrWtdAvg 1.6 x 2.1 xReturnonEquityHist1YrMed 11.4 %
15.3 %MarketCapWeightedMedian$Bil $43.1
$39.2DividendYieldHist1YrWtdAvg 3.2 % 2.5 %
TopHoldings3Company Country Sector %ofEquityExpressScriptsHldg
UnitedStates HealthCare 2.1RoyalDutchShell UnitedKingdom Energy
2.1TotalS.A. France Energy 1.9PhilipMorrisInt'l. UnitedStates
ConsumerStaples 1.7Amazon.comInc. UnitedStates ConsumerDisc.
1.7Total 9.5
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
15GMOLLC2014
GMOGlobalAllCountryEquityAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
2.27GrossofFees,USD(RepAccount) 2.00MSCIACWI +0.41ValueAdded
2.41
EMU.S. Intl EMIntlU.S.
-
December31,2014
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STRATEGYPROFILE
16GMOLLC2014
GMOGlobalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
U.S.EquityIntl.DevelopedEquity
EmergingEquityCash
TotalReturn(%)Strategy Benchmark
4Q2014 1.86 1.01YTD2014 0.38 4.94
AnnualTotalReturn(%)2013 25.82 26.682012 14.14 15.842011 0.40
5.522010 9.25 11.772009 20.55 29.972008 33.19 40.702007 9.69
9.022006 20.22 20.052005 12.26 9.422004 17.36 13.64
AnnualizedReturn(%)
0.38
9.42
6.46
9.33
4.94
10.21
6.027.45
024681012
1year 5years 10years ITDStrategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.10 0.00Beta 0.91 1.00R2 0.96 1.00SharpeRatio 0.71
0.72Std.Deviation 13.18 14.17
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,33.6
EuropeValue, 36.6
OtherInt'l.OpportunisticValue,3.0EmergingMarkets,
9.5Cash&CashEquiv.,1.6
Japan,10.2
U.S.OpportunisticValue,5.5
TopCountryWeights(%)39.1
10.2
9.1
8.8
7.9
58.4
8
7.9
3.6
3.4
UnitedStatesJapan
UnitedKingdomFrance
Germany
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.9 x 18.5
xPrice/BookHist1YrWtdAvg 1.7 x 2.2 xReturnonEquityHist1YrMed 12.8 %
15.6 %MarketCapWeightedMedian$Bil $46.8
$46.2DividendYieldHist1YrWtdAvg 3.1 % 2.4 %TopHoldings3Company
Country Sector %ofEquityExpressScriptsHldg UnitedStates HealthCare
2.3RoyalDutchShell UnitedKingdom Energy 2.2TotalS.A. France Energy
2.0PhilipMorrisInt'l. UnitedStates ConsumerStaples
1.9Amazon.comInc. UnitedStates ConsumerDisc. 1.9Total 10.3
-
QUARTERLYATTRIBUTION
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www.gmo.com
December31,2014
17GMOLLC2014
GMOGlobalDevelopedEquityAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
2.24GrossofFees,USD(RepAccount) 1.87MSCIWorld +1.01ValueAdded
2.88
EMU.S. Intl EMIntlU.S.
-
December31,2014
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STRATEGYPROFILE
18GMOLLC2014
GMOGlobalFocusedEquityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareandcontrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy MSCIACWI
4Q2014 2.35 0.41YTD2014 3.24 4.16
AnnualTotalReturn(%)2013 31.29 22.802012 19.71 16.13
AnnualizedReturn(%)
3.24
14.99
4.16
14.10
505101520
1year ITDStrategy MSCIACWI
RiskProfileSince12/31/111Strategy MSCIACWI
Alpha 2.68 0.00Beta 1.25 1.00R2 0.84 1.00SharpeRatio 1.04
1.34Std.Deviation 14.34 10.50Characteristics
Strategy MSCIACWIPrice/EarningsHist1YrWtdMedian 17.1 x 18.3
xPrice/CashFlowHist1YrWtdMedian 8.7 x 13.7 xPrice/BookHist1YrWtdAvg
1.6 % 2.1 %DividendYieldHist1YrWtdAvg $1.9
$2.5TopTenHoldings2Company %ofEquitySamsungElectronicsCo.
3.7AmericanAirlines Group,Inc. 2.8UnitedContinentalHoldings Inc.
2.6TriMasCorp. 2.5MorganStanley 2.5GeneralMotorsCo. 2.5ComcastCorp.
