EX-99 6 att77p.htm Unassociated Document
 
 
 

GMO Trust
                                    
FYE 2/28/12
                                    
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                              
                                     
GMO Fund of Fund Allocation %
                                  
March, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
14,924,043.38
1.01%
496,124,737.84
14.26%
    
82,902,151.33
4.79%
637,813,976.04
20.21%
          
0.00%
Alternative Asset Opportunity Fund
                  
24,891,331.86
0.79%
          
0.00%
Asset Allocation Bond Fund (VI)
      
152,813,806.27
4.39%
    
26,961,706.54
1.56%
281,905,402.11
8.93%
          
0.00%
Core Plus Bond Fund (Class IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
316,898,789.59
10.04%
          
0.00%
Domestic Bond Fund (Class VI)
      
107,455,609.49
3.09%
    
26,967,170.43
1.56%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
15,867,636.76
0.46%
    
10,835,320.18
0.63%
56,212,116.96
1.78%
          
0.00%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
347,039,084.19
27.03%
249,227,134.06
16.85%
420,257,158.77
12.08%
38,383,808.16
3.13%
74,510,515.08
4.31%
340,382,672.73
10.78%
24,602,746.08
3.09%
      
0.00%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
28,604,576.25
2.23%
39,326,434.12
2.66%
40,469,550.29
1.16%
24,659,497.80
2.01%
29,194,738.81
1.69%
68,330,235.51
2.17%
30,349,825.88
3.81%
      
0.00%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
339,966,124.88
22.99%
523,224,552.93
15.03%
                        
International Growth Equity Fund (Class IV)
454,851,554.47
35.43%
126,674,512.21
8.57%
151,599,276.05
4.36%
307,788,448.85
25.13%
314,336,532.04
18.18%
    
371,104,825.15
46.62%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
453,367,965.93
35.31%
129,104,947.86
8.73%
155,030,987.52
4.45%
304,698,010.23
24.88%
311,118,560.55
17.99%
    
369,893,597.33
46.47%
        
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
504,088,496.33
34.09%
870,268,007.65
25.01%
437,683,195.62
35.73%
574,981,885.30
33.25%
837,118,064.97
26.52%
    
46,792,973.17
48.51%
  
0.00%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
142,792.09
0.01%
3,023,793.85
0.09%
                        
Special Situations Fund (VI)
      
149,696,296.97
4.30%
    
91,956,263.71
5.32%
151,364,625.24
4.80%
          
0.00%
SPV
    
24.54
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
370,900,767.51
10.66%
    
123,690,577.87
7.15%
419,012,774.15
13.28%
          
0.00%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
75,287,177.19
5.09%
0.00
0.00%
111,664,551.63
9.12%
53,109,179.53
3.07%
  
0.00%
    
47,322,049.81
49.06%
    
U.S. Growth Fund
      
0.00%
        
8,782,351.15
0.51%
                
U.S. Small/Mid Cap Growth Fund
                          
1,251,247.05
1.30%
    
U.S. Small/Mid Cap Value Fund
                          
1,084,508.42
1.12%
    
World Opportunity Overlay Fund
      
23,587,275.35
0.68%
    
28,723.36
0.00%
22,199,776.80
0.70%
          
0.00%
                                     
Total Market Value
1,283,863,180.84
100.00%
1,478,741,686.66
100.00%
3,480,319,457.25
100.00%
1,224,877,512.29
100.00%
1,729,375,675.88
100.00%
3,156,129,765.96
100.00%
795,950,994.44
100.00%
96,450,778.45
100.00%
0.00
0.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
April, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               15,509,134.89
0.97%
                                           501,009,732.85
13.90%
    
                                                83,817,419.24
4.65%
                                   688,014,681.11
20.08%
          
0.00%
Alternative Asset Opportunity Fund
                  
                                     25,641,670.38
0.75%
          
0.00%
Asset Allocation Bond Fund (VI)
      
                                           160,495,876.89
4.45%
    
                                                26,258,127.68
1.46%
                                   307,580,865.74
8.98%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                   274,230,632.65
8.00%
          
0.00%
Domestic Bond Fund (Class VI)
      
                                           107,701,503.33
2.99%
    
                                                27,028,880.21
1.50%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,189,568.19
0.45%
    
                                                11,068,337.81
0.61%
                                     61,039,226.77
1.78%
          
0.00%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         362,876,185.26
26.79%
                             266,075,372.44
16.62%
                                           438,904,089.98
12.18%
                                                      40,223,154.09
3.11%
                                                77,910,796.52
4.32%
                                   375,665,668.28
10.96%
                                                     40,223,154.09
3.11%
      
0.00%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           28,743,433.42
2.12%
                               40,842,887.41
2.55%
                                           110,702,640.77
3.07%
                                                      24,779,204.10
1.92%
                                                71,982,698.29
3.99%
                                   152,713,980.21
4.46%
                                                     24,779,204.10
1.92%
      
0.00%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             374,340,179.42
23.38%
                                           521,828,935.98
14.48%
                        
International Growth Equity Fund (Class IV)
                                         480,718,617.93
35.49%
                             141,250,706.32
8.82%
                                           163,406,243.00
4.53%
                                                    329,216,758.58
25.45%
                                              322,666,481.38
17.90%
    
                                                   329,216,758.58
25.45%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         482,214,012.70
35.60%
                             140,642,885.43
8.79%
                                           164,067,492.65
4.55%
                                                    324,258,664.90
25.06%
                                              320,091,690.40
17.76%
    
