EX-99 12 att77p.htm Unassociated Document
 
 
 

GMO Trust
                                
FYE 2/28/10
                                
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                              
                                 
GMO Fund of Fund Allocation %
                                
March, 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)
    
8,155,606.35
2.36%
231,435,841.69
9.47%
    
53,218,139.83
4.69%
298,537,071.09
20.62%
        
Alternative Asset Opportunity Fund
                    
16,619,569.21
1.15%
        
Asset Allocation Bond Fund (VI)
        
21,508,821.81
0.88%
    
13,235,153.97
1.17%
17,062,335.64
1.18%
        
Core Plus Bond Fund (Class IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
209,160,511.13
8.56%
    
51,931,848.20
4.58%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
8,575,377.59
0.35%
    
4,782,070.96
0.42%
22,054,118.91
1.52%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
105,267,785.56
18.32%
34,438,020.56
9.98%
187,271,074.16
7.66%
        
101,017,967.18
6.98%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
13,099,929.91
2.28%
6,631,644.28
1.92%
54,469,788.87
2.23%
15,202,412.38
2.04%
35,941,699.09
3.17%
48,418,602.87
3.34%
10,016,066.31
2.29%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
29,111,822.23
1.19%
    
19,712,189.56
1.74%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
66,750,776.75
19.35%
256,001,368.95
10.47%
                    
International Growth Equity Fund (Class IV)
229,344,265.36
39.92%
32,443,613.33
9.40%
129,373,517.65
5.29%
154,171,481.12
20.65%
176,707,201.22
15.57%
    
214,658,984.44
49.05%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
226,838,448.57
39.48%
31,599,135.11
9.16%
123,720,643.65
5.06%
149,694,813.25
20.06%
171,764,508.52
15.14%
    
212,918,825.61
48.66%
    
International Small Companies Fund
                    
71,587,842.83
4.94%
        
Quality Fund (Class VI)
    
141,677,601.54
41.06%
775,006,517.94
31.70%
295,383,459.63
39.57%
424,845,253.70
37.44%
526,766,561.81
36.39%
    
39,489,745.68
53.05%
Real Estate Fund
                                
Short-Duration Investment Fund
    
119,754.72
0.03%
2,558,399.28
0.10%
                    
Special Situations Fund
        
84,417,654.44
3.45%
    
28,098,530.15
2.48%
45,667,055.17
3.15%
        
SPV
    
49.07
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
275,969,760.60
11.29%
    
93,579,620.17
8.25%
282,686,312.24
19.53%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
23,197,536.87
6.72%
37,035,928.67
1.51%
131,963,165.56
17.68%
53,585,787.21
4.72%
  
0.00%
    
33,700,814.57
45.28%
U.S. Growth Fund
    
10,929.33
0.00%
        
7,203,598.42
0.63%
            
U.S. Small/Mid Cap Growth Fund
                            
582,646.24
0.78%
U.S. Small/Mid Cap Value Fund
                            
659,971.34
0.89%
World Opportunity Overlay Fund
        
19,094,952.77
0.78%
        
17,300,662.22
          
                                 
Total Market Value
574,550,429.40
100.00%
345,024,667.91
100.00%
2,444,711,981.43
100.00%
746,415,331.94
100.00%
1,134,605,601.00
100.00%
1,447,718,099.17
98.80%
437,593,876.36
100.00%
74,433,177.83
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
April, 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)
    
                        9,111,925.82
2.32%
                                 214,182,913.32
8.58%
    
                                     54,659,102.70
4.62%
                         283,128,397.48
19.17%
        
Alternative Asset Opportunity Fund
                    
                           16,799,616.07
1.14%
        
Asset Allocation Bond Fund (VI)
        
                                   79,829,959.78
3.20%
    
                                     31,950,190.46
2.70%
                           47,119,918.59
3.19%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
                                 179,535,823.35
7.19%
    
                                     44,576,421.59
3.77%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
                                     9,009,751.29
0.36%
    
                                       5,024,300.05
0.42%
                           23,171,239.31
1.57%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              125,443,395.31
19.69%
                      44,093,672.98
11.22%
                                 217,083,466.72
8.70%
        
                         118,036,300.89
7.99%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                14,715,894.37
2.31%
                        8,753,782.71
2.23%
                                   58,762,121.47
2.35%
                                          15,935,402.83
2.04%
                                     37,674,642.63
3.19%
                           50,809,188.74
3.44%
                                         10,498,994.99
2.23%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
                                   29,056,194.54
1.16%
    
                                     19,674,522.95
1.66%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
                      81,501,827.05
20.74%
                                 275,130,087.82
11.02%
                    
International Growth Equity Fund (Class IV)
                              245,030,977.26
38.45%
                      34,739,876.97
8.84%
                                 133,040,302.26
5.33%
                                        161,280,837.96
20.65%
                                   185,771,103.78
15.71%
    
                                       228,472,475.69
48.58%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              252,014,656.51
39.55%
                      35,733,261.67
9.09%
                                 134,657,331.94
5.39%
                                        164,865,227.21
21.11%
                                   190,541,031.38
16.11%
    