2.5MedtronicInc. 2.5NVIDIACorp. 2.4AppleInc. 2.4Total 26.4
GICSSectorWeights(%)Under/Overweightvs.MSCIACWI Strategy
MSCIACWI
14.9 12.11.8 9.78.6 8.0
19.1 21.86.9 11.6
20.0 10.512.4 13.912.2 5.42.2 3.81.7 3.4
2.87.9
0.62.7
4.79.5
1.56.8
1.61.7
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
RegionWeights(%)Underweight/OverweightAgainstMSCIACWI
6.01.0
2.83.0
0.30.61.1
2.91.5
Australia/NewZealandCanada
EmergingEuropeexUK
JapanSoutheastAsia
UnitedKingdomUnitedStates
Cash+UnrealizedG/L
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
19GMOLLC2014
GMOGlobalFocusedEquityStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
The Global Focused Equity Strategy declined 2.4% net of fees for
the quarter. The strategys reference benchmark, MSCI All Country
World index, rose 0.4%.
Negative contributions came from holdings in Apache Corp, BPZ
Resources, Methanex, and LyondellBasell in the United States. A
position in Statoil in Norway also hurt returns. Apache, BPZ
Resources, and Statoil traded down with other oil sensitive names.
Energy companies everywhere have suffered. The drop in oil prices
has been the result of oversupply and tepid demand growth,
intensified by Saudi Arabias production and pricing strategy. Brent
has fallen almost 70% in the quarter and oil names have been under
pressure as lower oil prices imply lower selling prices and profit
margins, less incentive for additional exploration, and potentially
lower payouts to shareholders. LyondellBasell and Methanex, like
other petrochemical companies, have benefited tremendously for a
number of years from access to low natural gas while the rest of
the world made competitive products with higher cost oil. As oil
prices have declined, so too have profit margins. We believe that
the stocks are very cheap at current levels and continue to hold
them.
A positive contribution came from American Airlines, United
Continental Airlines, and TriMas in the United States. Both
American and United Airlines continue to benefit from the industry
tailwinds of solid traffic trends and pricing, capacity discipline,
and lower fuel costs. The stocks continue to be cheap despite the
significant earnings growth that they offer and we still have
conviction in both names. TriMas, a manufacturer and distributor of
engineered and applied products, surprised investors by announcing
a spin-off of their lowest margin business. The resulting portfolio
of products and services is more focused, higher margin, and higher
growth. We expect that the valuation discount between TriMas and
the industrials sector will continue to narrow.
-
December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
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STRATEGYPROFILE
20GMOLLC2014
GMOQualityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
5YearRiskProfile1Strategy Benchmark
Alpha 1.03 0.00Beta 0.79 1.00R2 0.88 1.00SharpeRatio 1.21
1.19Std.Deviation 10.87 12.89
RegionWeights(%)11.4
88.1
0.5
0.0
100.0
0.0
NonUS
US
Cash
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 20.2 x 19.0
xPrice/BookHist1YrWtdAvg 4.2 x 2.8 xReturnonEquityHist1YrMed 21.0 %
18.9 %MarketCapWeightedMedian$Bil $124.1 $73.8Debt/EquityWtdMed 0.6
x 0.9 xDividendYieldHist1YrWtdAvg 2.0 % 2.0 %
TopHoldings2Company Sector %ofEquityOracleCorp.
InformationTechnology 5.6ExpressScriptsHoldingCo HealthCare
5.1AppleInc. InformationTechnology 5.0MicrosoftCorp.
InformationTechnology 4.8PhilipMorrisInternationalInc.
ConsumerStaples 4.8Total 25.31 Alpha is a measure of riskadjusted
return; Beta is a measure of a portfoliossensitivity to the market;
R2 is a measure of how well a portfolio tracks themarket; Sharpe
Ratio is the return over the risk free rate per unit of risk;
Std.Deviation is a measure of the volatility of a portfolio. Risk
profile data is net.