                                                   324,258,664.90
25.06%
        
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
                             541,096,790.43
33.80%
                                           873,615,727.83
24.24%
                                                    459,175,812.52
35.49%
                                              582,624,566.13
32.33%
                                   913,061,536.60
26.65%
                                                   459,175,812.52
35.49%
                            49,145,774.80
48.90%
  
0.00%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    142,993.71
0.01%
                                               3,028,063.45
0.08%
                        
Special Situations Fund (VI)
      
                                           146,593,793.33
4.07%
    
                                                90,158,327.52
5.00%
                                   157,630,010.07
4.60%
          
0.00%
SPV
    
                                             24.54
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           372,860,881.07
10.35%
    
                                              124,532,031.41
6.91%
                                   448,744,025.73
13.10%
          
0.00%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               80,996,229.10
5.06%
  
0.00%
                                                    116,037,715.39
8.97%
                                                55,189,115.69
3.06%
    
                                                   116,037,715.39
8.97%
                            48,896,561.98
48.65%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                          
                              1,329,212.29
1.32%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,134,681.41
1.13%
    
World Opportunity Overlay Fund
      
                                             23,618,256.89
0.66%
    
                                                  8,793,886.64
0.49%
                                     22,228,935.88
0.65%
          
0.00%
                                     
Total Market Value
1,354,552,249.31
100.00%
1,600,897,203.69
100.00%
3,604,022,806.21
100.00%
1,293,691,309.58
100.00%
1,802,122,358.92
100.00%
3,426,551,233.42
100.00%
1,293,691,309.58
100.00%
100,506,230.48
100.00%
0.00
0.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
May, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               15,709,711.28
0.99%
                                           590,601,094.71
16.44%
    
                                              120,066,114.45
6.69%
                                   799,979,792.54
23.20%
          
0.00%
Alternative Asset Opportunity Fund
                  
                                     24,898,988.37
0.72%
          
0.00%
Asset Allocation Bond Fund (VI)
      
                                           163,175,578.35
4.54%
    
                                                26,268,356.79
1.46%
                                   309,201,271.23
8.97%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                   259,458,988.81
7.52%
          
0.00%
Domestic Bond Fund (Class VI)
      
                                           104,013,095.68
2.90%
    
                                                26,103,233.62
1.45%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,325,901.40
0.45%
    
                                                11,161,544.87
0.62%
                                     61,553,241.31
1.79%
          
0.00%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         350,711,455.45
26.50%
                             260,201,184.34
16.42%
                                           430,249,264.19
11.98%
                                                      38,874,749.81
3.03%
                                                74,002,137.78
4.12%
                                   339,037,187.56
9.83%
                                                     24,986,091.17
3.01%
      
0.00%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           28,465,719.09
2.15%
                               40,448,270.14
2.55%
                                           109,605,675.48
3.05%
                                                      24,539,791.50
1.92%
                                                71,287,213.28
3.97%
                                   151,238,482.82
4.39%
                                                     30,356,736.54
3.66%
      
0.00%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
        
0.00%
                        
International Core Equity Fund (VI)
  
                             365,488,629.24
23.07%
                                           482,916,685.17
13.44%
                        
International Growth Equity Fund (Class IV)
                                         474,322,910.31
35.84%
                             139,189,058.93
8.79%
                                           161,386,394.99
4.49%
                                                    323,632,620.39
25.26%
                                              311,503,579.91
17.36%
    
                                                   389,488,681.18
46.94%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         469,857,268.50
35.50%
                             136,932,603.21
8.64%
                                           160,007,499.25
4.45%
                                                    316,142,780.54
24.67%
                                              307,064,475.94
17.11%
    
                                                   384,944,791.58
46.39%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
                             544,952,509.53
34.40%
                                           821,940,569.44
22.88%
                                                    463,348,730.12
36.16%
                                              563,781,658.40
31.42%
                                   863,625,167.98
25.05%
    
                            48,616,324.72
48.92%
  
0.00%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    142,822.87
0.01%
                                               3,024,445.69
0.08%
                        
Special Situations Fund (VI)
      
                                           145,467,777.03
4.05%
    
                                                89,635,291.54
5.00%
                                   156,715,550.25
4.55%
          
0.00%
SPV
    
                                             22.78
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           379,814,556.67
10.57%
    
                                              129,469,347.72
7.22%
                                   460,120,481.50
13.34%
          
0.00%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               81,126,343.53
5.12%
  
0.00%
                                                    114,695,935.08
8.95%
                                                55,277,772.90
3.08%
        
                            48,312,896.62
48.62%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
                              1,311,147.17
1.32%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,134,681.41
1.14%
    
World Opportunity Overlay Fund
      
                                             23,535,639.46
0.66%
    
                                                  8,763,125.34
0.49%
                                     22,151,178.34
0.64%
          
0.00%
                                     
Total Market Value
1,323,357,353.35
100.00%
1,584,191,155.85
100.00%
3,592,064,177.51
100.00%
1,281,234,607.44
100.00%
1,794,383,852.54
100.00%
3,447,980,330.71
100.00%
829,776,300.47
100.00%
99,375,049.92
100.00%
0.00
0.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
June, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               15,627,361.24
1.00%
                                           603,835,427.21
17.18%
    
                                                87,827,175.83
4.87%
                                   580,100,583.17
23.45%
          
0.00%
Alternative Asset Opportunity Fund
                  
                                     17,364,200.31
0.70%
          
0.00%
Asset Allocation Bond Fund (VI)
      
                                           111,209,773.13
3.16%
    
                                                26,168,762.25
1.45%
                                   221,164,933.21
8.94%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                   185,668,433.51
7.51%
          
0.00%
Domestic Bond Fund (Class VI)
      
