EX-99 4 att77p.htm Unassociated Document
 
 
 

GMO Trust
                                
FYE 2/28/09
                                
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                          
                                 
GMO Fund of Fund Allocation %
                              
March, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
22,685,766.96
6.47%
536,640,568.40
16.09%
    
90,502,834.33
8.29%
406,668,995.13
25.60%
        
Alternative Asset Opportunity Fund
        
0.00%
        
23,855,571.95
1.50%
        
Core Plus Bond Fund (Class IV)
      
49,083,538.13
1.47%
    
26,458,552.46
2.42%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
46,810,625.37
1.40%
                    
Emerging Countries Fund
23,262,872.73
3.12%
8,073,128.11
2.30%
23,616,156.40
0.71%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
  
1,673,748.47
0.48%
10,599,347.82
0.32%
    
5,646,425.97
0.52%
32,392,379.79
2.04%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
149,200,805.95
19.98%
34,842,677.39
9.94%
310,471,377.85
9.31%
8,982,257.54
0.87%
    
186,279,680.41
11.73%
        
Emerging Markets Opportunities Fund ( Class VI)
          
42,975,919.49
4.14%
76,072,217.45
6.97%
    
32,007,496.94
4.70%
    
Inflation Indexed Plus Bond Fund (Class VI)
        
0.00%
    
0.00
0.00%
            
International Bond Fund (Class III)
      
20,501,743.60
0.61%
    
5,768,543.47
0.53%
            
International Core Equity Fund (VI)
      
355,004,303.27
10.64%
                    
International Growth Equity Fund (Class IV)
288,388,045.98
38.63%
28,884,649.08
8.24%
177,632,317.54
5.32%
244,461,476.11
23.55%
156,602,089.32
14.34%
    
325,951,935.28
47.84%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
285,760,364.01
38.27%
28,528,231.11
8.14%
175,040,970.19
5.25%
245,031,265.78
23.61%
159,390,214.09
14.60%
    
323,417,393.25
47.47%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
134,810.39
0.04%
3,008,933.94
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
188,652,930.05
5.66%
    
60,094,194.39
5.50%
83,073,510.70
5.23%
        
Strategic Fixed Income Fund (Class VI)
      
807,790,728.28
24.21%
    
212,852,995.87
19.49%
480,227,161.90
30.23%
        
U.S Small/Mid Cap Growth Fund
                          
1,214,321.17
1.29%
U.S. Small/Mid Cap Value Fund
                          
1,251,637.45
1.33%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
132,085,943.32
37.68%
80,847,859.90
2.42%
238,557,722.59
22.98%
68,938,600.60
6.31%
2,764.74
0.00%
    
48,480,203.24
51.57%
U.S. Growth Fund
    
17,839.81
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
93,596,364.11
26.70%
550,245,385.01
16.49%
257,946,750.25
24.85%
229,695,031.20
21.03%
375,868,276.41
23.66%
    
43,064,634.99
45.81%
                                 
Total Market Value
746,612,088.67
100.00%
350,523,207.82
100.00%
3,335,946,785.75
100.00%
1,037,955,391.76
100.00%
1,092,021,699.15
100.00%
1,588,368,341.03
100.00%
681,376,825.47
100.00%
94,010,796.85
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
April, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
22,440,515.39
6.16%
532,359,211.53
15.99%
    
89,524,425.31
8.02%
412,783,564.02
25.60%
        
Alternative Asset Opportunity Fund
      
0.00
0.00%
        
24,366,655.40
1.51%
        
Core Plus Bond Fund (Class (IV)
      
41,201,570.82
1.24%
    
26,542,815.36
2.38%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
46,307,345.80
1.39%
                    
Emerging Countries Fund
25,064,589.40
3.01%
8,698,394.38
2.39%
25,445,234.96
0.76%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
  
1,699,133.96
0.47%
10,760,106.43
0.32%
    
5,732,064.36
0.51%
32,883,669.67
2.04%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
173,644,871.18
20.85%
37,456,773.45
10.29%
332,248,405.89
9.98%
13,825,564.71
1.21%
    
200,255,442.64
12.42%
2,237,711.44
0.30%
    
Emerging Markets Opportunities Fund ( Class VI)
          
46,540,742.30
4.07%
82,382,355.28
7.38%
    
34,662,496.65
4.63%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00
0.00%
                    
International Bond Fund (Class III)
      
19,773,255.25
0.59%
    
5,563,569.82
0.50%
            
International Core Equity Fund (VI)
      
367,532,288.95
11.04%
                    
International Growth Equity Fund (Class IV)
316,276,048.65
37.97%
29,874,920.36
8.21%
173,244,138.07
5.20%
268,350,097.72
23.47%
161,970,980.90
14.51%
    