2 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
GICSSectorWeights(%)5.6
23.70.90.0
22.47.6
37.41.31.10.0
12.19.8
8.416.6
14.210.4
19.73.22.33.2
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
TotalReturn(%)Strategy Benchmark
4Q2014 5.17 4.93YTD2014 12.54 13.69
AnnualTotalReturn(%)2013 25.47 32.392012 11.81 16.002011 11.84
2.112010 5.48 15.062009 19.89 26.462008 24.08 37.002007 6.04
5.492006 12.69 15.802005 0.79 4.912004 3.54 7.39
AnnualizedReturn(%)
12.54 13.25
7.23 7.00
13.6915.45
7.67 7.77
0
5
10
15
20
1year 5years 10years ITDStrategy Benchmark
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
21GMOLLC2014
GMOQualityStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
+5.09GrossofFees,USD(RepAccount) +5.31S&P500 +4.93ValueAdded
+0.38
-
December31,2014
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STRATEGYPROFILE
22GMOLLC2014
GMOResourcesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
4Q2014 18.58 14.05YTD2014 16.79 14.69
AnnualTotalReturn(%)2013 4.39 3.312012 9.23 1.96
AnnualizedReturn(%)
16.79
1.74
14.69
3.50
20151050
1year ITDStrategy Benchmark
RiskProfileSince12/31/111Strategy Benchmark
Alpha 2.02 0.00Beta 1.07 1.00R2 0.95 1.00SharpeRatio 0.11
0.23Std.Deviation 16.93 15.42
TopCountryWeights(%)16.8
12.1
10
9.2
8.4
2.1
18.4
2.6
41.7
1.1
Japan
UnitedKingdomRussia
UnitedStatesNorway
Strategy Benchmark
GICSSectorWeights(%)0.02.0
61.80.00.0
16.30.0
13.30.0
6.5
0.02.1
68.50.00.00.00.0
29.40.00.0
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 9.5 x 11.6
xEarnings/ShareF'castLTMedianGrowthRate 5.6 x 5.6
xReturnonEquityHist1YrMed 10.8 % 11.7 %MarketCapWeightedMedian$Bil
$23.1 $46.0DividendYieldHist1YrWtdAvg 5.0 % 3.9 %
TopHoldings2Company Country Sector %ofEquityCNOOCLtd. China
Energy 5.1BPPLC UnitedKingdom Energy 5.1RoyalDutchShell
UnitedKingdom Energy 5.0TotalS.A. France Energy 4.8LukOilOAO Russia
Energy 4.7Total 24.7
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QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
23GMOLLC2014
GMOResourcesStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
18.94GrossofFees,USD(RepAccount) 18.45MSCIACWICommodityProducers
14.05ValueAdded 4.40
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
24GMOLLC2014
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 54.0
OtherInt'l.OpportunisticValue,4.4EmergingMarkets,
25.1Cash&CashEquiv.,1.5
Japan,15.0
GMOInternationalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
Intl.DevelopedEquity EmergingEquity Cash
TotalReturn(%)Strategy Benchmark
4Q2014 5.48 3.87YTD2014 6.22 3.88
AnnualTotalReturn(%)2013 16.71 15.472012 16.82 16.902011 11.31
13.632010 12.74 10.822009 27.77 40.162008 40.96 45.262007 17.39
16.082006 25.91 26.942005 19.03 16.712004 24.06 21.11
AnnualizedReturn(%)
6.22
5.04 5.437.27
3.88
4.43 5.06 5.54
1050
5
10
1year 5years 10years ITDStrategy Benchmark
TopCountryWeights(%)15.0
13.5
13.0
11.6
5.0
15.0
14.9
6.9
6.5
4.7
Japan
UnitedKingdomFrance
Germany
China
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.68 0.00Beta 0.98 1.00R2 0.97 1.00SharpeRatio 0.30
0.27Std.Deviation 16.37 16.39Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.1 x 17.1
xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xReturnonEquityHist1YrMed 9.1 %
11.3 %MarketCapWeightedMedian$Bil $21.9
$23.4DividendYieldHist1YrWtdAvg 3.9 % 3.0 %TopHoldings3Company
Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy
3.2TotalS.A. France Energy 3.0NissanMotorCo.Ltd. Japan
ConsumerDisc. 2.1BPPLC UnitedKingdom Energy 2.1AstraZenecaPLC
UnitedKingdom HealthCare 2.1Total 12.5
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QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
25GMOLLC2014
GMOInternationalAllCountryEquityAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
5.42GrossofFees,USD(RepAccount) 5.05MSCIACWIexUSA 3.87ValueAdded
1.18
EMIntl EMIntl
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
26GMOLLC2014
GMOInternationalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
Intl.DevelopedEquity EmergingEquity Cash
TotalReturn(%)Strategy Benchmark
4Q2014 5.54 3.57YTD2014 5.97 4.90
AnnualTotalReturn(%)2013 24.13 22.782012 17.09 17.322011 9.45