                                             88,521,783.56
2.52%
    
                                                22,215,517.98
1.23%
                
Emerging Countries Fund
    
0.00%
                            
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,322,978.66
0.46%
    
                                                11,208,148.40
0.62%
                                     44,810,502.70
1.81%
          
0.00%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         325,586,647.08
26.37%
                             257,830,727.94
16.46%
                                           428,921,883.94
12.21%
                                                      37,383,806.13
2.97%
                                                74,033,915.60
4.11%
                                   241,958,972.59
9.78%
                                                     26,436,464.08
3.00%
      
0.00%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           27,335,965.39
2.21%
                               41,957,737.72
2.68%
                                           114,180,964.27
3.25%
                                                      25,058,518.80
1.99%
                                                73,742,829.28
4.09%
                                   112,284,241.26
4.54%
                                                     33,195,794.16
3.77%
      
0.00%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             363,566,026.04
23.21%
                                           474,995,124.38
13.52%
                        
International Growth Equity Fund (Class IV)
                                         440,959,938.26
35.71%
                             137,243,889.90
8.76%
                                           161,021,526.97
4.58%
                                                    317,048,606.60
25.22%
                                              312,923,767.93
17.37%
    
                                                   410,975,410.84
46.69%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         440,897,874.46
35.71%
                             135,243,251.41
8.63%
                                           161,479,674.80
4.60%
                                                    314,303,242.03
25.01%
                                              308,965,381.94
17.15%
    
                                                   409,537,825.67
46.53%
        
International Small Companies Fund
                    
0.00%
            
Quality Fund (Class VI)
    
                             535,208,524.09
34.17%
                                           817,170,827.63
23.25%
                                                    450,805,602.23
35.87%
                                              561,549,712.33
31.17%
                                   610,413,052.62
24.68%
    
                            32,582,950.21
48.79%
  
0.00%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    142,310.34
0.01%
                                               3,013,592.41
0.09%
                        
Special Situiations Fund
        
                                           133,783,471.47
3.81%
    
                                                92,577,279.13
5.14%
                                   113,440,430.14
4.59%
          
0.00%
SPV
    
                                             21.03
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           376,457,609.83
10.71%
    
                                              166,661,492.31
9.25%
                                   330,634,127.05
13.37%
          
0.00%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               79,632,389.16
5.08%
  
0.00%
                                                    112,308,742.03
8.94%
                                                55,284,929.05
3.07%
        
                            32,537,551.49
48.73%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                          
                                 893,267.92
1.34%
    
U.S. Small/Mid Cap Value Fund
                          
                                 763,225.85
1.14%
    
World Opportunity Overlay Fund
      
                                             23,308,441.54
0.66%
    
                                                  8,678,531.76
0.48%
                                     15,919,971.57
0.64%
          
0.00%
                                     
Total Market Value
1,234,780,425.19
100.00%
1,566,452,238.87
100.00%
3,514,223,079.80
100.00%
1,256,908,517.82
100.00%
1,801,837,443.79
100.00%
2,473,759,448.13
100.00%
880,145,494.75
100.00%
66,776,995.47
100.00%
0.00
0.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
July, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               15,808,848.64
1.02%
                                           623,076,376.30
18.12%
    
                                                93,965,639.65
4.99%
                                   260,641,295.61
23.59%
        
534,433,895.10
23.64%
Alternative Asset Opportunity Fund
                  
                                       8,138,164.70
0.74%
        
16,224,867.62
0.72%
Asset Allocation Bond Fund (VI)
      
                                             99,582,811.54
2.90%
    
                                                27,712,703.56
1.47%
                                     93,289,113.96
8.44%
        
195,209,512.81
8.64%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                     80,579,067.26
7.29%
        
163,198,970.49
7.22%
Domestic Bond Fund (Class VI)
      
                                             86,845,608.69
2.53%
    
                                                22,215,517.98
1.18%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,285,317.55
0.47%
    
                                                11,970,126.87
0.64%
                                     21,093,948.72
1.91%
        
42,215,629.70
1.87%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         327,215,743.96
26.78%
                             259,922,960.93
16.71%
                                           418,246,492.54
12.16%
                                                      37,598,620.90
3.02%
                                                77,724,440.24
4.13%
                                   108,661,239.80
9.84%
                                                     26,568,740.88
3.07%
    
221,752,789.58
9.81%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           27,640,665.64
2.26%
                               42,425,419.51
2.73%
                                           115,296,734.06
3.35%
                                                      25,356,656.39
2.04%
                                                77,913,690.36
4.14%
                                     50,950,634.26
4.61%
                                                     33,565,810.97
3.88%
    
104,129,408.63
4.61%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             327,092,175.99
21.03%
                                           375,437,696.78
10.92%
                        
International Growth Equity Fund (Class IV)
                                         436,802,097.89
35.75%
                             135,272,306.97
8.70%
                                           158,598,632.99
4.61%
                                                    292,034,915.82
23.49%
                                              298,619,710.38
15.87%
    
                                                   405,041,837.10
46.82%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         430,220,763.45
35.21%
                             131,064,230.98
8.43%
                                           156,192,052.50
4.54%
                                                    284,510,054.86
22.89%
                                              294,410,100.68
15.64%
    
                                                   399,952,561.57
46.23%
        
International Small Companies Fund
    
0.00%
  
0.00%
      
0.00%
                
Quality Fund (Class VI)
    
                             567,315,198.15
36.48%
                                           846,221,899.96
24.61%
                                                    493,810,092.06
39.72%
                                              637,839,857.83
33.89%
                                   274,348,516.26
24.83%
    
                            32,961,440.18
49.28%
558,386,949.59
24.70%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    142,212.88
0.01%
                                               3,011,528.43
0.09%
                        
