EX-99 16 secallocatt77p.txt GMO Trust FYE 2/29/04 Attachment Filed in Response to Form N-SAR Sub-Item 77P GMO Fund of Fund Allocation % March, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 14,207,809.16 14.11% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 7,641,857.69 7.59% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 43,621,815.31 43.33% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,788,599.98 8.73% International Growth Fund 26,412,346.93 26.24% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 100,672,429.07 100% GMO Fund of Fund Allocation % April, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 10,538,388.99 13.95% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 5,701,494.18 7.55% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 32,881,279.72 43.52% International Intrinsic Value Fund (Class IV) International Small Companies Fund 6,731,779.05 8.91% International Growth Fund 19,694,581.53 26.07% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 75,547,523.47 100.00% GMO Fund of Fund Allocation % May, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,379,311.47 14.46% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,129,745.73 7.16% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 35,241,855.05 41.15% International Intrinsic Value Fund (Class IV) International Small Companies Fund 7,987,872.07 9.33% International Growth Fund 23,895,084.62 27.90% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 85,633,868.94 100.00% GMO Fund of Fund Allocation % June, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 13,720,260.43 15.16% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,545,213.06 7.23% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 36,994,937.35 40.88% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,614,228.15 9.52% International Growth Fund 24,614,605.15 27.20% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 90,489,244.14 100.00% GMO Fund of Fund Allocation % July, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 17,509,244.92 16.58% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 6,839,526.82 6.48% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) 42,510,208.37 40.26% International Intrinsic Value Fund (Class IV) International Small Companies Fund 10,158,214.65 9.62% International Growth Fund 28,570,772.52 27.06% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 105,587,967.28 100.00% GMO Fund of Fund Allocation % August, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 18,319,451.88 17.37% Emerging Countries Fund 7,050,286.18 6.68% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 41,333,384.00 39.19% International Small Companies Fund 10,479,693.16 9.94% International Growth Fund 28,297,666.51 26.83% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 105,480,481.73 100.00% GMO Fund of Fund Allocation % September, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 20,928,316.60 17.66% Emerging Countries Fund 7,280,211.10 6.14% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 44,740,949.91 37.76% International Small Companies Fund 11,757,171.23 9.92% International Growth Fund 33,781,271.94 28.51% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 118,487,920.78 100.00% GMO Fund of Fund Allocation % October, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 22,791,319.82 17.93% Emerging Countries Fund 7,918,716.28 6.23% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 46,458,765.34 36.55% International Small Companies Fund 12,711,813.33 10.00% International Growth Fund 37,239,698.67 29.29% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 127,120,313.44 100.00% GMO Fund of Fund Allocation % November, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 24,041,901.93 18.06% Emerging Countries Fund 8,068,952.78 6.06% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 48,752,434.84 36.63% International Small Companies Fund 12,705,752.21 9.55% International Growth Fund 39,542,622.55 29.71% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 133,111,664.31 100.00% GMO Fund of Fund Allocation % December, 2003 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 35,548,511.06 19.27% Emerging Countries Fund 9,084,679.46 4.93% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 68,252,190.14 37.00% International Small Companies Fund 16,153,209.54 8.76% International Growth Fund 