                                       231,344,350.02
49.19%
    
International Small Companies Fund
                    
                           84,098,250.67
5.70%
        
Quality Fund (Class VI)
    
                    153,944,057.78
39.18%
                                 778,600,343.89
31.19%
                                        300,145,054.45
38.43%
                                   437,838,731.48
37.03%
                         540,610,764.12
36.61%
    
                    49,772,956.39
49.76%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           121,863.66
0.03%
                                     2,597,814.40
0.10%
                    
Special Situations Fund
        
                                   82,750,598.63
3.32%
    
                                     28,022,293.83
2.37%
                           45,543,152.31
3.08%
        
SPV
    
                                    49.07
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
                                 245,703,110.82
9.84%
    
                                     83,316,388.49
7.05%
                         250,688,100.47
16.98%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      24,925,226.71
6.34%
                                   37,649,749.39
1.51%
                                        138,865,238.36
17.78%
                                     56,388,486.00
4.77%
        
                    48,452,177.41
48.44%
U.S. Growth Fund (III)
    
                             11,811.55
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
                         860,909.79
0.86%
U.S. Small/Mid Cap Value Fund
                            
                         934,130.86
0.93%
World Opportunity Overlay Fund
        
                                   18,454,667.71
0.74%
    
                                       6,962,049.96
0.59%
                           16,654,913.79
1.13%
        
                                 
Total Market Value
637,204,923.45
100.00%
392,937,355.97
100.00%
2,496,044,237.33
100.00%
781,091,760.81
100.00%
1,182,399,265.30
100.00%
1,476,659,842.44
100.00%
470,315,820.70
100.00%
100,020,174.45
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
May, 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)
    
9,121,130.72
2.04%
                                 212,714,184.90
8.00%
    
                                     54,094,746.44
4.30%
                         279,773,800.09
18.11%
        
Alternative Asset Opportunity Fund
                    
                           17,929,501.76
1.16%
        
Asset Allocation Bond Fund (VI)
        
                                 101,624,366.84
3.82%
    
                                     38,339,813.71
3.04%
                           56,488,316.65
3.66%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
                                 167,277,331.86
6.29%
    
                                     41,532,796.79
3.30%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
                                     9,640,293.76
0.36%
    
                                       5,375,922.91
0.43%
                           24,792,865.70
1.60%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
    
                      52,776,363.14
11.79%
                                 251,275,767.57
9.45%
        
                         136,741,237.46
8.85%
                                       147,535,218.02
20.26%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                11,961,023.36
2.23%
                      10,472,304.86
2.34%
                                   66,197,170.67
2.49%
                                          19,112,566.91
2.23%
                                     42,198,300.43
3.35%
                           56,909,933.63
3.68%
                                         16,741,977.66
2.30%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
                                   30,261,461.07
1.14%
    
                                     20,490,632.71
1.63%
            
International Bond Fund (Class III)
          
0.00%
                    
International Core Equity Fund (VI)
    
                      93,069,947.52
20.80%
                                 312,298,811.86
11.74%
                    
International Growth Equity Fund (Class IV)
                              263,187,910.46
49.00%
                      41,716,204.41
9.32%
                                 148,068,011.51
5.57%
                                        183,776,457.57
21.48%
                                   208,209,819.47
16.54%
    
                                       280,220,186.86
38.48%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              261,940,129.97
48.77%
                      43,872,633.75
9.80%
                                 150,759,538.43
5.67%
                                        187,536,717.52
21.92%
                                   213,649,585.49
16.97%
    
                                       283,793,343.70
38.97%
    
International Small Companies Fund
                    
                           96,686,380.64
6.26%
        
Quality Fund (Class VI)
    
                    169,043,372.45
37.77%
                                 822,882,514.70
30.94%
                                        319,549,161.09
37.34%
                                   459,551,401.95
36.50%
                         567,195,182.60
36.72%
    
                    52,218,169.51
49.83%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           125,057.32
0.03%
                                     2,665,895.05
0.10%
                    
Special Situations Fund
        
                                   86,149,170.74
3.24%
    
                                     28,338,130.02
2.25%
                           46,056,464.17
2.98%
        
SPV
    
                                    49.07
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
                                 240,115,421.63
9.03%
    
                                     81,421,638.02
6.47%
                         244,987,044.49
15.86%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      27,300,123.32
6.10%
                                   38,303,609.68
1.44%
                                        145,705,725.11
17.03%
                                     58,754,436.46
4.67%
        
                    50,760,909.92
48.44%
U.S. Growth Fund (III)
    
                             12,122.64
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
                         874,436.99
0.83%
U.S. Small/Mid Cap Value Fund
                            
                         928,657.44
0.89%
World Opportunity Overlay Fund
        
                                   19,084,625.59
0.72%
    
                                       7,199,702.48
0.57%
                           17,223,436.30
1.11%
        
                                 
Total Market Value
537,089,063.79
100.00%
447,509,309.20
100.00%
2,659,318,175.86
100.00%
855,680,628.20
100.00%
1,259,156,926.88
100.00%
1,544,784,163.49
100.00%
728,290,726.24
100.00%
104,782,173.86
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
June, 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)
    