354,590,498.21
47.33%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
318,014,287.97
38.18%
29,777,712.31
8.18%
173,412,526.77
5.21%
271,383,081.85
23.74%
166,371,196.38
14.90%
    
357,691,927.89
47.74%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
135,005.28
0.04%
3,013,283.77
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
185,301,010.11
5.56%
    
59,026,461.56
5.29%
81,597,489.31
5.06%
        
Strategic Fixed Income Fund (Class VI)
      
779,961,788.59
23.42%
    
210,831,076.20
18.88%
475,595,977.02
29.50%
        
U.S Small/Mid Cap Growth Fund
                          
1,294,853.66
1.32%
U.S Small/Mid Cap Value Fund
                          
1,311,174.84
1.33%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
138,179,227.39
37.95%
72,748,222.66
2.18%
259,965,362.20
22.74%
72,129,209.44
6.46%
2,892.68
0.00%
    
50,624,464.27
51.54%
U.S. Growth Fund (III)
    
18,702.47
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
95,784,449.91
26.31%
566,991,115.16
17.03%
283,205,432.71
24.77%
236,523,130.54
21.18%
384,655,284.78
23.86%
    
44,993,016.97
45.81%
                                 
Total Market Value
832,999,797.20
100.00%
364,064,883.97
100.00%
3,330,299,504.76
100.00%
1,143,270,281.49
100.00%
1,116,597,285.15
100.00%
1,612,140,975.52
100.00%
749,182,634.19
100.00%
98,223,509.74
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
May, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
24,176,953.05
6.55%
534,451,191.10
15.98%
660,542.08
0.06%
89,605,959.41
7.95%
413,232,582.16
25.56%
        
Alternative Asset Opportunity Fund
                  
24,922,834.46
1.54%
        
Core Plus Bond Fund (Class (IV)
      
41,114,371.73
1.23%
    
26,486,640.10
2.35%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
340,601,022.60
10.18%
                    
Emerging Countries Fund
23,103,537.64
2.63%
8,897,594.28
2.41%
26,027,950.25
0.78%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
10,867,278.79
0.32%
    
5,789,156.66
0.51%
33,211,196.26
2.05%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
181,828,983.47
20.72%
50,819,578.58
13.77%
339,871,696.30
10.16%
15,554,610.39
1.31%
    
204,850,213.79
12.67%
2,289,054.72
0.31%
    
Emerging Markets Opportunities Fund ( Class VI)
          
47,927,062.27
4.02%
84,836,297.78
7.53%
    
34,919,728.09
4.68%
    
Inflation Indexed Plus Bond Fund (Class VI)
              
0.00
0.00%
            
International Bond Fund (Class III)
      
19,523,487.82
0.58%
    
5,493,293.16
0.49%
            
International Core Equity Fund (VI)
  
91,492,391.17
24.78%
374,162,826.24
11.19%
                    
International Growth Equity Fund (Class IV)
337,140,444.56
38.42%
30,500,354.85
8.26%
174,228,652.83
5.21%
281,226,670.37
23.62%
165,361,859.75
14.67%
    
355,182,967.02
47.65%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
335,504,124.59
38.23%
30,205,999.45
8.18%
172,073,070.66
5.15%
280,841,233.57
23.58%
168,875,823.58
14.98%
    
353,052,805.57
47.36%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
136,294.10
0.04%
3,042,050.18
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
183,753,970.13
5.49%
    
58,553,661.78
5.19%
80,916,248.68
5.01%
        
Strategic Fixed Income Fund (Class VI)
      
481,678,139.83
14.40%
    
210,003,927.28
18.63%
470,943,808.09
29.13%
        
U.S Small/Mid Cap Growth Fund
                          
1,253,891.37
1.27%
U.S Small/Mid Cap Value Fund
                          
1,253,368.48
1.27%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
36,194,807.70
9.80%
68,923,501.24
2.06%
262,620,527.22
22.05%
73,181,337.32
6.49%
2,934.90
0.00%
    
50,959,688.06
51.50%
U.S. Growth Fund (III)
    
19,169.15
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
96,705,897.23
26.20%
573,986,106.69
17.16%
302,047,181.90
25.36%
239,162,858.20
21.21%
388,380,921.46
24.03%
    
45,489,550.29
45.97%
                                 
Total Market Value
877,577,090.26
100.00%
369,149,088.63
100.00%
3,344,305,316.39
100.00%
1,190,877,827.80
100.00%
1,127,350,815.02
100.00%
1,616,460,739.80
100.00%
745,444,555.40
100.00%
98,956,498.20
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
June, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
23,959,269.56
7.16%
549,829,331.83
16.87%
675,463.59
0.06%
90,665,902.51
8.42%
418,108,447.51
26.60%
        
