GMO Trust
FYE 2/28/06
Attachment Filed in Response to Form N-SAR Sub-Item 77P
GMO Fund of Fund Allocation %
March, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			6,057,236.27	1.84%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			131,009,249.16	39.72%
Currency Hedged International Bond Fund			6,888,084.71	2.09%
Currency Hedged International Equity Fund			13,953,908.44	4.23%
Core Plus Bond Fund
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,603,879.06	0.79%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	80,802,784.21	17.10%	30,615,890.76	9.28%
Emerging Countries Fund	11,163,700.09	2.36%	4,815,777.47	1.46%
U.S. Growth Fund			122,494.30	0.04%
Inflation Indexed Bond Fund			2,712,770.21	0.82%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	185,718,110.70	39.30%	44,772,220.52	13.57%
International Small Companies Fund	7,980,423.49	1.69%	6,300,661.19	1.91%
International Growth Equity Fund	186,855,330.48	39.54%	45,175,963.39	13.70%
Real Estate Fund			7,081,442.92	2.15%
U.S Small Cap Value Fund
Short-Duration Investment Fund			147,624.58	0.04%
SPV			1,354.81
U.S. Value Fund			813,895.59	0.25%
U.S. Quality Equity Fund (Class IV)			26,786,106.47	8.12%
Total Market Value	472,520,348.97	100%	329,858,559.85	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	33,163,226.64	3.19%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	199,606,613.54	19.22%
Currency Hedged International Bond Fund	74,626,430.58	7.19%
Currency Hedged International Equity Fund	47,283,034.75	4.55%
Core Plus Bond Fund	130,092,276.54	12.53%
Domestic Bond Fund	102,757,662.16	9.90%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	9,207,245.95	0.89%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	74,941,621.95	7.22%
Emerging Countries Fund	10,784,310.28	1.04%
U.S. Growth Fund
Inflation Indexed Bond Fund	28,564,248.70	2.75%
International Bond Fund	21,505,524.50	2.07%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	91,390,659.86	8.80%
International Small Companies Fund	15,792,368.56	1.52%
International Growth Equity Fund	91,804,805.59	8.84%
Real Estate Fund	22,479,336.75	2.16%
U.S Small Cap Value Fund
Short-Duration Investment Fund	3,149,178.50	0.30%
SPV
U.S. Value Fund	851,804.73	0.08%
U.S. Quality Equity Fund (Class IV)	80,430,790.83	7.75%
Total Market Value	1,038,431,140.41	100.00%	0.00	0.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)
Currency Hedged International Bond Fund			278,052,478.61	26.58%
Currency Hedged International Equity Fund			84,926,846.13	8.12%
Core Plus Bond Fund
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			90,204,736.26	8.62%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			239,406,410.20	22.89%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund			224,758,112.17	21.49%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)			19,186,871.64	1.83%
International Small Companies Fund			90,395,553.20	8.64%
International Growth Equity Fund			19,100,942.73	1.83%
Real Estate Fund
U.S Small Cap Value Fund
Short-Duration Investment Fund
SPV
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)
Total Market Value	0.00	0.00%	1,046,031,950.94	100.00%
GMO Fund of Fund Allocation %
April, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			6,115,673.95	1.89%
Alternative Asset Opportunity
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			126,850,063.82	39.22%
Currency Hedged International Bond Fund			7,001,899.30	2.16%
Currency Hedged International Equity Fund			14,651,899.33	4.53%
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,668,872.15	0.83%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	79,075,840.56		29,958,309.34	9.26%
Emerging Countries Fund	10,917,112.34	2.35%	4,708,898.80	1.46%
U.S. Growth Fund			117,762.64	0.04%
Inflation Indexed Bond Fund			2,761,884.46	0.85%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	184,238,747.64	39.66%	44,809,110.17	13.85%
International Small Companies Fund	6,323,962.09	1.36%	4,680,422.86	1.45%
International Growth Equity Fund	183,986,922.43	39.61%	44,492,118.43	13.76%
Real Estate Fund			7,476,534.31	2.31%
U.S Small Cap Value Fund
Short-Duration Investment Fund			148,197.40	0.05%
SPV			848.29	0.00%
Core Plus Bond Fund
U.S. Value Fund			795,841.38	0.25%
U.S. Quality Equity Fund (Class IV)			26,201,098.98	8.10%
Total Market Value	464,542,585.06	100.00%	323,439,435.61	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	38,521,166.59	3.60%
Alternative Asset Opportunity	39,648,000.00	3.70%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	200,487,101.46	18.73%
Currency Hedged International Bond Fund	68,831,873.36	6.43%
Currency Hedged International Equity Fund	51,899,397.26	4.85%
Domestic Bond Fund	94,312,138.25	8.81%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	9,438,068.27	0.88%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	76,206,212.05	7.12%
Emerging Countries Fund	10,546,102.62	0.99%
U.S. Growth Fund
Inflation Indexed Bond Fund	10,262,554.42	0.96%
International Bond Fund	21,836,378.72	2.04%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	89,559,757.63	8.37%
International Small Companies Fund	10,396,735.19	0.97%
International Growth Equity Fund	89,301,125.01	8.34%
Real Estate Fund	24,791,948.17	2.32%
U.S Small Cap Value Fund
Short-Duration Investment Fund	3,161,736.25	0.30%
SPV
Core Plus Bond Fund	145,017,925.44	13.55%
U.S. Value Fund	832,999.36	0.08%
U.S. Quality Equity Fund (Class IV)	85,519,001.40	7.99%
Total Market Value	1,070,570,221.45	100.00%	0.00	0.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			65,004,166.91	6.21%
Alternative Asset Opportunity			59,472,000.00	5.68%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)
