GMO Quarterly Update – March 31, 2015

GMO Quarterly Update – March 31, 2015

GMO offers institutionally‐oriented global investment strategies.  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. 

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

GMO Capabilities March 31, 2015

GMO Multi‐Asset Class Benchmark‐Free Allocation Global Allocation Absolute Return Global Asset Allocation Real Return Global Balanced Asset Allocation Tax‐Managed Global Balanced

Page 4 6 8 10 12

GMO Global Equities  Global All Country Equity Allocation Global Developed Equity Allocation Global Focused Equity Quality Resources

Page 14 16 18 20 22

GMO International Equities International All Country Equity Allocation International Developed Equity Allocation Tax‐Managed International Equities* International Equity International Active EAFE International Active Foreign Small Companies International Small Companies*

Page 24 26

GMO U.S. Equities U.S. Equity Allocation

Page 34

28 30 32

GMO Emerging Equities Emerging Markets Emerging Countries* Emerging Domestic Opportunities

Page 36

GMO Fixed Income  Global Bond International Bond Currency Hedged International Bond Core Plus Bond Emerging Country Debt* Emerging Country Local Debt* Debt Opportunities

Page 40 42 44 46

GMO Absolute Return  Emerging Country Debt Long/Short* Fixed Income Hedge Mean Reversion Systematic Global Macro Tactical Opportunities Total Equities Multi‐Strategy*

Page

38

48

50 52 54 56 58

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

1

Performance of GMO Strategies and Benchmarks March 31, 2015

1Q 2015 1.35 ‐0.17

Total Return Net of Fees YTD YTD Value 2015 Added 1.35 1.52 ‐0.17

One Year 1.44 0.04

Average Annual Total Return Five Ten Since Year Year Inception 6.10 7.51 10.47 1.60 2.01 2.10

GMO Multi‐Asset Class Strategies Benchmark‐Free Allocation CPI

Inception 7/31/01

Global Allocation Absolute Return CPI

7/31/01

0.92 ‐0.17

0.92 ‐0.17

1.09

1.56 0.04

5.59 1.60

6.79 2.01

9.16 2.10

Global Asset Allocation GMO Global Asset Allocation +

6/30/88

1.24 2.13

1.24 2.13

‐0.89

0.76 5.61

6.71 7.67

6.25 5.90

9.55 8.13

Real Return Global Balanced Asset Allocation GMO Real Return Global Balanced AA Blended + 

6/30/04

0.98 1.77

0.98 1.77

‐0.79

1.06 4.83

6.77 7.07

6.29 5.41

6.86 5.67

Tax‐Managed Global Balanced GMO Tax‐Managed Global Balanced Index

12/31/02

2.02 1.89

2.02 1.89

0.13

2.40 5.40

6.24 7.57

5.74 5.81

7.56 7.14

GMO Global Equity Strategies Global All Country Equity Allocation MSCI ACWI ++

Inception 12/31/93

1Q 2015 2.93 2.31

YTD 2015 2.93 2.31

YTD Value Added 0.62

One Year 0.17 5.42

Five Year 8.68 9.30

Ten Year 6.94 6.41

Since Inception 8.99 7.47

Global Developed Equity Allocation MSCI World +

3/31/87

3.10 2.31

3.10 2.31

0.79

0.82 6.03

9.63 10.01

6.79 6.39

9.36 7.47

Global Focused Equity MSCI ACWI

12/31/11

2.71 2.31

2.71 2.31

0.40

‐1.34 5.42

Quality S&P 500

2/29/04

0.42 0.95

0.42 0.95

‐0.53

10.78 12.73

Resources MSCI ACWI Commodity Producers

12/31/11

‐1.14 ‐4.39

‐1.14 ‐4.39

3.25

‐18.67 ‐18.52

GMO International Equity Strategies International All Country Equity Allocation MSCI ACWI ex USA +

Inception 2/28/94

1Q 2015 3.54 3.49

YTD 2015 3.54 3.49

YTD Value Added 0.05

One Year ‐4.68 ‐1.04

Five Year 5.34 4.84

Ten Year 5.69 5.40

Since Inception 7.36 5.64

International Developed Equity Allocation MSCI EAFE ++

11/30/91

4.40 4.88

4.40 4.88

‐0.48

‐4.95 ‐0.92

7.03 6.16

5.55 5.14

8.17 6.34

International Equity MSCI EAFE + MSCI EAFE

3/31/87

4.36 4.88 4.88

4.36 4.88 4.88

‐0.52

‐5.02 ‐0.31 ‐0.92

5.89 5.83 6.16

4.37 4.51 4.95

7.98 7.08 5.36

International Active EAFE MSCI EAFE

5/31/81

5.68 4.88

5.68 4.88

0.80

‐5.00 ‐0.92

4.55 6.16

3.99 4.95

11.60 8.95

Int'l. Active Foreign Small Companies S&P Developed ex‐U.S. Small Cap

1/31/95

6.52 4.43

6.52 4.43

2.09

‐6.49 ‐2.76

8.91 8.53

8.04 6.91

11.00 7.27

GMO U.S. Equity Strategies U.S. Equity Allocation Russell 3000 +++

Inception 2/28/89

1Q 2015 0.57 1.80

YTD 2015 0.57 1.80

YTD Value Added ‐1.23

One Year 8.15 12.75

Five Year 12.86 14.64

Ten Year 6.77 8.23

Since Inception 10.69 10.33

14.72 13.76 13.03 14.47

7.52 8.01

6.87 7.68 ‐1.95 ‐4.57

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 © 2015 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.

2

Performance of GMO Strategies and Benchmarks March 31, 2015

GMO Emerging Equity Strategies Emerging Markets S&P/IFCI Composite MSCI Emerging Markets

Inception 12/31/93

Emerging Domestic Opportunities MSCI Emerging Markets

3/31/11

GMO Fixed Income Strategies Global Bond* J.P. Morgan GBI Global

Inception 12/31/95

International Bond J.P. Morgan GBI Global ex U.S.

1Q 2015 0.21 2.15 2.24

Total Return Net of Fees YTD YTD Value 2015 Added 0.21 ‐1.94 2.15 2.24

One Year ‐2.86 1.65 0.44

Average Annual Total Return Five Ten Since Year Year Inception ‐0.06 6.47 7.21 2.58 9.41 5.77 1.75 8.48 5.16

3.74 2.24

3.74 2.24

1.50

6.10 0.44

4.98 ‐2.05

1Q 2015 ‐2.33 ‐1.79

YTD 2015 ‐2.33 ‐1.79

YTD Value Added ‐0.54

One Year ‐1.54 ‐3.73

Five Year 5.19 1.98

Ten Year 3.69 3.43

Since Inception 5.55 4.70

12/31/93

‐4.70 ‐4.08

‐4.70 ‐4.08

‐0.62

‐8.22 ‐9.50

4.42 0.63

3.38 2.69

6.37 4.89

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

9/30/94

3.15 3.83

3.15 3.83

‐0.68

14.66 13.56

8.92 6.59

5.65 5.76

8.24 7.18

Core Plus Bond Barclays U.S. Aggregate

4/30/97

1.17 1.61

1.17 1.61

‐0.44

7.29 5.72

7.53 4.41

4.97 4.93

6.10 5.77

Debt Opportunities J.P. Morgan U.S. 3 Month Cash

10/31/11

0.62 0.09

0.62 0.09

0.53

3.49 0.35

GMO Absolute Return Strategies Fixed Income Hedge J.P. Morgan U.S. 3 Month Cash

Inception 8/31/05

1Q 2015 ‐5.95 0.09

YTD 2015 ‐5.95 0.09

YTD Value Added ‐6.04

One Year 10.03 0.35

Five Year 8.33 0.50

Ten Year

Since Inception 0.54 2.11

Mean Reversion Citigroup 3‐Mo. T‐Bill

2/28/02

‐2.69 0.01

‐2.69 0.01

‐2.70

‐8.12 0.03

‐0.58 0.07

2.22 1.41

6.13 1.40

Systematic Global Macro Citigroup 3‐Mo. T‐Bill

3/31/02

6.26 0.01

6.26 0.01

6.25

8.70 0.03

6.50 0.07

7.48 1.41

7.64 1.40

Tactical Opportunities Citigroup 3‐Mo. T‐Bill

9/30/04

‐7.58 0.01

‐7.58 0.01

‐7.59

‐7.42 0.03

‐6.37 0.07

‐7.02 1.41

‐6.95 1.44

Total Equities Citigroup 3‐Mo. T‐Bill

9/30/00

3.29 0.01

3.29 0.01

3.28

‐0.63 0.03

5.75 0.07

2.36 1.41

6.01 1.68

6.62 0.52

* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009. Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

3

GMO Benchmark‐Free Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%) U.S. Quality, 6.9 U.S. Opportunistic Value, 2.7 Europe Value, 9.8 Japan, 2.4 Emerging Markets, 17.8 Merger Arbitrage, 5.4 Special Opportunity, 3.1 Systematic Global Macro, 5.1 Interest Rates & FX, 21.1 Asset Backed Securities, 4.0 Emerging Debt, 4.6 Alpha Only, 10.1 Cash & Cash Equiv., 7.0

80 60 40 20 0 U.S. Equity Int’l. Developed Equity Emerging Equity

Alternative Strategies Fixed Income Absolute Return

1Q 2015 YTD 2015 Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Cash

Equity Regional Weights (%) Emerging

44.4

Europe ex UK

14.5

Japan Other International

6.0

12 10 8 6 4 2 0

10.1

United States

24.0

Equity Characteristics Strategy Price/Earnings ‐ Hist 1 Yr Wtd Med

15.6 x

Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

9.5 %

2

Strategy 6.30 0.96

Drawdown (3/31/10‐6/30/10)

1.60

1.44

2.10

2.01

0.04

5YR

10YR

Strategy

Benchmark

ITD

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.

‐5.91

3

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.

2.1 years 5.7% 71.5% 1.7% 7.7%

7.51 6.10

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.

2.9 %

Std. Deviation Sharpe Ratio

BB B
6.0% 2.7% 4.2% 0.6%

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 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. 3 The credit ratings above may encompass emerging debt, developed rates, and asset‐backed exposure. Ratings for the emerging debt and developed rates portions of the portfolio are derived by taking the Standard and Poor’s country ratings and applying these ratings to the country exposures of the portfolio. For the asset‐backed portion of the portfolio, credit ratings are derived by using the lowest rating among rating agencies at the issue level. Final credit ratings are expressed based upon Standard and Poor’s ratings scale. Standard & Poor’s rates securities from AAA (highest quality) to C (lowest quality), and D to indicate securities in default; some securities are not rated (NR). BB and below are considered below investment grade securities. 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. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

0.67 1.56 1.87 2.95 1.25 2.86 0.16 4.12 2.58 3.45

$33.2

Dividend Yield ‐ Hist 1 Yr Wtd Avg

Bond Portfolio Bond Portfolio Duration Credit Ratings AAA AA A BBB

1.31 11.24 10.35 3.60 4.58 19.86 ‐12.07 10.93 12.75 16.32

10.47

1YR

1.4 x

Market Cap ‐ Weighted Median $Bil

5‐Year Risk Profile

Benchmark ‐0.17 ‐0.17

Annualized Return (%)

1.0

United Kingdom

Strategy 1.35 1.35

4

GMO Benchmark‐Free Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

5

GMO Global Allocation Absolute Return Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%) U.S. Quality, 10.6 U.S. Opportunistic Value, 1.6 Europe Value, 11.6 Japan, 3.6 Other Int'l. Opportunistic Value, 1.1 Emerging Markets, 12.0 Risk Premium, 2.1 Special Opportunity, 3.1 Systematic Global Macro, 3.6 Interest Rates & FX, 19.8 Asset Backed Securities, 3.4 Emerging Debt, 4.6 Alpha Only, 1.4 Multi Strategy, 20.0 Cash & Cash Equiv., 1.5

80 60 40 20 0 U.S. Equity Int’l. Developed Equity Emerging Equity

Alternative Strategies Fixed Income Absolute Return

1Q 2015 YTD 2015

Emerging

Cash

29.6

8

9.0

United States

4

Equity Characteristics

2

Strategy Price/Earnings ‐ Hist 1 Yr Wtd Median

10.7 %

Market Cap ‐ Weighted Median $Bil

$30.1

Dividend Yield ‐ Hist 1 Yr Wtd Avg 2

Strategy 5.57 0.99

Drawdown (3/31/10‐6/30/10) 3

2.4 years BB B
5YR

10YR

Strategy

Benchmark

ITD

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.