Alternative Asset Opportunity Fund
      
0.00
0.00%
        
26,298,250.22
1.67%
        
Core Plus Bond Fund (Class (IV)
      
40,469,517.80
1.24%
    
26,458,552.46
2.46%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
347,417,912.24
10.66%
    
67,846,393.05
6.30%
            
Emerging Countries Fund
20,139,334.72
2.55%
8,045,461.49
2.40%
23,535,223.66
0.72%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
10,610,065.10
0.33%
    
5,652,135.19
0.53%
32,425,132.44
2.06%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
160,116,023.74
20.29%
44,536,287.28
13.31%
310,067,827.90
9.51%
15,123,460.22
1.34%
    
184,556,641.20
11.74%
2,062,288.55
0.30%
    
Emerging Markets Opportunities Fund ( Class VI)
          
43,603,064.23
3.87%
77,182,334.28
7.17%
    
31,769,256.76
4.55%
    
Inflation Indexed Plus Bond Fund (Class VI)
                              
International Bond Fund (Class III)
      
19,287,199.52
0.59%
    
5,510,862.33
0.51%
            
International Core Equity Fund (VI)
  
85,092,067.88
25.43%
359,617,107.76
11.03%
                    
International Growth Equity Fund (Class IV)
303,310,159.25
38.43%
26,042,890.93
7.78%
161,974,327.48
4.97%
266,764,655.78
23.65%
155,189,223.07
14.41%
    
334,460,316.94
47.89%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
305,744,052.64
38.74%
25,902,301.52
7.74%
158,825,789.13
4.87%
265,326,729.73
23.52%
156,759,303.26
14.56%
    
330,134,901.71
47.27%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
136,132.98
0.04%
3,038,454.35
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situiations Fund
        
183,925,863.47
5.64%
    
58,588,417.32
5.44%
80,991,942.08
5.15%
        
Strategic Fixed Income Fund (Class VI)
      
480,549,400.06
14.74%
    
141,155,215.19
13.11%
466,409,557.02
29.67%
        
U.S Small/Mid Cap Growth Fund
                          
1,196,212.31
1.37%
U.S Small/Mid Cap Value Fund
                          
1,141,402.01
1.31%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
32,829,798.52
9.81%
62,687,288.35
1.92%
244,255,830.31
21.65%
68,037,601.15
6.32%
2,728.60
0.00%
    
42,218,156.87
48.48%
U.S. Growth Fund (III)
    
17,905.72
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
88,059,432.21
26.32%
548,120,321.25
16.81%
292,234,319.88
25.91%
223,543,051.17
20.76%
363,021,774.37
23.10%
    
42,520,484.83
48.83%
                                 
Total Market Value
789,309,570.35
100.00%
334,621,597.16
100.00%
3,259,955,629.90
100.00%
1,127,983,523.74
100.00%
1,076,588,990.98
100.00%
1,571,814,473.44
100.00%
698,426,763.96
100.00%
87,076,256.02
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
July, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
23,884,832.24
7.33%
633,774,655.79
19.45%
673,365.04
0.06%
142,488,929.37
13.52%
479,071,733.06
30.64%
        
Alternative Asset Opportunity Fund
                  
24,223,852.67
1.55%
        
Core Plus Bond Fund (Class (IV)
      
40,316,046.37
1.24%
    
26,333,434.43
2.50%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
349,186,331.12
10.72%
    
66,640,847.83
6.32%
            
Emerging Countries Fund
        
22,479,045.79
0.69%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
10,588,486.69
0.32%
    
5,640,640.11
0.54%
32,359,187.31
2.07%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
150,280,758.36
19.91%
37,808,994.12
11.60%
218,740,302.93
6.71%
        
89,649,148.27
5.73%
        
Emerging Markets Opportunities Fund ( Class VI)
                      
0.18
0.00%
    
Inflation Indexed Plus Bond Fund (Class VI)
                              
International Bond Fund (Class III)
      
18,909,634.65
0.58%
    
5,511,014.56
0.52%
            
International Core Equity Fund (VI)
  
82,243,854.85
25.24%
350,359,968.42
10.75%
                    
International Growth Equity Fund (Class IV)
300,026,285.78
39.74%
24,424,165.38
7.49%
157,118,548.41
4.82%
257,200,677.44
23.22%
148,702,306.46
14.11%
    