Currency Hedged International Bond Fund			283,201,676.57	27.07%
Currency Hedged International Equity Fund			87,167,273.96	8.33%
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			41,905,277.45	4.00%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			234,289,737.77	22.39%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund			157,124,170.60	15.02%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)			21,897,209.93	2.09%
International Small Companies Fund			74,557,051.47	7.13%
International Growth Equity Fund			21,748,868.84	2.08%
Real Estate Fund
U.S Small Cap Value Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)
Total Market Value	0.00	0.00%	1,046,367,433.50	100.00%
GMO Fund of Fund Allocation %
May, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			7,617,344.36	2.30%
Alternative Asset Allocation
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			132,046,901.21	39.91%
Currency Hedged International Bond Fund			7,116,449.80	2.15%
Currency Hedged International Equity Fund			15,081,259.02	4.56%
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,763,152.96	0.84%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	81,536,308.79	17.56%	30,956,919.65	9.36%
Emerging Countries Fund	11,184,488.40	2.41%	4,834,598.36	1.46%
Emerging Markets Quality( Class VI)
U.S. Growth Fund			124,014.32	0.04%
Inflation Indexed Bond Fund			1,865,786.32	0.56%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	183,575,534.01	39.53%	45,702,088.63	13.81%
International Small Companies Fund	4,849,540.22	1.04%	3,539,533.17	1.07%
International Growth Equity Fund	183,226,596.67	39.46%	45,822,291.93	13.85%
Real Estate Fund			5,500,429.26	1.66%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund			148,702.04	0.04%
SPV			848.29	0.00%
Core Plus Bond Fund
U.S. Value Fund			823,399.37	0.25%
U.S. Quality Equity Fund (Class IV)			26,956,640.46	8.15%
Total Market Value	464,372,468.09	100.00%	330,900,359.15	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	45,727,027.03	4.02%
Alternative Asset Allocation	40,428,074.97	3.56%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	218,110,280.52	19.20%
Currency Hedged International Bond Fund	71,465,540.60	6.29%
Currency Hedged International Equity Fund	58,934,028.28	5.19%
Domestic Bond Fund	95,279,402.60	8.39%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	9,771,478.29	0.86%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	82,277,530.81	7.24%
Emerging Countries Fund	10,827,620.76	0.95%
Emerging Markets Quality( Class VI)
U.S. Growth Fund
Inflation Indexed Bond Fund	4,300,571.94	0.38%
International Bond Fund	21,278,062.22	1.87%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	99,079,081.17	8.72%
International Small Companies Fund	8,959,916.04	0.79%
International Growth Equity Fund	99,576,789.90	8.76%
Real Estate Fund	17,526,844.58	1.54%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund	3,172,502.67	0.28%
SPV
Core Plus Bond Fund	156,561,801.44	13.78%
U.S. Value Fund	861,844.03	0.08%
U.S. Quality Equity Fund (Class IV)	91,977,056.81	8.10%
Total Market Value	1,136,115,454.66	100.00%	0.00	0.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			136,892,311.53	12.88%
Alternative Asset Allocation			59,136,000.00	5.56%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	310,000.00	5.91%
Currency Hedged International Bond Fund	200,000.00	3.81%	287,215,404.27	27.02%
Currency Hedged International Equity Fund			89,721,626.31	8.44%
Domestic Bond Fund	300,000.00	5.72%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	69,999.99	1.33%	43,385,626.93	4.08%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			242,099,395.69	22.78%
Emerging Countries Fund
Emerging Markets Quality( Class VI)	378,100.00	7.20%
U.S. Growth Fund
Inflation Indexed Bond Fund			53,550,540.41	5.04%
International Bond Fund	380,000.00	7.24%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	1,039,999.99	19.82%	26,443,153.59	2.49%
International Small Companies Fund	75,000.00	1.43%	56,021,254.58	5.27%
International Growth Equity Fund	1,040,000.01	19.82%	26,334,392.90	2.48%
Real Estate Fund	114,999.99	2.19%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund	730,000.00	13.91%	42,038,734.42	3.96%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	610,000.01	11.62%
Total Market Value	5,248,099.99	100.00%	1,062,838,440.63	100.00%
GMO Fund of Fund Allocation %
June, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			6,803,333.54	2.35%
Alternative Asset Allocation
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			114,864,344.66	39.63%
Currency Hedged International Bond Fund			6,358,257.54	2.19%
Currency Hedged International Equity Fund			13,876,222.10	4.79%
Domestic Bond Fund
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,502,270.60	0.86%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	97,945,479.03	17.78%	28,233,184.14	9.74%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	11,527,479.38	2.09%	4,412,090.13	1.52%
U.S. Growth Fund			110,046.89	0.04%
Inflation Indexed Bond Fund			658,019.83	0.23%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	218,215,024.29	39.61%	40,491,605.00	13.97%
International Small Companies Fund	4,711,999.42	0.86%	2,223,201.32	0.77%
International Growth Equity Fund	218,541,455.75	39.67%	40,325,914.69	13.91%
Real Estate Fund			5,104,364.92	1.76%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund			131,966.96	0.05%
SPV			899.11	0.00%
Core Plus Bond Fund
U.S. Value Fund			736,460.98	0.25%
U.S. Quality Equity Fund (Class IV)			23,026,159.78	7.94%
Total Market Value	550,941,437.87	100.00%	289,858,342.19	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	72,788,880.43	6.28%