‐4.95

5.2% 71.4% 1.6% 8.0%

2.10

2.01

0.04

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.

3.1 %

Std. Deviation Sharpe Ratio

1.60

1.56

1YR

1.6 x

Return on Equity ‐ Hist 1 Yr Med

5.59

0

16.6 x

Price/Book ‐ Hist 1 Yr Wtd Avg

6.79

6

30.1

Bond Portfolio Duration Credit Ratings AAA AA A BBB

9.16

10

2.1

United Kingdom

6.2% 2.8% 4.2% 0.7%

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 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. 3 The credit ratings above may encompass emerging debt, developed rates, and asset‐backed exposure. Ratings for the emerging debt and developed rates portions of the portfolio are derived by taking the Standard and Poor’s country ratings and applying these ratings to the country exposures of the portfolio. For the asset‐backed portion of the portfolio, credit ratings are derived by using the lowest rating among rating agencies at the issue level. Final credit ratings are expressed based upon Standard and Poor’s ratings scale. Standard & Poor’s rates securities from AAA (highest quality) to C (lowest quality), and D to indicate securities in default; some securities are not rated (NR). BB and below are considered below investment grade securities. 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. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

0.67 1.56 1.87 2.95 1.25 2.86 0.16 4.12 2.58 3.45

Annualized Return (%)

8.9

Other International

Bond Portfolio

1.80 10.04 9.42 4.22 3.02 14.92 ‐7.19 9.99 11.01 13.54

20.4

Japan

5‐Year Risk Profile

Benchmark ‐0.17 ‐0.17

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Equity Regional Weights (%)

Europe ex UK

Strategy 0.92 0.92

6

GMO Global Allocation Absolute Return Strategy March 31, 2015 QUARTERLY ATTRIBUTION Perform ance (%)

Equity

Alts

Bonds

Cash

Net of Fees, USD (Rep Account)

+0.93

Gross of Fees, USD (Rep Account)

+1.18

CPI Index (prelim through most recent month-end)

-0.41

Value Added

+1.59

Equity

Alts

Bonds

Cash

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

7

GMO Global Asset Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%)

U.S. Quality, 13.4 U.S. Opportunistic Value, 2.0 Europe Value, 17.7 Japan, 5.5 Other Int'l. Opportunistic Value, 1.6 Emerging Markets, 11.9 Risk Premium, 2.7 Systematic Global Macro, 3.1 Interest Rates & FX, 20.2 Asset Backed Securities, 4.5 Emerging Debt, 4.6 Alpha Only, 7.0 Cash & Cash Equiv., 5.7

80 60 40 20 0 U.S. Equity Int’l. Developed Equity Emerging Equity

Alternative Strategies Fixed Income Absolute Return

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Cash

Equity Regional Weights (%) Emerging

22.8

10.4

Europe ex UK Japan 2.4

Other International United Kingdom

10.5 7.7

24.0

16.0

29.7

United States

12 10 8 6 4 2 0

51.6

Benchmark

Equity Characteristics Price/Earnings ‐ Hist 1 Yr Wtd Med Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med Market Cap ‐ Weighted Median $Bil

Strategy

Benchmark

16.7 x

19.7 x

1.6 x

2.2 x

10.9 %

14.9 %

$34.9

Dividend Yield ‐ Hist 1 Yr Wtd Avg 5‐Year Risk Profile

3.1 % Strategy 0.12 0.86 0.93 0.82 8.14

Alpha Beta 2 R Sharpe Ratio Std. Deviation

$39.7

Benchmark 0.00 1.00 1.00 0.83 9.13

2.3 years BB B
5.61

6.71

8.13

7.67 6.25

5.90

0.76

5YR

10YR

Strategy

Benchmark

ITD

The GMO Global Asset Allocation Index + is an internally maintained benchmark  computed by GMO, comprised of (i) GMO blended benchmark of Global Asset  Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset  Allocation (Blend) Index thereafter. The GMO blended benchmark of Global Asset  Allocation Composite 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. The GMO Global Asset Allocation (Blend)  Index is an internally maintained benchmark computed by GMO, comprised of  65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and  35% the Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy,  adequacy, completeness or availability of any data or information and is not  responsible for any errors or omissions from the use of such data or information.  Reproduction of the data or information in any form is prohibited except with the  prior written permission of S&P or its third party licensors. MSCI 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.

6.3% 2.7% 4.7% 0.7%

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 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; 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, and asset‐backed exposure. Ratings for the emerging debt and developed rates portions of the portfolio are derived by taking the Standard and Poor’s country ratings and applying these ratings to the country exposures of the portfolio. For the asset‐backed portion of the portfolio, credit ratings are derived by using the lowest rating among rating agencies at the issue level. Final credit ratings are expressed based upon Standard and Poor’s ratings scale. Standard & Poor’s rates securities from AAA (highest quality) to C (lowest quality), and D to indicate securities in default; some securities are not rated (NR). BB and below are considered below investment grade securities. 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. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

4.87 13.60 12.13 ‐1.80 11.05 24.14 ‐27.72 9.26 13.41 5.99

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.

2.4 %

3

6.4% 69.0% 1.9% 8.2%

1.24 12.38 11.11 2.13 7.93 24.15 ‐20.83 7.94 12.30 9.06

9.55

1YR

2

Bond Portfolio Bond Portfolio Duration Credit Ratings AAA AA A BBB

Benchmark 2.13 2.13

Annualized Return (%)

7.5 10.5 6.9

Strategy

Strategy 1.24 1.24

1Q 2015 YTD 2015

8

GMO Global Asset Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

9

GMO Real Return Global Balanced Asset Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%) U.S. Quality, 12.6 U.S. Opportunistic Value, 1.9 Europe Value, 15.5 Japan, 4.8 Other Int'l. Opportunistic Value, 1.4 Emerging Markets, 12.1

80 60

20 0

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Interest Rates & FX, 16.1 Asset Backed Securities, 2.8 Emerging Debt, 3.3

40

Multi Strategy, 29.0 Cash & Cash Equiv., 0.6 U.S. Equity Int’l. Developed Equity Emerging Equity

Alternative Strategies Fixed Income Absolute Return

Cash

Equity Regional Weights (%) Emerging

24.9

0.0

Europe ex UK Japan Other International United Kingdom

2.3

10.0 8.6

22.8 17.8

8.4 10 7.7

United States Strategy

8 30.1

57.6

2

Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

Strategy

Benchmark

16.6 x

20.1 x

1.6 x

2.3 x

10.9 %

15.1 %

$33.2

Dividend Yield ‐ Hist 1 Yr Wtd Avg

7.07

6.86

6.29

5.67

5.41

4.83

3.1 %

Strategy 0.88 0.83 0.88 0.89 7.50

1.06

0 1YR

$45.4

5YR

10YR

Strategy

Benchmark

ITD

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.

2.4 %

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

Benchmark 0.00 1.00 1.00 0.83 8.48

The GMO Real Return Global Balanced Asset Allocation Blended Index + is an  internally maintained benchmark computed by GMO, comprised of (i) GMO  blended benchmark of Real Return Global Balanced Asset Allocation Composite  through 06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO  blended benchmark of Real Return Global Balanced Asset Allocation Composite 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. The RRGBAL Blended Index is comprised  of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax),  20% Barclays U.S. Aggregate Index and 20% Citigroup 3‐Month Treasury Bill Index.  The index is internally blended by GMO and maintained on a monthly basis. MSCI  data may not be reproduced or used for any other purpose. MSCI provides no  warranties, has not prepared or approved this report, and has no liability  hereunder.

3

Bond Portfolio Duration 2.3 years Credit Ratings AAA 5.3% BB 5.8% AA 72.7% B 2.6% A 1.6%
40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

4.22 14.95 10.42 ‐1.76 8.94 19.17 ‐25.17 7.87 13.69 6.82

4

Price/Earnings ‐ Hist 1 Yr Wtd Median

Bond Portfolio

2.00 13.68 10.65 3.16 5.00 13.02 ‐11.36 7.63 13.26 8.09

6.77

6

Equity Characteristics

5‐Year Risk Profile

Benchmark 1.77 1.77

Annualized Return (%)

Benchmark

Market Cap ‐ Weighted Median $Bil

Strategy 0.98 0.98

1Q 2015 YTD 2015

10

GMO Real Return Global Balanced Asset Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION Perform ance (%) Net of Fees, USD

Equity

Bonds

Cash

+0.98

Gross of Fees, USD (Rep Account)

+1.23

GMO Real Return Global Balanced Asset Allocation Blended Ind

+1.77

Value Added

-0.54

Equity

Bonds

Cash

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

11

GMO Tax‐Managed Global Balanced Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%)

U.S. Quality, 13.1 U.S. Opportunistic Value, 2.5 Europe Value, 16.2 Japan, 4.1 Emerging Markets, 11.3 Risk Premium, 2.6 Emerging Country Debt, 2.0

80 60 40

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Municipal Bonds, 34.1 20 0

Multi‐Strategy, 13.3 Cash & Cash Equiv., 0.9 U.S. Equity Int’l. Developed Equity Emerging Equity

Alternative Strategies Fixed Income Absolute Return

Cash

Equity Regional Weights (%) Emerging Europe ex UK Japan Other International United Kingdom

23.4

10.4

1.2

8.4 7.7

16.0

5.40

6 4

33.0

51.6

6.24

7.56 5.74

7.14

5.81

2.40

0

Benchmark

Equity Characteristics Strategy Price/Earnings ‐ Hist 1 Yr Wtd Median

17.2 x

19.7 x

10.7 x

13.9 x

Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

1.7 x

2.2 x

13.1 %

14.9 %

$34.2

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.8 %

Strategy ‐0.24 0.85 0.96 0.83 7.39

10YR

Strategy

Benchmark

ITD

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.

$39.7 2.4 %

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

5YR

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.

Benchmark

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

Benchmark 0.00 1.00 1.00 0.89 8.46

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

5.02 12.78 11.47 ‐0.27 9.99 23.90 ‐25.89 7.12 12.95 5.91

2 1YR

5‐Year Risk Profile

2.02 10.86 9.71 1.34 6.88 14.29 ‐14.95 7.16 12.08 9.91

7.57

8

United States

Market Cap ‐ Weighted Median $Bil

Benchmark 1.89 1.89

Annualized Return (%)

26.0

7.5 8.0 6.9

Strategy

Strategy 2.02 2.02

1Q 2015 YTD 2015

12

GMO Tax‐Managed Global Balanced Strategy March 31, 2015 QUARTERLY ATTRIBUTION Performance (%) Net of Fees, USD (Rep Account)

Equity

Alts

Bonds

Cash

+2.00

Gross of Fees, USD (Rep Account)

+2.25

Tax‐Managed Global Balanced Index

+1.89

Value Added

+0.36

Equity

Alts

Bonds

Cash

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

13

GMO Global All Country Equity Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%) U.S. Quality, 29.3

80

U.S. Opportunistic Value, 4.4

60

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Europe Value, 31.8

40

Japan, 9.9 Other Int'l. Opportunistic Value, 2.9 Emerging Markets, 20.4 Cash & Cash Equiv., 1.2

20 0 U.S. Equity Int’l. Developed Equity

Emerging Equity Cash

Top Country Weights (%) 33.8

United States Japan United Kingdom France Germany

5‐Year Risk Profile

51.6

9.9 7.7 9.9 6.9 7

2 Strategy 0.26 0.90 0.96 0.65 13.17

Benchmark 0.00 1.00 1.00 0.65 14.24

Strategy

Benchmark

16.9 x

19.7 x

1.6 x

2.2 x

12.1 %

14.9 %

Price/Earnings ‐ Hist 1 Yr Wtd Median Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med Market Cap ‐ Weighted Median $Bil

$40.2

Dividend Yield ‐ Hist 1 Yr Wtd Avg

9.30

8.99 6.94

5.42

7.47 6.41

3.0 %

0.17

0 1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of  future performance. Returns are shown after the deduction of management fees,  transaction costs and other expenses, but before custody charges, withholding  taxes, and other indirect expenses. The returns assume the reinvestment of  dividends and other income. The MSCI ACWI ++ Index is an internally maintained benchmark computed by  GMO, comprised of (i) GMO blended benchmark of Global All Country Equity  Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)  Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO  blended benchmark of Global All Country Equity Allocation Composite 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. 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.