55,414,895.68 30.04% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 184,453,485.88 100.00% GMO Fund of Fund Allocation % January, 2004 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 41,246,872.09 17.99% Emerging Countries Fund 9,319,796.97 4.06% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 87,895,039.53 38.34% International Small Companies Fund 19,419,090.92 8.47% International Growth Fund 71,392,254.61 31.14% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 229,273,054.12 100.00% GMO Fund of Fund Allocation % February, 2004 International Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 44,703,717.23 17.44% Emerging Countries Fund 9,291,362.64 3.63% Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 99,933,197.55 39.00% International Small Companies Fund 20,719,281.46 8.08% International Growth Fund 81,624,250.47 31.85% Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 256,271,809.35 100.00% Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 69,210,170.46 22.06% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 16,683,001.70 5.32% Currency Hedged International Equity Fund 14,012,329.76 4.47% Domestic Bond Fund 31,469,590.03 10.03% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,757,505.48 2.47% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 23,834,542.07 7.60% Emerging Markets Fund (Class VI) Emerging Countries Fund 4,919,502.91 1.57% Growth Fund Global Hedged Equity Fund 12,177,764.46 3.88% Inflation Indexed Bond Fund 16,111,499.66 5.13% International Bond Fund 6,152,201.67 1.96% International Intrinsic Value Fund (Class III) 24,243,027.08 7.73% International Intrinsic Value Fund (Class IV) International Small Companies Fund 24,193,889.47 7.71% International Growth Fund 16,921,220.71 5.39% Real Estate Fund 11,037,137.97 3.52% Small Cap Value Fund 11,020,444.16 3.51% Short-Duration Investment Fund 3,047,475.91 0.97% SPV Core Plus Bond Fund 19,651,151.12 6.26% Value Fund 1,359,827.87 0.43% U.S. Quality Equity Fund (Class IV) Total Market Value 313,802,282.49 100.00% GMO Fund of Fund Allocation % April, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 72,474,703.59 21.72% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 17,002,334.58 5.10% Currency Hedged International Equity Fund 15,115,404.16 4.53% Domestic Bond Fund 32,953,827.47 9.88% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 8,323,363.66 2.49% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 25,741,272.66 7.71% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,343,817.43 1.60% Growth Fund Global Hedged Equity Fund 12,139,098.30 3.64% Inflation Indexed Bond Fund 16,071,768.89 4.82% International Bond Fund 6,330,988.68 1.90% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 26,579,804.18 7.97% International Small Companies Fund 26,980,727.74 8.09% International Growth Fund 18,323,502.12 5.49% Real Estate Fund 11,491,404.68 3.44% Small Cap Value Fund 12,096,177.65 3.63% Short-Duration Investment Fund 3,048,878.66 0.91% SPV Core Plus Bond Fund 22,168,355.28 6.64% Value Fund 1,474,702.28 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 333,660,132.01 100.00% GMO Fund of Fund Allocation % May, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 78,187,582.55 21.81% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 17,465,750.91 4.87% Currency Hedged International Equity Fund 15,858,871.94 4.42% Domestic Bond Fund 34,489,546.11 9.62% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 8,765,127.35 2.45% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 27,731,794.75 7.74% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,742,149.11 1.60% Growth Fund Global Hedged Equity Fund 12,272,474.75 3.42% Inflation Indexed Bond Fund 17,596,359.62 4.91% International Bond Fund 7,300,043.08 2.04% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 28,728,811.30 8.01% International Small Companies Fund 29,959,711.88 8.36% International Growth Fund 19,657,456.73 5.48% Real Estate Fund 12,103,149.35 3.38% Small Cap Value Fund 13,239,538.57 3.69% Short-Duration Investment Fund 3,066,400.97 0.86% SPV Core Plus Bond Fund 24,725,130.02 6.90% Value Fund 1,569,072.03 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 358,458,971.02 100.00% GMO Fund of Fund Allocation % June, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) 44,175,314.12 21.26% U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 