Alternative Asset Allocation	40,428,074.97	3.49%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	224,655,153.87	19.37%	9,309,068.43	24.93%
Currency Hedged International Bond Fund	72,112,612.90	6.22%
Currency Hedged International Equity Fund	61,241,054.30	5.28%	2,259,535.65	6.05%
Domestic Bond Fund	47,884,351.19	4.13%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	9,993,751.63	0.86%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	85,247,441.06	7.35%
Emerging Markets Quality( Class VI)			1,856,159.26	4.97%
Emerging Countries Fund	11,159,667.80	0.96%
U.S. Growth Fund
Inflation Indexed Bond Fund	4,322,854.69	0.37%
International Bond Fund	20,947,208.00	1.81%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	101,099,656.35	8.72%	10,069,785.87	26.96%
International Small Companies Fund	9,185,223.87	0.79%	398,594.11	1.07%
International Growth Equity Fund	100,984,614.55	8.71%	9,899,869.99	26.51%
Real Estate Fund	18,368,941.53	1.58%	561,743.45	1.50%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund	3,179,680.27	0.27%
SPV
Core Plus Bond Fund	183,309,655.56	15.81%
U.S. Value Fund	870,584.85	0.08%
U.S. Quality Equity Fund (Class IV)	91,792,918.56	7.92%	2,992,878.15	8.01%
Total Market Value	1,159,572,326.38	100.00%	37,347,634.91	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			138,080,383.67	12.77%
Alternative Asset Allocation			59,136,000.00	5.47%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	1,385,478.48	6.45%
Currency Hedged International Bond Fund	1,267,179.33	5.90%	289,815,946.16	26.80%
Currency Hedged International Equity Fund			93,249,104.41	8.62%
Domestic Bond Fund	907,745.35	4.22%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	281,396.57	1.31%	44,372,526.58	4.10%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			249,370,456.52	23.06%
Emerging Markets Quality( Class VI)	1,654,600.11	7.70%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund
International Bond Fund	1,467,705.97	6.83%	53,828,004.35	4.98%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	4,485,886.84	20.87%	26,982,423.63	2.50%
International Small Companies Fund	207,993.29	0.97%	57,429,976.19	5.31%
International Growth Equity Fund	4,489,466.58	20.89%	26,951,052.39	2.49%
Real Estate Fund	319,003.95	1.48%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund	2,673,751.00	12.44%	42,158,389.26	3.90%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	2,352,801.80	10.95%
Total Market Value	21,493,009.27	100.00%	1,081,374,263.16	100.00%
GMO Fund of Fund Allocation %
July, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			6,822,845.97	2.27%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			119,554,175.87	39.71%
Currency Hedged International Bond Fund			6,061,177.54	2.01%
Currency Hedged International Equity Fund			14,871,282.97	4.94%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,515,848.28	0.84%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	105,130,977.11	18.43%	30,304,433.30	10.07%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	12,358,267.03	2.17%	4,730,070.30	1.57%
U.S. Growth Fund			113,702.41	0.04%
Inflation Indexed Bond Fund			644,452.41	0.21%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	224,129,116.47	39.28%	41,512,197.97	13.79%
International Small Companies Fund	4,710,848.48	0.83%	2,316,392.33	0.77%
International Growth Equity Fund	224,205,655.54	39.30%	41,493,563.11	13.78%
Real Estate Fund			5,466,288.11	1.82%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund			132,445.21	0.04%
SPV			1,470.48	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			757,833.36	0.25%
U.S. Quality Equity Fund (Class IV)			23,733,821.05	7.88%
Total Market Value	570,534,864.63	100.00%	301,032,000.67	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	81,795,561.41	6.70%
Alternative Asset Allocation Fund	41,572,192.52	3.41%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	237,462,385.75	19.46%	15,976,283.87	25.27%
Currency Hedged International Bond Fund	74,019,548.70	6.07%
Currency Hedged International Equity Fund	64,962,748.58	5.32%	3,872,820.07	6.13%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	48,890,759.37	4.01%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,046,908.90	0.82%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	94,658,240.05	7.76%
Emerging Markets Quality( Class VI)			3,231,778.84	5.11%
Emerging Countries Fund	11,962,677.25	0.98%
U.S. Growth Fund
Inflation Indexed Bond Fund	4,233,274.37	0.35%
International Bond Fund	19,511,408.45	1.60%
International Intrinsic Value Fund (Class III)	105,728,041.11	8.67%
International Intrinsic Value Fund (Class IV)			16,938,555.44	26.79%
International Small Companies Fund	10,087,884.74	0.83%	519,696.41	0.82%
International Growth Equity Fund	105,904,802.62	8.68%	17,006,182.02	26.90%
Real Estate Fund	19,669,313.55	1.61%	654,028.77	1.03%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund	3,190,864.51	0.26%
SPV
Core Plus Bond Fund (ClassIV)	189,833,840.65	15.56%
U.S. Value Fund	875,756.61	0.07%
U.S. Quality Equity Fund (Class IV)	95,632,524.13	7.84%	5,022,840.57	7.94%
Total Market Value	1,220,038,733.27	100.00%	63,222,185.99	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			138,476,407.71	12.55%
Alternative Asset Allocation Fund			60,816,000.00	5.51%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	6,758,154.59	10.82%
Currency Hedged International Bond Fund	3,551,980.51	5.69%	287,533,248.28	26.05%
Currency Hedged International Equity Fund			96,579,666.17	8.75%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	2,541,129.12	4.07%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	798,707.07	1.28%	44,613,298.14	4.04%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			267,664,827.58	24.25%