$39.7 2.4 %

3

Country United Kingdom France United States United States United Kingdom

4.17 23.46 16.34 ‐6.87 12.94 34.45 ‐41.82 10.38 20.34 9.95

4

Characteristics

Sector % of Equity Energy 2.0 Energy 2.0 Health Care 1.9 Consumer Discretiona 1.7 Energy 1.7 9.3

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

8.68

6

Benchmark

2

Top Holdings Company Royal Dutch Shell Total S.A. Express Scripts Hldg. Amazon.com Inc. BP PLC Total

‐0.69 21.33 14.74 ‐1.29 10.12 24.19 ‐31.41 11.12 18.87 12.51

8

Alpha Beta 2 R Sharpe Ratio Std. Deviation

Benchmark 2.31 2.31

Annualized Return (%) 10

3.4 5.8 3.3 Strategy

Strategy 2.93 2.93

1Q 2015 YTD 2015

14

GMO Global All Country Equity Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

15

GMO Global Developed Equity Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%)

80

U.S. Quality, 31.8

60

U.S. Opportunistic Value, 4.8

40

Europe Value, 37.5

20

Japan, 11.7 Other Int'l. Opportunistic Value, 3.3 Emerging Markets, 9.6 Cash & Cash Equiv., 1.3

0 U.S. Equity Int’l. Developed Equity

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Emerging Equity Cash

Top Country Weights (%) 36.6

United States

United Kingdom France

Strategy

12 10 8 6 4 2 0

Benchmark

2

Strategy 0.44 0.92 0.96 0.73 13.16

Benchmark 0.00 1.00 1.00 0.71 14.06

Strategy

Benchmark

17.3 x

20.1 x

1.7 x

2.3 x

Alpha Beta 2 R Sharpe Ratio Std. Deviation

Price/Earnings ‐ Hist 1 Yr Wtd Median Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

12.4 % $52.0

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.9 %

10.01

9.36 6.79

6.03

7.47

6.39

0.82

5YR

10YR

Strategy

Benchmark

ITD

The MSCI World + Index is an internally maintained benchmark computed by  GMO, comprised of (i) GMO blended benchmark of Global Developed Equity  Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI  Standard Index Series, net of withholding tax) thereafter. The GMO blended  benchmark of Global Developed Equity Allocation Composite 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.

15.1 % $45.4 2.4 %

Sector % of Equity Energy 2.3 Energy 2.3 Health Care 2.1 Energy 2.0 Consumer Discretiona 2.0 10.7

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

4.94 26.68 15.84 ‐5.52 11.77 29.97 ‐40.70 9.02 20.05 9.42

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.

3

Top Holdings Company Country Royal Dutch Shell United Kingdom Total S.A. France Express Scripts Hldg. United States BP PLC United Kingdom Nissan Motor Co. Ltd. Japan Total

0.32 25.82 14.14 ‐0.40 9.25 20.55 ‐33.19 9.69 20.22 12.26

9.63

1YR

Characteristics

Market Cap ‐ Weighted Median $Bil

Benchmark 2.31 2.31

Annualized Return (%)

3.8 6.9 3.7

Germany

5‐Year Risk Profile

57.6

11.7 8.6 11.6 7.7 8.3

Japan

Strategy 3.10 3.10

1Q 2015 YTD 2015

16

GMO Global Developed Equity Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION Performance (%) Net of Fees, USD (Rep Account)

U.S.

Int’l

EM

+2.77

Gross of Fees, USD (Rep Account)

+2.62

MSCI World

+2.31

Value Added

+0.31

U.S.

Int’l

EM

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

17

GMO Global Focused Equity Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

Region Weights (%)

Strategy 2.71 2.71

Underweight/Overweight Against Index Australia/New Zealand Canada ‐0.2 Emerging ‐3.2 Europe ex UK ‐2.1 Japan ‐0.5 Southeast Asia ‐1.6 United Kingdom United States ‐2.7 Cash + Unrealized G/L GICS Sector Weights (%) Under/Overweight vs. Index

Consumer Disc. Consumer Staples Energy Financials Health Care Industrials Information Tech. Materials Telecom. Services Utilities

Annual Total Return (%) 2014 2013 2012

1.9 4.8

0.6 ‐8.0 1.0 ‐1.3 0.2 5.6 ‐6.2

Risk Profile Since 12/31/11

1Q 2015 YTD 2015

3.5

6.9 2.4 ‐1.3

Strategy 13.2 1.7 8.5 20.2 12.3 16.1 7.8 12.2 6.0 1.9

10

Strategy ‐2.36 1.24 0.85 1.03 14.25

Price/Cash Flow ‐ Hist 1 Yr Wtd Median Price/Book ‐ Hist 1 Yr Wtd Avg Dividend Yield ‐ Hist 1 Yr Wtd Avg

Index

17.2 x

19.7 x

9.0 x

13.9 x

1.6 % $2.0

ITD Strategy

Index

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

2.2 % $2.4

% of Equity 2.6 2.5 2.5 2.5 2.5 2.5 2.5 2.5 2.4 2.4 24.9

1

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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

‐1.34

1YR

2

Top Ten Holdings Company Mallinckrodt PLC Michael Kors Holdings Ltd. Apple Inc. Actavis PLC General Motors Co. Anthem Inc ITT Corp Capital Product Partners LP Halliburton Co. LyondellBasell Industries N.V. Cl A Total

5.42

0 ‐5

Index 0.00 1.00 1.00 1.29 10.59

Strategy

13.76

5

Characteristics Price/Earnings ‐ Hist 1 Yr Wtd Median

4.16 22.80 16.13

14.72

15

1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

‐3.24 31.29 19.71

Annualized Return (%) 20

Index 12.6 9.7 7.5 21.5 12.1 10.5 14.0 5.3 3.6 3.2

Index 2.31 2.31

18

GMO Global Focused Equity Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Global Focused Equity Strategy climbed 2.7% net of fees for the quarter. The Strategy’s reference benchmark, MSCI All Country World index rose 2.3%.



Positive contributions came from holdings in Toll Holdings in Australia, Peugeot in France, and Anthem and Capital Product Partners in the United States. Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. Toll was slowly restructuring while waiting for a cyclical upswing in business volumes. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Anthem continues to perform well as regulatory uncertainty around managed care companies subsides, as well as strong demand for their services, and the company’s attractive capital return and reasonable valuation. Capital Product Partners’ exposure to improving volume and pricing power in the product tanker markets as well as its attractive 10% dividend yield helped the name outperform.



Negative contribution came from National Oilwell Varco (NOV) in the United Sates, Bluescope Steel in Australia, and Gran Tierra Energy in Canada. The continued uncertainty facing the oil markets negatively impacted our shares in NOV, an oil services firm, and Bluescope fell with the declining price of steel. Additionally, Gran Tierra, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

19

GMO Quality Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

GICS Sector Weights (%) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

0.5 0.0

1.6 3.2 1.7 2.3 0.0 3.0

12.6 24.8 9.7 8.0 16.2 24.3 14.9 8.0 10.4 19.7

Strategy

1Q 2015 YTD 2015 Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

33.5

Benchmark

Region Weights (%) Non US

18.3 0.0 100.0 1.1 0.0

15

5‐Year Risk Profile

Benchmark

10.78

12.73

13.03

14.47 7.52

8.01

7.68

6.87

0 Strategy 1.39 0.80 0.88 1.18 11.00

Benchmark 0.00 1.00 1.00 1.12 12.86

Strategy

Benchmark

20.9 x

20.1 x

4.1 x

2.8 x

1YR

Price/Earnings ‐ Hist 1 Yr Wtd Median Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

19.2 %

Market Cap ‐ Weighted Median $Bil

$112.8

18.0 %

0.6 x

1.0 x

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.1 %

2.0 %

2

Sector Health Care Information Technology Health Care Information Technology Consumer Staples

10YR

Strategy

Benchmark

ITD

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.

$77.1

Debt/Equity Wtd Med

5YR

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.

Characteristics

Top Holdings Company Express Scripts Holding Co Oracle Corp. Johnson & Johnson Google Inc. (Cl A) Coca‐Cola Co. Total

13.69 32.39 16.00 2.11 15.06 26.46 ‐37.00 5.49 15.80 4.91

5

1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

% of Equity 5.4 4.6 4.5 4.3 4.3 23.1

1

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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

12.54 25.47 11.81 11.84 5.48 19.89 ‐24.08 6.04 12.69 ‐0.79

10

Strategy

Benchmark 0.95 0.95

Annualized Return (%) 20

80.6

US Cash

Strategy 0.42 0.42

5.6

20

GMO Quality Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

21

GMO Resources Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

Top Country Weights (%) 16.9 17.9 12.4

United Kingdom Russia

3.3

Japan

10.5

2.2 6.3 3.3 6.2

China United States

Strategy

Annual Total Return (%) 2014 2013 2012

41.1

‐14.69 3.31 1.96

0

0.0 0.0 1.5 2.0

‐5 ‐10 ‐15 ‐20

Strategy 3.00 1.08 0.95 ‐0.11 17.48

Benchmark 0.00 1.00 1.00 ‐0.29 15.74

Strategy

Benchmark

10.8 x

12.6 x

Earnings/Share ‐ F'cast LT Median Growth Rate

5.8 x

6.8 x

Return on Equity ‐ Hist 1 Yr Med

9.9 %

10.7 %

Market Cap ‐ Weighted Median $Bil

$23.7 4.6 %

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.

$42.4 3.8 %

2

Country Russia China Russia United Kingdom United Kingdom

Sector Energy Energy Energy Energy Energy

ITD Benchmark

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

Characteristics

Dividend Yield ‐ Hist 1 Yr Wtd Avg

‐18.52

Strategy

Benchmark

Price/Earnings ‐ Hist 1 Yr Wtd Median

‐18.67

1YR

1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

‐1.95 ‐4.57

63.8 68.2

0.0 0.0 0.0 0.0 10.6 0.0 0.0 0.0 18.4 29.7 0.0 0.0 5.8 0.0 Strategy

% of Equity 5.1 4.9 4.9 4.8 4.8 24.5

1

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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

‐16.78 4.39 9.23

Annualized Return (%)

Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

Top Holdings Company Gazprom OAO CNOOC Ltd. LukOil OAO BP PLC Royal Dutch Shell Total

Benchmark ‐4.39 ‐4.39

Benchmark

GICS Sector Weights (%)

Risk Profile Since 12/31/11

Strategy ‐1.14 ‐1.14

1Q 2015 YTD 2015

22

GMO Resources Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

23

GMO International All Country Equity Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Total Return (%)

Group Exposures (%) 100

Strategy 3.54 3.54

1Q 2015 YTD 2015

80

Benchmark 3.49 3.49

Europe Value, 49.4 Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

60 Japan, 15.4 Other Int'l. Opportunistic Value, 4.5

40 20

Emerging Markets, 29.8 Cash & Cash Equiv., 1.0

0 Int’l. Developed Equity

Emerging Equity

Cash

Top Country Weights (%) 15.3 15.9 15.3 14.2

Japan United Kingdom France Germany

6.8

Strategy

10 5

Benchmark

0

Strategy 0.56 0.99 0.97 0.32 16.21

Benchmark 0.00 1.00 1.00 0.30 16.15

Strategy

Benchmark

16.0 x

18.6 x

Price/Book ‐ Hist 1 Yr Wtd Avg

1.3 x

1.7 x

Return on Equity ‐ Hist 1 Yr Med

7.8 %

11.2 %

‐10

Price/Earnings ‐ Hist 1 Yr Wtd Median

Market Cap ‐ Weighted Median $Bil

$22.9

Dividend Yield ‐ Hist 1 Yr Wtd Avg

3.6 %

5.40

7.36

5.64

‐1.04

5YR

10YR

Strategy

Benchmark

ITD

The MSCI ACWI ex USA + Index is an internally maintained benchmark computed  by GMO, comprised of (i) GMO blended benchmark of International All Country  Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index  (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended  benchmark of International All Country Equity Allocation Composite 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.