9,928,382.69 4.78% Currency Hedged International Equity Fund 9,268,429.71 4.46% Domestic Bond Fund 20,437,610.21 9.84% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,720,544.02 1.79% Emerging Markets Fund (Class III) 0.00% Emerging Markets Fund (Class IV) 13,159,875.05 6.33% Emerging Markets Fund (Class VI) Emerging Countries Fund 5,880,200.46 2.83% Growth Fund Global Hedged Equity Fund 7,030,167.63 3.38% Inflation Indexed Bond Fund 10,688,157.08 5.14% International Bond Fund 4,075,780.28 1.96% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,213,860.64 7.80% International Small Companies Fund 17,897,728.01 8.61% International Growth Fund 10,688,755.27 5.14% Real Estate Fund 7,138,555.99 3.44% Small Cap Value Fund 7,832,119.15 3.77% Short-Duration Investment Fund 3,073,409.89 1.48% SPV Core Plus Bond Fund 15,630,836.63 7.52% Value Fund 919,654.16 0.44% U.S. Quality Equity Fund (Class IV) Total Market Value 207,759,380.99 100.00% GMO Fund of Fund Allocation % July, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 45,606,180.55 21.36% Currency Hedged International Bond Fund 9,899,638.24 4.64% Currency Hedged International Equity Fund 9,489,809.40 4.44% Domestic Bond Fund 21,232,393.70 9.94% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,586,045.00 1.68% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 13,730,717.34 6.43% Emerging Countries Fund 6,144,611.11 2.88% Growth Fund Global Hedged Equity Fund 7,514,090.62 3.52% Inflation Indexed Bond Fund 10,634,076.50 4.98% International Bond Fund 4,168,217.76 1.95% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,356,839.24 7.66% International Small Companies Fund 18,638,502.48 8.73% International Growth Fund 10,535,118.41 4.93% Real Estate Fund 7,697,337.65 3.60% Small Cap Value Fund 8,031,973.55 3.76% Short-Duration Investment Fund 3,066,050.52 1.44% SPV Core Plus Bond Fund 16,304,790.11 7.64% Value Fund 912,302.12 0.43% U.S. Quality Equity Fund (Class IV) Total Market Value 213,548,694.30 100% GMO Fund of Fund Allocation % August, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 70,932,312.78 22.72% Currency Hedged International Bond Fund 11,659,569.00 3.73% Currency Hedged International Equity Fund 13,199,952.61 4.23% Domestic Bond Fund 32,395,713.73 10.38% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,465,066.55 1.75% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 22,364,012.16 7.16% Emerging Countries Fund 6,566,186.88 2.10% Growth Fund Global Hedged Equity Fund 10,482,096.55 3.36% Inflation Indexed Bond Fund 17,159,245.97 5.50% International Bond Fund 5,151,845.38 1.65% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 23,862,656.16 7.64% International Small Companies Fund 22,378,661.74 7.17% International Growth Fund 17,361,342.63 5.56% Real Estate Fund 11,111,325.35 3.56% Small Cap Value Fund 8,472,301.68 2.71% Short-Duration Investment Fund 3,073,066.65 0.98% SPV Core Plus Bond Fund 29,676,849.20 9.50% Value Fund 928,613.98 0.30% U.S. Quality Equity Fund (Class IV) Total Market Value 312,240,819.00 100.00% GMO Fund of Fund Allocation % September, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 73,343,152.99 22.19% Currency Hedged International Bond Fund 12,094,548.84 3.66% Currency Hedged International Equity Fund 13,552,187.32 4.10% Domestic Bond Fund 35,003,225.51 10.59% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,833,143.17 1.76% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 24,098,926.02 7.29% Emerging Countries Fund 6,716,337.14 2.03% Growth Fund Global Hedged Equity Fund 10,859,302.99 3.29% Inflation Indexed Bond Fund 18,349,150.97 5.55% International Bond Fund 6,035,021.36 1.83% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 24,722,244.51 7.48% International Small Companies Fund 24,214,500.22 7.33% International Growth Fund 19,262,314.20 5.83% Real Estate Fund 11,822,969.13 3.58% Small Cap Value Fund 8,567,849.74 2.59% Short-Duration Investment Fund 3,076,574.73 0.93% SPV Core Plus Bond Fund 32,098,433.93 9.71% Value Fund 921,623.19 0.28% U.S. Quality Equity Fund (Class IV) Total Market Value 330,571,505.96 100.00% GMO Fund of Fund Allocation % October, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 83,408,200.72 23.06% Currency Hedged International Bond Fund 12,257,330.74 3.39% Currency Hedged International Equity Fund 15,127,964.23 4.18% Domestic