Emerging Markets Quality( Class VI)	4,963,697.35	7.95%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund			52,014,441.73	4.71%
International Bond Fund	4,110,567.04	6.58%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	13,068,356.76	20.93%	27,750,982.57	2.51%
International Small Companies Fund	613,682.42	0.98%	59,057,270.50	5.35%
International Growth Equity Fund	13,110,023.05	20.99%	27,793,891.55	2.52%
Real Estate Fund	967,031.13	1.55%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	7,477,421.48	11.97%	41,372,561.09	3.75%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	4,486,576.13	7.18%
Total Market Value	62,447,326.65	100.00%	1,103,672,595.32	100.00%
GMO Fund of Fund Allocation %
August, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			12,947,938.17	4.27%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			119,741,382.86	39.47%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			12,245,538.09	4.04%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,566,077.89	0.85%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	106,023,335.54	18.08%	30,561,659.26	10.07%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	12,491,827.45	2.13%	4,781,189.94	1.58%
U.S. Growth Fund			110,610.99	0.04%
Inflation Indexed Bond Fund			2,716,088.00	0.90%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	230,773,346.47	39.34%	42,908,412.68	14.14%
International Small Companies Fund	4,872,314.73	0.83%	2,395,787.62	0.79%
International Growth Equity Fund	232,404,931.49	39.62%	43,187,970.92	14.24%
Real Estate Fund			5,260,366.30	1.73%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund			133,043.15	0.04%
SPV			897.36	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			742,959.30	0.24%
U.S. Quality Equity Fund (Class IV)			23,084,215.00	7.61%
Total Market Value	586,565,755.68	100.00%	303,384,137.53	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	115,778,282.01	9.34%	1,505,813.72	0.99%
Alternative Asset Allocation Fund	44,131,490.88	3.56%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	242,038,927.91	19.53%	35,780,406.89	23.63%
Currency Hedged International Bond Fund	59,557,530.82	4.81%
Currency Hedged International Equity Fund	50,036,702.54	4.04%	13,646,110.48	9.01%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	49,511,464.89	4.00%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,247,498.23	0.83%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	95,461,705.22	7.70%
Emerging Markets Quality( Class VI)			7,232,505.95	4.78%
Emerging Countries Fund	12,091,962.39	0.98%
U.S. Growth Fund
Inflation Indexed Bond Fund	6,393,553.79	0.52%
International Bond Fund	19,813,131.26	1.60%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	107,493,499.29	8.67%	39,576,273.47	26.13%
International Small Companies Fund	9,416,414.17	0.76%	537,509.22	0.35%
International Growth Equity Fund	108,271,857.58	8.74%	39,863,874.36	26.32%
Real Estate Fund	18,928,346.26	1.53%	1,619,086.64	1.07%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund	3,205,270.22	0.26%
SPV
Core Plus Bond Fund (ClassIV)	192,987,067.39	15.57%
U.S. Value Fund	858,568.06	0.07%
U.S. Quality Equity Fund (Class IV)	93,015,016.14	7.51%	11,679,761.43	7.71%
Total Market Value	1,239,238,289.05	100.00%	151,441,342.16	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			187,711,367.49	16.86%
Alternative Asset Allocation Fund			64,560,000.00	5.80%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	7,859,187.81	10.18%
Currency Hedged International Bond Fund	4,973,446.72	6.44%	239,190,744.90	21.49%
Currency Hedged International Equity Fund			71,010,218.75	6.38%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	2,929,016.90	3.79%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	412,696.11	0.53%	42,068,363.99	3.78%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			269,936,783.68	24.25%
Emerging Markets Quality( Class VI)	6,324,044.71	8.19%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	798,995.00	1.03%	53,260,808.34	4.78%
International Bond Fund	4,174,132.51	5.41%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	16,709,070.59	21.64%	28,684,354.73	2.58%
International Small Companies Fund	634,716.64	0.82%	57,960,970.10	5.21%
International Growth Equity Fund	16,766,218.80	21.71%	28,948,962.37	2.60%
Real Estate Fund	930,601.88	1.21%
U.S. Small/Mid Cap Value Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	9,324,645.27	12.08%	41,828,806.43	3.76%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	5,385,037.39	6.97%	28,000,000.00	2.52%
Total Market Value	77,221,810.33	100.00%	1,113,161,380.78	100.00%
GMO Fund of Fund Allocation %
September, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			12,997,216.72	4.21%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			119,645,827.99	38.76%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			12,869,876.07	4.17%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,635,962.57	0.85%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	115,895,050.63	18.86%	33,407,221.43	10.82%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	13,686,014.73	2.23%	5,238,259.67	1.70%
U.S. Growth Fund			110,858.30	0.04%
Inflation Indexed Bond Fund			2,706,778.35	0.88%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	239,753,456.56	39.01%	43,746,121.92	14.17%
International Small Companies Fund	5,015,880.53	0.82%	2,498,862.21	0.81%
International Growth Equity Fund	240,187,640.27	39.08%	43,633,763.95	14.14%
Real Estate Fund			5,285,326.52	1.71%
Short-Duration Investment Fund			133,342.13	0.04%