Special Situations Fund (VI)
      
                                           126,893,337.61
3.69%
    
                                                95,079,988.18
5.05%
                                     48,264,445.21
4.37%
        
98,892,479.91
4.37%
SPV
    
                                             21.03
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           389,461,257.74
11.33%
    
                                              181,255,807.36
9.63%
                                   151,480,248.43
13.71%
        
311,357,938.35
13.77%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               76,090,162.82
4.89%
    
                                                    109,794,348.52
8.83%
                                                54,516,607.20
2.90%
        
                            32,334,088.17
48.34%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
                                 862,175.20
1.29%
    
U.S. Small/Mid Cap Value Fund
                          
                                 732,624.72
1.10%
    
World Opportunity Overlay Fund
      
                                             23,535,639.46
0.68%
    
                                                  8,763,125.34
0.47%
                                       7,385,556.90
0.67%
        
14,765,621.40
0.65%
                                     
Total Market Value
1,221,879,270.94
100.00%
1,555,133,537.90
100.00%
3,438,685,386.15
100.00%
1,243,104,688.55
100.00%
1,881,987,315.63
100.00%
1,104,832,231.11
100.00%
865,128,950.52
100.00%
66,890,328.27
100.00%
2,260,568,063.18
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
August, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,042,189.58
1.09%
                                           505,497,404.96
15.21%
    
                                                70,205,544.96
3.86%
                                   132,309,711.49
22.53%
        
620,709,622.14
22.56%
Alternative Asset Opportunity Fund
                  
                                       4,385,783.19
0.75%
        
19,992,562.16
0.73%
Asset Allocation Bond Fund (VI)
      
                                           101,957,429.92
3.07%
        
                                     21,511,391.16
3.66%
        
102,538,713.44
3.73%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                     59,445,703.41
10.12%
        
275,216,136.17
10.00%
Domestic Bond Fund (Class VI)
      
                                             80,502,691.59
2.42%
    
                                                20,672,773.67
1.14%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,222,330.19
0.49%
    
                                                11,970,126.87
0.66%
                                     11,339,113.39
1.93%
        
51,970,465.03
1.89%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         271,721,805.68
26.69%
                             240,380,689.27
16.38%
                                           415,756,154.07
12.51%
                                                      33,592,958.89
2.93%
                                                78,295,472.74
4.31%
                                     60,756,251.79
10.35%
                                                     24,282,241.84
3.04%
    
285,988,936.79
10.39%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           33,353,629.87
3.28%
                               52,144,727.34
3.55%
                                           123,657,876.73
3.72%
                                                      47,021,645.17
4.09%
                                                98,842,940.39
5.44%
                                     29,636,460.80
5.05%
                                                     45,603,256.49
5.71%
    
137,940,401.29
5.01%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
        
0.00%
                        
International Core Equity Fund (VI)
  
                             284,558,376.53
19.39%
                                           323,006,498.76
9.72%
                        
International Growth Equity Fund (Class IV)
                                         357,704,674.76
35.14%
                             124,220,647.90
8.47%
                                           164,029,316.11
4.93%
                                                    245,299,783.58
21.36%
                                              276,392,094.63
15.21%
    
                                                   365,057,226.00
45.71%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         355,286,321.54
34.90%
                             119,048,551.59
8.11%
                                           162,220,739.78
4.88%
                                                    245,035,988.23
21.34%
                                              267,699,809.75
14.73%
    
                                                   363,744,741.24
45.54%
        
International Small Companies Fund
    
0.00%
  
0.00%
      
0.00%
  
0.00%
            
Quality Fund (Class VI)
    
                             557,318,946.24
37.98%
                                           877,468,519.58
26.39%
                                                    479,789,003.04
41.78%
                                              649,233,810.60
35.73%
                                   154,657,131.77
26.34%
    
                            32,357,288.71
49.78%
723,308,707.99
26.28%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    141,871.02
0.01%
                                               2,992,677.66
0.09%
                        
Special Situations Fund (VI)
      
                                           128,373,343.42
3.86%
    
                                                96,478,223.30
5.31%
                                     25,686,189.09
4.37%
        
123,634,808.45
4.49%
SPV
    
                                             19.28
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           399,272,653.49
12.01%
    
                                              186,066,918.30
10.24%
                                     83,459,257.00
14.21%
        
392,345,595.57
14.26%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               73,383,895.65
5.00%
  
0.00%
                                                      97,721,134.85
8.51%
                                                52,577,637.72
2.89%
        
                            31,184,075.11
47.97%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
                                 778,613.52
1.20%
    
U.S. Small/Mid Cap Value Fund
                          
                                 681,735.81
1.05%
    
World Opportunity Overlay Fund
      
                                             23,548,137.51
0.71%
    
                                                  8,801,576.96
0.48%
                                       3,964,893.39
0.68%
        
18,283,481.83
0.66%
                                     
Total Market Value
1,018,066,431.85
100.00%
1,467,239,914.40
100.00%
3,324,505,773.77
100.00%
1,148,460,513.76
100.00%
1,817,236,929.89
100.00%
587,151,886.48
100.00%
798,687,465.57
100.00%
65,001,713.15
100.00%
2,751,929,430.86
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
September, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
16,807,779.46
1.21%
                                           513,981,426.14
16.28%
    
                                                21,183,022.42
1.19%
                                     43,678,244.26
22.82%
        
697,417,080.03
22.73%
Alternative Asset Opportunity Fund
                  
                                       1,334,163.08
0.70%
        
21,298,496.74
0.69%
Asset Allocation Bond Fund (VI)
      