12.142010 10.58 7.932009 19.84 32.162008 38.39 43.332007 12.69
11.582006 25.50 26.622005 15.56 14.412004 24.89 21.17
AnnualizedReturn(%)
5.97
6.48 5.148.06
4.90
5.37 4.636.19
1050
5
10
1year 5years 10years ITDStrategy Benchmark
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 65.0
OtherInt'l.OpportunisticValue,5.2EmergingMarkets,
10.0Cash&CashEquiv.,1.8
Japan,18.1
TopCountryWeights(%)18.1
16.2
15.7
14
4.9
21.2
21.1
9.7
9.2
3.5
Japan
UnitedKingdomFrance
Germany
Spain
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 1.33 0.00Beta 0.96 1.00R2 0.97 1.00SharpeRatio 0.40
0.32Std.Deviation 16.14 16.58Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.6 x 17.9
xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xReturnonEquityHist1YrMed 8.7 %
10.8 %MarketCapWeightedMedian$Bil $25.5
$29.7DividendYieldHist1YrWtdAvg 3.8 % 3.0 %TopHoldings3Company
Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy
3.9TotalS.A. France Energy 3.6NissanMotorCo.Ltd. Japan
ConsumerDisc. 2.5BPPLC UnitedKingdom Energy 2.5AstraZenecaPLC
UnitedKingdom HealthCare 2.5Total 15.0
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
27GMOLLC2014
GMOInternationalDevelopedEquityAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
5.53GrossofFees,USD(RepAccount) 5.07MSCIEAFE 3.57ValueAdded
1.50
EMIntl EMIntl
-
December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
28GMOLLC2014
GMOInternationalEquityStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netofwithholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are subject to change and should not be
considered arecommendation to buy individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
Intl.DevelopedEquity Cash
TotalReturn(%)Strategy MSCIEAFE MSCIEAFE+
4Q2014 5.32 3.57 3.57YTD2014 5.97 4.90 3.79
AnnualTotalReturn(%)2013 25.62 22.78 22.952012 12.98 17.32
17.692011 10.18 12.14 12.172010 7.53 7.75 3.252009 21.41 31.78
34.232008 40.31 43.38 44.092007 10.21 11.17 5.962006 25.78 26.34
30.382005 13.98 13.54 13.802004 25.23 20.25 24.33
AnnualizedReturn(%)
5.97
5.21 3.97
7.89
4.90
5.33 4.43 5.23
3.79
4.77 4.076.97
1050
5
10
1year 5years 10years ITDStrategy MSCIEAFE MSCIEAFE+
GroupExposures(%)1
0
20
40
60
80
100
EuropeValue, 72.3
OtherInt'l.
OpportunisticValue,5.7Cash&CashEquiv.,1.9Japan,20.1
TopCountryWeights(%)20.1
18.0
17.5
15.5
5.4
21.2
21.1
9.7
9.2
3.5
Japan
UnitedKingdomFrance
Germany
Spain
Strategy Benchmark
5YearRiskProfile2Strategy Benchmark
Alpha 0.70 0.00Beta 0.94 1.00R2 0.98 1.00SharpeRatio 0.31
0.27Std.Deviation 16.68 17.45Characteristics
Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.7 x 17.9
xPrice/CashFlowHist1YrWtdMedian 5.5 x 10.7 xPrice/BookHist1YrWtdAvg
1.2 x 1.6 xReturnonEquityHist1YrMed 8.7 % 10.8
%MarketCapWeightedMedian$Bil $30.4 $29.7DividendYieldHist1YrWtdAvg
3.8 % 3.0 %TopHoldings3Company Country Sector
%ofEquityRoyalDutchShell UnitedKingdom Energy 4.4TotalS.A. France
Energy 4.0NissanMotorCo.Ltd. Japan ConsumerDisc. 2.8BPPLC
UnitedKingdom Energy 2.8AstraZenecaPLC UnitedKingdom HealthCare
2.8Total 16.8
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
29GMOLLC2014
GMOInternationalEquityStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
5.62GrossofFees,USD(RepAccount) 5.06MSCIEAFE 3.57ValueAdded
1.49
-
December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
30GMOLLC2014
GMOInternationalActiveEAFEStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
1 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to
change and shouldnot be considered a recommendation to buy
individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
4Q2014 5.22 3.57YTD2014 11.04 4.90
AnnualTotalReturn(%)2013 24.11 22.782012 14.92 17.322011 11.65
12.142010 5.01 7.752009 25.53 31.782008 41.24 43.382007 10.58
11.172006 27.52 26.342005 13.52 13.542004 22.33 20.25
AnnualizedReturn(%)
11.04
3.32 3.35
11.50
4.90
5.33 4.438.86
15105051015
1year 5years 10years ITDStrategy Benchmark
5YearRiskProfile1Strategy Benchmark
Alpha 2.06 0.00Beta 1.01 1.00R2 0.98 1.00SharpeRatio 0.19
0.32Std.Deviation 16.87 16.59
TopOverweightHoldings2CompanyMitsubishiTokyoFinancialGroupInc.