9,392,002.10
1.98%
229,426,799.21
8.39%
    
                                     55,399,001.24
4.31%
264,743,008.56
17.36%
        
Alternative Asset Opportunity Fund
                    
18,137,638.59
1.19%
        
Asset Allocation Bond Fund (VI)
        
118,127,486.00
4.32%
    
                                     39,995,471.72
3.11%
52,605,447.45
3.45%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
171,984,352.14
6.29%
    
                                     42,547,338.39
3.31%
            
Emerging Countries Fund
      
0.00%
                        
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
9,946,068.35
0.36%
    
                                       5,524,385.90
0.43%
25,477,552.40
1.67%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              148,529,349.43
20.03%
                      54,035,184.03
11.41%
247,958,673.65
9.07%
        
128,779,614.66
8.44%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                17,754,898.34
2.39%
                      11,794,057.02
2.49%
68,371,708.44
2.50%
                                          20,243,237.30
2.29%
                                     43,657,696.09
3.39%
56,462,054.41
3.70%
12,299,121.62
2.33%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
30,642,513.73
1.12%
    
                                     20,666,410.20
1.61%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
                      90,638,977.15
19.14%
310,118,284.29
11.35%
                    
International Growth Equity Fund (Class IV)
                              287,902,089.37
38.82%
                      49,254,341.79
10.40%
150,295,357.90
5.50%
                                        188,767,657.57
21.37%
                                   209,551,598.92
16.29%
    
260,801,003.61
49.34%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              287,488,604.92
38.76%
                      49,520,849.22
10.46%
151,484,080.21
5.54%
                                        190,078,391.62
21.52%
                                   212,853,504.00
16.55%
    
255,452,719.92
48.33%
    
International Small Companies Fund
                    
96,623,608.95
6.33%
        
Quality Fund (Class VI)
    
                    179,660,166.13
37.95%
848,675,806.11
31.05%
                                        333,920,542.65
37.81%
                                   476,307,146.78
37.02%
566,763,823.15
37.16%
    
53,215,559.06
49.90%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           127,074.38
0.03%
2,719,644.47
0.10%
                    
Special Situiations Fund
        
87,295,145.36
3.19%
    
                                     28,913,510.38
2.25%
46,655,949.32
3.06%
        
SPV
    
                                    47.32
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
247,776,167.98
9.07%
    
                                     83,684,812.19
6.51%
251,796,639.13
16.51%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      29,005,357.31
6.13%
38,999,036.59
1.43%
                                        150,253,096.41
17.01%
                                     60,106,877.03
4.67%
        
51,612,603.04
48.39%
U.S. Growth Fund (III)
    
                             12,413.67
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
886,031.74
0.83%
U.S. Small/Mid Cap Value Fund
                            
937,779.81
0.88%
World Opportunity Overlay Fund
        
19,218,878.91
0.70%
    
                                       7,250,349.74
0.56%
17,344,596.84
1.14%
        
                                 
Total Market Value
741,674,942.06
100.00%
473,440,470.12
100.00%
2,733,040,003.34
100.00%
883,262,925.55
100.00%
1,286,458,102.58
100.00%
1,525,389,933.46
100.00%
528,552,845.15
100.00%
106,651,973.65
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
July, 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/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)
    
10,000,233.54
1.73%
247,027,429.39
8.40%
    
61,395,174.12
4.43%
277,319,926.57
17.38%
        
Alternative Asset Opportunity Fund
                    
18,613,379.93
1.17%
        
Asset Allocation Bond Fund (VI)
        
143,391,390.28
4.88%
    
40,232,786.62
2.90%
57,266,566.57
3.59%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
163,013,484.29
5.54%
    
40,328,028.64
2.91%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
10,489,519.21
0.36%
    
5,826,237.06
0.42%
26,869,639.95
1.68%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              173,641,102.28
21.40%
72,364,885.59
12.55%
279,199,485.78
9.49%
        
144,448,565.73
9.05%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                17,720,736.60
2.18%
13,286,689.59
2.30%
68,871,767.94
2.34%
20,505,159.49
2.16%
44,819,835.03
3.24%
56,671,610.08
3.55%
12,545,404.27
2.21%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
30,884,526.29
1.05%
    
20,829,632.15
1.50%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
105,052,287.43
18.22%
339,892,534.74
11.56%
                    
International Growth Equity Fund (Class IV)
                              304,908,673.86
37.57%
60,408,804.54
10.48%
155,173,913.38
5.28%
203,284,674.23
21.41%
228,336,975.14
16.49%
    
273,779,618.03
48.23%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              307,040,773.20
37.83%
61,062,390.92
10.59%
156,763,319.39
5.33%
205,106,108.55
21.60%
232,344,025.09
16.78%
    