                                             43,375,962.48
1.37%
      
0.00%
              
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
  
0.00%
            
                                     23,732,232.25
12.40%
        
378,546,499.16
12.34%
Debt Opportunities Fund, Class VI
                  
                                       3,481,500.75
1.82%
            
Domestic Bond Fund (Class VI)
      
                                             75,484,832.09
2.39%
    
                                                19,623,707.55
1.10%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                  
                                     18,884,944.96
9.87%
            
Emerging Country Debt Fund (Class IV)
      
                                             14,983,742.54
0.47%
    
                                                11,519,309.50
0.65%
            
55,716,218.45
1.82%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                              
303,607,275.09
9.90%
Emerging Markets Fund (Class VI)
                                         249,927,806.96
24.84%
                             207,065,479.08
14.87%
                                           345,400,590.44
10.94%
                                                      28,181,486.14
2.63%
                                                67,557,760.26
3.79%
    
                                                     20,370,627.79
2.82%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           33,204,729.74
3.30%
                               52,482,992.67
3.77%
                                           120,013,824.61
3.80%
                                                      45,120,668.44
4.22%
                                                99,711,268.87
5.60%
                                     13,340,082.20
6.97%
                                                     44,712,567.89
6.19%
    
212,745,649.61
6.93%
Inflation Indexed Plus Bond Fund (Class VI)
              
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             264,267,366.68
18.97%
                                           309,180,797.39
9.80%
                        
International Growth Equity Fund (Class IV)
                                         354,237,608.36
35.20%
                             114,626,953.24
8.23%
                                           146,446,733.98
4.64%
                                                    209,856,557.05
19.62%
                                              233,270,372.39
13.10%
    
                                                   323,097,217.78
44.70%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         368,875,569.20
36.66%
                             114,833,601.92
8.24%
                                           195,634,800.79
6.20%
                                                    244,100,932.76
22.82%
                                              327,606,011.25
18.40%
    
                                                   334,664,156.12
46.30%
        
International Small Companies Fund
        
0.00%
      
0.00%
                
Quality Fund (Class VI)
    
                             550,651,926.42
39.54%
                                           839,493,327.40
26.60%
                                                    451,239,074.35
42.18%
                                              644,213,780.68
36.18%
                                     50,215,973.21
26.24%
    
                            31,107,436.36
50.04%
800,567,350.01
26.09%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    141,700.09
0.01%
                                               2,952,679.32
0.09%
                        
Special Situations Fund (VI)
      
                                           129,651,091.69
4.11%
    
                                              101,326,123.80
5.69%
                                       8,802,529.08
4.60%
        
143,917,429.70
4.69%
SPV
    
                                             17.53
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           396,081,606.01
12.55%
    
                                              194,069,751.88
10.90%
                                     26,575,598.56
13.89%
        
433,028,298.47
14.11%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               71,923,339.66
5.16%
    
                                                      91,247,300.77
8.53%
                                                51,653,041.84
2.90%
        
                            29,756,789.46
47.87%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                          
                                 686,630.89
1.10%
    
U.S. Small/Mid Cap Value Fund
                          
                                 611,544.22
0.98%
    
World Opportunity Overlay Fund
      
                                             23,687,367.52
0.75%
    
                                                  8,963,073.79
0.50%
                                       1,339,318.43
0.70%
        
21,317,283.86
0.69%
                                     
Total Market Value
1,006,245,714.26
100.00%
1,392,801,156.75
100.00%
3,156,368,782.40
100.00%
1,069,746,019.51
100.00%
1,780,697,224.23
100.00%
191,384,586.78
100.00%
722,844,569.58
100.00%
62,162,400.93
100.00%
3,068,161,581.12
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
October, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
16,487,876.75
1.09%
                                           474,316,929.08
15.08%
    
                                                19,732,060.33
1.07%
                                     32,892,863.94
19.70%
        
633,903,999.24
19.71%
Alternative Asset Opportunity Fund
                  
                                       2,075,263.94
1.24%
        
39,915,921.52
1.24%
Asset Allocation Bond Fund (VI)
      
                                             38,218,063.48
1.22%
      
0.00%
                
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
                                     25,652,777.63
15.36%
        
489,132,335.58
15.21%
Debt Opportunities Fund, Class VI
                  
                                       1,247,713.70
0.75%
        
23,740,741.04
0.74%
Domestic Bond Fund (Class VI)
      
                                             75,247,458.40
2.39%
    
                                                19,561,997.77
1.06%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                  
                                       3,350,474.76
2.01%
            
Emerging Country Debt Fund (Class IV)
      
                                             15,826,268.30
0.50%
    
                                                12,167,032.53
0.66%
            
59,171,065.99
1.84%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         278,372,668.20
25.32%
230,134,552.50
15.28%
                                           366,700,299.08
11.66%
                                                      31,391,710.87
2.72%
                                                74,087,924.71
4.01%
                                     17,689,987.46
10.59%
                                                     22,929,426.12
2.90%
    
343,710,874.31
10.69%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           41,184,110.86
3.75%
51,773,458.80
3.44%
                                           112,991,451.52
3.59%
                                                      44,555,697.06
3.87%
                                                96,513,311.47
5.22%
                                     11,110,478.39
6.65%
                                                     44,626,993.82
5.63%
    
213,478,488.09
6.64%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
285,758,927.21
18.97%
                                           320,685,493.25
10.20%
                        
International Growth Equity Fund (Class IV)
                                         318,994,258.46
29.02%
79,129,080.37
5.25%
                                           150,589,941.60
4.79%
                                                    178,631,778.99
15.50%
                                              217,571,875.21
11.77%
    