Bond Fund 38,660,726.86 10.69% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 6,202,786.92 1.71% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 26,339,742.07 7.28% Emerging Countries Fund 7,302,321.17 2.02% Growth Fund Global Hedged Equity Fund 11,354,524.67 3.14% Inflation Indexed Bond Fund 19,658,020.04 5.44% International Bond Fund 6,568,191.65 1.82% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 26,381,854.85 7.29% International Small Companies Fund 26,169,707.89 7.24% International Growth Fund 20,326,477.26 5.62% Real Estate Fund 12,270,758.95 3.39% Small Cap Value Fund 9,315,260.70 2.58% Short-Duration Investment Fund 3,081,145.65 0.85% SPV Core Plus Bond Fund 36,289,476.89 10.03% Value Fund 971,744.06 0.27% U.S. Quality Equity Fund (Class IV) Total Market Value 361,686,235.32 100.00% GMO Fund of Fund Allocation % November, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,641,442.43 22.91% Currency Hedged International Bond Fund 12,413,865.80 3.36% Currency Hedged International Equity Fund 15,495,768.84 4.19% Domestic Bond Fund 39,162,776.14 10.60% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 6,402,504.49 1.73% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 27,165,789.27 7.35% Emerging Countries Fund 7,440,863.25 2.01% Growth Fund Global Hedged Equity Fund 11,512,234.64 3.12% Inflation Indexed Bond Fund 19,773,498.71 5.35% International Bond Fund 6,818,049.81 1.85% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 27,330,209.93 7.40% International Small Companies Fund 26,324,864.26 7.12% International Growth Fund 21,322,965.16 5.77% Real Estate Fund 12,951,572.61 3.51% Small Cap Value Fund 9,719,101.47 2.63% Short-Duration Investment Fund 3,084,658.91 0.83% SPV Core Plus Bond Fund 36,963,997.33 10.00% Value Fund 986,945.83 0.27% U.S. Quality Equity Fund (Class IV) Total Market Value 369,511,108.88 100.00% GMO Fund of Fund Allocation % December, 2003 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 95,639,147.58 23.01% Currency Hedged International Bond Fund 13,627,816.84 3.28% Currency Hedged International Equity Fund 18,213,991.12 4.38% Domestic Bond Fund 44,565,163.21 10.72% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,194,601.30 1.73% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 30,144,731.65 7.25% Emerging Countries Fund 8,253,709.04 1.99% Growth Fund Global Hedged Equity Fund 12,459,424.66 3.00% Inflation Indexed Bond Fund 21,648,365.19 5.21% International Bond Fund 8,011,830.51 1.93% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 32,018,353.03 7.70% International Small Companies Fund 28,135,072.09 6.77% International Growth Fund 24,711,418.99 5.94% Real Estate Fund 14,313,634.31 3.44% Small Cap Value Fund 9,953,677.39 2.39% Short-Duration Investment Fund 3,087,118.21 0.74% SPV Core Plus Bond Fund 42,639,569.20 10.26% Value Fund 1,054,580.33 0.25% U.S. Quality Equity Fund (Class IV) Total Market Value 415,672,204.65 100.00% GMO Fund of Fund Allocation % January, 2004 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 98,838,647.99 22.95% Currency Hedged International Bond Fund 21,658,092.44 5.03% Currency Hedged International Equity Fund 19,032,979.62 4.42% Domestic Bond Fund 46,947,058.16 10.90% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 7,263,713.70 1.69% Emerging Markets Fund (Class VI) 30,676,096.40 7.12% Emerging Countries Fund 8,467,320.46 1.97% Growth Fund Global Hedged Equity Fund 12,611,214.62 2.93% Inflation Indexed Bond Fund 14,326,180.94 3.33% International Bond Fund 8,074,484.13 1.87% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 33,229,822.80 7.72% International Small Companies Fund 29,448,633.79 6.84% International Growth Fund 25,308,880.88 5.88% Real Estate Fund 15,102,166.90 3.51% Small Cap Value Fund 10,265,577.35 2.38% Short-Duration Investment Fund 3,097,775.71 0.72% SPV Core Plus Bond Fund 45,246,043.62 10.51% Value Fund 1,079,380.12 0.25% U.S. Quality Equity Fund (Class IV) Total Market Value 430,674,069.63 100.00% GMO Fund of Fund Allocation % February, 2004 Global Balanced Asset Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,858,205.42 18.69% Currency Hedged International Bond Fund 22,411,638.51 4.94% Currency Hedged International Equity Fund 19,742,605.33 4.35% Domestic Bond Fund 48,435,264.85 10.67% Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,360,503.65 