346,906,349.53
50.32%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
304,644,121.80
40.35%
24,393,251.48
7.49%
154,515,828.49
4.74%
255,699,260.30
23.09%
148,824,609.69
14.12%
    
342,485,888.18
49.68%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
135,649.10
0.04%
3,027,654.16
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
185,322,098.52
5.69%
    
56,297,542.26
5.34%
80,276,891.23
5.13%
        
Strategic Fixed Income Fund (Class VI)
      
490,346,034.80
15.05%
    
142,623,528.83
13.53%
470,559,197.79
30.09%
        
U.S Small/Mid Cap Growth Fund
                          
1,193,450.47
1.57%
U.S Small/Mid Cap Value Fund
                          
1,162,039.35
1.53%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
32,484,827.00
9.97%
61,991,328.96
1.90%
241,419,171.39
21.80%
65,544,369.49
6.22%
2,708.22
0.00%
    
36,232,247.41
47.64%
U.S. Growth Fund (III)
    
17,791.66
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
100,489,463.97
30.84%
561,549,955.25
17.23%
352,484,625.43
31.83%
245,614,697.62
23.30%
387,662,183.56
24.79%
    
37,469,840.47
49.27%
                                 
Total Market Value
754,951,165.94
100.00%
325,882,878.87
100.00%
3,258,225,920.35
100.00%
1,107,477,099.60
100.00%
1,054,221,920.65
100.00%
1,563,804,902.11
100.00%
689,392,237.89
100.00%
76,057,577.70
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
August, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
24,101,529.31
7.47%
648,915,794.89
20.30%
679,474.21
0.06%
146,807,678.52
13.76%
573,946,956.50
36.35%
        
Alternative Asset Opportunity Fund
                  
22,976,207.76
1.46%
        
Core Plus Bond Fund (Class (IV)
      
36,878,654.57
1.15%
    
26,041,165.46
2.44%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
336,019,097.26
10.51%
    
67,862,379.00
6.36%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
10,511,359.30
0.33%
    
5,599,553.22
0.52%
32,123,480.46
2.03%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
126,043,466.32
17.40%
28,570,961.57
8.86%
164,135,029.05
5.13%
        
0.30
0.00%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Inflation Indexed Plus Bond Fund (Class VI)
                              
International Bond Fund (Class III)
      
18,020,534.87
0.56%
    
5,251,895.76
0.49%
            
International Core Equity Fund (VI)
  
79,089,682.96
24.51%
336,719,823.93
10.53%
                    
International Growth Equity Fund (Class IV)
299,747,983.30
41.38%
23,534,413.96
7.29%
140,887,203.06
4.41%
245,949,763.70
22.39%
144,730,565.09
13.57%
    
330,844,122.81
50.21%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
298,534,533.17
41.22%
23,580,143.06
7.31%
139,532,692.64
4.37%
245,263,979.96
22.32%
145,313,789.36
13.62%
    
328,016,875.47
49.79%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
134,842.64
0.04%
3,009,653.85
0.09%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
189,065,100.04
5.91%
    
57,434,599.25
5.38%
81,898,265.75
5.19%
        
Strategic Fixed Income Fund (Class VI)
      
476,563,679.71
14.91%
    
144,328,466.44
13.53%
467,609,876.39
29.62%
        
U.S Small/Mid Cap Growth Fund
                          
1,167,767.32
1.50%
U.S Small/Mid Cap Value Fund
                          
1,178,418.22
1.51%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
33,247,514.22
10.31%
56,227,740.76
1.76%
244,791,008.28
22.28%
67,083,237.33
6.29%
2,771.82
0.00%
    
36,897,013.84
47.39%
U.S. Growth Fund (III)
    
18,156.84
0.01%
                        
U.S. Quality Equity Fund (Class VI)
  
110,344,225.05
34.20%
640,114,681.93
20.02%
361,943,350.20
32.95%
256,233,125.56
24.02%
400,173,988.42
25.35%
    
38,618,048.03
49.60%
                                 
Total Market Value
724,325,982.79
100.00%
322,621,518.68
100.00%
3,196,601,045.86
100.00%
1,098,627,576.35
100.00%
1,066,686,454.99
100.00%
1,578,731,547.40
100.00%
658,860,998.28
100.00%
77,861,247.41
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
September, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
26,103,310.47
7.45%
673,757,398.66
21.98%
590,143.06
0.06%
159,065,285.32
15.20%
595,253,594.53
38.00%
        
Alternative Asset Opportunity Fund
                  
21,563,212.32
1.38%
        
Core Plus Bond Fund (Class (IV)
      