275,464,339.93
48.53%
    
International Small Companies Fund
                                  8,246,510.53
1.02%
5,902,255.10
1.02%
31,415,450.68
1.07%
9,825,547.88
1.03%
14,769,605.99
1.07%
104,693,992.76
6.56%
5,813,513.35
1.02%
    
Quality Fund (Class VI)
    
216,275,700.71
37.51%
917,208,829.31
31.18%
351,926,142.56
37.07%
513,190,387.42
37.05%
597,523,504.12
37.44%
    
56,785,565.53
49.77%
Real Estate Fund
                                
Short-Duration Investment Fund
    
129,253.15
0.02%
2,752,021.19
0.09%
                    
Special Situations Fund
        
90,756,861.49
3.09%
    
29,629,463.97
2.14%
47,815,060.21
3.00%
        
SPV
    
47.32
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
243,256,980.01
8.27%
    
82,158,485.42
5.93%
247,204,121.81
15.49%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
32,157,840.30
5.58%
41,615,841.45
1.41%
158,746,259.13
16.72%
63,725,107.10
4.60%
        
55,352,144.73
48.52%
U.S. Growth Fund (III)
    
13,639.19
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
936,275.63
0.82%
U.S. Small/Mid Cap Value Fund
                            
1,014,561.84
0.89%
World Opportunity Overlay Fund
        
19,549,348.62
0.66%
    
7,375,019.91
0.53%
17,642,838.16
1.11%
        
                                 
Total Market Value
811,557,796.47
100.00%
576,654,027.38
100.00%
2,941,262,703.44
100.00%
949,393,891.84
100.00%
1,384,960,763.66
100.00%
1,596,069,205.89
100.00%
567,602,875.58
100.00%
114,088,547.73
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
August, 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)
    
9,832,466.98
1.66%
304,532,467.26
9.97%
    
68,456,010.62
4.77%
313,878,229.14
19.40%
        
Alternative Asset Opportunity Fund
                    
19,081,687.82
1.18%
        
Asset Allocation Bond Fund (VI)
        
155,736,880.55
5.10%
    
40,830,489.97
2.85%
57,450,992.65
3.55%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
166,858,141.94
5.46%
    
41,279,161.39
2.88%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
11,019,003.81
0.36%
    
6,120,330.89
0.43%
28,225,951.92
1.74%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
171,983,755.33
20.53%
70,332,106.37
11.89%
235,522,234.75
7.71%
        
88,854,748.89
5.49%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
18,719,720.88
2.23%
14,042,271.89
2.37%
73,306,096.56
2.40%
21,288,326.94
2.23%
47,321,407.21
3.30%
59,834,676.69
3.70%
13,155,761.92
2.22%
    
Inflation Indexed Plus Bond Fund (Class VI)
              
21,143,520.52
1.47%
            
International Bond Fund (Class III)
        
31,349,935.07
1.03%
                    
International Core Equity Fund (VI)
    
110,290,556.14
18.64%
359,383,857.60
11.77%
                    
International Growth Equity Fund (Class IV)
313,155,084.87
37.38%
60,751,411.76
10.27%
151,219,202.57
4.95%
200,485,859.67
20.96%
230,067,534.16
16.05%
    
280,751,991.82
47.31%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
318,251,328.25
37.99%
63,136,705.11
10.67%
154,688,460.25
5.07%
207,875,287.87
21.73%
238,641,275.64
16.64%
    
288,463,967.44
48.61%
    
International Small Companies Fund
15,629,244.42
1.87%
11,070,080.96
1.87%
59,555,711.36
1.95%
18,217,962.07
1.90%
27,616,406.73
1.93%
123,844,712.13
7.66%
11,000,043.93
1.85%
    
Quality Fund (Class VI)
    
219,272,076.21
37.06%
941,524,919.57
30.83%
349,808,110.69
36.57%
525,358,438.88
36.64%
605,924,587.24
37.46%
    
56,931,619.35
49.35%
Real Estate Fund
                                
Short-Duration Investment Fund
    
131,280.65
0.02%
2,795,190.15
0.09%
                    
Special Situations Fund
        
92,865,122.58
3.04%
    
29,848,091.12
2.08%
48,072,688.97
2.97%
        
SPV
    
38.56
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
250,425,347.13
8.20%
    
84,579,555.46
5.90%
254,488,804.45
15.73%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
32,797,878.73
5.54%
42,786,096.61
1.40%
158,804,799.30
16.60%
64,987,648.32
4.53%
        
56,448,798.27
48.93%
U.S. Growth Fund (III)
    
13,819.07
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
945,937.92
0.82%
U.S. Small/Mid Cap Value Fund
                            
1,043,863.27
0.90%
World Opportunity Overlay Fund
        
19,993,417.29
0.65%
    
7,542,545.45
0.53%
18,043,599.94
1.12%
        
                                 
Total Market Value
837,739,133.75
100.00%
591,670,692.43
100.00%
3,053,562,085.05
100.00%
956,480,346.54
100.00%
1,433,792,416.36
100.00%
1,617,700,679.84
100.00%
593,371,765.11
100.00%
115,370,218.81
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
September, 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/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)
    