SPV			897.36	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			743,703.00	0.24%
U.S. Quality Equity Fund (Class IV)			23,026,214.46	7.46%
Total Market Value	614,538,042.72	100.00%	308,680,232.65	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	129,345,193.05	9.96%	1,609,942.17	0.94%
Alternative Asset Allocation Fund	46,522,804.21	3.58%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	247,265,526.30	19.03%	38,278,028.50	22.37%
Currency Hedged International Bond Fund	60,066,158.24	4.62%
Currency Hedged International Equity Fund	52,659,209.13	4.05%	17,118,868.17	10.00%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	49,090,270.78	3.78%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,540,790.79	0.81%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	115,939,228.80	8.93%
Emerging Markets Quality( Class VI)			8,556,627.28	5.00%
Emerging Countries Fund	13,265,543.43	1.02%
U.S. Growth Fund
Inflation Indexed Bond Fund	6,380,358.30	0.49%
International Bond Fund	19,558,348.16	1.51%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	111,828,405.99	8.61%	45,523,861.34	26.60%
International Small Companies Fund	9,834,777.16	0.76%	596,834.41	0.35%
International Growth Equity Fund	111,916,546.16	8.62%	45,294,380.36	26.47%
Real Estate Fund	19,043,975.56	1.47%	1,732,988.92	1.01%
Short-Duration Investment Fund	3,212,473.07	0.25%
SPV
Core Plus Bond Fund (ClassIV)	196,025,221.68	15.09%
U.S. Value Fund	860,592.99	0.07%
U.S. Quality Equity Fund (Class IV)	95,657,399.63	7.36%	12,412,139.63	7.25%
Total Market Value	1,299,012,823.43	100.00%	171,123,670.78	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			188,843,636.20	16.39%
Alternative Asset Allocation Fund			66,456,000.00	5.77%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	16,554,173.98	8.80%
Currency Hedged International Bond Fund	10,797,432.33	5.74%	240,906,252.29	20.91%
Currency Hedged International Equity Fund			74,630,670.22	6.48%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	7,429,896.79	3.95%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,203,769.19	0.64%	43,214,055.60	3.75%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			295,070,297.99	25.61%
Emerging Markets Quality( Class VI)	18,952,741.84	10.07%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	1,089,297.17	0.58%	53,078,252.02	4.61%
International Bond Fund	11,697,346.82	6.22%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	40,536,990.33	21.54%	29,800,552.36	2.59%
International Small Companies Fund	1,662,459.00	0.88%	60,454,639.74	5.25%
International Growth Equity Fund	40,683,309.71	21.62%	29,923,482.72	2.60%
Real Estate Fund	3,431,428.40	1.82%
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	20,283,967.21	10.78%	41,729,271.91	3.62%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	13,879,518.75	7.37%	27,929,648.24	2.42%
Total Market Value	188,202,331.52	100.00%	1,152,036,759.29	100.00%
GMO Fund of Fund Allocation %
October, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			12,898,659.62	4.32%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			117,305,924.86	39.26%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			12,515,138.59	4.19%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			2,587,916.85	0.87%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	108,923,500.42	18.54%	31,397,643.63	10.51%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	12,876,795.71	2.19%	4,928,534.79	1.65%
U.S. Growth Fund			109,670.71	0.04%
Inflation Indexed Bond Fund			2,671,867.20	0.89%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	232,084,433.51	39.50%	41,663,916.02	13.95%
International Small Companies Fund	4,807,221.86	0.82%	2,399,966.32	0.80%
International Growth Equity Fund	228,927,550.97	38.96%	41,588,196.25	13.92%
Real Estate Fund			5,160,525.42	1.73%
Short-Duration Investment Fund			133,581.91	0.04%
SPV			895.61	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			728,185.89	0.24%
U.S. Quality Equity Fund (Class IV)			22,667,199.23	7.59%
Total Market Value	587,619,502.47	100.00%	298,757,822.90	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	174,458,639.87	11.04%	1,597,734.08	0.97%
Alternative Asset Allocation Fund	54,177,218.66	3.43%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	295,080,140.64	18.67%	37,529,428.40	22.69%
Currency Hedged International Bond Fund	63,026,210.86	3.99%
Currency Hedged International Equity Fund	62,309,693.40	3.94%	16,647,014.03	10.06%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	60,200,109.71	3.81%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,348,663.70	0.65%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	133,630,269.28	8.45%
Emerging Markets Quality( Class VI)			14,504,618.28	8.77%
Emerging Countries Fund	15,159,341.92	0.96%
U.S. Growth Fund
Inflation Indexed Bond Fund	7,800,684.29	0.49%
International Bond Fund	23,513,243.91	1.49%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	134,300,219.72	8.50%	40,629,426.26	24.56%
International Small Companies Fund	9,445,552.42	0.60%	573,213.88	0.35%
International Growth Equity Fund	133,832,005.72	8.47%	40,010,128.69	24.19%
Real Estate Fund	18,594,294.91	1.18%	1,692,068.28	1.02%
Short-Duration Investment Fund	3,218,249.94	0.20%
SPV
Core Plus Bond Fund (ClassIV)	254,381,028.24	16.09%
U.S. Value Fund	842,637.01	0.05%
U.S. Quality Equity Fund (Class IV)	126,302,053.00	7.99%	12,218,614.68	7.39%
Total Market Value	1,580,620,257.20	100.00%	165,402,246.58	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			187,544,731.28	16.74%
Alternative Asset Allocation Fund			63,595,981.77	5.68%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	23,897,438.39	8.77%