3.9SumitomoMitsuiFinancialGroupInc. 3.9SamsungElectronicsCo.
3.5PeugeotS.A. 3.4DeutscheTelekomAG 3.0E.ONAG 2.8NokiaCorp.
2.5TelecomItalia S.p.A. 2.0MediasetS.p.A. 1.9KDDICorp. 1.7
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 16.8 x 17.9
xPrice/CashFlowHist1YrWtdMedian 7.0 x 10.7 xPrice/BookHist1YrWtdAvg
1.2 x 1.6 xDividendYieldHist1YrWtdAvg 2.8 % 3.0 %
GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy
Benchmark
17.1 12.45.9 11.14.1 5.7
27.6 25.92.1 11.09.3 12.6
10.9 4.83.6 7.6
11.0 5.08.5 3.9
4.75.2
1.61.7
8.93.3
6.14.0
6.04.6
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
RegionWeights(%)Underweight/OverweightAgainstBenchmark
4.46.5
0.6
0.32.0
4.54.0
Australia/NewZealandEmerging
EuropeexUKJapan
SoutheastAsiaUnitedKingdom
Cash+UnrealizedG/L
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
31GMOLLC2014
GMOInternationalActiveEAFEStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
The International Active EAFE Strategy fell 5.2% net of fees in
the fourth quarter; the strategy was 1.7 percentage points behind
the MSCI EAFE index, which declined 3.6%.
Country selection was behind the benchmark. Our positioning in
Europe subtracted from returns, particularly an overweight position
in Italy, as the market underperformed MSCI EAFE in the
quarter.
Stock selection also lagged the benchmark in the fourth quarter.
Holdings in Europe underperformed, largely due to financials and
energy companies.
European financials struggled as the much anticipated asset
quality review (AQR) for European banks did not inspire enough
investor confidence to make up for the stop-start recovery in
Europe and the ECBs dragging its feet on QE. We are encouraged that
now that the AQR is complete the ECB can embark on QE.
Energy companies everywhere, including Europe, have suffered.
The drop in oil prices has been the result of oversupply and tepid
demand growth, intensified by Saudi Arabias production and pricing
strategy. Brent has fallen almost 70% in the quarter and big oil
names have been under pressure as a major part of the investment
case for these companies depends on the ability to generate strong
free cash flows in the near future. We continue to see some value
in energy stocks, particularly in Europe, but a lower-for-longer
oil price has impaired the investment thesis for some of our
holdings. As a result, we have sold our energy position down to
neutral and have kept only the stocks with dividends that we
believe are safe at current oil prices.
On the positive side, stock selection in Korea helped returns as
a holding in an information technology company outperformed. The
combination of a November buyback announcement, the news of a
dividend increase, and the bottoming of negative earnings
provisions led to a rally in the share price.
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December31,2014
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www.gmo.com
STRATEGYPROFILE
32GMOLLC2014
GMOInternationalActiveForeignSmallCompaniesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthesmallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompaniesfromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization(float)oftheBMIineachcountry.
1 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to
change and shouldnot be considered a recommendation to buy
individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
4Q2014 3.70 2.59YTD2014 9.53 3.42
AnnualTotalReturn(%)2013 28.92 26.062012 21.64 18.552011 15.21
14.492010 24.76 21.962009 47.63 45.072008 45.91 47.672007 8.00
7.322006 36.24 29.422005 18.91 22.102004 29.30 28.73
AnnualizedReturn(%)
9.53
8.46 7.6910.79
3.42
8.52 6.84 7.13
15105051015
1year 5years 10years ITDStrategy Benchmark
TopOverweightHoldings2CompanyMediasetS.p.A. 1.7IncitecPivotLtd.
1.7SopraGroup 1.5AscianoGroup 1.4TollHoldingsLtd. 1.4PeugeotS.A.