9,925,884.00
1.60%
350,799,424.67
11.21%
    
67,581,038.44
7.26%
309,880,724.70
18.96%
        
Alternative Asset Opportunity Fund
                    
19,445,927.28
1.19%
        
Asset Allocation Bond Fund (VI)
        
159,521,977.35
5.10%
    
41,760,894.86
4.49%
58,061,379.71
3.55%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
166,601,831.43
5.32%
    
41,215,752.54
4.43%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
11,977,800.25
0.38%
    
6,652,879.16
0.72%
30,681,976.31
1.88%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
200,482,739.27
21.51%
78,085,115.07
12.55%
251,230,401.09
8.03%
        
97,559,019.42
5.97%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
19,030,417.06
2.04%
13,408,818.40
2.16%
60,682,841.89
1.94%
20,433,876.22
2.10%
45,422,065.37
4.88%
55,489,069.34
3.39%
11,619,167.01
2.07%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
32,020,123.70
1.02%
    
21,595,519.77
2.32%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
116,325,420.43
18.70%
370,524,061.35
11.84%
                    
International Growth Equity Fund (Class IV)
348,235,101.06
37.35%
64,699,878.24
10.40%
150,488,466.70
4.81%
208,790,703.36
21.48%
240,279,409.04
25.83%
    
270,289,215.48
48.17%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
347,244,680.91
37.25%
64,734,178.13
10.40%
151,132,180.47
4.83%
208,394,256.82
21.44%
244,906,044.17
26.32%
    
268,702,537.29
47.89%
    
International Small Companies Fund
17,245,270.12
1.85%
11,560,095.42
1.86%
62,167,384.35
1.99%
18,985,870.35
1.95%
28,780,470.39
3.09%
121,733,930.81
7.45%
10,459,121.22
1.86%
    
Quality Fund (Class VI)
    
229,967,491.80
36.96%
968,292,318.80
30.94%
354,909,212.08
36.51%
7,597,088.66
0.82%
619,464,343.46
37.90%
    
58,193,889.48
49.28%
Real Estate Fund
                                
Short-Duration Investment Fund
    
132,970.24
0.02%
2,831,164.28
0.09%
                    
Special Situations Fund
        
93,578,975.58
2.99%
    
33,083,725.57
3.56%
48,375,593.23
2.96%
        
SPV
    
36.81
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
251,516,185.61
8.04%
    
84,947,979.16
9.13%
255,597,343.12
15.64%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
33,309,830.61
5.35%
25,576,170.31
0.82%
160,620,959.85
16.52%
66,515,987.70
7.15%
        
57,776,326.25
48.93%
U.S. Growth Fund (III)
    
14,723.59
0.00%
20,137,997.78
0.64%
                    
U.S. Small/Mid Cap Growth Fund
                            
1,013,573.93
0.86%
U.S. Small/Mid Cap Value Fund
                            
1,104,297.46
0.94%
World Opportunity Overlay Fund
                    
18,174,080.52
1.11%
        
                                 
Total Market Value
932,238,208.42
100.00%
622,164,442.74
100.00%
3,129,079,305.61
100.00%
972,134,878.68
100.00%
930,338,854.83
100.00%
1,634,463,387.90
100.00%
561,070,041.00
100.00%
118,088,087.12
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
October, 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)
    
10,966,178.75
1.59%
358,988,298.21
11.79%
    
87,783,006.10
5.57%
321,578,898.69
19.83%
        
Alternative Asset Opportunity Fund
                    
19,832,467.12
1.22%
        
Asset Allocation Bond Fund (VI)
        
148,804,320.62
4.89%
    
45,501,977.05
2.89%
49,496,608.56
3.05%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
160,450,379.19
5.27%
    
39,693,940.14
2.52%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
12,235,387.35
0.40%
    
6,795,951.83
0.43%
31,341,803.76
1.93%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
219,801,694.21
21.40%
84,409,702.18
12.26%
241,990,135.72
7.94%
        
92,848,628.34
5.73%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
20,646,515.75
2.01%
13,966,650.28
2.03%
57,002,421.10
1.87%
19,754,760.63
2.05%
47,045,904.73
2.99%
51,259,696.34
3.16%
11,239,959.11
2.02%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
32,088,140.99
1.05%
    
23,859,855.62
1.51%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
133,122,632.35
19.34%
349,283,835.34
11.47%
                    
International Growth Equity Fund (Class IV)
388,163,562.11
37.79%
68,608,142.57
9.97%
144,952,093.50
4.76%
206,255,398.37
21.41%
258,595,990.74
16.42%
    
270,726,144.74
48.71%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
379,997,629.30
36.99%
67,197,548.99
9.76%
142,009,754.43
4.66%
200,896,284.67
20.85%
254,337,915.85
16.15%
    
263,664,042.08
47.44%
    
International Small Companies Fund
18,649,995.40
1.82%
12,554,937.26
1.82%
58,340,186.32
1.92%
18,339,114.07
1.90%
29,784,937.94
1.89%
115,235,809.19
7.11%
10,202,205.52
1.84%
    
