EX-99 3 allocatgmo.htm Unassociated Document

 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
FYE 2/28/07
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Attachment Filed in Response to Form N-SAR Sub-Item 77P
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
   
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
March, 2006
  
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Balanced Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only (Class IV)
 
 
19,992,862.86
6.43%
260,590,587.01
13.72%
1,631,858.81
0.36%
  
 
297,494,826.82
24.53%
  
 
  
 
Alternative Asset Opportunity (ALTO)
 
 
  
 
55,341,696.81
2.91%
  
 
  
 
64,987,368.77
5.36%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
307,430,311.22
16.18%
  
 
57,361,169.52
15.38%
41,879,507.34
3.45%
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
59,983,063.37
3.16%
  
 
9,116,825.18
2.44%
184,985,833.92
15.25%
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,599,026.00
4.37%
72,224,010.67
3.80%
37,971,059.60
8.29%
1,048,780.49
0.28%
81,028,180.04
6.68%
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
60,560,256.57
3.19%
  
 
7,329,583.63
1.96%
  
 
  
 
  
 
Emerging Countries Fund
16,463,064.66
2.42%
5,903,348.45
1.90%
19,115,656.41
1.01%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,518,923.93
0.49%
10,485,331.23
0.55%
  
 
1,067,320.86
0.29%
24,248,485.58
2.00%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
130,207,707.63
19.14%
36,295,978.49
11.67%
177,813,826.68
9.36%
  
 
  
 
307,576,981.80
25.36%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
36,457,129.36
7.96%
34,476,755.07
9.24%
  
 
  
 
  
 
Inflation Indexed Bond Fund (Class III)
 
 
2,476,034.74
0.80%
55,606,734.79
2.93%
  
 
10,131,405.98
2.72%
52,125,046.46
4.30%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,234,396.21
1.22%
  
 
11,766,173.36
3.15%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
265,682,763.32
39.05%
41,502,856.96
13.34%
155,444,397.63
8.18%
118,506,288.20
25.88%
87,291,576.40
23.40%
35,205,705.17
2.90%
  
 
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
265,105,033.86
38.96%
42,003,554.50
13.50%
153,855,323.26
8.10%
118,144,671.42
25.80%
86,539,459.26
23.20%
36,090,985.80
2.98%
  
 
  
 
International Small Companies Fund
2,936,681.26
0.43%
1,223,089.19
0.39%
8,166,918.92
0.43%
711,063.14
0.16%
1,242,426.00
0.33%
25,004,718.05
2.06%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
127,429.77
0.04%
3,284,180.12
0.17%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
567.86
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
U.S Small Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
119,808,158.88
38.51%
321,811,460.55
16.94%
106,993,154.81
23.36%
34,609,813.65
9.28%
  
 
  
 
  
 
U.S. Growth Fund
 
 
43,040.47
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
26,152,617.72
8.41%
154,157,148.10
8.11%
37,544,833.14
8.20%
31,077,489.25
8.33%
62,164,857.47
5.13%
  
 
  
 
U.S. Value Fund
 
 
428,226.23
0.14%
668,272.50
0.04%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
680,395,250.73
100.00%
311,075,716.05
100.00%
1,899,773,572.05
100.00%
457,960,058.48
100.00%
373,058,778.65
100.00%
1,212,792,497.22
100.00%
0.00
0.00%
0.00
0.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
      
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
April, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Balanced Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only (Class IV)
 
 
20,056,964.68
6.30%
324,253,992.00
16.21%
1,636,602.59
0.33%
  
 
340,920,940.69
27.41%
  
 
  
 
Alternative Asset Opportunity (ALTO)
 
 
  
 
57,282,435.53
2.86%
  
 
  
 
67,266,364.72
5.41%
  
 
  
 
Core Plus Bond Fund (Class (IV)
 
 
  
 
315,229,995.34
15.76%
  
 
57,305,152.75
14.91%
51,848,394.12
4.17%
  
 
  
 
Currency Hedged International Bond Fund (CHIBF)
 
 
  
 
58,023,843.37
2.90%
  
 
9,024,942.29
2.35%
102,983,540.85
8.28%
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,358,391.27
4.19%
  
 
40,957,845.16
8.17%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
60,404,910.08
3.02%
  
 
7,310,782.11
1.90%
  
 
  
 
  
 
Emerging Countries Fund
17,538,564.28
2.44%
6,346,706.93
1.99%
20,551,297.27
1.03%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,524,387.69
0.48%
10,523,048.25
0.53%
  
 
1,071,160.15
0.28%
24,335,710.35
1.96%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
139,888,962.09
19.44%
39,039,838.93
12.26%
191,255,985.99
9.56%
  
 
  
 
330,828,822.60
26.60%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
40,048,925.55
7.99%
36,888,172.72
9.60%
  
 
  
 
  
 
Inflation Indexed Bond Fund (Class III)
 