                                                   298,710,409.18
37.72%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         460,777,252.57
41.91%
185,500,739.73
12.32%
                                           252,051,005.33
8.01%
                                                    313,047,163.67
27.17%
                                              402,482,261.10
21.78%
    
                                                   425,727,508.15
53.75%
        
International Small Companies Fund
0.00%
      
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
    
580,408,201.51
38.53%
                                           819,333,658.76
26.05%
                                                    486,991,191.33
42.27%
                                              683,994,975.59
37.01%
                                     45,728,250.05
27.39%
    
                            26,254,524.87
46.83%
878,341,968.37
27.31%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
141,524.03
0.01%
                                               2,949,010.73
0.09%
                        
Special Situations Fund (VI)
      
                                           122,521,698.08
3.90%
    
                                                93,915,049.50
5.08%
                                       7,591,657.76
4.55%
        
138,182,777.89
4.30%
SPV
    
15.77
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           369,873,406.57
11.76%
    
                                              189,160,741.01
10.24%
                                     18,407,764.03
11.02%
        
375,214,842.07
11.67%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
76,850,788.02
5.10%
    
                                                      97,534,223.67
8.47%
                                                29,820,440.66
1.61%
        
                            28,482,050.26
50.80%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
                                 714,704.47
1.27%
    
U.S. Small/Mid Cap Value Fund
                          
                                 617,918.83
1.10%
    
World Opportunity Overlay Fund
      
                                             23,890,605.34
0.76%
    
                                                  9,039,977.04
0.49%
                                       1,232,624.03
0.74%
        
21,616,602.90
0.67%
                                     
Total Market Value
1,099,328,290.09
100.00%
1,506,185,164.69
100.00%
3,145,195,289.52
100.00%
1,152,151,765.59
100.00%
1,848,047,646.92
100.00%
166,979,855.69
100.00%
791,994,337.27
100.00%
56,069,198.43
100.00%
3,216,409,617.00
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
November, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
16,547,735.92
1.11%
                                           497,161,798.59
15.88%
    
20,184,775.85
1.08%
32,235,741.15
19.80%
        
636,205,385.28
19.77%
Alternative Asset Opportunity Fund
                  
2,098,236.01
1.29%
        
40,337,664.38
1.25%
Asset Allocation Bond Fund (VI)
      
                                             35,886,863.07
1.15%
      
0.00%
  
0.00%
            
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                
24,514,387.43
15.06%
        
486,121,577.83
15.10%
Debt Opportunities Fund, Class VI
                  
1,246,330.19
0.77%
        
23,702,633.91
0.74%
Domestic Bond Fund (Class VI)
      
                                             70,262,611.00
2.24%
    
18,266,092.56
0.98%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             15,644,547.06
0.50%
    
12,027,327.56
0.64%
3,313,658.52
2.04%
        
58,491,648.74
1.82%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         267,271,181.44
25.47%
224,189,409.89
15.03%
                                           355,519,234.46
11.36%
30,580,758.34
2.67%
73,230,658.42
3.92%
16,763,775.67
10.30%
22,337,082.61
2.95%
    
333,439,316.23
10.36%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           42,798,863.63
4.08%
51,146,805.99
3.43%
                                           111,095,551.82
3.55%
44,016,406.21
3.84%
96,753,984.18
5.19%
11,032,770.84
6.78%
44,086,840.00
5.82%
    
210,894,598.61
6.55%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
278,707,486.76
18.69%
                                           308,857,555.70
9.86%
                        
International Growth Equity Fund (Class IV)
                                         299,973,817.13
28.59%
77,748,499.54
5.21%
                                           147,255,884.86
4.70%
175,515,154.74
15.33%
216,958,336.17
11.63%
    
285,480,464.49
37.66%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         439,274,202.13
41.86%
179,424,784.98
12.03%
                                           242,624,887.51
7.75%
302,793,509.67
26.44%
395,111,753.17
21.18%
    
406,084,246.76
53.57%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
586,037,257.26
39.29%
                                           819,505,912.64
26.18%
493,064,183.56
43.06%
699,926,851.50
37.51%
44,540,361.29
27.36%
    
30,756,982.66
50.49%
885,641,209.10
27.52%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
141,352.90
0.01%
                                               2,945,444.82
0.09%
                        
Special SIT Fund-Class VI
      
                                           124,239,343.06
3.97%
    
97,028,061.29
5.20%
7,169,210.86
4.40%
        
140,792,009.53
4.37%
Special Situations Fund
                      
0.00%
            
SPV
    
15.77
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           375,871,668.87
12.01%
    
196,774,793.89
10.55%
18,617,553.77
11.44%
        
381,263,081.32
11.85%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
77,518,064.85
5.20%
    
99,112,926.43
8.66%
30,556,163.74
1.64%
        
28,843,820.32
47.35%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
698,029.94
1.15%
    
U.S. Small/Mid Cap Value Fund
                          
614,801.96
1.01%
21,708,549.31
0.67%
World Opportunity Overlay Fund
      
                                             23,992,224.25
0.77%
    
9,078,428.66
0.49%
1,237,867.01
0.76%
            
                                     
Total Market Value
1,049,318,064.33
100.00%
1,491,461,413.86
100.00%
3,130,863,527.71
100.00%
1,145,082,938.95
100.00%
1,865,897,226.99
100.00%
162,769,892.74
100.00%
757,988,633.86
100.00%
60,913,634.88
100.00%
3,218,597,674.24
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
December, 2011
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,195,942.33
1.09%
                                           528,064,850.08
15.81%
    