35,554,168.65
1.16%
    
25,105,904.73
2.40%
            
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
328,734,839.10
10.73%
    
66,607,035.75
6.37%
            
Emerging Countries Fund
        
0.00
0.00%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
9,563,794.44
0.31%
    
5,094,771.68
0.49%
29,227,653.07
1.87%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
106,113,895.03
16.62%
30,926,320.50
8.82%
138,182,547.29
4.51%
        
0.25
0.00%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00
0.00%
                    
International Bond Fund (Class III)
      
17,391,659.39
0.57%
    
5,068,616.60
0.48%
            
International Core Equity Fund (VI)
  
85,241,788.59
24.32%
288,926,707.90
9.43%
                    
International Growth Equity Fund (Class IV)
266,396,747.72
41.72%
22,473,974.55
6.41%
122,798,023.80
4.01%
200,798,045.44
21.32%
131,747,769.42
12.59%
    
298,756,800.38
50.00%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
265,994,087.63
41.66%
22,605,594.00
6.45%
122,036,430.26
3.98%
200,013,699.31
21.24%
133,214,881.58
12.73%
    
298,799,412.44
50.00%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
132,100.61
0.04%
2,948,452.74
0.10%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
191,662,636.08
6.25%
    
58,307,224.36
5.57%
82,897,275.50
5.29%
        
Strategic Fixed Income Fund (Class VI)
      
470,776,244.59
15.36%
    
145,671,526.60
13.92%
458,029,181.45
29.24%
        
U.S Small/Mid Cap Growth Fund
                          
1,011,355.26
0.97%
U.S Small/Mid Cap Value Fund
                          
1,106,904.72
1.06%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
36,722,070.22
10.48%
52,310,430.02
1.71%
209,565,113.54
22.25%
62,409,638.77
5.97%
2,578.70
0.00%
    
49,660,983.69
47.59%
U.S. Growth Fund (III)
    
16,741.71
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
126,345,650.66
36.04%
610,235,185.49
19.91%
330,690,825.86
35.12%
253,861,154.74
24.27%
379,531,394.36
24.23%
    
52,565,481.02
50.38%
                                 
Total Market Value
638,504,730.38
100.00%
350,567,600.38
100.00%
3,064,878,518.41
100.00%
941,657,827.21
100.00%
1,046,153,809.55
100.00%
1,566,504,890.18
100.00%
597,556,212.82
100.00%
104,344,724.69
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
October, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
11,575,073.31
3.91%
537,524,099.72
19.29%
    
162,878,892.15
16.81%
501,761,051.05
33.55%
        
Alternative Asset Opportunity Fund
                  
19,105,114.87
1.28%
        
Core Plus Bond Fund (Class (IV)
                              
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
281,226,700.74
10.09%
    
62,025,560.36
6.40%
            
Emerging Countries Fund
        
0.00
0.00%
                    
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
7,195,050.24
0.26%
    
3,850,426.53
0.40%
22,088,693.42
1.48%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
109,656,421.44
20.92%
34,950,451.84
11.79%
231,822,376.16
8.32%
19,848,241.40
2.49%
12,912,490.74
1.33%
111,373,016.95
7.45%
12,579,543.16
2.57%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Inflation Indexed Plus Bond Fund (Class VI)
      
45,565,442.48
1.64%
    
26,584,557.01
2.74%
            
International Bond Fund (Class III)
      
0.00
0.00%
                    
International Core Equity Fund (VI)
  
68,812,569.99
23.22%
304,217,707.83
10.92%
                    
International Growth Equity Fund (Class IV)
209,069,540.50
39.88%
21,671,844.39
7.31%
102,292,516.47
3.67%
165,579,673.65
20.80%
120,224,177.20
12.41%
    
241,474,294.39
49.39%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
205,496,777.89
39.20%
21,309,294.55
7.19%
99,072,585.86
3.56%
161,728,585.00
20.31%
117,662,328.74
12.14%
    
234,830,341.09
48.03%
    
International Small Companies Fund
                              
Real Estate Fund
                                
Short-Duration Investment Fund
  
126,747.83
0.04%
2,813,642.67
0.10%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
113,027,899.01
4.06%
    
35,920,538.58
3.71%
43,486,953.73
2.91%
        
Strategic Fixed Income Fund (Class VI)
      
403,424,495.84
14.48%
    
128,180,909.61
13.23%
417,091,343.97
27.89%
        
U.S Small/Mid Cap Growth Fund
                          
744,114.44
0.91%
U.S Small/Mid Cap Value Fund
                          
834,459.19
1.02%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
26,323,260.36
8.88%
44,148,591.74
1.58%
157,233,472.53
19.75%
54,615,067.20
5.64%
2,212.32
0.00%
    