1.62% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 32,637,969.64 7.19% Emerging Countries Fund 9,013,092.54 1.99% Growth Fund Global Hedged Equity Fund 12,805,632.74 2.82% Inflation Indexed Bond Fund 14,851,360.07 3.27% International Bond Fund 8,237,711.34 1.81% International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 34,361,076.46 7.57% International Small Companies Fund 30,732,746.90 6.77% International Growth Fund 26,174,637.65 5.77% Real Estate Fund 15,601,758.95 3.44% Small Cap Value Fund 10,453,278.70 2.30% Short-Duration Investment Fund 3,108,433.19 0.68% SPV Core Plus Bond Fund 46,612,607.27 10.27% Value Fund 1,110,443.07 0.24% U.S. Quality Equity Fund (Class IV) 25,410,750.00 5.60% Total Market Value 453,919,716.28 100.00% Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 36,042,801.89 41.21% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 2,210,062.77 2.53% Domestic Bond Fund Emerging Country Debt Fund (Class III) 1,918,456.90 2.19% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 9,129,950.17 10.44% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,149,682.23 2.46% Growth Fund 90,154.26 0.10% Global Hedged Equity Fund 1,035,575.64 1.18% Inflation Indexed Bond Fund 460,755.84 0.53% International Bond Fund International Intrinsic Value Fund (Class III) 11,527,919.80 13.18% International Intrinsic Value Fund (Class IV) International Small Companies Fund 6,644,834.48 7.60% International Growth Fund 7,329,593.83 8.38% Real Estate Fund 3,658,679.66 4.18% Small Cap Value Fund 4,215,188.76 4.82% Short-Duration Investment Fund 140,610.74 0.16% SPV Core Plus Bond Fund Value Fund 899,999.92 1.03% U.S. Quality Equity Fund (Class IV) Total Market Value 87,454,266.89 100.00% GMO Fund of Fund Allocation % April, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 42,436,640.50 40.69% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,624,724.79 3.48% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,270,109.75 2.18% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 11,393,321.62 10.92% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,332,276.05 2.24% Growth Fund 95,917.48 0.09% Global Hedged Equity Fund 1,280,735.12 1.23% Inflation Indexed Bond Fund 509,362.33 0.49% International Bond Fund International Intrinsic Value Fund (Class III) 13,561,521.55 13.00% International Intrinsic Value Fund (Class IV) International Small Companies Fund 7,941,320.58 7.61% International Growth Fund 8,617,880.77 8.26% Real Estate Fund 4,114,273.76 3.95% Small Cap Value Fund 4,995,623.86 4.79% Short-Duration Investment Fund 140,675.47 0.13% SPV Core Plus Bond Fund Value Fund 974,837.74 0.93% U.S. Quality Equity Fund (Class IV) Total Market Value 104,289,221.37 100.00% GMO Fund of Fund Allocation % May, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 45,189,065.41 40.41% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,804,850.03 3.40% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,389,591.37 2.14% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,274,890.01 10.98% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,507,340.62 2.24% Growth Fund 101,552.33 0.09% Global Hedged Equity Fund 1,295,441.88 1.16% Inflation Indexed Bond Fund 534,162.65 0.48% International Bond Fund International Intrinsic Value Fund (Class III) 14,659,153.83 13.11% International Intrinsic Value Fund (Class IV) International Small Companies Fund 8,822,433.02 7.89% International Growth Fund 9,249,776.65 8.27% Real Estate Fund 4,339,155.71 3.88% Small Cap Value Fund 5,470,480.50 4.89% Short-Duration Investment Fund 141,483.94 0.13% SPV Core Plus Bond Fund Value Fund 1,037,725.32 0.93% U.S. Quality Equity Fund (Class IV) Total Market Value 111,817,103.27 100.00% GMO Fund of Fund Allocation % June, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 46,995,888.33 40.25% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 3,904,323.22 3.34% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,493,103.73 2.14% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 12,995,480.73 11.13% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,677,285.49 2.29% Growth Fund 103,681.07 0.09% Global Hedged Equity Fund 1,676,878.47 1.44% Inflation Indexed Bond Fund 729,123.79 0.62% International Bond Fund International Intrinsic Value Fund (Class III) 15,033,032.40 12.88% International Intrinsic Value Fund (Class