$25.4 2.8 %

% of Equity 3.1 3.1 2.6 2.6 2.1 13.5

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

5.69

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.

3

Sector Energy Energy Energy Consumer Disc. Health Care

4.84

‐4.68

1YR

Characteristics

Top Holdings Company Country Royal Dutch Shell United Kingdom Total S.A. France BP PLC United Kingdom Nissan Motor Co. Ltd. Japan AstraZeneca PLC United Kingdom Total

5.34

‐5

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

‐3.88 15.47 16.90 ‐13.63 10.82 40.16 ‐45.26 16.08 26.94 16.71

Annualized Return (%)

9.0

5.3 5.0

China

5‐Year Risk Profile

10.9

7.0

‐6.21 16.71 16.82 ‐11.31 12.74 27.77 ‐40.96 17.39 25.91 19.03

24

GMO International All Country Equity Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

25

GMO International Developed Equity Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Total Return (%)

Group Exposures (%) 100

Strategy 4.40 4.40

1Q 2015 YTD 2015

80 Europe Value, 63.4

60

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

40 Japan, 19.8 Other Int'l. Opportunistic Value, 5.6 Emerging Markets, 10.0 Cash & Cash Equiv., 1.2

20 0 Int’l. Developed Equity

Emerging Equity

Cash

Top Country Weights (%) Japan

19.8

United Kingdom

19.7 19.8

France

9.5

Italy

2.3

‐4.90 22.78 17.32 ‐12.14 7.93 32.16 ‐43.33 11.58 26.62 14.41

10

7.03

6.16

8.17 5.55

6.34

5.14

5 0

Benchmark Strategy 1.11 0.96 0.97 0.43 16.06

Benchmark 0.00 1.00 1.00 0.37 16.44

Strategy

Benchmark

16.5 x

19.3 x

1.3 x

1.8 x

‐10

Price/Earnings ‐ Hist 1 Yr Wtd Median Price/Book ‐ Hist 1 Yr Wtd Avg Return on Equity ‐ Hist 1 Yr Med

7.6 %

Market Cap ‐ Weighted Median $Bil

$26.6

Dividend Yield ‐ Hist 1 Yr Wtd Avg

3.5 %

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of  future performance. Returns are shown after the deduction of management fees,  transaction costs and other expenses, but before custody charges, withholding  taxes, and other indirect expenses. The returns assume the reinvestment of  dividends and other income. The MSCI EAFE ++ Index is an internally maintained benchmark computed by  GMO, comprised of (i) GMO blended benchmark of International Developed Equity  Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe, Australasia,  and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter.  The GMO blended benchmark of International Developed Equity Allocation  Composite is comprised of a weighted average of account benchmarks; many of  the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East)  (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.

11.1 % $29.8 2.9 %

3

Sector Energy Energy Energy Consumer Disc. Health Care

‐4.95

1YR

Characteristics

Top Holdings Company Country Royal Dutch Shell United Kingdom Total S.A. France BP PLC United Kingdom Nissan Motor Co. Ltd. Japan AstraZeneca PLC United Kingdom Total

‐0.92

‐5

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

% of Equity 3.9 3.9 3.4 3.3 2.7 17.2

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

‐6.03 24.13 17.09 ‐9.45 10.58 19.84 ‐38.39 12.69 25.50 15.56

Annualized Return (%)

11.6

4.2

Strategy 5‐Year Risk Profile

14

9.7

Germany

22.2

Benchmark 4.88 4.88

26

GMO International Developed Equity Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

27

GMO International Equity Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%) 100

Total Return (%) 1Q 2015 YTD 2015

80 60

Europe Value, 70.6

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

40 20

Japan, 22.0 Other Int'l. Opportunistic Value, 6.1 Cash & Cash Equiv., 1.3

0 Int’l. Developed Equity

Cash

Top Country Weights (%) 22.0 22.2 21.9 19.8

Japan United Kingdom France

2.3

10

4.7

Strategy 5‐Year Risk Profile

‐4.90 22.78 17.32 ‐12.14 7.75 31.78 ‐43.38 11.17 26.34 13.54

5.89 6.16 5.83

5 Benchmark Strategy 0.36 0.95 0.97 0.35 16.61

Benchmark 0.00 1.00 1.00 0.33 17.29

Price/Earnings ‐ Hist 1 Yr Wtd Median

Strategy

Benchmark

16.5 x

19.3 x

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

6.3 x

12.2 x

Price/Book ‐ Hist 1 Yr Wtd Avg

1.4 x

1.8 x

Return on Equity ‐ Hist 1 Yr Med

7.7 %

11.1 %

Market Cap ‐ Weighted Median $Bil

$29.2

Dividend Yield ‐ Hist 1 Yr Wtd Avg

7.98 4.37 4.95 4.51

5.36

10YR

ITD

7.08

3.5 %

‐10

‐5.02

1YR

5YR Strategy

MSCI EAFE

MSCI EAFE +

Performance data quoted represents past performance and is not predictive of  future performance. Returns are shown after the deduction of management fees,  transaction costs and other expenses, but before custody charges, withholding  taxes, and other indirect expenses. The returns assume the reinvestment of  dividends and other income. The 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. The  MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained  benchmark computed by GMO, comprised of (i) the MSCI EAFE (Europe,  Australasia, and Far East) Value Index (MSCI Standard Index Series, net of  withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia,  and Far East) Index (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.

$29.8 2.9 %

3

Sector Energy Energy Energy Consumer Disc. Health Care

‐0.92 ‐0.31

‐5

Characteristics

Top Holdings Company Country Royal Dutch Shell United Kingdom Total S.A. France BP PLC United Kingdom Nissan Motor Co. Ltd. Japan AstraZeneca PLC United Kingdom Total

‐3.79 22.95 17.69 ‐12.17 3.25 34.23 ‐44.09 5.96 30.38 13.80

0

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

% of Equity 4.4 4.4 3.7 3.7 3.0 19.2

1

The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

‐5.96 25.62 12.98 ‐10.18 7.53 21.41 ‐40.31 10.21 25.78 13.98

MSCI EAFE + 4.88 4.88

Annualized Return (%)

13.0

9.5

Italy

MSCI EAFE 4.88 4.88

15.7

9.7

Germany

Strategy 4.36 4.36

28

GMO International Equity Strategy March 31, 2015 QUARTERLY ATTRIBUTION

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

29

GMO International Active EAFE Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

Region Weights (%)

Strategy 5.68 5.68

Underweight/Overweight Against Benchmark Australia/New Zealand

1Q 2015 YTD 2015

‐3.2

Emerging

7.1

Europe ex UK

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐1.5

Japan

‐1.1

Southeast Asia

‐2.7

United Kingdom

‐2.9

Cash + Unrealized G/L

4.2

GICS Sector Weights (%) Under/Overweight vs. Benchmark Strategy Consumer Disc. 14.0 0.9 Consumer Staples 6.3 ‐4.7 Energy ‐1.3 3.8 Financials 10.3 36.3 Health Care ‐8.6 2.8 Industrials ‐4.7 8.0 Information Tech. 4.5 9.4 Materials ‐4.6 2.9 Telecom. Services 6.3 11.0 Utilities 1.9 5.5 5‐Year Risk Profile

Benchmark 13.1 11.0 5.1 26.0 11.4 12.7 4.9 7.5 4.7 3.6

Benchmark 0.00 1.00 1.00 0.37 16.44

Strategy

Benchmark

11.60 8.95

10

4.55

5

Price/Earnings ‐ Hist 1 Yr Wtd Median

16.4 x

19.3 x

8.3 x

12.2 x

Price/Book ‐ Hist 1 Yr Wtd Avg

1.4 x

1.8 x

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.9 %

2.9 %

‐10

3.99

4.95

‐0.92 ‐5.00

1YR

5YR

10YR

Strategy

Benchmark

ITD

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

2

Top Overweight Holdings Company Mitsubishi Tokyo Financial Group Inc. Sumitomo Mitsui Financial Group Inc. Telecom Italia S.p.A. Zurich Financial Services AG AstraZeneca PLC Mediaset S.p.A. Allianz AG Holding Assicurazioni Generali S.p.A. Asciano Group Imperial Tobacco Group PLC

6.16

0

Characteristics

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

‐4.90 22.78 17.32 ‐12.14 7.75 31.78 ‐43.38 11.17 26.34 13.54

15

‐5 Strategy ‐1.64 1.01 0.98 0.27 16.71

‐11.03 24.11 14.92 ‐11.65 5.01 25.53 ‐41.24 10.58 27.52 13.52

Annualized Return (%)

1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

4.2 4.2 2.1 2.1 2.1 2.0 1.9 1.8 1.8 1.7

1

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; 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 should not be considered a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

Benchmark 4.88 4.88

30

GMO International Active EAFE Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The International Active EAFE Strategy gained 5.7% net of fees in the first quarter; the Strategy was 0.8 percentage points ahead of the MSCI EAFE index, which rose 4.9%.



Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were less exposed to the United Kingdom than the benchmark. In addition, while our weight in Europe is slightly lower than that of the benchmark, we have an overweight position in the eurozone. In January we hedged the account such that the exposure of the portfolio to the euro was closer to that of the benchmark, and the hedge against the euro was positive in the quarter.



Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Australia, and Hong Kong outperformed.



In Europe, performance was led by Peugeot, Banca Popolare di Milano, and Deutsche Telekom. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. European telecom companies did well, especially Deutsche Telekom. There are several reasons we like these names, among them that that the consolidation of the industry within markets has started, and their regulatory environment has finally become a tailwind after many years of holding them back. These companies stand to benefit from a “market repair” scenario, where a data consumption boom drives a rebound in the ARPU.



Australian logistics company Toll received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company. In Hong Kong, Cheung Kong Holdings, historically a holding company for the operating assets of famed investor Li Ka Shing, announced a reorganization that will consolidate all of the property assets into one listed company, and all non-property into a separate listing. This could mean a narrowing of the large discount to NAV at which the stock has traditionally traded.



On the negative side, stock selection in Japan hurt returns. Hitachi Ltd. fell on news that it would buy Italian company Finmeccanica's rail and signal assets. While the market had anticipated the transaction, the price was a negative surprise.

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

31

GMO International Active Foreign Small Companies Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Region Weights (%)

Total Return (%) Underweight/Overweight Against Benchmark

Australia/New Zealand Canada Emerging Europe ex UK Japan Southeast Asia United Kingdom Cash + Unrealized G/L

‐4.5 5.0 4.8 ‐7.3 ‐3.6 3.6

Consumer Disc. Consumer Staples Energy Financials Health Care Industrials Information Tech. Materials Telecom. Services Utilities 5‐Year Risk Profile

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

0.9

GICS Sector Weights (%) Under/Overweight vs. Benchmark 7.7 ‐2.4 ‐0.4 3.9 ‐4.7 ‐1.6 ‐1.0 0.7 0.0 ‐2.3

Strategy 25.4 3.1 2.3 26.8 2.6 19.8 7.8 10.7 1.5 0.0

Benchmark 17.7 5.5 2.7 22.9 7.3 21.4 8.8 10.0 1.5 2.3

15

‐3.42 26.06 18.55 ‐14.49 21.96 45.07 ‐47.67 7.32 29.42 22.10

8.53

11.00 8.04

7.27

6.91

5 0

Strategy 0.74 0.96 0.98 0.54 16.32

Benchmark 0.00 1.00 1.00 0.50 16.82

Strategy

Benchmark

Price/Earnings ‐ Hist 1 Yr Wtd Median

20.4 x

21.9 x

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

11.2 x

13.4 x

Price/Book ‐ Hist 1 Yr Wtd Avg

1.5 x

1.7 x

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.1 %

2.2 %

‐5 ‐10

‐2.76 ‐6.49

1YR

5YR

10YR

Strategy

Benchmark

ITD

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

2

1.8 1.6 1.5 1.5 1.5 1.5 1.4 1.4 1.3 1.3

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.

1

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; 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 should not be considered a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

‐9.53 28.92 21.64 ‐15.21 24.76 47.63 ‐45.91 8.00 36.24 18.91

8.91

10

Characteristics

Top Overweight Holdings Company Mediaset S.p.A. Asciano Group Grand City Properties SA Incitec Pivot Ltd. Faurecia S.A. Sopra Group Kaba Holding AG TAG Immobilien AG Filtrona PLC Nexity S.A.