 
2,478,312.60
0.78%
100,843,584.34
5.04%
  
 
26,271,396.20
6.84%
153,331,346.65
12.33%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,994,973.07
1.20%
  
 
12,151,338.49
3.16%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
279,778,600.66
38.87%
43,836,229.81
13.77%
163,388,189.41
8.17%
132,944,275.16
26.52%
84,631,465.87
22.02%
37,193,579.45
2.99%
  
 
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
279,769,614.86
38.87%
43,645,827.93
13.71%
162,805,848.69
8.14%
132,570,418.64
26.45%
83,479,429.87
21.72%
37,941,982.80
3.05%
  
 
  
 
International Small Companies Fund
2,784,366.83
0.39%
1,288,080.48
0.40%
8,336,336.51
0.42%
748,846.90
0.15%
1,308,444.79
0.34%
26,333,393.85
2.12%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
129,318.35
0.04%
3,332,853.44
0.17%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
622.19
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
U.S Small Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
120,652,483.35
37.89%
339,873,336.43
16.99%
113,300,035.28
22.60%
34,397,733.70
8.95%
  
 
  
 
  
 
U.S. Growth Fund
 
 
42,367.35
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
25,628,008.32
8.05%
159,431,631.81
7.97%
39,063,541.03
7.79%
30,454,089.20
7.92%
70,907,958.23
5.70%
  
 
  
 
U.S. Value Fund
 
 
427,262.49
0.13%
666,768.54
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
719,760,108.72
100.00%
318,454,802.37
100.00%
2,000,199,030.07
100.00%
501,270,490.31
100.00%
384,294,108.14
100.00%
1,243,892,034.31
100.00%
0.00
0.00%
0.00
0.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
May, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Balanced Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only (Class IV)
 
 
14,183,812.03
4.63%
258,907,377.37
12.93%
1,630,277.55
0.34%
  
 
289,573,372.89
27.56%
  
 
  
 
Alternative Asset Allocation(ALTO)
 
 
  
 
57,548,010.31
2.87%
  
 
  
 
67,578,227.32
6.43%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
325,942,144.39
16.28%
  
 
60,654,932.96
15.80%
1,310.15
0.00%
  
 
  
 
Currency Hedged International Bond Fund (Class III)
 
 
  
 
3,108.88
0.00%
  
 
744.67
0.00%
15,748.91
0.00%
  
 
  
 
Currency Hedged International Equity Fund
 
 
12,635,861.93
4.12%
  
 
38,742,515.17
7.97%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
20,467,055.05
1.02%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
15,734,357.91
2.32%
5,693,816.03
1.86%
18,437,168.61
0.92%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,491,605.16
0.49%
10,296,746.13
0.51%
  
 
1,048,124.44
0.27%
23,812,361.74
2.27%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
125,392,528.74
18.50%
35,082,880.33
11.44%
171,465,102.09
8.56%
  
 
  
 
297,378,806.01
28.30%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
36,015,729.84
7.40%
33,173,286.07
8.64%
  
 
  
 
  
 
Inflation Indexed Plus Bond Fund (Class III)
 
 
0.01
0.00%
  
 
  
 
160,419.98
0.04%
901,949.11
0.09%
  
 
  
 
Inflation Indexed Plus Bond Plus (Class VI)
 
 
3,483,645.63
1.14%
107,596,121.11
5.37%
  
 
29,136,128.36
7.59%
  
 
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
24,510,202.55
1.22%
  
 
12,412,256.80
3.23%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
265,168,153.78
39.13%
41,639,759.14
13.58%
162,080,747.94
8.09%
126,312,931.27
25.97%
77,055,823.02
20.07%
35,329,947.31
3.36%
  
 
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
268,878,126.03
39.67%
41,867,610.99
13.65%
162,168,806.95
8.10%
127,482,235.98
26.21%
77,884,138.29
20.29%
36,478,810.81
3.47%
  
 
  
 
International Small Companies Fund
2,563,024.41
0.38%
1,216,041.94
0.40%
7,870,109.79
0.39%
706,966.10
0.15%
1,235,267.34
0.32%
24,836,969.38
2.36%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund (Class III)
 
 
129,895.02
0.04%
3,347,715.66
0.17%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
387.34
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,000,000.00
2.28%
167,920,501.25
8.39%
  
 
26,334,384.00
6.86%
205,907,586.75
19.60%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
116,432,642.46
37.97%
339,259,123.65
16.94%
115,177,122.90
23.68%
33,706,103.77
8.78%
  
 
  
 
  
 
U.S. Growth Fund (Class III)
 
 
40,479.11
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
25,310,603.81
8.25%
163,814,680.01
8.18%
40,327,075.80
8.29%
31,095,105.57
8.10%
68,940,244.82
6.56%
  
 
  
 
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Value Fund (Class III)
 
 
413,936.57
0.13%
645,972.64
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
677,736,190.87
100.00%
306,622,977.50
100.00%
2,002,280,694.38
100.00%
486,394,854.61
100.00%
383,896,715.27
100.00%
1,050,755,335.20
100.00%
0.00
0.00%
0.00
0.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
June, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Balanced Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only (Class IV)
 