1.3Mediobanca BancadiCreditoFinanziarioS.p.A. 1.3FaureciaS.A.
1.3TymanPlc 1.3IzumiCo.Ltd. 1.3
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 18.3 x 20.0
xPrice/CashFlowHist1YrWtdMedian 10.3 x 12.5
xPrice/BookHist1YrWtdAvg 1.4 x 1.5 xDividendYieldHist1YrWtdAvg 2.3
% 2.4 %
GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy
Benchmark
26.4 17.93.0 5.64.2 3.2
24.6 22.32.3 6.9
20.7 21.48.2 8.7
10.0 10.10.7 1.40.0 2.4
8.52.6
1.02.3
4.60.70.50.1
0.72.4
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
5YearRiskProfile1Strategy Benchmark
Alpha 0.27 0.00Beta 0.96 1.00R2 0.98 1.00SharpeRatio 0.51
0.50Std.Deviation 16.46 16.94
RegionWeights(%)Underweight/OverweightAgainstBenchmark
3.0
3.8
3.6
0.5
6.14.1
3.2
Australia/NewZealandEmerging
EuropeexUKJapan
SoutheastAsiaUnitedKingdom
Cash+UnrealizedG/L
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
33GMOLLC2014
GMOInternationalActiveForeignSmallCompaniesStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
The International Active Foreign Small Companies Strategy
underperformed the S&P Developed ex-U.S. Small Cap index by 1.1
percentage points in the fourth quarter, declining 3.7% net of fees
while the benchmark fell 2.6%.
Country selection was behind the benchmark in the quarter. Our
positioning in Europe subtracted from returns, particularly an
overweight position in Italy, as the market underperformed the
benchmark in the quarter. This was somewhat offset by an
underweight position in Canada, which added to returns.
Stock selection also lagged the benchmark in the fourth quarter.
Our holdings in Canada and Korea underperformed. In Canada, the
portfolio was particularly hurt by the small-cap energy companies,
as energy companies everywhere have suffered. The drop in oil
prices has been the result of oversupply and tepid demand growth,
intensified by Saudi Arabias production and pricing strategy. Brent
has fallen almost 70% in the quarter and oil sensitive names have
been under pressure as lower oil prices imply lower selling prices
and profit margins, less incentive for additional exploration, and
potentially lower payouts to shareholders. Koreas DGB financial
fell after announcing a highly dilutive rights issue. While the
company says it is raising money for future growth, the market is
skeptical. On the positive side, stock selection in Europe did
well.
-
December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
34GMOLLC2014
GMOU.S.EquityAllocationStrategyPERFORMANCENETOFFEES
GroupExposures(%)1
0
20
40
60
80
100
U.S.Quality,84.4
Cash&CashEquiv.,1.6U.S.OpportunisticValue,13.9U.S.Small,0.1
U.S.Equity Cash
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblendedbenchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.
1 The groups indicated above represent exposures determined
pursuant toproprietary methodologies and are subject to change over
time.
2 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
3 Portfolio holdings are percent of equity. They are subject to
change and shouldnot be considered a recommendation to buy
individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
TotalReturn(%)Strategy Benchmark
4Q2014 3.55 5.24YTD2014 9.76 12.76
AnnualTotalReturn(%)2013 27.95 32.852012 12.25 16.212011 9.91
1.582010 7.43 16.262009 20.54 27.462008 27.87 37.152007 2.25
5.392006 9.93 15.712005 3.68 5.532004 10.74 11.45
AnnualizedReturn(%)
9.76
13.23
6.55
10.7812.76
15.51
7.8010.36
0
5
10
15
20
1year 5years 10years ITDStrategy Benchmark
GICSSectorWeights(%)9.9
17.89.6
2.020.3
7.531.5
1.30.00.0
12.19.8
8.416.6
14.210.4
19.73.22.33.2
ConsumerDiscretionaryConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTechnologyMaterials
TelecommunicationServicesUtilities
Strategy Benchmark
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMed 20.2 x 19.0 xPrice/BookHist1YrWtdAvg
3.8 x 2.8 xReturnonEquityHist1YrMed 20.6 % 18.9
%MarketCapWeightedMedian$Bil $126.7 $73.8DividendYieldHist1YrWtdAvg
1.9 % 2.0 %
TopHoldings3Company Sector %ofEquityExpressScriptsHoldingCo
HealthCare 5.9PhilipMorrisInternationalInc. ConsumerStaples
4.8Amazon.comInc. ConsumerDiscretionary 4.8OracleCorp.