Benchmark 4.43 4.43

Annualized Return (%)

1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

Strategy 6.52 6.52

1Q 2015 YTD 2015

1.1

32

GMO International Active Foreign Small Companies Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index by 2.1 percentage points in the first quarter, gaining 6.5% net of fees while the benchmark rose 4.4%.



Country and currency allocation was ahead of the benchmark. Our positioning in Europe added returns, particularly because we were more exposed to Italy than the benchmark. Less exposure in Canada also helped performance. In addition, while our weight in Europe is slightly higher than that of benchmark, we have a larger overweight position in the eurozone. In January we hedged the Strategy such that the exposure of the portfolio to the euro was closer to that of the benchmark, and the hedge against the euro contributed positively in the quarter.



Stock selection also beat the benchmark in the first quarter. Holdings in Europe, Japan, and Australia outperformed. In Europe, performance was led by Peugeot and Banca Popolare di Milano. In addition to investors becoming excited about European recovery, positive auto data, especially out of Spain, propelled the performance of auto makers. This was particularly true for Peugeot, which is geared to Europe. Italian cooperative banks, including Milano, are now required to change their governance structure, which will likely trigger consolidation. The potential benefit to Banca Popolare di Milano drove up the share price. In Japan, Aoyama Trading used its stockpile of cash to initiate a share repurchase. Australian logistics company Toll outperformed because it received a buyout offer from Japan Post at a 50% premium to its previous value, vindicating our long-held position in the company.



On the negative side, stock selection in Canada hurt returns. Capstone Mining fell as copper prices have been weak due to faltering demand, particularly from emerging markets. Additionally, Gran Tierra Energy, a Canadian based exploration and production company with Latin American assets, sold off on negative well results that prompted a write-down in 2P reserves (proven reserves + probable reserves).

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

33

GMO U.S. Equity Allocation Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Group Exposures (%)

Total Return (%) Strategy 0.57 0.57

100 1Q 2015 YTD 2015

80 60

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

U.S. Quality, 85.5

40 20 U.S. Opportunistic Value, 13.0 Cash & Cash Equiv., 1.5

0 U.S. Equity

Cash

GICS Sector Weights (%) Consumer Discretionary Consumer Staples Energy Financials Health Care Industrials Information Technology Materials Telecommunication Services Utilities

9.9 12.6 18.7 9.7 9.9 8.0 2.2 16.2 21.3 14.9 8.6 10.4 28.0 19.7 1.4 3.2 0.0 2.3 0.0 3.0 Strategy

Market Cap ‐ Weighted Median $Bil

10

20.9 x

20.1 x

3.7 x

2.8 x

18.8 %

18.0 %

Strategy 0.85 0.82 0.91 1.14 11.25

$77.1 2.0 % Benchmark 0.00 1.00 1.00 1.11 13.13

3

Top Holdings Company Sector % of Equity Express Scripts Holding Co Health Care 5.6 Amazon.com Inc. Consumer Discretionary 5.0 Johnson & Johnson Health Care 4.6 Apple Inc. Information Technology 4.4 Chevron Corp. Energy 4.3 Total 23.9 1 The groups indicated above represent exposures determined pursuant to proprietary methodologies and are subject to change over time. 2 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; 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 should not be considered a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

10.69

8.15

6.77

8.23

10.33

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of  future performance.  Returns are shown after the deduction of management  fees, transaction costs and other expenses, but before custody charges,  withholding taxes, and other indirect expenses.  The returns assume the  reinvestment of dividends and other income. The Russell 3000 +++ Index is an internally maintained benchmark computed by  GMO, comprised of (i) GMO blended benchmark of U.S. Equity Allocation  Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended  benchmark of U.S. Equity Allocation Composite 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. 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. 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.

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

14.64

0 Benchmark

1.9 %

12.86

5

Strategy

$116.5

Dividend Yield ‐ Hist 1 Yr Wtd Avg 5‐Year Risk Profile

12.75

15

1YR

Price/Book ‐ Hist 1 Yr Wtd Avg

12.76 32.85 16.21 1.58 16.26 27.46 ‐37.15 5.39 15.71 5.53

Annualized Return (%)

Characteristics

Return on Equity ‐ Hist 1 Yr Med

9.82 27.95 12.25 9.91 7.43 20.54 ‐27.87 2.25 9.93 3.68

20

Benchmark

Price/Earnings ‐ Hist 1 Yr Wtd Med

Benchmark 1.80 1.80

34

GMO U.S. Equity Allocation Strategy March 31, 2015 QUARTERLY ATTRIBUTION Performance (%) Net of Fees, USD (Rep Account)

+0.62

Gross of Fees, USD (Rep Account)

+0.73

S&P 500

+0.95

Value Added

‐0.22

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

35

GMO Emerging Markets Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Region Weights (%)

Total Return (%) Underweight/Overweight Against Benchmark

Strategy 0.21 0.21

1Q 2015 YTD 2015

Developed 0.7 East Asia ‐5.8 Europe 14.7 Latin/South America 0.0 Mideast/Africa ‐6.8 South Asia ‐3.1 Cash + Unrealized G/L 0.3 GICS Sector Weights (%) Under/Overweight vs. Benchmark Strategy Benchmark Consumer Disc. 8.1 10.5 ‐2.4 Consumer Staples 1.8 7.8 ‐6.0 Energy 14.9 6.9 8.0 30.2 27.3 Financials 2.9 1.2 2.9 Health Care ‐1.7 2.7 8.2 Industrials ‐5.5 17.9 19.4 Information Tech. ‐1.5 6.8 7.4 Materials ‐0.6 9.1 6.3 Telecom. Services 2.8 7.2 3.3 Utilities 3.9 1 5‐Year Risk Profile Strategy Benchmark ‐2.71 0.00 Alpha 1.02 1.00 Beta 2 0.97 1.00 R ‐0.01 0.14 Sharpe Ratio 18.61 17.90 Std. Deviation

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

Benchmark 2.15 2.15

‐5.92 ‐5.19 15.19 ‐16.95 20.20 71.89 ‐55.74 37.22 29.51 40.15

‐1.12 ‐0.57 18.89 ‐19.03 20.64 81.03 ‐53.74 40.28 35.11 35.19

Annualized Return (%) 15 9.41

10

6.47

5

7.21

5.77

2.58

1.65

0 ‐5

‐0.06 ‐2.86

1YR

5YR

10YR

Strategy

Benchmark

ITD

Characteristics Strategy

Benchmark

10.4 x

16.2 x

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

6.3 x

10.6 x

Price/Book ‐ Hist 1 Yr Wtd Avg

1.1 x

1.6 x

Return on Equity ‐ Hist 1 Yr Avg

11.7 %

10.9 %

Market Cap ‐ Weighted Median $Bil

$6.6

$6.6

Number of Equity Holdings

425

2,523

Dividend Yield ‐ Hist 1 Yr Wtd Avg 2 Top Ten Holdings Company Samsung Electronics Co. Ltd. HDFC Bank Ltd. Surgutneftegaz China Construction Bank Corp. Industrial & Commercial Bank of China Lt Bank of China Ltd. Hyundai Motor Co. Ltd.

3.9 %

Price/Earnings ‐ Hist 1 Yr Wtd Median

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

2.5 %

% of Equity 5.2 4.0 3.6 2.9 2.8 2.3 1.8

China Mobile Ltd. 1.8 LukOil OAO 1.8 Gazprom OAO 1.8 Total 28.0 1 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; 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 should not be considered a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

36

GMO Emerging Markets Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Emerging Markets Strategy gained 0.2% net of fees in the first quarter, underperforming the 2.2% rise in the S&P/IFCI Composite by 1.9%. Overall, country-sector allocation detracted 1.2% and stock selection lost 0.6%.



Emerging market equities began the quarter celebrating the €1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia to a 29.3% drop in Greece. Sector returns were more clustered, varying from an 8.5% rise in IT to a fall of 3.2% for Utilities.



Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rating is hampering the administration’s ability to implement its measures. Our overweights in Brazil sectors such as Utilities, Materials, and Telecommunications detracted from performance.



Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our underweight in China IT and Consumer Discretionary hurt performance.



The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the country’s biggest export earner. Investor sentiment was also lifted by a truce in Ukraine. Our overweight in Russia Energy and Financials helped performance.



Stocks in Greece dropped on continuing worries over the tussle between Greece and its creditors to recraft its bailout package. The government had obtained an extension by backing away from election pledges to ease budget cuts and restructure debt. However, it has yet to produce a revised economic plan that satisfies creditors. Our underweight in Greece Financials added to performance.



Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our overweight in Turkey Financials negatively impacted performance.



Stock selection detracted from performance. Segments such as Russia Energy and Turkey Materials had particularly strong selection while areas such as Korea Consumer Discretionary and India Financials saw especially weak selection.

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

37

GMO Emerging Domestic Opportunities Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Total Return (%)

Region Weights (%)

Underweight/Overweight Against Index

1Q 2015 YTD 2015

Developed 14.1 East Asia ‐16.8 Europe ‐2.9 Latin/South America ‐8.6 Mideast/Africa ‐5.1 South Asia 10.3 Cash + Unrealized G/L 8.9 GICS Sector Weights (%) Under/Overweight vs. Index Strategy Index Consumer Disc. 13.1 9.4 3.7 Consumer Staples 8.1 13.2 21.3 Energy 2.9 8.0 ‐5.1 Financials 25.8 28.5 ‐2.7 12 2.3 Health Care 9.7 7.7 6.8 Industrials 0.9 4.3 19.1 Information Tech. ‐14.8 3.9 7.0 Materials ‐3.1 6.8 7.3 Telecom. Services ‐0.5 2.4 3.3 Utilities ‐0.9 2 Risk Profile Since 3/31/11 Strategy Index 6.47 0.00 Alpha 0.73 1.00 Beta 2 0.81 1.00 R 0.35 ‐0.12 Sharpe Ratio 14.26 17.52 Std. Deviation Characteristics Strategy Index Price/Earnings ‐ Hist 1 Yr Wtd Median

22.1 x

16.0 x

Price/Cash Flow ‐ Hist 1 Yr Wtd Median

18.8 x

10.5 x

Price/Book ‐ Hist 1 Yr Wtd Avg

2.9 x

1.6 x

Return on Equity ‐ Hist 1 Yr Avg

15.7 %

11.6 %

Market Cap ‐ Weighted Median $Bil

$4.0

$9.1

Number of Equity Holdings

122

836

Dividend Yield ‐ Hist 1 Yr Wtd Avg 3 Top Ten Holdings Company Colgate‐Palmolive Co. HDFC Bank Ltd. Lupin Ltd. Industrial & Commercial Bank of China Ltd. Abbott Laboratories Anheuser‐Busch InBev Baidu.com Inc.

2.3 %

2.6 %

Annual Total Return (%) 2014 2013 2012 2011

Index 2.24 2.24

‐0.30 3.80 24.33 ‐8.99

Annualized Return (%) 8 6.10 6 4 0.44 2 0 ‐2 ‐4 1YR

‐2.19 ‐2.60 18.22 ‐20.06

4.98

‐2.05

ITD Strategy

Index

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

% of Equity 4.6 3.9 3.5 3.4 2.6 2.4 2.3

TRUE Telecommunication Growth Infrastruc 1.9 Brilliance Chna Autmtive Hldgs 1.8 BDO Unibank Inc 1.7 Total 28.1 1 Weights are based on exposure, which will include the impact from hedges held, if any. 2 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; 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 should not be considered a recommendation to buy individual securities. 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

Strategy 3.74 3.74

38

GMO Emerging Domestic Opportunities Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

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 began the quarter celebrating the €1.1 trillion stimulus program unveiled by the European Central Bank (ECB). Positives including the continued growth in the U.S., a truce in Ukraine, and an improving outlook for China were countered by negative developments such as a major corruption scandal in Brazil and a potential debt crisis in Greece. Country returns varied over the quarter, ranging from an 18.6% jump in Russia to a 29.3% drop in Greece. Domestic demand driven sector returns were more clustered, varying from a 6.7% rise in Health Care to a fall of 3.2% for Utilities.



The Emerging Domestic Opportunities Strategy rose 3.7% net of fees in the first quarter.