Quality Fund (Class VI)
    
261,273,545.50
37.95%
951,949,188.65
31.25%
357,860,377.51
37.14%
583,215,868.07
37.02%
620,590,572.17
38.27%
    
59,132,853.07
49.74%
Real Estate Fund
                                
Short-Duration Investment Fund
    
133,966.63
0.02%
2,834,761.70
0.09%
                    
Special Situations Fund
        
90,886,644.10
2.98%
    
35,649,863.73
2.26%
48,393,411.13
2.98%
        
SPV
    
35.05
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
247,932,002.04
8.14%
    
83,737,444.14
5.32%
251,955,001.80
15.54%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
36,150,088.05
5.25%
24,814,695.91
0.81%
160,438,820.49
16.65%
71,231,736.85
4.52%
        
57,746,369.22
48.58%
U.S. Growth Fund (III)
    
15,786.82
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
953,978.12
0.80%
U.S. Small/Mid Cap Value Fund
                            
1,047,211.51
0.88%
World Opportunity Overlay Fund
        
21,304,968.94
0.70%
    
8,037,330.20
0.51%
19,227,245.18
1.19%
        
                                 
Total Market Value
1,027,259,396.77
100.00%
688,399,214.43
100.00%
3,045,867,214.11
100.00%
963,544,755.74
100.00%
1,575,271,722.99
100.00%
1,621,760,142.28
100.00%
555,832,351.45
100.00%
118,880,411.92
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
November, 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)
    
10,996,947.95
1.53%
387,121,052.33
12.76%
    
83,424,843.07
5.30%
351,863,042.40
19.95%
        
Alternative Asset Opportunity Fund
                    
20,308,208.46
1.15%
        
Asset Allocation Bond Fund (VI)
        
122,949,625.99
4.05%
    
43,084,121.59
2.74%
55,833,977.29
3.17%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
161,731,931.74
5.33%
    
40,010,984.39
2.54%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
12,335,560.11
0.41%
    
6,851,591.20
0.44%
33,103,122.62
1.88%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
230,045,066.38
21.38%
87,827,977.44
12.22%
242,972,199.00
8.01%
        
102,567,343.14
5.82%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
20,363,537.67
1.89%
13,813,485.68
1.92%
47,777,070.76
1.57%
19,256,928.64
1.93%
44,428,512.25
2.82%
50,557,138.56
2.87%
10,693,251.12
1.90%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
33,118,577.07
1.09%
    
24,626,059.43
1.57%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
136,659,664.73
19.02%
343,396,169.38
11.32%
                    
International Growth Equity Fund (Class IV)
405,753,615.68
37.70%
71,492,589.48
9.95%
145,906,353.83
4.81%
209,688,168.02
21.05%
257,059,538.75
16.34%
    
274,204,484.47
48.77%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
400,207,510.16
37.19%
68,703,908.07
9.56%
140,144,191.80
4.62%
204,829,643.16
20.56%
250,186,426.54
15.90%
    
267,130,558.25
47.51%
    
International Small Companies Fund
19,787,193.72
1.84%
12,571,857.14
1.75%
56,374,410.93
1.86%
18,097,260.22
1.82%
29,741,958.23
1.89%
121,032,706.43
6.86%
10,187,483.72
1.81%
    
Quality Fund (Class VI)
    
277,999,784.22
38.69%
975,615,628.60
32.15%
375,503,555.85
37.70%
595,189,621.91
37.83%
697,891,420.30
39.57%
    
62,785,847.86
49.71%
Real Estate Fund
                                
Short-Duration Investment Fund
    
134,646.67
0.02%
2,849,151.35
0.09%
                    
Special SIT Fund-Class VI
        
88,419,587.19
2.91%
    
33,786,148.15
2.15%
53,107,633.35
3.01%
        
Special Situations Fund
                      
0.00%
        
SPV
    
35.05
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
252,451,190.01
8.32%
    
83,227,315.85
5.29%
258,074,860.41
14.63%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
38,339,757.26
5.34%
    
168,728,277.81
16.94%
73,680,362.51
4.68%
        
61,456,979.29
48.66%
U.S. Growth Fund (III)
    
16,730.51
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
976,208.61
0.77%
U.S. Small/Mid Cap Value Fund
                            
1,087,630.20
0.86%
World Opportunity Overlay Fund
        
21,573,475.57
0.71%
    
8,138,624.72
0.52%
19,469,566.25
1.10%
        
                                 
Total Market Value
1,076,156,923.61
100.00%
718,557,384.20
100.00%
3,034,736,175.66
100.00%
996,103,833.70
100.00%
1,573,436,108.59
100.00%
1,763,809,019.21
100.00%
562,215,777.56
100.00%
126,306,665.96
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
December, 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)
    
10,872,632.94
1.48%
404,257,629.07
12.97%
    
84,843,476.79
5.30%
345,695,428.70
19.48%
        
Alternative Asset Opportunity Fund
                    
20,546,079.13
1.16%
        
Asset Allocation Bond Fund (VI)
        