 
14,211,326.70
4.65%
270,685,949.00
13.27%
  
 
  
 
290,135,105.91
24.10%
  
 
  
 
Alternative Asset Allocation(ALTO)
 
 
  
 
57,323,293.19
2.81%
  
 
  
 
67,314,343.58
5.59%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
330,779,810.47
16.21%
  
 
60,773,399.63
15.84%
1,312.71
0.00%
  
 
  
 
Currency Hedged International Bond Fund (Class III)
 
 
  
 
3,094.96
0.00%
    
741.34
0.00%
15,678.37
0.00%
  
 
  
 
Currency Hedged International Equity Fund
 
 
12,649,652.62
4.14%
  
 
41,284,943.79
7.83%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
20,509,125.05
1.01%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
15,759,532.88
2.33%
5,603,032.51
1.83%
18,466,668.08
0.91%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,494,337.04
0.49%
10,315,604.64
0.51%
  
 
1,050,044.09
0.27%
23,855,974.12
1.98%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
125,048,516.32
18.50%
34,986,631.00
11.45%
172,078,143.70
8.44%
  
 
  
 
296,562,951.95
24.64%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
39,401,480.85
7.48%
33,466,566.60
8.72%
  
 
4,889,971.39
6.47%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
10,500,416.42
3.44%
111,246,757.38
5.45%
  
 
29,366,751.56
7.65%
153,853,981.04
12.78%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,629,955.85
1.16%
  
 
12,250,735.94
3.19%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
265,093,721.97
39.22%
41,426,918.83
13.56%
165,631,190.57
8.12%
137,402,056.60
26.07%
77,031,188.80
20.08%
35,318,652.57
2.93%
35,460,441.85
46.92%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
267,474,820.45
39.57%
41,097,427.70
13.46%
165,089,095.40
8.09%
136,496,404.26
25.90%
76,888,771.76
20.04%
36,294,822.28
3.02%
35,225,632.49
46.61%
  
 
International Small Companies Fund
2,516,814.05
0.37%
1,194,117.17
0.39%
7,728,214.70
0.38%
709,292.05
0.13%
1,212,995.93
0.32%
24,389,168.26
2.03%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
130,471.69
0.04%
3,362,577.88
0.16%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
404.86
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
  
 
172,341,734.83
8.45%
  
 
26,355,451.51
6.87%
206,072,312.82
17.12%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
115,781,171.54
37.91%
340,160,825.83
16.67%
125,161,016.10
23.75%
33,754,741.73
8.80%
  
 
  
 
  
 
U.S. Growth Fund
 
 
40,290.29
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
25,904,588.82
8.48%
169,987,484.03
8.33%
46,514,061.44
8.83%
31,491,322.51
8.21%
69,823,759.77
5.80%
  
 
  
 
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Value Fund
 
 
414,769.44
0.14%
647,272.38
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
675,893,405.67
100.00%
305,435,556.63
100.00%
2,039,986,797.94
100.00%
526,969,255.09
100.00%
383,642,711.40
100.00%
1,203,638,063.38
100.00%
75,576,045.73
100.00%
0.00
0.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
July, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Balanced Allocation Fund
 
Benchmark-Free Allocation Fund/4061
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only (Class IV)
 
 
14,742,970.06
4.66%
304,762,390.88
13.83%
  
 
  
 
292,828,926.06
24.15%
  
 
  
 
Alternative Asset Allocation Fund
 
 
  
 
62,296,625.33
2.83%
  
 
  
 
68,393,867.98
5.64%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
231,884,479.61
10.52%
  
 
44,866,925.56
10.91%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,054,577.94
4.13%
  
 
42,757,351.81
7.64%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
21,706,271.88
0.98%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
15,989,904.95
2.35%
5,684,937.38
1.80%
18,736,612.88
0.85%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,543,351.74
0.49%
10,653,959.65
0.48%
  
 
1,084,485.86
0.26%
24,638,457.46
2.03%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
126,457,243.15
18.61%
36,486,154.78
11.54%
183,076,826.93
8.31%
  
 
  
 
299,903,864.72
24.74%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
42,226,031.54
7.54%
35,906,035.96
8.73%
  
 
4,951,959.67
6.50%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,043,052.99
1.28%
230,271,437.46
10.45%
  
 
57,165,784.79
13.90%
155,820,951.64
12.85%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,709,374.79
1.08%
  
 
12,311,170.09
2.99%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
266,601,267.71
39.24%
42,352,748.89
13.40%
178,311,732.36
8.09%
143,617,734.20
25.65%
77,468,942.62
18.83%
35,362,799.22
2.92%
35,661,956.89
46.80%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
267,882,093.20
39.43%
42,215,572.53
13.36%
178,138,236.91
8.08%
143,730,120.32
25.67%
77,659,612.09
18.88%
34,443,230.73
2.84%
35,578,783.41
46.70%
  