20,283,136.00
1.07%
31,683,146.58
19.67%
        
640,802,485.29
19.81%
Alternative Asset Opportunity Fund
                  
2,026,781.05
1.26%
        
41,129,141.01
1.27%
Asset Allocation Bond Fund (VI)
      
                                             36,354,644.33
1.09%
                        
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                             113,734,371.19
7.65%
                                           283,347,237.02
8.48%
98,836,529.25
8.58%
198,045,406.71
10.49%
24,574,321.44
15.26%
        
488,205,908.22
15.09%
Debt Opportunities Fund, Class VI
                  
1,188,003.83
0.74%
        
23,843,473.54
0.74%
Domestic Bond Fund (Class VI)
      
                                             70,499,984.69
2.11%
    
18,327,802.33
0.97%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             16,645,272.73
0.50%
    
12,260,458.94
0.65%
3,210,466.51
1.99%
        
59,801,477.20
1.85%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         244,298,382.73
23.02%
                             181,772,309.73
12.23%
                                           266,459,900.98
7.98%
    
34,126,990.44
1.81%
15,937,747.90
9.89%
        
320,936,631.73
9.92%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (Class IV)
                                  
Flexible Equities Fund-Class (VI)
                                           43,793,595.94
4.13%
                               55,967,230.75
3.77%
                                           130,759,825.70
3.91%
43,825,837.28
3.81%
95,681,448.77
5.07%
10,797,670.64
6.70%
41,553,651.34
5.84%
    
209,079,934.44
6.46%
Inflation Indexed Plus Bond Fund (Class VI)
              
0.00%
                
International Bond Fund (Class III)
                
0.00%
                
International Core Equity Fund (VI)
  
                             289,717,936.64
19.49%
                                           329,434,266.35
9.86%
                        
International Growth Equity Fund (Class IV)
                                         319,216,448.28
30.08%
                               31,334,684.20
2.11%
                                             53,021,056.09
1.59%
136,015,346.67
11.81%
162,656,843.22
8.62%
    
276,515,053.07
38.86%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         454,037,018.18
42.78%
                             108,786,829.22
7.32%
                                           160,575,395.87
4.81%
256,629,354.32
22.29%
312,926,393.73
16.57%
    
393,412,711.81
55.29%
        
International Small Companies Fund
        
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
    
                             613,092,896.44
41.25%
                                           917,716,405.86
27.47%
515,434,296.90
44.76%
717,253,378.28
37.99%
44,719,446.66
27.76%
    
31,129,519.81
50.59%
899,463,252.45
27.80%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    140,646.12
0.01%
                                               2,949,407.77
0.09%
                        
Special SIT Fund-Class VI
      
                                           145,063,699.40
4.34%
    
98,112,695.79
5.20%
7,149,073.58
4.44%
        
143,035,013.09
4.42%
Special Situations Fund
                                    
SPV
    
                                             14.02
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           375,721,509.87
11.25%
    
178,274,543.52
9.44%
18,621,096.93
11.56%
        
386,885,078.15
11.96%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               75,711,387.39
5.09%
    
100,833,475.80
8.76%
30,952,766.51
1.64%
        
29,106,293.58
47.30%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
679,810.76
1.10%
    
U.S. Small/Mid Cap Value Fund
                          
618,063.34
1.00%
    
World Opportunity Overaly Fund
      
                                             24,124,328.83
0.72%
    
9,128,415.78
0.48%
1,182,493.51
0.73%
        
21,893,460.35
0.68%
                                     
Total Market Value
1,061,345,445.13
100.00%
1,486,454,248.03
100.00%
3,340,737,785.57
100.00%
1,151,574,840.22
100.00%
1,888,030,280.02
100.00%
161,090,248.63
100.00%
711,481,416.22
100.00%
61,533,687.49
100.00%
3,235,075,855.47
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
January, 2012
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,321,404.05
1.03%
                                           536,950,355.13
15.50%
    
20,380,351.72
1.04%
31,573,693.83
18.81%
        
628,618,542.36
19.02%
Alternative Asset Opportunity Fund
                  
2,036,864.54
1.21%
        
41,333,763.60
1.25%
Asset Allocation Bond Fund (VI)
      
                                             37,539,599.86
1.08%
      
0.00%
  
0.00%
            
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                             119,540,333.60
7.56%
                                           293,491,358.80
  
102,075,280.21
8.55%
206,823,315.08
10.51%
25,716,410.07
15.32%
        
500,254,360.11
15.14%
Debt Opportunities Fund, Class VI
                  
2,296,815.13
          
45,840,797.72
1.39%
Domestic Bond Fund (Class VI)
      
                                             67,308,620.62
1.94%
    
17,498,146.99
0.89%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             17,342,753.01
0.50%
    
12,774,204.10
0.65%
3,344,993.42
1.99%
        
62,307,314.86
1.89%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
271,581,306.12
24.21%
                             207,439,165.45
13.12%
                                           300,392,184.74
8.67%
    
37,933,589.77
1.93%
17,813,897.48
10.61%
  
0.00%
    
356,901,338.48
10.80%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
45,757,202.60
4.08%
                               59,861,063.09
3.79%
                                           138,236,402.29
3.99%
46,125,702.15
3.86%
101,016,428.18
5.13%
11,323,515.84
6.74%
43,914,373.80
5.84%
    
218,538,196.99
6.61%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             308,507,117.22
19.52%
                                           348,145,699.05
10.05%
                        
International Growth Equity Fund (Class IV)
331,278,546.93
29.53%
                               33,335,627.97
2.11%
                                             55,322,243.68
1.60%
142,559,004.37
11.94%
171,787,090.68
8.73%
    