IV) International Small Companies Fund 9,270,773.73 7.94% International Growth Fund 9,283,307.70 7.95% Real Estate Fund 4,769,341.76 4.09% Small Cap Value Fund 5,613,469.46 4.81% Short-Duration Investment Fund 141,807.34 0.12% SPV Core Plus Bond Fund Value Fund 1,059,149.32 0.91% U.S. Quality Equity Fund (Class IV) Total Market Value 116,746,646.54 100.00% GMO Fund of Fund Allocation % July, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) 51,620,870.07 40.62% U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,271,431.14 3.36% Domestic Bond Fund Emerging Country Debt Fund (Class III) 2,597,974.30 2.04% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 14,659,969.75 11.54% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund 2,797,673.03 2.20% Growth Fund 104,617.09 0.08% Global Hedged Equity Fund 2,023,320.60 1.59% Inflation Indexed Bond Fund 772,027.64 0.61% International Bond Fund International Intrinsic Value Fund (Class III) 15,575,427.17 12.26% International Intrinsic Value Fund (Class IV) International Small Companies Fund 10,408,063.95 8.19% International Growth Fund 9,568,004.05 7.53% Real Estate Fund 5,472,738.52 4.31% Small Cap Value Fund 6,003,346.94 4.72% Short-Duration Investment Fund 141,467.78 0.11% SPV Core Plus Bond Fund Value Fund 1,050,682.08 0.83% U.S. Quality Equity Fund (Class IV) Total Market Value 127,067,614.11 100% GMO Fund of Fund Allocation % August, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 52,973,915.93 40.31% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,311,288.99 3.28% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,693,451.17 2.05% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 15,829,959.68 12.05% Emerging Countries Fund 2,989,618.63 2.27% Growth Fund 106,561.41 0.08% Global Hedged Equity Fund 2,077,530.92 1.58% Inflation Indexed Bond Fund 1,105,788.86 0.84% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 15,702,898.66 11.95% International Small Companies Fund 10,774,855.62 8.20% International Growth Fund 9,772,531.25 7.44% Real Estate Fund 5,656,544.39 4.30% Small Cap Value Fund 6,216,368.88 4.73% Short-Duration Investment Fund 141,791.49 0.11% SPV Core Plus Bond Fund Value Fund 1,069,468.20 0.81% U.S. Quality Equity Fund (Class IV) Total Market Value 131,422,574.08 100.00% GMO Fund of Fund Allocation % September, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 52,908,326.64 39.83% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 4,264,788.18 3.21% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,773,852.69 2.09% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 16,182,338.45 12.18% Emerging Countries Fund 3,057,982.82 2.30% Growth Fund 106,247.81 0.08% Global Hedged Equity Fund 2,092,477.21 1.58% Inflation Indexed Bond Fund 1,142,519.61 0.86% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 15,918,968.69 11.98% International Small Companies Fund 11,039,489.85 8.31% International Growth Fund 10,141,592.18 7.63% Real Estate Fund 5,835,027.60 4.39% Small Cap Value Fund 6,177,637.68 4.65% Short-Duration Investment Fund 141,953.37 0.11% SPV Core Plus Bond Fund Value Fund 1,061,417.02 0.80% U.S. Quality Equity Fund (Class IV) Total Market Value 132,844,619.80 100.00% GMO Fund of Fund Allocation % October, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 77,476,499.53 40.93% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 7,000,258.68 3.70% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 2,809,028.36 1.48% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 25,352,630.25 13.39% Emerging Countries Fund 3,326,180.80 1.76% Growth Fund 112,157.06 0.06% Global Hedged Equity Fund 2,744,357.95 1.45% Inflation Indexed Bond Fund 1,603,511.87 0.85% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 19,226,186.95 10.16% International Small Companies Fund 15,301,508.75 8.08% International Growth Fund 16,480,763.88 8.71% Real Estate Fund 7,973,876.98 4.21% Small Cap Value Fund 8,608,252.63 4.55% Short-Duration Investment Fund 142,164.27 0.08% SPV Core Plus Bond Fund Value Fund 1,119,612.35 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 189,276,990.31 100.00% GMO Fund of Fund Allocation % November, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 81,152,859.27 41.18% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,750,260.62 3.43% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 3,055,557.87 