 
International Small Companies Fund
2,500,026.82
0.37%
1,186,152.36
0.38%
7,645,594.38
0.35%
704,561.05
0.13%
1,204,905.22
0.29%
22,218,553.92
1.83%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund (Class III)
 
 
131,193.96
0.04%
3,381,192.66
0.15%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
406.62
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,617,250.47
2.41%
182,621,352.58
8.29%
  
 
33,528,761.21
8.15%
207,155,060.96
17.09%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
119,170,376.71
37.70%
375,664,820.01
17.04%
136,774,474.36
24.43%
34,868,621.11
8.48%
  
 
  
 
143,778,220.70
75.47%
U.S. Growth Fund (Class III)
 
 
39,867.29
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
27,397,674.96
8.67%
190,441,048.09
8.64%
50,094,358.47
8.95%
35,342,157.76
8.59%
71,546,178.96
5.90%
  
 
35,067,610.30
18.41%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,677,737.10
2.98%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,984,778.74
3.14%
U.S. Value Fund (Class III)
 
 
421,671.20
0.13%
658,042.99
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
679,430,535.83
100.00%
316,087,959.88
100.00%
2,203,959,999.39
100.00%
559,904,631.75
100.00%
411,407,402.27
100.00%
1,212,311,891.65
100.00%
76,192,699.97
100.00%
190,508,346.84
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
August, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
14,785,579.80
9.29%
313,129,321.09
34.10%
  
 
  
 
293,675,252.44
42.29%
  
 
  
 
Alternative Asset Allocation Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Core Plus Bond Fund (ClassIV)
 
 
  
 
  
 
  
 
47,606,797.86
10.96%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,420,495.10
8.43%
  
 
50,927,430.62
7.19%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
16,323,800.87
2.36%
5,803,648.36
3.65%
19,127,864.66
2.08%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
  
 
  
 
  
 
1,111,423.41
0.26%
  
 
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
128,511,047.11
18.58%
37,310,804.18
23.43%
193,740,880.73
21.10%
  
 
  
 
306,682,204.21
44.16%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
53,650,690.62
7.58%
38,038,652.93
8.76%
  
 
7,289,005.43
6.88%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
  
 
  
 
  
 
60,271,538.76
13.88%
  
0.00%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
  
 
  
 
12,447,822.83
2.87%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
271,711,239.25
39.28%
43,323,188.31
27.21%
192,309,216.09
20.94%
180,699,226.88
25.53%
81,749,418.97
18.82%
35,907,658.78
5.17%
49,222,265.56
46.48%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
272,786,527.23
39.44%
43,354,481.86
27.23%
192,014,056.83
20.91%
180,766,197.93
25.54%
81,672,483.07
18.81%
35,372,454.58
5.09%
49,387,822.95
46.64%
  
 
International Small Companies Fund
2,373,491.71
0.34%
1,222,733.75
0.77%
7,881,387.58
0.86%
726,289.99
0.10%
1,242,064.98
0.29%
22,843,197.86
3.29%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
SPV
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
  
 
  
 
  
 
36,824,823.03
8.48%
  
 
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
  
 
  
 
177,097,710.49
25.02%
35,664,559.43
8.21%
  
 
  
 
114,955,260.49
74.96%
U.S. Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
  
 
  
 
63,953,034.30
9.04%
37,668,328.86
8.67%
  
 
  
 
28,679,981.60
18.70%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,646,271.48
3.03%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,068,047.60
3.30%
U.S. Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
  
 
  
 
  
 
  
 
  
 
Total Market Value
691,706,106.17
100.00%
159,220,931.36
100.00%
918,202,726.98
100.00%
707,820,580.83
100.00%
434,297,914.13
100.00%
694,480,767.87
100.00%
105,899,093.94
100.00%
153,349,561.17
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
September, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund/4061
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
14,842,392.79
4.49%
315,624,223.13
13.17%
  
 
  
 
295,555,439.09
23.93%
  
 
  
 
Alternative Asset Allocation Fund (ALTO)
 
 
  
 
59,303,065.99
2.48%
  
 
  
 
65,107,315.92
5.27%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
255,952,003.25
10.68%
  
 
48,028,268.94
11.00%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,446,962.93
4.06%
  
 
47,674,530.79
7.37%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
22,213,118.83
0.93%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
16,379,450.19
2.37%
5,823,433.53
1.76%
19,193,073.29
0.80%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,588,786.20
0.48%
10,967,599.68
0.46%
  
 
1,116,411.84
0.26%
25,363,784.63
2.05%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
 
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
129,962,792.73
18.80%
37,732,291.66
11.40%
199,750,993.07
8.34%
  
 
  
 
310,136,093.28
25.11%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
 
 
  
 
48,807,507.93
7.55%
38,184,674.63
8.75%
  
 
15,344,802.99
6.97%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,118,012.95
1.24%
251,148,679.46
10.48%
  