38,071,341.66
46.44%
U.S. Growth Fund (III)
    
14,468.25
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
111,588,456.08
37.65%
614,238,020.98
22.04%
291,825,226.91
36.65%
244,035,713.62
25.19%
380,762,768.84
25.46%
    
42,337,994.89
51.64%
                                 
Total Market Value
524,222,739.83
100.00%
296,372,215.67
100.00%
2,786,569,129.74
100.00%
796,215,199.49
100.00%
968,890,661.74
100.00%
1,495,671,155.15
100.00%
488,884,178.64
100.00%
81,987,910.18
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
November, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
11,622,430.07
3.98%
432,635,545.05
17.17%
    
124,780,172.72
12.02%
413,276,307.21
29.22%
        
Alternative Asset Opportunity Fund
                  
17,477,786.75
1.24%
        
Core Plus Bond Fund (Class (IV)
                              
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
214,120,322.32
8.50%
    
52,946,389.80
5.10%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
9,107,835.67
0.36%
    
5,078,996.94
0.49%
23,423,492.31
1.66%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
107,364,372.59
20.22%
32,854,461.90
11.25%
273,210,608.65
10.84%
18,814,925.15
2.48%
37,205,773.34
3.58%
123,465,762.82
8.73%
12,407,900.39
2.64%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Inflation Indexed Plus Bond Fund (Class VI)
      
31,279,146.53
1.24%
    
21,093,298.38
2.03%
            
International Bond Fund (Class III)
                              
International Core Equity Fund (VI)
  
68,415,702.61
23.42%
283,745,434.86
11.26%
                    
International Growth Equity Fund (Class IV)
212,666,436.00
40.04%
20,451,947.35
7.00%
95,524,688.96
3.79%
155,176,001.82
20.42%
142,945,553.16
13.77%
    
233,107,348.62
49.56%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
211,068,420.26
39.74%
20,557,090.40
7.04%
91,514,679.24
3.63%
153,146,124.23
20.16%
139,279,916.54
13.42%
    
224,818,540.32
47.80%
    
International Small Companies Fund
                  
45,844,625.00
3.24%
        
Real Estate Fund
                                
Short-Duration Investment Fund
  
121,074.97
0.04%
2,687,712.37
0.11%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
86,602,194.34
3.44%
    
27,583,139.11
2.66%
44,881,722.00
3.17%
        
Strategic Fixed Income Fund (Class VI)
      
273,980,756.50
10.87%
    
92,524,431.54
8.91%
279,498,787.20
19.76%
        
U.S Small/Mid Cap Growth Fund
                          
649,327.55
0.82%
U.S Small/Mid Cap Value Fund
                          
765,637.81
0.96%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
25,000,059.04
8.56%
40,009,180.42
1.59%
147,464,871.16
19.41%
55,321,122.21
5.33%
2,101.11
0.00%
    
36,145,175.90
45.44%
U.S. Growth Fund (III)
    
13,676.57
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
113,048,118.38
38.70%
665,494,877.89
26.41%
285,232,955.40
37.54%
332,006,649.04
31.98%
448,789,952.32
31.73%
    
41,991,027.10
52.78%
World Opportunity Overlay Fund
    
0.00%
19,609,498.01
0.78%
    
7,367,228.02
0.71%
17,693,646.43
1.25%
        
                                 
Total Market Value
531,099,228.85
100.00%
292,084,610.36
100.00%
2,519,522,480.81
100.00%
759,834,877.76
100.00%
1,038,132,670.80
100.00%
1,414,354,183.15
100.00%
470,333,789.33
100.00%
79,551,168.36
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
December, 2008
                                
 
International Equity Allocation Fund
Global 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)
    
11,576,332.26
3.43%
404,983,636.17
15.76%
    
113,764,280.66
10.69%
412,273,067.26
28.92%
        
Alternative Asset Opportunity Fund
                  
16,641,957.50
1.17%
        
Core Plus Bond Fund (Class (IV)
                              
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
207,453,102.71
8.07%
    
51,297,759.70
4.82%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
8,267,112.38
0.32%
    
4,610,166.45
0.43%
21,261,323.79
1.49%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
97,142,711.87
17.23%
30,481,062.43
9.02%
177,896,425.96
6.92%
        
72,113,370.04
5.06%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (Class IV)
12,454,903.01
2.21%
2,573,916.21
0.76%
70,788,582.23
2.75%
8,404,624.38
1.08%
26,264,451.16
2.47%
60,637,267.14
4.25%
13,423,644.05
2.63%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
27,648,531.31
1.08%
  