Currency Hedged International Bond Fund	10,764,479.84	3.95%	240,054,312.96	21.43%
Currency Hedged International Equity Fund			72,541,209.65	6.48%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	7,386,466.28	2.71%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,181,828.07	0.43%	42,407,569.24	3.79%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			277,195,864.62	24.74%
Emerging Markets Quality( Class VI)	26,022,710.50	9.55%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	2,575,247.77	0.95%	52,370,379.64	4.67%
International Bond Fund	11,540,739.70	4.24%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	58,539,747.12	21.49%	28,827,023.07	2.57%
International Small Companies Fund	1,596,664.92	0.59%	58,035,922.91	5.18%
International Growth Equity Fund	57,981,373.79	21.29%	28,507,859.19	2.54%
Real Estate Fund	3,350,402.94	1.23%
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	44,443,967.22	16.32%	41,710,710.46	3.72%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	23,107,092.26	8.48%	27,481,926.92	2.45%
Total Market Value	272,388,158.80	100.00%	1,120,273,491.71	100.00%
GMO Fund of Fund Allocation %
November, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			12,960,257.81	4.21%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			121,319,100.93	39.42%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			12,940,823.57	4.20%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			1,625,755.89	0.53%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	118,906,760.32	19.71%	34,275,359.04	11.14%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	13,953,135.56	2.31%	5,340,498.96	1.74%
U.S. Growth Fund			114,134.42	0.04%
Inflation Indexed Bond Fund			2,676,522.02	0.87%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	233,487,374.06	38.71%	41,902,880.42	13.62%
International Small Companies Fund	4,985,783.79	0.83%	1,977,814.41	0.64%
International Growth Equity Fund	231,835,429.14	38.44%	42,084,746.51	13.67%
Real Estate Fund			5,372,687.29	1.75%
Short-Duration Investment Fund			134,032.18	0.04%
SPV			895.61	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			749,822.56	0.24%
U.S. Quality Equity Fund (Class IV)			24,279,815.06	7.89%
Total Market Value	603,168,482.87	100.00%	307,755,146.68	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	199,016,703.70	12.01%	1,605,364.14	0.95%
Alternative Asset Allocation Fund	54,668,953.09	3.30%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	303,768,587.69	18.33%	38,659,346.68	22.78%
Currency Hedged International Bond Fund	63,275,168.30	3.82%
Currency Hedged International Equity Fund	63,590,382.05	3.84%	17,213,239.00	10.14%
Domestic Bond Fund	60,384,730.23	3.64%
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,523,564.49	0.64%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	150,962,818.97	9.11%
Emerging Markets Quality( Class VI)			15,502,022.10	9.14%
Emerging Countries Fund	16,426,844.57	0.99%
U.S. Growth Fund
Inflation Indexed Bond Fund	8,568,453.64	0.52%
International Bond Fund	23,243,792.78	1.40%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	135,680,856.26	8.19%	41,307,035.10	24.34%
International Small Companies Fund	9,796,623.78	0.59%	594,505.63	0.35%
International Growth Equity Fund	135,673,316.55	8.19%	40,516,586.01	23.88%
Real Estate Fund	19,359,204.28	1.17%	1,761,633.36	1.04%
Short-Duration Investment Fund	3,229,097.97	0.19%
SPV
Core Plus Bond Fund (ClassIV)	265,177,197.18	16.00%
U.S. Value Fund	867,694.03	0.05%
U.S. Quality Equity Fund (Class IV)	132,838,200.47	8.02%	12,538,670.84	7.39%
Total Market Value	1,657,052,190.03	100.00%	169,698,402.86	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			260,423,435.38	22.54%
Alternative Asset Allocation Fund			64,171,728.11	5.55%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	26,226,931.16	8.93%
Currency Hedged International Bond Fund	11,537,353.14	3.93%	193,405,776.07	16.74%
Currency Hedged International Equity Fund			70,955,264.40	6.14%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	7,830,940.31	2.67%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,201,774.54	0.41%	22,845,334.50	1.98%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			302,601,937.21	26.19%
Emerging Markets Quality( Class VI)	29,387,348.37	10.01%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	2,726,734.27	0.93%	52,471,678.49	4.54%
International Bond Fund	12,065,225.99	4.11%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	62,316,060.44	21.22%	29,307,793.97	2.54%
International Small Companies Fund	1,655,972.26	0.56%	30,477,685.93	2.64%
International Growth Equity Fund	62,346,315.22	21.23%	28,868,718.17	2.50%
Real Estate Fund	3,488,146.23	1.19%
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	47,841,636.74	16.29%	42,106,447.75	3.64%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	25,072,362.78	8.54%	57,839,644.16	5.01%
Total Market Value	293,696,801.45	100.00%	1,155,475,444.14	100.00%
GMO Fund of Fund Allocation %
December, 2005
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			18,072,580.54	5.82%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			121,758,766.42	39.24%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			13,543,825.17	4.37%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			1,560,045.63	0.50%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	122,925,575.27	19.71%	35,535,766.35	11.45%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	14,879,426.24	2.39%	5,695,032.48	1.84%
U.S. Growth Fund			45,236.79	0.01%
Inflation Indexed Bond Fund			2,706,104.97	0.87%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	240,388,303.24	38.55%	40,012,549.09	12.90%