 
60,224,888.96
13.80%
158,456,901.68
12.83%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
25,023,407.55
1.04%
  
 
12,348,439.02
2.83%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
270,555,984.60
39.15%
43,897,563.79
13.27%
198,046,307.95
8.27%
162,996,963.62
25.20%
81,409,341.39
18.65%
35,501,517.25
2.87%
102,526,246.87
46.57%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
272,181,525.45
39.38%
43,348,719.15
13.10%
198,249,254.07
8.27%
162,941,760.47
25.19%
81,529,448.95
18.68%
35,054,134.50
2.84%
102,291,476.50
46.46%
  
 
International Small Companies Fund
2,080,875.01
0.30%
1,230,050.03
0.37%
7,928,546.22
0.33%
223,107.65
0.03%
1,249,496.93
0.29%
22,979,881.17
1.86%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
132,351.13
0.04%
3,411,015.74
0.14%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
340.02
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,708,112.30
2.33%
217,871,844.00
9.09%
  
 
36,955,510.49
8.47%
210,671,957.79
17.06%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
126,083,245.37
38.11%
399,412,323.63
16.67%
164,597,019.18
25.45%
36,669,902.89
8.40%
  
 
  
 
118,401,356.63
74.96%
U.S. Growth Fund
 
 
41,700.26
0.01%
 
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
30,409,078.47
9.19%
211,060,925.50
8.81%
59,522,703.41
9.20%
38,733,450.23
8.87%
76,422,944.30
6.19%
  
 
29,563,875.07
18.72%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,762,362.31
3.02%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,216,951.41
3.30%
U.S. Value Fund
 
 
438,942.45
0.13%
684,995.80
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
 
 
 
  
 
  
 
  
 
Total Market Value
691,160,627.98
100.00%
330,841,983.03
100.00%
2,395,841,377.16
100.00%
646,763,593.05
100.00%
436,449,834.27
100.00%
1,235,249,969.61
100.00%
220,162,526.36
100.00%
157,944,545.42
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
October, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
14,828,189.54
4.38%
320,053,675.78
12.86%
  
 
  
 
295,272,610.92
23.48%
  
 
  
 
Alternative Asset Allocation Fund (ALTO)
 
 
  
 
60,526,710.68
2.43%
  
 
  
 
66,450,724.06
5.28%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
266,159,833.52
10.70%
  
 
54,555,145.03
10.96%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,521,529.75
3.99%
  
 
48,991,933.30
7.32%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
22,323,964.06
0.90%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
17,121,441.14
2.40%
6,087,235.73
1.80%
20,062,521.68
0.81%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,622,862.04
0.48%
11,202,829.70
0.45%
  
 
1,651,080.19
0.33%
25,907,780.01
2.06%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
135,517,297.72
19.03%
39,344,939.38
11.61%
212,143,151.89
8.53%
  
 
  
 
323,366,816.68
25.71%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
51,000,579.51
7.62%
43,790,353.42
8.80%
  
 
20,012,084.65
7.17%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,124,392.52
1.22%
255,903,067.19
10.28%
  
 
67,301,990.69
13.52%
158,702,381.00
12.62%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
25,841,049.24
1.04%
  
 
12,502,706.62
2.51%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
278,563,560.60
39.13%
45,145,911.37
13.32%
210,468,342.54
8.46%
169,508,185.17
25.33%
94,491,847.30
18.99%
36,916,102.12
2.94%
129,668,732.52
46.43%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
278,577,020.76
39.13%
44,831,701.65
13.23%
210,033,649.64
8.44%
169,490,278.52
25.33%
93,592,298.52
18.81%
36,253,354.89
2.88%
129,575,068.95
46.40%
  
 
International Small Companies Fund
2,167,513.68
0.30%
1,281,264.01
0.38%
8,258,656.69
0.33%
232,396.89
0.03%
1,301,520.59
0.26%
23,931,590.87
1.90%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
132,890.96
0.04%
3,424,928.65
0.14%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
64.85
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,765,658.13
2.29%
224,537,503.01
9.02%
  
 
43,968,813.54
8.83%
212,244,754.33
16.88%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
128,436,284.32
37.90%
413,136,734.51
16.60%
168,690,687.93
25.21%
39,616,167.71
7.96%
  
 
  
 
121,360,662.83
74.88%
U.S. Growth Fund
 
 
42,846.64
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
31,244,723.13
9.22%
223,550,187.06
8.98%
61,158,393.53
9.14%
44,907,769.89
9.02%
78,528,554.77
6.24%
  
 
30,376,293.45
18.74%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,965,561.12
3.06%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,375,010.67
3.32%
U.S. Value Fund
 
 
447,976.66
0.13%
699,094.21
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
 
 
 
  
 
  
 
  
 