1.55% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 26,190,128.78 13.29% Emerging Countries Fund 3,338,337.60 1.69% Growth Fund 114,103.78 0.06% Global Hedged Equity Fund 2,908,484.60 1.48% Inflation Indexed Bond Fund 1,856,131.80 0.94% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 20,314,863.30 10.31% International Small Companies Fund 15,289,143.24 7.76% International Growth Fund 17,213,703.76 8.73% Real Estate Fund 8,621,871.43 4.38% Small Cap Value Fund 8,981,442.75 4.56% Short-Duration Investment Fund 142,326.37 0.07% SPV Core Plus Bond Fund Value Fund 1,137,127.32 0.58% U.S. Quality Equity Fund (Class IV) Total Market Value 197,066,342.49 100.00% GMO Fund of Fund Allocation % December, 2003 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 84,457,491.37 40.72% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,639,132.22 3.20% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 4,390,333.34 2.12% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 28,563,226.76 13.77% Emerging Countries Fund 3,703,020.23 1.79% Growth Fund 117,749.73 0.06% Global Hedged Equity Fund 2,908,484.60 1.40% Inflation Indexed Bond Fund 1,874,721.00 0.90% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 21,357,380.26 10.30% International Small Companies Fund 15,910,331.38 7.67% International Growth Fund 18,072,455.25 8.71% Real Estate Fund 8,872,674.00 4.28% Small Cap Value Fund 9,198,214.89 4.43% Short-Duration Investment Fund 142,439.83 0.07% SPV Core Plus Bond Fund Value Fund 1,215,053.62 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 207,422,708.48 100.00% GMO Fund of Fund Allocation % January, 2004 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 86,672,296.72 40.85% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,752,299.23 3.18% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 4,432,507.51 2.09% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 29,066,714.13 13.70% Emerging Countries Fund 3,798,856.84 1.79% Growth Fund 121,606.16 0.06% Global Hedged Equity Fund 2,943,917.91 1.39% Inflation Indexed Bond Fund 1,895,694.65 0.89% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 21,814,440.09 10.28% International Small Companies Fund 16,653,148.11 7.85% International Growth Fund 17,917,142.19 8.44% Real Estate Fund 9,232,463.81 4.35% Small Cap Value Fund 9,486,442.35 4.47% Short-Duration Investment Fund 142,931.57 0.07% SPV Core Plus Bond Fund Value Fund 1,243,627.12 0.59% U.S. Quality Equity Fund (Class IV) Total Market Value 212,174,088.39 100.00% GMO Fund of Fund Allocation % February, 2004 Global (U.S.+) Equity Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) 79,309,935.41 35.59% Currency Hedged International Bond Fund Currency Hedged International Equity Fund 6,912,619.17 3.10% Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 5,198,822.29 2.33% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 30,519,081.60 13.69% Emerging Countries Fund 3,990,530.10 1.79% Growth Fund 122,313.14 0.05% Global Hedged Equity Fund 2,949,823.47 1.32% Inflation Indexed Bond Fund 1,939,255.29 0.87% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 22,594,880.73 10.14% International Small Companies Fund 17,155,051.32 7.70% International Growth Fund 18,288,001.56 8.21% Real Estate Fund 10,007,887.21 4.49% Small Cap Value Fund 9,718,277.48 4.36% Short-Duration Investment Fund 143,423.32 0.06% SPV Core Plus Bond Fund Value Fund 1,262,676.10 0.57% U.S. Quality Equity Fund (Class IV) 12,755,200.00 5.72% Total Market Value 222,867,778.19 100.00% Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % April, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0% GMO Fund of Fund Allocation % May, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % June, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) International Small Companies Fund International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 0.00 0.00% GMO Fund of Fund Allocation % July, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) 286,413.93 9.68% Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) 418,734.26 14.15% Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 874,102.09 29.54% International Bond Fund International Intrinsic Value Fund (Class III) 239,345.98 8.09% International Intrinsic Value Fund (Class IV) International Small Companies Fund 926,300.25 31.31% International Growth Fund Real