International Small Companies Fund	4,584,626.12	0.74%	1,689,460.17	0.54%
International Growth Equity Fund	240,849,481.13	38.62%	40,154,865.53	12.94%
Real Estate Fund			3,915,325.35	1.26%
Short-Duration Investment Fund			134,480.08	0.04%
SPV			895.61	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			504,217.62	0.16%
U.S. Quality Equity Fund (Class IV)			24,930,315.67	8.04%
Total Market Value	623,627,412.00	100.00%	310,259,467.47	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	208,363,818.78	12.28%	1,619,208.74	0.85%
Alternative Asset Allocation Fund	55,425,749.19	3.27%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	303,588,685.17	17.89%	41,233,594.14	21.74%
Currency Hedged International Bond Fund	60,858,827.59	3.59%
Currency Hedged International Equity Fund	66,529,836.55	3.92%	19,023,817.56	10.03%
Domestic Bond Fund	60,935,483.30	3.59%
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	9,991,227.08	0.59%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	159,273,557.51	9.38%
Emerging Markets Quality( Class VI)			16,548,689.85	8.73%
Emerging Countries Fund	17,511,096.21	1.03%
U.S. Growth Fund
Inflation Indexed Bond Fund	15,533,083.12	0.92%
International Bond Fund	23,308,975.17	1.37%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	139,778,814.82	8.24%	47,223,744.14	24.90%
International Small Companies Fund	10,048,441.59	0.59%	637,771.74	0.34%
International Growth Equity Fund	140,075,379.74	8.25%	47,183,594.35	24.88%
Real Estate Fund	14,312,251.72	0.84%	1,316,373.11	0.69%
Short-Duration Investment Fund	3,238,715.83	0.19%
SPV
Core Plus Bond Fund (ClassIV)	272,752,197.16	16.07%
U.S. Value Fund	771,886.52	0.05%
U.S. Quality Equity Fund (Class IV)	134,825,795.22	7.94%	14,861,142.59	7.84%
Total Market Value	1,697,123,822.27	100.00%	189,647,936.22	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			262,930,827.23	22.25%
Alternative Asset Allocation Fund			65,083,326.49	5.51%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	26,357,040.33	8.73%
Currency Hedged International Bond Fund	11,562,878.25	3.83%	190,965,674.60	16.16%
Currency Hedged International Equity Fund			74,261,556.12	6.28%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	7,905,229.58	2.62%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,227,408.38	0.41%	23,332,625.51	1.97%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			317,916,317.44	26.91%
Emerging Markets Quality( Class VI)	31,020,228.01	10.27%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	2,931,580.03	0.97%	53,117,516.92	4.50%
International Bond Fund	12,103,447.40	4.01%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	65,449,121.24	21.67%	30,781,300.16	2.61%
International Small Companies Fund	1,776,488.31	0.59%	32,695,748.52	2.77%
International Growth Equity Fund	65,436,473.81	21.66%	30,299,579.26	2.56%
Real Estate Fund	2,548,906.88	0.84%
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	48,668,554.94	16.11%	42,206,690.99	3.57%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	25,085,518.97	8.30%	57,998,103.45	4.91%
Total Market Value	302,072,876.13	100.00%	1,181,589,266.69	100.00%
GMO Fund of Fund Allocation %
January, 2006
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			19,094,997.36	5.88%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			124,876,345.08	38.48%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			13,855,643.59	4.27%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			1,592,121.33	0.49%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	136,557,282.94	20.42%	38,947,416.41	12.00%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	16,505,407.93	2.47%	6,317,369.56	1.95%
U.S. Growth Fund			45,940.87	0.01%
Inflation Indexed Bond Fund			2,703,673.61	0.83%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	254,109,096.80	38.00%	42,296,370.38	13.03%
International Small Companies Fund	4,855,229.27	0.73%	1,767,524.43	0.54%
International Growth Equity Fund	256,696,320.99	38.39%	42,803,677.71	13.19%
Real Estate Fund			2,180,871.34	0.67%
Short-Duration Investment Fund			134,941.15	0.04%
SPV			892.10	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			452,202.03	0.14%
U.S. Quality Equity Fund (Class IV)			27,429,510.30	8.45%
Total Market Value	668,723,337.93	100.00%	324,499,497.25	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	213,299,410.20	12.11%	1,627,115.04	0.47%
Alternative Asset Allocation Fund	56,140,788.34	3.19%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	311,351,895.63	17.68%	78,319,970.00	22.83%
Currency Hedged International Bond Fund	60,455,788.99	3.43%
Currency Hedged International Equity Fund	69,292,321.12	3.93%	30,645,649.28	8.93%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	60,873,367.62	3.46%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,196,654.18	0.58%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	176,675,561.64	10.03%
Emerging Markets Quality( Class VI)			30,279,797.58	8.83%
Emerging Countries Fund	19,165,621.62	1.09%
U.S. Growth Fund
Inflation Indexed Bond Fund	15,918,050.83	0.90%
International Bond Fund	23,578,868.57	1.34%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	144,164,136.05	8.19%	86,347,445.75	25.17%
International Small Companies Fund	10,844,570.79	0.62%	688,301.83	0.20%
International Growth Equity Fund	144,218,007.26	8.19%	86,146,921.29	25.11%
Real Estate Fund	7,983,064.42	0.45%	730,623.01	0.21%
Short-Duration Investment Fund	3,249,820.00	0.18%
SPV
Core Plus Bond Fund (ClassIV)	287,045,449.43	16.30%
U.S. Value Fund	784,199.77	0.04%
U.S. Quality Equity Fund (Class IV)	145,842,693.48	8.28%	28,326,517.05	8.26%