Total Market Value
711,946,833.90
100.00%
338,858,470.68
100.00%
2,488,325,900.05
100.00%
669,072,454.85
100.00%
497,679,693.50
100.00%
1,257,574,669.65
100.00%
279,255,886.12
100.00%
162,077,528.07
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
November, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
14,856,596.04
4.30%
322,668,833.39
12.56%
  
 
  
 
295,838,267.26
22.88%
  
 
  
 
Alternative Asset Allocation Fund(ALTO)
 
 
  
 
62,274,774.43
2.42%
  
 
  
 
68,369,878.55
5.29%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
280,857,346.98
10.93%
  
 
55,281,152.81
10.87%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,521,529.75
3.91%
  
 
50,479,175.09
7.09%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
22,447,067.82
0.87%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
18,373,550.87
2.50%
6,532,401.94
1.89%
21,529,715.85
0.84%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,652,678.41
0.48%
11,418,457.22
0.44%
  
 
1,682,859.51
0.33%
26,383,775.97
2.04%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
 
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
145,632,397.72
19.79%
42,460,281.58
12.28%
229,473,738.98
8.93%
  
 
  
 
348,954,568.64
26.99%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
0.00%
56,575,907.80
7.94%
46,795,180.96
9.20%
  
 
21,385,283.51
7.45%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,186,593.34
1.21%
259,762,394.19
10.11%
  
 
68,316,985.91
13.43%
161,095,804.38
12.46%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
25,440,045.09
0.99%
  
 
12,929,077.76
2.54%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
285,220,864.89
38.76%
46,443,368.03
13.43%
215,409,909.43
8.38%
181,647,980.37
25.51%
97,207,465.90
19.11%
37,964,702.58
2.94%
132,749,782.21
46.28%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
284,413,638.73
38.65%
45,871,056.91
13.27%
218,468,410.70
8.50%
181,320,517.74
25.46%
96,087,368.51
18.89%
37,093,834.14
2.87%
132,732,983.78
46.27%
  
 
International Small Companies Fund
2,169,945.37
0.29%
1,343,452.41
0.39%
8,659,505.12
0.34%
243,676.68
0.03%
1,364,692.19
0.27%
25,067,300.56
1.94%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
133,475.74
0.04%
3,439,999.85
0.13%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
66.60
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,823,203.96
2.26%
244,468,807.65
9.51%
  
 
44,294,635.48
8.71%
213,817,550.87
16.54%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
129,212,073.96
37.37%
414,609,960.52
16.14%
176,305,069.51
24.76%
39,855,460.00
7.84%
  
 
  
 
121,860,445.88
74.88%
U.S. Growth Fund
 
 
43,112.47
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class IV)
 
 
31,187,498.36
9.02%
227,801,508.97
8.87%
65,598,349.55
9.21%
44,825,521.23
8.81%
78,399,702.10
6.06%
  
 
30,320,659.21
18.63%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,079,221.65
3.12%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,471,620.72
3.36%
U.S. Value Fund
 
 
452,629.86
0.13%
706,355.81
0.03%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
 
 
 
  
 
  
 
  
 
Total Market Value
735,810,397.58
100.00%
345,720,019.36
100.00%
2,569,436,832.00
100.00%
712,170,676.74
100.00%
508,640,400.26
100.00%
1,292,985,385.05
100.00%
286,868,049.50
100.00%
162,731,947.46
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
December, 2006
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
14,969,047.34
4.28%
377,594,905.85
12.49%
  
 
  
 
297,076,600.44
22.74%
  
 
  
 
Alternative Asset Allocation Fund (ALTO)
 
 
  
 
60,676,967.46
2.01%
  
 
  
 
65,332,938.01
5.00%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
327,382,393.93
10.83%
  
 
55,555,884.64
10.74%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,599,545.27
3.89%
  
 
53,633,800.12
7.11%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
20,323,989.00
0.67%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
18,996,270.46
2.53%
6,689,313.10
1.91%
22,326,623.57
0.74%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,677,489.58
0.48%
11,579,930.72
0.38%
  
 
1,706,657.58
0.33%
26,779,867.75
2.05%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
147,569,563.11
19.62%
42,709,362.23
12.22%
274,774,528.93
9.09%
  
 
  
 
357,666,955.02
27.38%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
59,740,428.70
7.91%
48,162,817.30
9.31%
  
 
29,276,669.13
7.55%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,130,392.38
1.18%
315,927,366.79
10.45%
  
 
67,467,823.09
13.04%
158,909,462.82
12.16%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,853,515.23
0.79%
  
 
12,431,617.54
2.40%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
292,079,214.08
38.84%
46,947,499.29
13.43%
260,243,748.67
8.61%
193,748,482.47
25.67%
100,360,426.85
19.40%
39,096,358.42
2.99%
179,142,042.13
46.23%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
291,200,358.83
38.73%
46,407,718.40
13.27%
260,761,780.68
8.63%
193,588,587.92
25.65%
98,987,415.12
19.14%
38,113,636.32
2.92%
179,109,687.51
46.22%
  