Estate Fund 213,665.14 7.22% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 2,958,561.65 100% GMO Fund of Fund Allocation % August, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 7,858,114.71 10.33% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 11,180,454.84 14.69% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 22,530,544.00 29.61% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 5,019,758.31 6.60% International Small Companies Fund 24,053,698.00 31.61% International Growth Fund Real Estate Fund 5,446,650.00 7.16% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 76,089,219.86 100.00% GMO Fund of Fund Allocation % September, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 10,437,696.32 10.62% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 15,069,156.73 15.33% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 30,445,334.37 30.97% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 6,951,557.95 7.07% International Small Companies Fund 28,661,146.46 29.16% International Growth Fund Real Estate Fund 6,738,691.43 6.85% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 98,303,583.26 100.00% GMO Fund of Fund Allocation % October, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 13,966,452.41 12.49% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 17,620,114.59 15.76% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 34,630,796.58 30.98% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 7,516,535.41 6.72% International Small Companies Fund 32,800,199.00 29.34% International Growth Fund Real Estate Fund 5,257,049.53 4.70% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 111,791,147.52 100.00% GMO Fund of Fund Allocation % November, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 23,434,899.15 13.23% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 29,256,586.47 16.51% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 54,688,770.56 30.87% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 9,199,866.07 5.19% International Small Companies Fund 55,083,076.05 31.09% International Growth Fund Real Estate Fund 5,515,996.65 3.11% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 177,179,194.95 100.00% GMO Fund of Fund Allocation % December, 2003 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 28,168,294.91 13.53% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 35,682,505.51 17.14% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 63,327,267.30 30.41% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 9,936,555.78 4.77% International Small Companies Fund 65,431,322.31 31.42% International Growth Fund Real Estate Fund 5,676,452.08 2.73% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 208,222,397.89 100.00% GMO Fund of Fund Allocation % January, 2004 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 27,606,483.39 10.54% Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) 40,096,474.12 15.31% Emerging Markets Fund (Class VI) 42,799,476.96 16.34% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 54,744,522.67 20.90% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 13,860,230.72 5.29% International Small Companies Fund 81,296,765.08 31.04% International Growth Fund Real Estate Fund 1,546,157.70 0.59% Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 261,950,110.64 100.00% GMO Fund of Fund Allocation % February, 2004 Benchmark-Free Allocation Fund Name of Fund Owned Market Value % of Total MV U.S. Core Fund (Class III) U.S. Core Fund (Class V) U.S. Core Fund (Class VI) Currency Hedged International Bond Fund 30,211,566.55 10.51% Currency Hedged International Equity Fund Domestic Bond Fund Emerging Country Debt Fund (Class III) Emerging Country Debt Fund (Class IV) 42,883,099.95 14.92% Emerging Markets Fund (Class III) Emerging Markets Fund (Class IV) Emerging Markets Fund (Class VI) 48,102,097.20 16.73% Emerging Countries Fund Growth Fund Global Hedged Equity Fund Inflation Indexed Bond Fund 59,927,259.46 20.85% International Bond Fund International Intrinsic Value Fund (Class III) International Intrinsic Value Fund (Class IV) 16,784,562.42 5.84% International Small Companies Fund 89,579,021.97 31.16% International Growth Fund Real Estate Fund Small Cap Value Fund Short-Duration Investment Fund SPV Core Plus Bond Fund Value Fund U.S. Quality Equity Fund (Class IV) Total Market Value 287,487,607.55 100.00%