Total Market Value	1,761,080,269.94	100.00%	343,112,340.83	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			268,292,350.08	21.76%
Alternative Asset Allocation Fund			65,922,956.58	5.35%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	26,516,565.52	8.58%
Currency Hedged International Bond Fund	11,188,289.66	3.62%	189,652,143.06	15.38%
Currency Hedged International Equity Fund			77,345,080.94	6.27%
Domestic Bond Fund	7,897,171.24	2.56%
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,048,124.44	0.34%	23,812,361.74	1.93%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			353,145,050.00	28.64%
Emerging Markets Quality( Class VI)	32,623,324.45	10.56%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	2,950,946.08	0.95%	53,222,654.82	4.32%
International Bond Fund	11,940,118.90	3.86%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	68,086,633.72	22.03%	32,538,223.68	2.64%
International Small Companies Fund	1,756,175.53	0.57%	35,286,203.97	2.86%
International Growth Equity Fund	68,645,616.42	22.21%	32,298,288.35	2.62%
Real Estate Fund	1,316,526.32	0.43%
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	48,479,917.13	15.69%	42,043,099.17	3.41%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	26,558,095.47	8.59%	59,541,154.14	4.83%
Total Market Value	309,007,504.88	100.00%	1,233,099,566.53	100.00%
GMO Fund of Fund Allocation %
February, 2006
	International Equity Allocation Fund		Global (U.S.+) Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			21,422,854.12	6.57%
Alternative Asset Allocation Fund
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)			126,071,991.44	38.67%
Currency Hedged International Bond Fund
Currency Hedged International Equity Fund			13,917,019.65	4.27%
Domestic Bond Fund
Domestic Bond Fund (Class VI)
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)			1,647,524.82	0.51%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	129,229,135.12	19.59%	38,450,725.53	11.79%
Emerging Markets Quality( Class VI)
Emerging Countries Fund	16,259,816.95	2.47%	6,223,370.73	1.91%
U.S. Growth Fund			45,689.41	0.01%
Inflation Indexed Bond Fund			2,698,810.89	0.83%
International Bond Fund
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	256,390,560.95	38.87%	43,151,980.80	13.24%
International Small Companies Fund	2,806,955.90	0.43%	1,247,840.83	0.38%
International Growth Equity Fund	254,857,703.67	38.64%	42,494,689.96	13.03%
Real Estate Fund
Short-Duration Investment Fund			135,555.92	0.04%
SPV			739.62	0.00%
Core Plus Bond Fund (ClassIV)
U.S. Value Fund			454,864.65	0.14%
U.S. Quality Equity Fund (Class IV)			28,076,814.37	8.61%
Total Market Value	659,544,172.59	100.00%	326,040,472.74	100.00%
	Global Balanced Asset Allocation Fund		World Opportunity Equity Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only	239,791,023.23	13.23%	1,638,183.85	0.40%
Alternative Asset Allocation Fund	54,401,970.69	3.00%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	315,495,777.18	17.41%	97,470,295.40	23.93%
Currency Hedged International Bond Fund	60,721,936.49	3.35%
Currency Hedged International Equity Fund	69,497,027.31	3.83%	34,585,399.67	8.49%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	60,995,048.15	3.37%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	10,551,043.82	0.58%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)	174,293,709.06	9.62%
Emerging Markets Quality( Class VI)			33,548,336.17	8.24%
Emerging Countries Fund	18,879,660.65	1.04%
U.S. Growth Fund
Inflation Indexed Bond Fund	39,248,409.25	2.17%
International Bond Fund	23,479,743.59	1.30%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	146,232,251.55	8.07%	102,528,906.05	25.18%
International Small Companies Fund	7,727,371.79	0.43%	679,652.54	0.17%
International Growth Equity Fund	147,420,877.91	8.13%	102,531,805.93	25.18%
Real Estate Fund
Short-Duration Investment Fund	3,264,489.19	0.18%
SPV
Core Plus Bond Fund (ClassIV)	286,341,943.19	15.80%
U.S. Value Fund	665,028.46	0.04%
U.S. Quality Equity Fund (Class IV)	153,278,225.45	8.46%	34,260,556.41	8.41%
Total Market Value	1,812,285,536.96	100.00%	407,243,136.02	100.00%
	Strategic Balanced Allocation Fund		Benchmark-Free Allocation Fund
Name of Fund Owned	Market Value	% of Total MV	Market Value	% of Total MV
Alpha Only			298,647,907.55	24.73%
Alternative Asset Allocation Fund			63,883,854.94	5.29%
U.S. Core Equity Fund (Class III)
U.S. Core Equity Fund (Class V)
U.S. Core Equity Fund (Class VI)	34,538,207.14	9.42%
Currency Hedged International Bond Fund	9,229,126.50	2.52%	187,264,494.81	15.51%
Currency Hedged International Equity Fund	1,005,543.24	0.27%	77,687,694.81	6.43%
Domestic Bond Fund
Domestic Bond Fund (Class VI)	7,382,206.28	2.01%
Emerging Country Debt Fund (Class III)
Emerging Country Debt Fund (Class IV)	1,084,597.64	0.30%	24,640,997.04	2.04%
Emerging Markets Fund (Class III)
Emerging Markets Fund (Class IV)
Emerging Markets Fund (Class VI)			305,265,395.29	25.28%
Emerging Markets Quality( Class VI)	33,857,607.30	9.24%
Emerging Countries Fund
U.S. Growth Fund
Inflation Indexed Bond Fund	10,255,230.90	2.80%	53,126,930.62	4.40%
International Bond Fund	11,890,420.18	3.24%
International Intrinsic Value Fund (Class III)
International Intrinsic Value Fund (Class IV)	83,292,631.69	22.72%	34,736,907.46	2.88%
International Small Companies Fund	1,187,542.90	0.32%	23,900,156.24	1.98%
International Growth Equity Fund	83,734,941.75	22.84%	33,771,273.17	2.80%
Real Estate Fund
Short-Duration Investment Fund
SPV
Core Plus Bond Fund (ClassIV)	57,865,320.42	15.79%	42,247,588.95	3.50%
U.S. Value Fund
U.S. Quality Equity Fund (Class IV)	31,257,648.61	8.53%	62,486,195.95	5.17%
Total Market Value	366,581,024.55	100.00%	1,207,659,396.83	100.00%