 
International Small Companies Fund
2,105,827.77
0.28%
1,034,796.29
0.30%
8,549,710.19
0.28%
243,119.55
0.03%
1,419,264.05
0.27%
25,490,926.29
1.95%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
0.00%
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
134,036.72
0.04%
3,454,457.44
0.11%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
520.54
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (VI)
 
 
7,935,963.50
2.27%
297,471,152.75
9.84%
  
 
44,933,075.00
8.69%
217,087,209.23
16.62%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
130,488,919.79
37.32%
486,932,644.23
16.11%
184,554,135.01
24.45%
40,553,401.27
7.84%
  
 
  
 
112,495,839.58
75.12%
U.S. Growth Fund
 
 
43,390.90
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class VI)
 
 
32,515,173.65
9.30%
270,122,299.62
8.94%
69,351,299.85
9.19%
45,623,804.57
8.82%
80,771,620.29
6.18%
  
 
27,721,347.69
18.51%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,560,924.81
3.05%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,973,745.20
3.32%
U.S. Value Fund
 
 
363,177.44
0.10%
722,242.21
0.02%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
 
 
 
  
 
  
 
  
 
Total Market Value
751,951,234.25
100.00%
349,646,346.42
100.00%
3,022,698,257.27
100.00%
754,859,853.62
100.00%
517,202,187.01
100.00%
1,306,325,574.59
100.00%
387,528,398.77
100.00%
149,751,857.28
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
January, 2007
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
15,041,291.77
4.23%
379,417,275.09
12.48%
  
 
  
 
298,510,367.82
23.08%
  
 
  
 
Alternative Asset Allocation Fund(ALTO)
 
 
  
 
60,916,539.12
2.00%
  
 
  
 
51,628,481.73
3.99%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
327,697,791.23
10.78%
  
 
55,609,406.69
10.50%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,858,584.23
3.90%
  
 
58,970,977.44
6.94%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
20,302,993.14
0.67%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
18,833,710.69
2.49%
6,632,069.59
1.86%
22,135,564.44
0.73%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,587,804.87
0.45%
11,601,987.73
0.38%
  
 
1,709,908.35
0.32%
26,830,877.02
2.07%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
146,209,277.60
19.35%
42,283,206.34
11.88%
272,019,188.17
8.95%
  
 
  
 
351,053,909.58
27.14%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
64,292,381.89
7.57%
50,109,730.69
9.46%
  
 
29,497,936.64
7.21%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,148,595.23
1.17%
320,012,276.78
10.53%
  
 
73,716,426.72
13.92%
159,681,993.04
12.35%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
23,186,510.31
0.76%
  
 
4,163,609.46
0.79%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
293,798,402.23
38.89%
47,321,952.72
13.30%
259,336,488.97
8.53%
218,746,385.28
25.76%
102,952,295.67
19.44%
39,166,498.88
3.03%
189,740,481.70
46.36%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
294,481,030.40
38.98%
47,027,905.93
13.22%
260,346,202.47
8.56%
218,572,129.27
25.74%
103,645,632.78
19.57%
38,544,361.27
2.98%
190,034,431.52
46.43%
  
 
International Small Companies Fund
2,135,211.42
0.28%
1,049,235.31
0.29%
8,464,040.35
0.28%
246,511.91
0.03%
1,352,428.61
0.26%
25,841,441.10
2.00%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
134,643.22
0.04%
3,470,088.46
0.11%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
66.60
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (VI)
 
 
7,986,652.29
2.24%
299,916,778.92
9.86%
  
 
45,220,072.69
8.54%
218,477,800.54
16.89%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
134,911,687.27
37.92%
494,072,640.05
16.25%
208,996,244.01
24.61%
43,386,092.67
8.19%
  
 
  
 
114,707,370.85
75.07%
U.S. Growth Fund
 
 
44,407.87
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class VI)
 
 
33,393,920.89
9.39%
276,807,652.70
9.10%
79,392,518.42
9.35%
47,678,702.70
9.00%
83,568,151.33
6.46%
  
 
28,264,903.53
18.50%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,720,258.43
3.09%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,115,562.79
3.35%
U.S. Value Fund
 
 
369,878.13
0.10%
534,291.50
0.02%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
 
 
 
 
 
 
  
 
  
 
  
 
Total Market Value
755,457,632.34
100.00%
355,791,902.26
100.00%
3,040,238,309.43
100.00%
849,217,148.22
100.00%
529,544,307.03
100.00%
1,293,303,882.31
100.00%
409,272,849.86
100.00%
152,808,095.60
100.00%
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
GMO Fund of Fund Allocation %
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
February, 2007
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
 
International Equity Allocation Fund
 
Global (U.S.+) Equity Allocation Fund
 
Global Balanced Asset Allocation Fund
 
World Opportunity Equity Allocation Fund
 
Strategic Opportunities Allocation Fund
 
Benchmark-Free Allocation Fund
 
International Opp. Equity Allocation Fund
 
U.S. Equity Allocation Fund
 
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
 
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Alpha Only Fund (Class IV)
 