InformationTechnology 4.7MicrosoftCorp. InformationTechnology
4.7Total 24.9
5YearRiskProfile2Strategy Benchmark
Alpha 0.66 0.00Beta 0.81 1.00R2 0.91 1.00SharpeRatio 1.18
1.17Std.Deviation 11.19 13.21
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QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
35GMOLLC2014
GMOU.S.EquityAllocationStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
Performance(%)NetofFees,USD(RepAccount)
+3.41GrossofFees,USD(RepAccount) +3.53S&P500 +4.93ValueAdded
1.41
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
36GMOLLC2014
GMOEmergingMarketsStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
TotalReturn(%)Strategy Benchmark
4Q2014 5.03 4.57YTD2014 5.92 1.12
AnnualTotalReturn(%)2013 5.19 0.572012 15.19 18.892011 16.95
19.032010 20.20 20.642009 71.89 81.032008 55.74 53.742007 37.22
40.282006 29.51 35.112005 40.15 35.192004 26.54 28.11
AnnualizedReturn(%)
5.92
0.51
6.87 7.29
1.12
2.69
9.375.73
105051015
1year 5years 10years ITDStrategy Benchmark
5YearRiskProfile1Strategy Benchmark
Alpha 2.24 0.00Beta 1.02 1.00R2 0.97 1.00SharpeRatio 0.02
0.14Std.Deviation 19.05 18.37
TopTenHoldings2Company %ofEquitySamsungElectronicsCo.Ltd.
5.3China ConstructionBankCorp.
3.3Industrial&CommercialBankofChina Lt 3.2BankofChina Ltd.
2.8Surgutneftegaz 2.2KGHMPolskaMiedzS.A. 2.2HDFCBankLtd. 2.1China
MobileLtd. 2.1GazpromOAO 1.9BancodoBrasilS.A. 1.7Total 26.8
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 9.8 x 15.9
xPrice/CashFlowHist1YrWtdMedian 6.1 x 10.1 xPrice/BookHist1YrWtdAvg
1.0 x 1.5 xReturnonEquityHist1YrAvg 11.4 % 10.8
%MarketCapWeightedMedian$Bil $4.8 $6.2NumberofEquityHoldings 418
2,513DividendYieldHist1YrWtdAvg 4.4 % 2.9 %
RegionWeights(%)Underweight/OverweightAgainstBenchmark
0.93.7
13.20.1
6.73.8
DevelopedEastAsiaEurope
Latin/SouthAmericaMideast/Africa
SouthAsiaGICSSectorWeights(%)
Under/Overweightvs.Benchmark Strategy Benchmark7.1 10.11.9 7.814
6.9
29.3 27.91.6 2.83.1 8.2
16.8 18.87.7 7.810 6.48.6 3.4
3.05.9
7.11.4
1.25.1
2.00.1
3.65.2
ConsumerDisc.ConsumerStaples
EnergyFinancials
HealthCareIndustrials
InformationTech.Materials
Telecom.ServicesUtilities
1 Alpha is a measure of riskadjusted return; Beta is a measure
of a portfoliossensitivity to the market; R2 is a measure of how
well a portfolio tracks themarket; Sharpe Ratio is the return over
the risk free rate per unit of risk; Std.Deviation is a measure of
the volatility of a portfolio. Risk profile data is net.
2 Portfolio holdings are percent of equity. They are subject to
change and shouldnot be considered a recommendation to buy
individual securities.
The above information is based on a representative account in
the Strategyselected because it has the fewest restrictions and
best represents theimplementation of the Strategy.
-
QUARTERLYATTRIBUTION
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
December31,2014
37GMOLLC2014
GMOEmergingMarketsStrategy
Performance data quoted represents past performance and is not
predictive of future performance. Returns are shown after the
deduction of management fees, transactioncosts and other expenses,
but before custody charges, withholding taxes, and other indirect
expenses. The returns assume the reinvestment of dividends and
other income.
The Emerging Markets Strategy lost 5.0% net of fees in the
fourth quarter, underperforming the 4.6% drop in the S&P/IFCI
Composite by 0.5%. Overall, country-sector allocation detracted
1.5% but stock selection added 0.8%.
Emerging markets had a good start to the quarter on the back of
positive reforms in China and India. The gains were wiped out later
by a steep fall in crude oil prices and a general dampening in
demand for riskier assets. Country returns varied over the quarter,
ranging from an 11.6% jump in Turkey to a 32.9% drop in Russia.