0.00%
18,644,969.10
1.75%
0.00
0.00%
        
International Bond Fund (Class III)
              
0.00
0.00%
            
International Core Equity Fund (VI)
  
75,631,044.88
22.38%
307,738,807.29
11.97%
                    
International Growth Equity Fund (Class IV)
232,144,557.95
41.17%
31,480,892.88
9.32%
103,221,879.10
4.02%
164,850,932.82
21.22%
154,822,762.55
14.55%
    
253,157,483.86
49.62%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
222,180,123.20
39.40%
26,928,271.09
7.97%
98,876,044.46
3.85%
159,068,185.03
20.47%
150,855,850.01
14.18%
    
243,651,168.59
47.75%
    
International Small Companies Fund
                  
50,500,203.82
3.54%
        
Real Estate Fund
                                
Short-Duration Investment Fund
  
118,412.93
0.04%
2,540,194.02
0.10%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
87,103,475.47
3.39%
    
27,800,929.40
2.61%
45,236,098.01
3.17%
        
Strategic Fixed Income Fund (Class VI)
      
269,156,885.28
10.47%
    
90,895,390.34
8.54%
274,577,762.23
19.26%
        
U.S Small/Mid Cap Growth Fund
                          
647,208.19
0.80%
U.S Small/Mid Cap Value Fund
                          
790,016.38
0.98%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
25,259,940.62
7.47%
40,953,064.01
1.59%
147,506,957.08
18.99%
56,751,308.13
5.34%
2,155.43
0.00%
    
36,919,337.39
45.60%
U.S. Growth Fund (III)
    
13,920.56
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
133,894,467.10
39.62%
745,078,792.25
28.99%
297,098,785.64
38.24%
361,134,917.99
33.95%
455,895,446.11
31.98%
    
42,601,639.66
52.62%
World Opportunity Overaly Fund
  
0.00
0.00%
18,375,478.84
0.71%
    
6,903,610.82
0.65%
16,580,191.16
1.16%
        
                                 
Total Market Value
563,922,296.03
100.00%
337,958,310.03
100.00%
2,570,082,011.48
100.00%
776,929,484.95
100.00%
1,063,746,396.31
100.00%
1,425,718,842.49
100.00%
510,232,296.50
100.00%
80,958,201.62
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
January, 2009
                                
 
International Equity Allocation Fund
Global 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)
    
15,175,448.33
4.11%
411,074,316.55
16.83%
    
117,432,477.03
11.64%
432,885,962.80
30.71%
        
Alternative Asset Opportunity Fund
                  
16,552,404.36
1.17%
        
Core Plus Bond Fund (Class (IV)
                              
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
205,658,082.04
8.42%
    
50,853,897.75
5.04%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
8,169,028.00
0.33%
    
4,555,469.56
0.45%
21,009,070.79
1.49%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
                              
Emerging Markets Fund (Class VI)
93,757,619.07
16.45%
32,549,028.03
8.83%
162,805,214.31
6.66%
        
66,588,953.18
4.72%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (VI)
13,790,368.41
2.42%
3,245,938.98
0.88%
62,199,877.44
2.55%
6,996,070.61
1.04%
23,517,127.32
2.33%
54,158,840.02
3.84%
12,038,374.50
2.70%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
28,020,902.10
1.15%
    
18,896,079.80
1.87%
            
International Bond Fund (Class III)
                              
International Core Equity Fund (VI)
  
78,626,517.22
21.32%
270,766,996.85
11.08%
                    
International Growth Equity Fund (Class IV)
232,912,432.21
40.88%
34,161,985.21
9.26%
92,765,502.19
3.80%
140,122,836.69
20.88%
140,948,739.11
13.98%
    
219,175,475.16
49.14%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
229,345,766.53
40.25%
28,917,881.98
7.84%
86,896,088.21
3.56%
131,456,099.90
19.59%
132,577,949.71
13.15%
    
214,837,824.57
48.16%
    
International Small Companies Fund
                  
46,258,403.43
3.28%
        
Real Estate Fund
                                
Short-Duration Investment Fund
  
119,587.00
0.03%
2,565,380.08
0.11%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
87,239,947.82
3.57%
    
27,844,487.45
2.76%
45,306,973.21
3.21%
        
Strategic Fixed Income Fund (Class VI)
      
270,559,555.79
11.08%
    
91,369,077.96
9.06%
276,008,682.82
19.58%
        
U.S Small/Mid Cap Growth Fund
                          
598,471.20
0.78%
U.S Small/Mid Cap Value Fund
                          
693,458.26
0.91%
U.S. Core Equity Fund (Class III)
                              