291,694,593.73
38.79%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
473,111,583.90
42.18%
                             115,973,329.58
7.34%
                                           168,887,498.87
4.87%
269,546,976.67
22.57%
331,505,979.14
16.85%
    
416,418,150.44
55.37%
        
International Small Companies Fund
        
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
                             640,051,247.60
40.49%
                                           943,177,660.69
27.22%
529,636,446.39
44.36%
742,983,145.11
37.77%
46,330,161.77
27.59%
    
31,469,425.51
50.20%
916,983,549.63
27.75%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    140,986.67
0.01%
                                               2,956,549.20
0.09%
                        
Special SIT Fund-Class VI
      
                                           146,737,349.99
4.23%
    
98,853,722.71
5.02%
7,130,393.66
4.25%
        
142,701,170.20
4.32%
Special Situations Fund
                                    
SPV
    
                                             26.29
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           384,106,310.70
11.09%
    
184,760,312.80
9.39%
19,141,811.37
11.40%
        
368,688,190.27
11.16%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               79,513,806.02
5.03%
    
104,138,593.20
8.72%
31,737,341.95
1.61%
        
29,844,065.53
47.60%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                          
739,273.82
1.18%
    
U.S. Small/Mid Cap Value Fund
                          
640,694.44
1.02%
    
World Opportunity Overlay Fund
      
                                             24,317,404.76
0.70%
    
9,201,473.86
0.47%
1,191,957.44
0.71%
        
22,068,681.81
0.67%
                                     
Total Market Value
1,121,728,639.55
100.00%
1,580,684,107.54
100.00%
3,464,911,991.39
91.53%
1,194,082,002.99
100.00%
1,967,255,102.09
100.00%
167,900,514.55
98.63%
752,027,117.97
100.00%
62,693,459.30
100.00%
3,304,235,906.03
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
February, 2012
                                    
 
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
Benchmark-Free 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
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,201,986.83
0.99%
545,483,395.09
15.22%
    
20,457,024.70
1.00%
                                     31,662,174.71
18.34%
        
637,825,883.84
18.54%
Alternative Asset Allocation Fund
                  
                                       2,019,386.46
1.17%
        
41,521,720.55
1.21%
Asset Allocation Bond Fund (VI)
      
37,422,270.47
1.04%
      
0.00%
                
Core Plus Bond Fund (Class IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                             123,326,682.34
7.54%
305,884,173.14
  
107,204,494.71
8.68%
216,474,038.36
10.58%
                                     26,723,231.72
15.48%
        
526,738,063.43
15.31%
Debt Opportunities Fund, Class VI
                  
                                       2,330,999.42
1.35%
        
51,450,655.19
1.50%
Domestic Bond Fund (Class VI)
      
68,231,740.42
1.90%
    
17,738,129.41
0.87%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class IV)
      
18,059,084.11
0.50%
    
13,301,834.27
0.65%
                                       3,483,156.22
2.02%
        
64,880,877.87
1.89%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
285,326,258.78
24.43%
                             216,367,859.63
13.23%
316,523,511.58
8.83%
    
40,051,344.69
1.96%
            
379,910,765.52
11.04%
Emerging Markets Opportunities Fund ( Class VI)
              
                                     18,715,473.43
10.84%
            
Flexible Equities Fund-Class (VI)
48,831,797.25
4.18%
                               63,427,169.67
3.88%
147,961,994.41
4.13%
49,265,004.37
3.99%
108,343,226.19
5.29%
    
47,545,065.61
5.98%
    
236,320,971.50
6.87%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                                     12,084,384.51
7.00%
            
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             317,796,900.18
19.43%
362,937,943.10
10.13%
                        
International Growth Equity Fund (Class IV)
343,902,611.18
29.45%
                               33,921,926.64
2.07%
58,092,988.41
1.62%
146,508,832.20
11.86%
180,757,500.73
8.83%
    
309,848,880.04
38.99%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
489,641,807.99
41.93%
                             119,905,161.16
7.33%
175,325,689.98
4.89%
276,646,189.10
22.40%
344,841,702.25
16.85%
    
437,379,444.22
55.03%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
    
                             662,574,369.27
40.51%
986,974,092.19
27.54%
546,462,743.01
44.24%
778,579,185.39
38.03%
        
32,804,305.98
50.30%
968,529,853.58
28.15%
Real Estate Fund
                    
                                     48,235,354.32
27.94%
            
Short-Duration Investment Fund
  
                                    140,804.57
0.01%
2,970,832.04
0.08%
                        
Special SIT Fund-Class VI
      
147,454,548.81
4.11%
    
99,978,160.48
4.88%
            
143,997,160.00
4.18%
Special Situations Fund (VI)
                  
                                       7,095,702.37
4.11%
            
SPV
    
                                             26.29
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
385,788,871.32
10.77%
    
184,160,682.80
9.00%
                                     19,095,237.63
11.06%
        
367,791,138.71
10.69%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               81,964,155.10
5.01%
    
109,071,465.03
8.83%
33,117,374.91
1.62%
        
30,986,422.11
47.51%
    
U.S. Growth Fund
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,427,171.31
2.19%
    
World Opportunity Overlay Fund
      
24,398,699.88
0.68%
    
9,232,235.16
0.45%
                                       1,195,942.30
0.69%
        
22,142,459.27
0.64%
                                     
Total Market Value
1,167,702,475.20
100.00%
1,635,627,041.68
100.00%
3,583,509,834.95
91.46%
1,235,158,728.42
100.00%
2,047,032,439.34
100.00%
172,641,043.09
100.00%
794,773,389.87
100.00%
65,217,899.40
100.00%
3,441,109,549.46
100.00%