121,398,539.12
3.90%
    
43,176,363.52
2.70%
56,070,461.98
3.16%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
163,269,794.80
5.24%
    
40,391,437.49
2.52%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
12,713,624.98
0.41%
    
6,929,831.92
0.43%
33,481,138.81
1.89%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
239,225,582.64
22.28%
92,524,814.55
12.61%
260,231,866.17
8.35%
        
107,912,839.57
6.08%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (Class IV)
            
18,645,840.93
1.93%
                
Flexible Equities Fund-Class (VI)
20,288,829.51
1.89%
13,957,822.43
1.90%
48,329,878.37
1.55%
    
44,953,215.72
2.81%
51,054,112.90
2.88%
10,753,804.07
1.74%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
33,141,777.08
1.06%
    
24,182,467.75
1.51%
            
International Bond Fund (Class III)
                  
0.00%
            
International Core Equity Fund (VI)
    
140,239,123.79
19.11%
343,379,282.60
11.02%
                    
International Growth Equity Fund (Class IV)
397,325,468.91
37.00%
71,369,065.43
9.72%
146,763,045.51
4.71%
200,311,523.76
20.74%
259,120,676.32
16.17%
    
298,045,729.82
48.17%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
396,846,521.89
36.95%
69,420,482.83
9.46%
147,881,394.43
4.75%
199,763,452.97
20.69%
256,019,351.54
15.98%
    
297,887,264.49
48.14%
    
International Small Companies Fund
20,214,065.08
1.88%
12,726,146.26
1.73%
58,192,604.70
1.87%
18,481,454.56
1.91%
31,668,319.07
1.98%
122,835,576.26
6.92%
12,112,321.31
1.96%
    
Quality Fund (Class VI)
    
284,016,010.75
38.70%
1,002,490,726.95
32.17%
364,761,946.27
37.77%
609,555,109.21
38.05%
706,328,652.86
39.80%
    
65,334,918.42
49.67%
Real Estate Fund
                                
Short-Duration Investment Fund
    
135,142.95
0.02%
2,863,541.00
0.09%
                    
Special SIT Fund-Class VI
        
93,303,932.78
2.99%
    
34,306,008.07
2.14%
53,977,379.31
3.04%
        
Special Situations Fund
                                
SPV
    
33.30
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
256,441,758.70
8.23%
    
82,970,441.42
5.18%
257,278,333.06
14.50%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
38,689,478.07
5.27%
    
163,692,520.63
16.95%
75,822,330.32
4.73%
        
63,984,731.06
48.64%
U.S. Growth Fund (III)
    
17,179.36
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,060,409.45
0.81%
U.S. Small/Mid Cap Value Fund
                            
1,160,212.50
0.88%
World Opportunity Overaly Fund
        
21,377,259.18
0.69%
    
8,149,507.88
0.51%
19,292,485.47
1.09%
        
                                 
Total Market Value
1,073,900,468.03
100.00%
733,967,932.66
100.00%
3,116,036,655.44
100.00%
965,656,739.12
100.00%
1,602,088,537.02
100.00%
1,774,472,488.05
100.00%
618,799,119.69
100.00%
131,540,271.43
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
January, 2010
                                
 
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)
    
10,872,632.94
1.52%
423,340,635.02
14.03%
    
90,557,366.58
5.84%
345,429,702.03
20.51%
        
Alternative Asset Opportunity Fund
                    
19,664,580.27
1.17%
        
Asset Allocation Bond Fund (VI)
        
118,789,877.81
3.94%
    
42,980,000.34
2.77%
54,392,758.79
3.23%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
156,093,100.52
5.17%
    
38,472,583.09
2.48%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                                
Emerging Country Debt Fund (Class IV)
        
13,053,478.87
0.43%
    
6,857,103.79
0.44%
33,344,247.95
1.98%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
227,039,679.38
22.16%
88,228,092.64
12.32%
245,409,734.03
8.13%
        
98,306,641.91
5.84%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
20,343,842.60
1.99%
13,995,669.02
1.96%
48,125,101.90
1.60%
18,599,592.78
2.01%
44,924,699.50
2.90%
50,691,190.22
3.01%
11,482,495.68
1.75%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
34,044,471.40
1.13%
    
24,687,048.58
1.59%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
139,146,057.27
19.44%
323,483,255.53
10.72%
                    
International Growth Equity Fund (Class IV)
382,172,337.19
37.30%
68,281,521.89
9.54%
137,188,139.12
4.55%
191,935,385.94
20.76%
246,204,898.34
15.89%
    
315,260,568.53
48.15%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
375,301,655.16
36.63%
66,352,360.47
9.27%
135,558,219.84
4.49%
189,312,778.26
20.47%
243,941,373.17
15.74%
    
314,553,264.35
48.04%
    
International Small Companies Fund
19,834,321.09
1.94%
12,487,071.26
1.74%
57,340,758.74
1.90%
18,041,487.43
1.95%
31,073,394.00
2.01%
118,025,825.67
7.01%
13,442,676.21
2.05%
    