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
27,241,405.45
7.39%
38,195,738.51
1.56%
129,593,363.42
19.32%
52,930,303.94
5.25%
2,010.31
0.00%
    
34,673,721.65
45.45%
U.S. Growth Fund (III)
    
15,231.87
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
148,751,608.87
40.33%
697,204,379.82
28.54%
262,770,122.53
39.16%
340,570,671.17
33.77%
433,706,780.99
30.77%
    
40,323,302.32
52.86%
World Opportunity Overlay Fund
      
18,779,905.29
0.77%
    
7,055,552.59
0.70%
16,945,105.07
1.20%
        
                                 
Total Market Value
569,806,186.22
100.00%
368,804,682.01
100.00%
2,442,900,915.00
100.00%
670,938,493.15
100.00%
1,008,551,833.39
100.00%
1,409,423,186.98
100.00%
446,051,674.23
100.00%
76,288,953.43
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                              
February, 2009
                                
 
International Equity Allocation Fund
Global 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)
    
15,228,232.50
3.53%
411,903,661.96
17.84%
    
142,537,541.29
13.46%
434,803,313.84
31.82%
        
Alternative Asset Allocation Fund
                  
16,373,298.09
1.20%
        
Core Plus Bond Fund (Class IV)
                              
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
      
204,811,015.98
8.87%
    
50,663,671.20
4.79%
            
Emerging Countries Fund
        
0.00
0.00%
                    
Emerging Country Debt Fund (Class IV)
      
8,197,052.10
0.35%
    
4,571,097.24
0.43%
21,081,143.08
1.54%
        
Emerging Markets Fund (Class III)
                              
Emerging Markets Fund (Class IV)
  
39,082,702.61
9.06%
                        
Emerging Markets Fund (Class VI)
89,618,037.11
17.24%
    
149,751,683.84
6.48%
        
64,892,358.62
4.75%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund
11,496,953.94
2.21%
8,309,023.82
1.93%
51,855,694.14
2.25%
14,631,268.38
2.09%
23,107,182.53
2.18%
46,651,925.68
3.41%
10,036,326.30
2.45%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
27,675,383.15
1.20%
    
18,670,080.17
1.76%
            
International Bond Fund (Class III)
                              
International Core Equity Fund (VI)
  
90,834,974.26
21.06%
242,284,953.99
10.49%
                    
International Growth Equity Fund (Class IV)
214,063,176.09
41.18%
37,592,209.76
8.71%
85,167,565.82
3.69%
146,275,268.81
20.94%
150,367,034.33
14.20%
    
204,565,281.19
49.98%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
204,645,761.61
39.37%
32,338,156.26
7.50%
77,290,040.34
3.35%
140,086,040.39
20.05%
142,927,020.07
13.50%
    
194,708,590.09
47.57%
    
International Small Companies Fund
                  
42,720,669.69
3.13%
        
Real Estate Fund
                                
Short-Duration Investment Fund
  
119,922.45
0.03%
2,571,599.60
0.11%
                    
SPV
    
49.07
0.00%
                        
Special Situations Fund
        
86,658,653.41
3.75%
    
27,779,150.37
2.62%
45,145,613.30
3.30%
        
Strategic Fixed Income Fund (Class VI)
      
270,301,533.42
11.70%
    
91,316,446.00
8.62%
275,849,691.64
20.19%
        
U.S. Core Equity Fund (Class III)
              
49,793,872.08
4.70%
            
U.S. Core Equity Fund (Class V)
                              
U.S. Core Equity Fund (Class VI)
  
28,906,379.35
6.70%
34,489,169.80
1.49%
122,343,702.41
17.51%
    
1,815.22
0.00%
    
31,320,001.85
45.12%
U.S. Growth Fund
    
13,952.55
0.00%
                        
U.S. Quality Equity Fund (Class VI)
  
178,925,758.69
41.48%
637,315,619.62
27.60%
275,208,642.82
39.40%
349,870,291.81
33.05%
401,725,164.33
29.40%
    
36,936,978.48
53.21%
U.S. Small/Mid Cap Growth Fund
                          
542,364.53
0.78%
U.S. Small/Mid Cap Value Fund
                          
619,507.98
0.89%
World Opportunity Overlay Fund
      
19,021,564.13
0.82%
    
7,149,055.22
0.68%
17,169,667.48
1.26%
        
                                 
Total Market Value
519,823,928.75
100.00%
431,351,361.32
100.00%
2,309,295,191.30
100.00%
698,544,922.81
100.00%
1,058,752,442.31
100.00%
1,366,414,660.97
100.00%
409,310,197.58
100.00%
69,418,852.84
100.00%