Brazilian stocks have been pressured by stagnant growth, above-target inflation, high budget deficits, and weakness in iron ore prices, a key export. In addition, officials at state-owned Petrobras have been accused of corruption in their dealings with construction companies. The government has ambitious plans to improve the fiscal and monetary picture but a rapidly declining approval rate is hampering the administration’s ability to implement its measures. Our investments in Brazil Financials and Industrials negatively impacted performance.



Investor sentiment in China jumped with a report that showed the unexpected expansion of manufacturing. Investors are also speculating on a continuation of monetary easing. In addition, there has been a surge of retail involvement in the equity markets as more than 10 million stock accounts have been opened since the start of December, equivalent to the total number for all of 2012 and 2013 combined. Our positions in China Consumer Discretionary added to performance.



Stocks in India rallied over the quarter, especially at the onset (India was the best market performer in January). The central bank lowered its main interest rate in January, adding to the effect of the ECB stimulus. The IMF declared that India would be the world’s fastest growing major economy through 2017. Later in the quarter, the stock market dropped after Prime Minster Modi’s party suffered a defeat in local elections. The results were seen as portending stronger opposition to Modi’s economic reforms. Our exposure to Indian sectors such as Health Care, Industrials, Consumer Staples, and Financials boosted performance.



Philippines has benefited from a goldilocks scenario of fast economic growth but controlled inflation. The central bank held interest rates steady. It forecast that the economy might grow as much as 8% in 2015, with lower than expected inflation on the back of robust domestic demand and higher public spending. Our holdings in Philippine Financials and Consumer Staples contributed to performance.



The Russian stock market, the top stock market for the quarter, was boosted by stability in the price of crude oil, the country’s biggest export earner. Investor sentiment was also lifted by a truce in Ukraine. Our exposure to Russia Consumer Staples helped performance.



Market sentiment in Turkey has suffered from a public hectoring of the central bank by the political leadership. Stocks also lost ground over rising political tensions and a deteriorating macroeconomic outlook. A plan to replace the parliamentary system with a presidential system is creating rifts within the ruling party. The government suggested that Turkey could miss its 4% growth target for 2015. Our positions in Turkey Financials hurt performance.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

39

GMO Global Bond Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Region Weights (%)

Total Return (%) Underweight/Overweight Against Benchmark

Emerging

14.8

Europe

‐13.4

North America

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐12.7

Pacific

12.1

Currency Weights (%) Underweight/Overweight Against Benchmark Emerging

3.8

Europe

‐25.3

North America

4.98 ‐2.56 6.36 8.30 14.14 20.30 ‐14.93 2.58 7.94 ‐5.84

0.67 ‐4.50 1.30 7.22 6.42 1.91 12.00 10.81 5.94 ‐6.53

Annualized Return (%)

0.0

8 6 4 2 0 ‐2 ‐4 ‐6

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

Strategy 3.10 1.06 0.85 0.89 5.77

Benchmark 0.00 1.00 1.00 0.38 5.04

Emerging Cntry Debt Exp. Maturity

3.69 1.98

4.70

3.43

‐1.54 ‐3.73

5YR

10YR

Strategy

Benchmark

ITD

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.

Strategy Modified Duration

5.55

5.19

1YR

Characteristics 8.7 5 % 7.4 Yrs.

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.

1

Region weights are duration adjusted. 2 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; 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 Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

Benchmark ‐1.79 ‐1.79

21.4

Pacific

5‐Year Risk Profile

Strategy ‐2.33 ‐2.33

1Q 2015 YTD 2015

40

GMO Global Bond Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Global Bond Strategy returned -2.3% net of fees during the first quarter, underperforming the J.P. Morgan GBI Global index return of -1.8% by 0.5%. The U.S. dollar’s advance versus almost all developed market currencies accounted for all of the negative index returns, as the 20-bp fall in the yield of the J.P. Morgan GBI Global index resulted in a +2.1% return in the index when measured in local currency terms.



The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K., +2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional 19-month, €1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K., gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.



Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves flattened while the rest steepened.



The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials removed “patience” from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECB’s QE program and uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Sweden’s Riksbank unexpectedly cut its repo rate by 0.15% to -0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by -9.2%. The 25-bp cut by Australia’s central bank reduced the currency’s relative yield advantage, dragging the Australian dollar down by 6.6%. During the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.



In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currency’s cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it weakened in February and March, ending the quarter up only 2.3%.



Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).



Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategy’s long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the overweight duration position in Brazil detracted.



The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

41

GMO International Bond Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Total Return (%)

Region Weights (%)

Strategy ‐4.70 ‐4.70

Underweight/Overweight Against Benchmark Emerging Europe

1Q 2015 YTD 2015

14.8 ‐18.1

North America

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

0.5

Pacific

11.3

Currency Weights (%) Underweight/Overweight Against Benchmark Emerging

3.9

Europe

‐25.4

North America

21.3

Pacific

5‐Year Risk Profile

0.1

Alpha Beta 2 R Sharpe Ratio Std. Deviation

10 Benchmark 0.00 1.00 1.00 0.08 6.84

Maturity

0.63

4.89

2.69

0 ‐10 ‐15

‐8.22

‐9.50

1YR

5YR

10YR

Strategy

Benchmark

ITD

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.

9.6 4 %

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.

9.1 Yrs.

1

Region weights are duration adjusted. 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; 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 Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

3.38

‐5

Strategy Emerging Cntry Debt Exp.

‐2.53 ‐5.08 0.85 5.91 6.78 3.94 11.39 11.30 6.84 ‐9.24

6.37

4.42

5

Characteristics Modified Duration

1.30 ‐0.57 6.21 6.71 15.18 20.59 ‐13.95 3.66 9.33 ‐8.08

Annualized Return (%)

2

Strategy 3.76 1.05 0.88 0.57 7.65

Benchmark ‐4.08 ‐4.08

42

GMO International Bond Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The International Bond Strategy returned -4.7% net of fees in the first quarter, underperforming the -4.1% return of the J.P. Morgan GBI Global ex U.S. index by 0.6%. The U.S. dollar’s advance versus almost all developed market currencies accounted for all of the negative index returns, as the 22-bp fall in the yield of the J.P. Morgan non-U.S. Government Bond index resulted in a +2.4% return in the index when measured in local currency terms.



The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K., +2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional 19-month, €1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K., gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.



Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves flattened while the rest steepened.



The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials removed “patience” from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECB’s QE program and uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Sweden’s Riksbank unexpectedly cut its repo rate by 0.15% to -0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by -9.2%. The 25-bp cut by Australia’s central bank reduced the currency’s relative yield advantage, dragging the Australian dollar down by 6.6%. During the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.



In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currency’s cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it weakened in February and March, ending the quarter up only 2.3%.



Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).



Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategy’s long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long duration position in Brazil detracted.



The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

43

GMO Currency Hedged International Bond Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

1

Region Weights (%)

Total Return (%) Underweight/Overweight Against Benchmark

Emerging

14.9

Europe

‐24.0

North America

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

0.3

Pacific

13.0

Currency Weights (%) Underweight/Overweight Against Benchmark Emerging

3.8

Europe

‐24.9

North America

20.8

Pacific

Strategy 3.15 3.15

1Q 2015 YTD 2015

0.3

Benchmark 3.83 3.83

16.59 0.14 11.34 7.97 11.70 18.81 ‐13.56 ‐4.00 2.45 7.25

13.10 0.65 8.07 6.10 3.71 2.90 9.22 3.42 1.79 6.54

Annualized Return (%) 20

5‐Year Risk Profile

2

Alpha Beta 2 R Sharpe Ratio Std. Deviation

15 Strategy 1.91 1.07 0.79 1.83 4.83

Benchmark 0.00 1.00 1.00 1.62 4.02

Maturity

6.59

8.24 5.65

7.18

5.76

0 1YR

5YR

10YR

Strategy

Benchmark

ITD

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.

9.1 5 %

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.

8.9 Yrs.

1

Region weights are duration adjusted. 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; 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 Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

8.92

5

Strategy Emerging Cntry Debt Exp.

13.56

10

Characteristics Modified Duration

14.66

44

GMO Currency Hedged International Bond Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Currency Hedged International Bond Strategy returned +3.2% net of fees in the first quarter, underperforming the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index total return of +3.8% by 0.7%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index fell by 42 basis points during the quarter.



The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K., +2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional 19-month, €1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K., gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.



Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves flattened while the rest steepened.



The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials removed “patience” from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECB’s QE program and uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Sweden’s Riksbank unexpectedly cut its repo rate by 0.15% to -0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by -9.2%. The 25-bp cut by Australia’s central bank reduced the currency’s relative yield advantage, dragging the Australian dollar down by 6.6%. During the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.



In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currency’s cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it weakened in February and March, ending the quarter up only 2.3%.



Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly offset losses, followed by a small contribution provided by exposure to asset-backed securities held indirectly through GMO Debt Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).



Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategy’s long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed in relation to shorter-dated rates. In other interest-rates, overweight duration positions in Australia, New Zealand, and Mexico added value, while the overweight duration position in Brazil detracted.



The currency strategy partly offset losses during the quarter. An underweight position in euros drove currency gains, followed by small contributions from underweight positions in Swedish krona and Swiss francs. An overweight position in Brazilian real detracted.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

45

GMO Core Plus Bond Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Contribution to Duration

Total Return (%)

U.S. Treasuries Government Related Corporate Securitized Emerging Debt

2.1

1Q 2015 YTD 2015

0.5 1.7

Benchmark 1.61 1.61

9.31 0.07 9.07 9.89 13.24 20.90 ‐18.00 ‐1.01 5.76 3.95

5.97 ‐2.03 4.22 7.84 6.54 5.93 5.24 6.97 4.33 2.43

1.1

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

0.1

Global Rates Contribution to Duration Australia Brazil Denmark Emerging debt Eurozone Japan Mexico New Zealand Switzerland United Kingdom United States

Strategy 1.17 1.17

0.7 0.4 0.6 0.2 0.3 0.3 0.4 0.4 ‐0.3 ‐1.3 0.1 1

Portfolio Overlay Currency Positions AUD BRL CHF EUR ‐20.26% INR JPY KRW NZD SEK Portfolio Rating Breakdown AAA AA AA BBB BB B Below B NR 3 5‐Year Risk Profile

Annualized Return (%)

0.53% 1.68%

8

‐3.94%

6

2.99% ‐0.45% ‐0.77%

6.10

5.72 4.41

4.97

5.77

4.93

4 2

0.14% ‐1.30%

0

2

1YR 27%

5YR

10YR

Strategy

Benchmark

ITD

61% 1% 2% 6% 0% 3%

Alpha Beta 2 R Sharpe Ratio Std. Deviation Characteristics

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.

Strategy 1.92 1.28 0.75 1.83 4.09

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.

Benchmark 0.00 1.00 1.00 1.56 2.78 Strategy

Modified Duration

6.8

Maturity 4.3 Yrs. 1 All currency positions are versus USD 2 The credit ratings above may encompass emerging debt, developed rates, and asset‐backed exposure. Ratings for the emerging debt and developed rates portions of the portfolio are derived by taking the Standard and Poor’s country ratings and applying these ratings to the country exposures of the portfolio. For the asset‐backed portion of the portfolio, credit ratings are derived by using the lowest rating among rating agencies at the issue level. Final credit ratings are expressed based upon Standard and Poor’s ratings scale. Standard & Poor’s rates securities from AAA (highest quality) to C (lowest quality), and D to indicate securities in default; some securities are not rated (NR). BB and below are considered below investment grade securities. 3 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; 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 Strategy selected because it has the fewest restrictions and best represents the implementation of the Strategy.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

7.53

7.29

46

GMO Core Plus Bond Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Core Plus Bond Strategy returned +1.2% net of fees during the first quarter, underperforming the +1.6% return of its benchmark, the Barclays U.S. Aggregate index, by 0.4%. Falling U.S. Treasury yields contributed positively to index performance, followed by gains on tightening sector spreads.



U.S. interest rates fell, and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 24 basis points to end the quarter at 1.9%, and the 2 year yields fell by 12 basis points to end the quarter at 0.6%.



The overall option-adjusted spread of the Barclays U.S. Aggregate index tightened by 2 basis points during the quarter, with spreads tightening by as much as 8 basis points (MBS). Only ABS (+3 basis points) and U.S. Agency (+1 basis point) credit spreads widened during the quarter.