Quality Fund (Class VI)
    
279,702,022.83
39.07%
955,367,509.79
31.66%
351,160,003.67
37.98%
585,089,439.76
37.76%
654,628,028.85
38.87%
    
63,081,990.20
49.95%
Real Estate Fund
                                
Short-Duration Investment Fund
    
136,501.17
0.02%
2,892,320.31
0.10%
                    
Special SIT Fund-Class VI
        
94,820,386.27
3.14%
    
34,403,913.79
2.22%
51,833,203.93
3.08%
        
Special Situations Fund
                                
SPV
    
31.55
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
249,931,472.57
8.28%
    
79,889,458.07
5.16%
238,152,453.19
14.14%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
36,656,661.65
5.12%
    
155,653,515.67
16.83%
71,968,460.33
4.65%
        
61,074,018.87
48.36%
U.S. Growth Fund (III)
    
16,496.81
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,009,130.53
0.80%
U.S. Small/Mid Cap Value Fund
                            
1,127,063.58
0.89%
World Opportunity Overlay Fund
        
21,759,364.78
0.72%
    
8,295,175.42
0.54%
19,637,327.00
1.17%
        
                                 
Total Market Value
1,024,691,835.42
100.00%
715,875,119.50
100.00%
3,017,197,826.50
100.00%
924,702,763.75
100.00%
1,549,344,914.76
100.00%
1,684,105,959.81
100.00%
654,739,004.77
100.00%
126,292,203.18
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
February, 2010
                                
 
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)
    
10,242,390.06
1.45%
414,351,556.22
13.78%
    
91,357,484.99
5.75%
340,607,782.10
20.37%
        
Alternative Asset Allocation Fund
                    
19,956,023.05
1.19%
        
Asset Allocation Bond Fund (VI)
        
126,270,397.63
4.20%
    
48,536,277.82
3.05%
53,634,909.54
3.21%
        
Core Plus Bond Fund (Class IV)
                                
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                              
Domestic Bond Fund (Class VI)
        
153,529,995.42
5.11%
    
37,840,849.38
2.38%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class IV)
        
13,068,926.78
0.43%
    
6,865,218.71
0.43%
33,306,521.61
1.99%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
226,258,803.44
22.12%
91,427,217.17
12.96%
245,086,938.27
8.15%
        
97,113,334.25
5.81%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
20,420,860.94
2.00%
14,048,654.25
1.99%
48,307,295.37
1.61%
21,035,579.16
1.98%
46,041,137.91
2.90%
50,440,807.42
3.02%
11,525,966.46
1.75%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
33,878,670.41
1.13%
    
24,566,819.44
1.55%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
    
124,737,553.43
17.68%
316,191,642.52
10.52%
                    
International Growth Equity Fund (Class IV)
382,060,897.41
37.36%
65,456,833.31
9.28%
137,124,023.34
4.56%
223,870,059.37
21.12%
251,905,758.69
15.84%
    
317,865,670.89
48.23%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
374,634,191.35
36.63%
64,812,930.80
9.19%
134,818,302.69
4.48%
223,056,847.58
21.05%
247,560,773.67
15.57%
    
316,530,331.26
48.03%
    
International Small Companies Fund
19,366,943.86
1.89%
12,192,825.10
1.73%
55,989,577.39
1.86%
19,834,924.92
1.87%
30,978,504.28
1.95%
114,239,887.29
6.83%
13,125,912.12
1.99%
    
Quality Fund (Class VI)
    
285,291,587.95
40.45%
963,211,866.81
32.04%
408,859,750.31
38.58%
605,556,971.94
38.09%
658,149,272.58
39.36%
    
63,889,009.27
49.65%
Real Estate Fund
                                
Short-Duration Investment Fund
    
137,010.50
0.02%
2,903,112.55
0.10%
                    
Special SIT Fund-Class VI
        
93,869,259.70
3.12%
    
36,401,016.60
2.29%
51,138,284.05
3.06%
        
Special Situations Fund
                                
SPV
    
31.55
0.00%
                        
Strategic Fixed Income Fund (Class VI)
        
245,961,785.90
8.18%
    
78,620,565.79
4.95%
233,830,470.95
13.98%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
37,011,744.42
5.25%
  
0.00%
163,195,448.48
15.40%
75,200,697.45
4.73%
        
62,497,102.80
48.57%
U.S. Growth Fund
    
16,901.71
                          
U.S. Small/Mid Cap Growth Fund
                            
1,080,727.51
0.84%
U.S. Small/Mid Cap Value Fund
                            
1,202,569.47
0.93%
World Opportunity Overlay Fund
        
21,986,562.71
0.73%
    
8,381,788.54
0.53%
19,796,600.28
1.18%
        
                                 
Total Market Value
1,022,741,697.00
100.00%
705,375,680.25
100.00%
3,006,549,913.71
100.00%
1,059,852,609.82
100.00%
1,589,813,865.21
100.00%
1,672,213,893.12
100.00%
659,047,880.73
100.00%
128,669,409.05
100.00%