Sector returns were more clustered, varying from a 1.6% rise in
Financials to a fall of 24.5% for Energy.
Investor sentiment in Brazil deteriorated as Dilma Rousseff was
re-elected president. The stock market preferred the opposition
candidate who had promised a move away from the micromanaging style
of the current government. Further depressing sentiment was the
drop in crude oil prices and a corruption scandal at Petrobras.
Some relief came at the end of the quarter from the appointment of
a market-friendly team at the finance ministry, engendering hopes
for an improvement in fiscal policy. Our overweight in Brazil
Utilities and Telecommunications negatively impacted
performance.
Stocks in China gained from speculation the government is
pushing forward with market reforms and the restructuring of
state-owned companies. The government pressed state-owned companies
to adjust prices to reflect market conditions. Investors also
placed funds into Chinese equities in anticipation of the start of
an exchange link with Hong Kong. A further boost in sentiment came
from an easing of restrictions on mortgage loans and from the
central bank unexpectedly lowering rates. The action was prompted
by signs of a deeper slowdown than expected. Also helping the
market was the drop in oil prices as China is a major crude oil
importer. Our overweight in China Financials and Telecommunications
added to performance.
Indian stocks jumped as investors saw the government
accelerating policy changes to boost economic growth. Prime
Minister Modi, fresh off a landslide victory in May, ended price
controls on diesel, raised natural-gas tariffs, and relaxed rules
on foreign investment in property development. The government also
clarified its policy on mining and selling coal. Stocks in India
rose as the crude oil price dropped. India imports about 80% of its
oil and the oil import bill has been a major driver of its
worrisome current account deficit. Inflation has dropped to 5.5%
from a high of 11.2% last year. This, along with the fall in oil
prices, has boosted market expectations of a cut in interest rates.
Our overweight in India Financials contributed to performance.
The Russian stock market fell on fears of an escalation in the
Ukraine crisis as the Ukrainian government accused Russia of
supplying arms to the rebels. Also deeply depressing sentiment was
the steep fall in crude oil prices. Commodities constitute the bulk
of Russias exports and about half of its budget revenue comes from
oil and gas taxes. The Russian central bank raised its key interest
rate to the highest since September 2013. It also lowered its
forecast for economic growth in 2015 to zero and pushed back its
estimate for meeting an inflation target of 4% by one year from
2016. Our overweight in Russia Energy and Financials detracted from
performance.
Stock selection was additive to performance, particularly in
Russia Energy and Korea IT.
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December31,2014
40RowesWharf|Boston,Massachusetts20110(617)3307500|
www.gmo.com
STRATEGYPROFILE
38GMOLLC2014
GMOEmergingDomesticOpportunitiesStrategyPERFORMANCENETOFFEES
Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinanefforttocompareandcontrasttheStrategyversusabroademergingmarketsindex.TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
TotalReturn(%)Strategy Benchmark
4Q2014 0.83 4.50YTD2014 0.30 2.19
AnnualTotalReturn(%)2013 3.80 2.602012 24.33 18.222011 8.99
20.06
AnnualizedReturn(%)
0.30
4.30
2.19 2.76420246
1year ITDStrategy Benchmark
RiskProfileSince3/31/112Strategy Benchmark
Alpha 6.32 0.00Beta 0.74 1.00R2 0.81 1.00SharpeRatio 0.29
0.16Std.Deviation 14.69 18.00
TopTenHoldings3Company %ofEquityHDFCBankLtd.
5.1ColgatePalmoliveCo. 4.1Industrial&CommercialBankofChina Ltd.
3.2LupinLtd. 3.2Baidu.comInc. 2.8AbbottLaboratories
2.2BrillianceChna AutmtiveHldgs 1.9Raia DrogasilSA 1.8BDOUnibankInc
1.7China MobileLtd. 1.6Total 27.6
CharacteristicsStrategy Benchmark
Price/EarningsHist1YrWtdMedian 20.5 x 15.6
xPrice/CashFlowHist1YrWtdMedian 17.6 x 9.9 xPrice/BookHist1YrWtdAvg
2.8 x 1.5 xReturnonEquityHist1YrAvg 15.9 % 11.5
%MarketCapWeightedMedian$Bil $3.5 $8.4NumberofEquityHoldings 116
834DividendYieldHist1YrWtdAvg 2