The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K., +2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional 19-month, €1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. In the U.K., gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.



Global yield curves (measured by the difference between 10-year and 2-year swap rates) were mixed during the quarter; U.S., eurozone, and U.K. curves flattened while the rest steepened.



The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials removed “patience” from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECB’s QE program and uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Sweden’s Riksbank unexpectedly cut its repo rate by 0.15% to -0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by -9.2%. The 25-bp cut by Australia’s central bank reduced the currency’s relative yield advantage, dragging the Australian dollar down by 6.6%. During the quarter, U.K. sterling fell 4.8% versus the U.S. dollar, and, among emerging currencies, Brazilian real fell by 17.1%.



In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currency’s cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it weakened in February and March, ending the quarter up only 2.3%.



Developed markets interest-rate positioning was responsible for losses during the quarter. Gains from developed markets currency selection partly offset losses, followed by a small contribution provided by exposure to asset-backed securities held directly and indirectly through GMO Debt Opportunities (DOF) and GMO World Opportunity Overlay (WOOF).



Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategy’s long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interestrate strategy performance during the quarter. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at longer-dated parts of the curve. We have adjusted our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to withstand further extreme market moves. Our thesis remains that, in time, long-dated rates will likely rise, but that view is now expressed in relation to shorter-dated rates. In other interest-rates, long duration positions in Australia, New Zealand, and Mexico added value, while the long duration position in Brazil detracted.



The currency strategy partly offset losses during the quarter. An active short position in euros drove currency gains, followed by small contributions from short positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

47

GMO Debt Opportunities Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Top Country Weights (%)

Total Return (%)

Chile

0.5

Ireland

0.3

United Kingdom

0.9

1Q 2015 YTD 2015

United States

Risk Profile Since 10/31/11

Annual Total Return (%) 2014 2013 2012 2011

98.3

1

Std. Deviation Sharpe Ratio Drawdown (5/31/13‐6/30/13)

Annualized Return (%) 8

Strategy 1.77 3.72

Strategy 0.62 0.62

Benchmark 0.09 0.09

4.35 5.76 11.90 0.16

0.35 0.40 0.82 0.12

6.62

6 4

‐1.23

3.49

2

0.52

0.35

0 1YR

ITD Strategy

1

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 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.

Benchmark

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

48

GMO Debt Opportunities Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Debt Opportunities Strategy returned +0.6% net of fees, outperforming the return of the J.P. Morgan U.S. 3 Month Cash index by 0.5% for the first quarter.



In the first quarter, securitized products were tighter across most asset classes, generally moving with the greater credit markets. Government bonds rallied to the tight end of their local ranges into the end of March. Securitized products were led by CLOs in both primary and secondary trading. The quarter ended with six new issue deals ($3.2 billion of paper), bringing a very brisk new issue pipeline to a year-to-date total of approximately $28 billion. According to Bank of America Global Research, secondary trading saw triple-A tighten by 12 basis points, while CLOs tightened by 40 basis points in double-A and single-A, and triple-B tightened by 55 basis points. The technical conditions for leveraged loans are very positive as supply in this asset class has trended down while demand for this paper (in the form of new CLOS) is at historically high levels.



Additionally, asset-backed securities outperformed during the quarter with triple-A Auto and Credit Card spreads tightening by 7 basis points each, to finish at 26 and 38 basis points, respectively. Benchmark CMBS cash was relatively flat in the senior part of the structure, while mezzanine bond (-5 bps) and legacy AJs (-60 bps) outperformed. Non-Agency Subprime was broadly flat as an asset class. The sector continues to exhibit a lower level of spread volatility than it has in the past.



At quarter-end, 36% of the strategy’s portfolio was rated AAA, although about 47% of the portfolio was rated single-A or better. Approximately 63% of the strategy is invested in asset-backed securities (ABS), 10% in commercial mortgage-backed securities (CMBS), and 27% in cash or cash equivalents.

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

49

GMO Fixed Income Hedge Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Currency Exposure (%)

Total Return (%)

Net Contribution India Brazil Australia New Zealand U.K. Japan South Korea Sweden Switzerland Euro Area

1Q 2015 YTD 2015

19 10 4 1

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐1 ‐3 ‐5 ‐8 ‐25 ‐131

Country Exposure (%) Net Contribution Australia Mexico Denmark New Zealand Brazil Euro U.S. Japan Czech Republic Switzerland UK ‐80

49 38 36 28 25

Annualized Return (%) 12 10.03 10 8 6 4 2 0.35 0 1YR

14 12 8 ‐8 ‐21

Performance Attribution (%) Cross Market

‐20.0

Currency Performance Opportunistic

‐0.8 0.6

Yield Curve

0.0

5‐Year Risk Profile

Drawdown (2/27/15‐3/31/15)

Strategy 10.54 0.78 ‐13.23

1

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 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

0.35 0.40 0.82 0.44 0.45 1.45 4.12 5.70 5.25 1.32

2.11 0.50

5YR

0.54

ITD Benchmark

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. 

1

Std. Deviation Sharpe Ratio

22.28 ‐3.79 10.07 15.85 11.03 21.63 ‐25.45 ‐23.39 ‐4.61 1.45

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.

13.3

Volatility

Benchmark 0.09 0.09

8.33

Strategy

Net Contribution

Strategy ‐5.95 ‐5.95

50

GMO Fixed Income Hedge Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Fixed Income Hedge Strategy returned -6.0% net of fees in the first quarter of 2015, underperforming its benchmark, the J.P. Morgan U.S. 3 Month Cash index, by 6.0%. Cross-market interest-rate strategies were responsible for losses during the quarter, while contributions from currency performance partly offset these losses.



The global bond rally of 2014 continued into 2015, accelerating in March. With the exception of the Japanese bond market (-0.3%), government markets rose during the quarter: in 10-year-equivalent, interest-rate swap terms, gains were the highest in Canada, +4.6%, and the lowest in the U.K., +2.5%. In the eurozone (+3.0%), rates continued their descent into historic lows (near zero!) as the European Central Bank began its unconventional 19-month, €1.1 trillion quantitative easing program in early March in an attempt to boost economic recovery while staving off deflation. Further, the ECB’s purchases on the long end of the yield curve triggered a bull-flattening bias. In the U.K., gilts posted a fifth consecutive quarter of gains as falling inflation and speculation that the Bank of England would not be raising rates in the near future put downward pressure on yields. Investors seeking higher bond returns were also attracted to the relative yield premium offered by U.K. gilts.



The U.S. dollar continued its advance versus most developed currencies in Q1, despite dovish comments from the Fed in March. While officials removed “patience” from the FOMC statement, Federal Reserve Chair Janet Yellen acknowledged during her March 18 press conference that the Fed is in no rush to raise rates. The euro weakened to a 12-year low versus the dollar, plunging by 11.2% during the quarter as the ECB’s QE program and uncertainly in Greece drove down the euro. In an effort to combat trailing inflation, Sweden’s Riksbank unexpectedly cut its repo rate by 0.15% to -0.25%, an unprecedented move into negative territory, and expanded its QE program by 30 billion kronor; the krona plunged during the quarter, by -9.2%. The 25-bp cut by Australia’s central bank reduced the currency’s relative yield advantage, dragging the Australian dollar down by 6.6%. U.K. sterling also fell versus the U.S. dollar, by 4.8% during the quarter, and, among emerging currencies, Brazilian real fell by 17.1%.



In addition to cutting its main rate by 50 bps to -0.75% in January, the Swiss National Bank shocked markets by announcing the end of its currency’s cap against the euro, stating that the franc is no longer overvalued. While the franc strengthened relative to the U.S. dollar by 8.0% in January, it weakened in February and March, ending the quarter up only 2.3%.



Interest-rate strategies suffered during the quarter. A very strong bull flattening of the eurozone rates curve put immense pressure on the strategy’s short long-dated forward positions in March. The collapse in long-dated rates in the eurozone, and to a much lesser extent in the U.K., drove poor interest-rate strategy performance during the quarter. A long duration position in Brazil also detracted, while long duration positions in Australia, New Zealand, and Mexico added value. We believe these long rates in the eurozone are nowhere close to reasonable levels. Coming into the month of March, we had assumed there was a floor for nominal rates, particularly at the long end of the curve. With the move lower during the month, it appears that the floor is no longer in place and that the zero-bound or lower is a possibility even at the very long end of the curve. We have adjusted our positioning within eurozone rates to withstand a further bull flattening of the curve. We have done this by converting short positions in the 15Y15Y to steepener positions, which would benefit from rates rising at the longer end of the curve. A steepener also requires increasing duration at the shorter end of the curve. The overall effect is to lower the volatility of the portfolio but maintain a position that would benefit from higher rates at the long end of the curve. We continue to have a high degree of confidence in these positions and are acting accordingly to ensure that the portfolio is positioned to withstand further extreme market moves. During the month, the strategy re-structured many of the outright negative duration positions to more of a “steepener” play. Still the same thesis that long-dated rates will likely rise, but now structured less as an absolute shift, and more as a relative one.



The currency strategy partly offset losses during the quarter. A short position in euros drove currency gains, followed by small contributions from short positions in Swedish krona and Swiss francs. A long position in Brazilian real detracted.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

51

GMO Mean Reversion Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

Equity Exposure (%) Position High Quality EAFE Value Emerging Value U.S. Mid U.S. Small S&P 500 ex. Fins

Absolute Weight

1Q 2015 YTD 2015

76.0 15.0 9.0

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐10.0 ‐14.0 ‐68.0

1

Fixed Income & Inflation Exposure (%) Position

Absolute Weight

Antipodean Rates

48.0

U.S. Rates

48.0

Eur Rates

‐43.0

Japan Rates

Strategy ‐2.69 ‐2.69

Benchmark 0.01 0.01

‐4.73 ‐0.62 5.98 6.77 ‐8.61 ‐13.43 18.43 18.63 5.63 6.97

0.03 0.05 0.07 0.08 0.13 0.16 1.80 4.74 4.76 3.00

‐76.0

Annualized Return (%) 10 Currency Exposure (%) Position Indian Rupee Brazilian Real Euro Israeli Shekel Swiss Franc Commodity FX

Absolute Weight

2.22

17.0

1.41

1.40

‐0.58

‐5

‐4.0 ‐5.0 ‐5.0

‐10

‐8.12

1YR

‐10.0

5YR

10YR

Strategy

Benchmark

ITD

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.

Absolute Weight

Credit Opportunies Fund

0.07

0.03

0

5.0

Other Exposure (%) Position

6.13

5

5.0

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

5‐Year Risk Profile

2

Std. Deviation Sharpe Ratio Drawdown (5/31/13‐3/31/15)

Strategy 5.45 ‐0.12 ‐12.57

1

Displayed in local 10‐year equivalents 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 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. 2

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

52

GMO Mean Reversion Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

Mean Reversion Strategy delivered a net return of -2.7% during the first quarter of 2015. Poor performance was driven primarily by a short position in European rates.



In January of 2015, we incorporated a short position in eurozone rates (15-year rates 15 years out) as these rates hit new lows. Since adding the position, eurozone rates have pushed lower, impacted by the ECB’s quantitative easing program and a limited supply of long-dated eurozone bonds. This position detracted 3.4% during the quarter.



Equity positions detracted, led by the quality vs. S&P 500 position, which subtracted 0.7% during the quarter as quality failed to keep up with the broader market. International and emerging markets value vs. U.S. small and midcap detracted 0.1%. The tax inversion strategy, which finished in January when the remaining deal closed, had a negligible impact on performance.



Yield compression and circular easing by the central banks have caused rising correlations across the rates and currency markets. It is unreasonable for us to believe that we can construct a portfolio of uncorrelated spread trades. For that reason, today we are considering all fixed income positions as a single portfolio (as we are with currency positions). Our long position in Australia and New Zealand bonds added 1.1%. Given that we already hold short positions in eurozone and Japanese rates, the global rates short is not necessary. The Japanese rates short and U.S. 2s30s steepener each added about 0.1%; we took out the steepener in favor of the more attractive eurozone rates short. The U.S. Treasuries vs. Bunds positon was relatively flat for the quarter. We have eliminated the short Bunds position, as that view is currently well expressed by our existing eurozone rates short. We converted the U.S. Treasuries position into a long U.S. rates position; that contributed 0.5%.