 
15,041,291.77
4.25%
380,002,185.82
12.34%
  
 
  
 
298,510,367.82
23.03%
  
 
  
 
Alternative Asset Allocation Fund(ALTO)
 
 
  
 
62,157,955.90
2.02%
  
 
  
 
52,680,617.39
4.06%
  
 
  
 
Core Plus Bond Fund (Class IV)
 
 
  
 
333,599,965.44
10.83%
  
 
56,198,149.20
10.62%
  
 
  
 
  
 
Currency Hedged International Bond Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Currency Hedged International Equity Fund
 
 
13,289,885.18
3.75%
  
 
62,894,978.42
6.97%
  
 
  
 
  
 
  
 
Domestic Bond Fund (Class VI)
 
 
  
 
20,617,930.98
0.67%
  
 
  
 
  
 
  
 
  
 
Emerging Countries Fund
18,624,705.27
2.45%
6,461,493.77
1.82%
21,889,916.99
0.71%
  
 
  
 
  
 
  
 
  
 
Emerging Country Debt Fund (Class IV)
 
 
1,619,500.60
0.46%
11,833,586.35
0.38%
  
 
1,744,041.51
0.33%
27,366,474.37
2.11%
  
 
  
 
Emerging Markets Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class IV)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Emerging Markets Fund (Class VI)
146,067,670.55
19.25%
41,750,148.77
11.79%
275,288,575.40
8.94%
  
 
  
 
350,694,221.58
27.05%
  
 
  
 
Emerging Markets Quality( Class VI)
 
 
  
 
  
 
65,830,487.09
7.30%
49,013,342.40
9.26%
  
 
30,555,475.13
6.94%
  
 
Inflation Indexed Plus Bond Fund (Class VI)
 
 
4,216,442.22
1.19%
328,859,381.43
10.68%
  
 
74,922,000.51
14.15%
162,776,233.87
12.56%
  
 
  
 
International Bond Fund (Class III)
 
 
  
 
21,923,157.21
0.71%
  
 
4,154,505.49
0.78%
  
 
  
 
  
 
International Growth Equity Fund (Class III)
295,016,841.52
38.88%
47,402,591.32
13.38%
271,341,941.10
8.81%
235,863,517.32
26.14%
103,554,410.89
19.56%
39,254,063.72
3.03%
204,814,358.79
46.50%
  
 
International Intrinsic Value Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
International Intrinsic Value Fund (Class IV)
297,957,461.54
39.27%
47,550,627.85
13.42%
271,767,809.45
8.83%
237,203,364.22
26.29%
105,015,610.03
19.84%
38,941,953.53
3.00%
205,050,534.65
46.56%
  
 
International Small Companies Fund
1,105,478.33
0.15%
543,039.53
0.15%
4,237,260.94
0.14%
127,929.86
0.01%
700,666.62
0.13%
13,336,722.17
1.03%
  
 
  
 
Real Estate Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
Short-Duration Investment Fund
 
 
135,401.35
0.04%
3,489,627.25
0.11%
  
 
  
 
  
 
  
 
  
 
SPV
 
 
66.60
0.00%
  
 
  
 
  
 
  
 
  
 
  
 
Strategic Fixed Income (Class VI)
 
 
7,989,820.33
2.26%
307,603,772.56
9.99%
  
 
45,257,954.67
8.55%
225,145,879.08
17.37%
  
 
  
 
U.S. Core Equity Fund (Class III)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class V)
 
 
  
 
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Core Equity Fund (Class VI)
 
 
135,437,254.02
38.23%
489,370,403.17
15.89%
217,211,140.41
24.07%
42,352,406.81
8.00%
  
 
  
 
111,984,113.96
75.00%
U.S. Growth Fund
 
 
43,339.31
0.01%
  
 
  
 
  
 
  
 
  
 
  
 
U.S. Quality Equity Fund (Class VI)
 
 
32,542,644.73
9.19%
274,837,403.27
8.93%
83,203,918.71
9.22%
46,463,279.60
8.78%
87,702,351.29
6.77%
  
 
27,544,376.02
18.45%
U.S. Small/Mid Cap Growth Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
4,712,789.67
3.16%
U.S. Small/Mid Cap Value Fund
 
 
  
 
  
 
  
 
  
 
  
 
  
 
5,069,978.56
3.40%
U.S. Value Fund
 
 
215,622.68
0.06%
377,075.04
0.01%
  
 
  
 
  
 
  
 
  
 
 
 
 
  
 
  
 
  
 
 
 
  
 
  
 
  
 
Total Market Value
758,772,157.21
100.00%
354,239,170.03
100.00%
3,079,197,948.30
100.00%
902,335,336.03
100.00%
529,376,367.73
100.00%
1,296,408,884.82
100.00%
440,420,368.57
100.00%
149,311,258.21
100.00%