Currency positions were also a drag on performance, led by the impact of the euro/Swiss franc trade, which suffered in January as the Swiss National Bank released the peg to the euro. Since then we have maintained the Swiss franc short relative to the U.S. dollar, which has recovered some of the loss. Overall, that position detracted 0.6%. The Indian rupee long and commodity currency contributed 0.5% and 0.2%, respectively. The Israel shekel short detracted 0.4%. The Brazilian real long and the euro short (which we added at the end of the quarter) each modestly contributed to performance. All currency positions are now expressed relative to the U.S. dollar.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

53

GMO Systematic Global Macro Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES

Equity Market Selection (%) Country

Total Return (%)

Net Weight

UK Hong Kong Taiwan Germany Italy Netherlands Singapore MSCI Emerging U.S. Australia Canada South Africa Net Equity

1Q 2015 YTD 2015

26.5 10.0 10.0 5.0 5.0 5.0 5.0 2.0

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐1.0 ‐1.5 ‐5.0 ‐5.0 56.0

Bond Market Selection (%) Country U.S. Asset Backed Japan ‐43.0 Net Bond

Net Weight 50.0 0.9

8

U.S. Dollar * Euro Japanese Yen Australian Dollar British Pound Net Cash **

2

7.64

7.48

6.50

1.41 0.03

1.40

0.07

0

7.0

1YR

‐20.0 ‐40.0 ‐46.4

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of  future performance. Returns are shown after the deduction of management fees,  transaction costs and other expenses, but before custody charges, withholding  taxes, and other indirect expenses. The returns assume the reinvestment of  dividends and other income. The Citigroup 3‐Month Treasury Bill Index is an independently maintained and  widely published index comprised of short‐term U.S. Treasury bills.

Net Weight 2.5 ‐2.5 ‐2.5 ‐5.0 ‐5.0 ‐5.0

1

Std. Deviation Sharpe Ratio Drawdown (5/31/10‐7/31/10)

Strategy 6.70 0.96 ‐5.61

1

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 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

0.03 0.05 0.07 0.08 0.13 0.16 1.80 4.74 4.76 3.00

4

33.0 20.0

* 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.

5‐Year Risk Profile

4.44 9.58 0.73 5.79 10.37 15.28 ‐3.88 15.06 8.39 4.63

6

Net Weight

Commodity Market Selection (%) Commodity Crude Oil Copper Wheat Heating Oil Gold Corn Net Commodity ‐17.5

Benchmark 0.01 0.01

Annualized Return (%) 8.70 10

7.9

Currency Selection (%) Currency

Strategy 6.26 6.26

54

GMO Systematic Global Macro Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Systematic Global Macro Strategy returned +6.3% net of fees over the March quarter as currency, equity, bond, and commodity market positions added value.



Currency positions added 3.3% as the U.S. dollar, held long, strengthened against short positions in the Swedish krona, British pound, and Australian dollar.



Our net long allocation to equities contributed 1.6% as global markets (i.e., MSCI World Net Returns Index in USD) advanced 2.3% over the first quarter. Equity market selection added a further 1.5%, due mostly to the outperformance of European markets, held long. However, a long position in VIX futures, which cost 0.9%, subtracted the most value over the quarter.



Bond positions added 1.3% due to our large short position in 10-year JGB futures underperforming a long position in U.S. 10-year Treasury note futures.



Commodity market positions added 1.0% as we held a net short exposure and they weakened 5.9% according to the Bloomberg Commodity Index.



The Strategy maintains a large long exposure to equity markets, a net short allocation to commodity markets, and a small net long bond allocation. We removed a small long position in VIX futures and mostly removed long positions in U.S. and emerging markets, but other equity market allocations remain unchanged: long positions are concentrated in European markets and Asia ex-Japan. We also made adjustments to our currency positions. While sentiment continues to support a long position in the U.S. dollar, which we hold against short positions in the British pound and the Australian dollar, we have extended our short position in pounds and established a meaningful long position in the euro.

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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

55

GMO Tactical Opportunities Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES Total Return (%)

Region Weights (%) Net Weight Non US US

1Q 2015 YTD 2015

23.5

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

‐26.5

GICS Sector Weights (%) Net Weight Consumer Disc. Consumer Staples Energy Financials Health Care Industrials Information Tech. Materials Telecom. Services Utilities

‐21.7 29.3 ‐12.7 ‐2.1 9.1 ‐4.1 22.8 ‐9.5 ‐2.4 ‐11.8

Long 6.7 33.1 0.2 0.0 33.6 11.2 44.5 2.2 2.3 0.0

Short 28.4 3.8 12.9 2.1 24.5 15.3 21.7 11.7 4.7 11.8

Strategy ‐7.58 ‐7.58

Benchmark 0.01 0.01

‐2.47 ‐9.65 ‐18.36 27.51 ‐25.31 ‐41.61 36.52 17.87 ‐1.65 ‐13.24

0.03 0.05 0.07 0.08 0.13 0.16 1.80 4.74 4.76 3.00

Annualized Return (%) 1.44

1.41

2

0.07

0.03

0 ‐2 ‐4

5‐Year Risk Profile

‐6

2

‐8 Strategy 15.67 ‐0.41

Std. Deviation Sharpe Ratio Drawdown (9/30/11‐3/31/15)

1YR

20.9 x

22.6 x

% Negative Earnings

0.4 %

48.0 %

Price/Book ‐ Hist 1 Yr Wtd Avg

4.1 %

3.2 %

19.2 %

8.3 %

Price/Earnings ‐ Excl Neg Earnings Hist 1 Yr Wtd Med

Return on Equity ‐ Hist 1 Yr Med Market Cap ‐ Weighted Median $Bil

$112.8 0.6 x

1.4 x

% Long/Short

134 %

137 %

Dividend Yield ‐ Hist 1 Yr Wtd Avg

2.0 %

1.4 %

1

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 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.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

10YR

‐6.95

ITD

Benchmark

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

$10.8

Debt/Equity Wtd Med

‐7.02

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.

Characteristics Short

5YR Strategy

‐37.38

Long

‐6.37 ‐7.42

56

GMO Tactical Opportunities Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

The Tactical Opportunities Strategy lost 7.6% net of fees in the first quarter of 2015.



High quality stocks within the U.S. lagged the broader market in the first quarter with the three identifiers of quality all being mixed; high profitability won, low leverage was a push, and low profit volatility lagged.



Large cap stocks lagged small caps, both within the broader market and the quality universe. Our positions in international quality companies had a positive impact during the quarter.



The top contributors in the long portfolio were Health Care and Information Technology. UnitedHealth Group and Covidien were among the top contributors.



The largest absolute detractor in the long portfolio was Consumer Staples, with Procter & Gamble and Philip Morris International leading the way.



Short exposure within Health Care and Information Technology drove the majority of the absolute negative returns from the short portfolio while short exposure within Utilities had a positive contribution to return.



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

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

57

GMO Total Equities Strategy March 31, 2015 STRATEGY PROFILE

PERFORMANCE NET OF FEES 1

1

Strategy Exposure (%)

Total Return (%)

Equities

84.0

Merger Arbitrage

1Q 2015 YTD 2015

14.0

Other

2.0

Benchmark 0.01 0.01

‐2.71 17.49 8.64 0.40 3.51 ‐7.47 14.26 ‐5.37 ‐1.90 3.56

0.03 0.05 0.07 0.08 0.13 0.16 1.80 4.74 4.76 3.00

2

Total

Annual Total Return (%) 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005

100.0

1

Region Exposure (%) Non‐U.S. U.S.

Strategy 3.29 3.29

75.0 25.0

Total

100.0

Annualized Return (%) 1

Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets. 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.

8

6.01

5.75

6 4

2.36

2

0.03

1.68

1.41

0.07

0 ‐2

‐0.63

1YR

5YR

10YR

Strategy

Benchmark

ITD

Performance data quoted represents past performance and is not predictive of  future performance. Returns are shown after the deduction of management fees,  transaction costs and other expenses, but before custody charges, withholding  taxes, and other indirect expenses. The returns assume the reinvestment of  dividends and other income. The Citigroup 3‐Month Treasury Bill Index is an independently maintained and  widely published index comprised of short‐term U.S. Treasury bills.

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

58

GMO Total Equities Strategy March 31, 2015 QUARTERLY ATTRIBUTION 

In dollar terms, global equities generally posted modest gains during the first quarter as central bankers took center stage and commodity prices continued to deflate. As international markets rose, the dollar strengthened considerably against most currencies with the exception of the yen. International developed markets produced strong returns in local terms, bolstered by the onset of quantitative easing in the eurozone and by the continuation of Abenomics in Japan. The U.S. market delivered barely positive returns as Fed watchers focused on if and when the rate tightening cycle might begin, and the economy under-delivered on optimistic growth expectations. At quarter end, the MSCI All Country World index registered a gain of 2.3%. MSCI EAFE was up 4.9%. The strongest performing major developed market was Japan, with MSCI Japan up 10.2%. Among the major markets, the U.K. had the weakest dollar returns with MSCI U.K. down 1.0%. The S&P 500 returned +1.0% for the quarter, and MSCI Europe was up 3.5% in dollar terms. Emerging markets trailed developed international markets; MSCI Emerging returned +2.2% for the quarter.



The Total Equities Strategy returned +3.3% net of fees for the quarter, with the majority of the return driven by exposure to Equities.



Our equities strategy contributed 3.1% to the strategy’s total return. Exposure to Japan Value and U.S. opportunistic value helped the strategy top the MSCI ACWI index by 1.0%. Exposure to U.S. quality detracted for the quarter.



Merger arbitrage contributed 0.4% to the strategy as two major deals closed during the quarter; Allergan-Actavis and Covidien-Medtronic. Total Equities did not have exposure to the volatility strategy during the quarter.

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

40 Rowes Wharf | Boston, Massachusetts 02110 (617) 330‐7500 | www.gmo.com GMO LLC © 2015

59

Benchmarks and Indices March 31, 2015

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. 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 Global Asset Allocation Index +

The GMO Global Asset Allocation Index + is an internally maintained benchmark computed by GMO, comprised of (i) GMO  blended benchmark of Global Asset Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset Allocation  (Blend) Index thereafter. The GMO blended benchmark of Global Asset Allocation Composite 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. The GMO Global Asset Allocation (Blend) Index is an internally maintained benchmark  computed by GMO, comprised of 65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) and 35% the  Barclays U.S. Aggregate Index. S&P does not guarantee the accuracy, adequacy, completeness or availability of any data or  information and is not responsible for any errors or omissions from the use of such data or information. Reproduction of the  data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.  MSCI 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 Real Return Global Balanced Asset  Allocation Blended Index +

The GMO Real Return Global Balanced Asset Allocation Blended Index + is an internally maintained benchmark computed by  GMO, comprised of (i) GMO blended benchmark of Real Return Global Balanced Asset Allocation Composite through  06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The GMO blended benchmark of Real Return Global  Balanced Asset Allocation Composite 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. The  RRGBAL Blended Index is comprised of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax), 20%  Barclays U.S. Aggregate Index and 20% Citigroup 3‐Month Treasury Bill Index. 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 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. 

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.

60

Benchmarks and Indices March 31, 2015

Full Name

Description

MSCI ACWI ++

The MSCI ACWI ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended  benchmark of Global All Country Equity Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country World)  Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global All Country  Equity Allocation Composite 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. 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 + Index

The MSCI ACWI ex USA + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended  benchmark of International All Country Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA Index  (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of International All Country  Equity Allocation Composite 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.

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 + Index

The MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintained benchmark computed by GMO,  comprised of (i) the MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of  withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australasia, and Far East) Index (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 EAFE ++ Index

The MSCI EAFE ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended  benchmark of International Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe,  Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended  benchmark of International Developed Equity Allocation Composite is comprised of a weighted average of account  benchmarks; many of the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far East) (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.

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 World + Index

The MSCI World + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended  benchmark of Global Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI Standard  Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global Developed Equity Allocation  Composite 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.

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Benchmarks and Indices March 31, 2015

Full Name

Description

Russell 3000 +++ Index

The Russell 3000 +++ Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended  benchmark of U.S. Equity Allocation Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO blended  benchmark of U.S. Equity Allocation Composite 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. 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. 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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