EX-99 3 att77p.htm Unassociated Document
 
 
 

GMO Trust
                                    
FYE 2/28/13
                                    
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                              
                                     
GMO Fund of Fund Allocation %
                                  
March, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
16,228,833.54
0.97%
571,899,614.74
15.45%
    
60,962,687.81
2.94%
77,095,385.66
19.72%
        
702,257,544.77
19.69%
Alternative Asset Opportunity Fund
      
73,232,114.64
1.98%
        
10,094,046.59
2.58%
        
92,449,418.80
2.59%
Asset Allocation Bond Fund (VI)
      
40,178,836.61
1.09%
      
0.00%
  
0.00%
          
0.00%
Core Plus Bond Fund (Class IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
126,012,383.98
7.50%
303,018,403.55
8.19%
109,102,350.04
8.65%
217,982,465.20
10.51%
  
0.00%
        
547,774,405.26
15.36%
Debt Opportunities Fund, Class VI
                  
13,444,215.67
3.44%
        
52,866,916.75
1.48%
Domestic Bond Fund (Class VI)
      
64,539,261.23
1.74%
    
16,778,199.72
0.81%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
18,521,812.83
0.50%
    
13,217,314.76
0.64%
7,367,408.39
1.88%
        
66,635,434.63
1.87%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
326,728,344.62
23.99%
212,982,513.35
12.68%
316,026,765.31
8.54%
  
0.00%
38,739,073.85
1.87%
12,152,836.65
3.11%
  
0.00%
    
344,846,979.02
9.67%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
57,687,218.67
4.24%
64,970,899.72
3.87%
139,050,396.01
3.76%
49,184,163.77
3.90%
106,314,921.31
5.13%
27,444,622.57
7.02%
49,658,528.14
6.03%
    
247,437,079.44
6.94%
Implementation Fund
                    
213,174,161.68
54.53%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
322,895,755.75
19.22%
367,137,619.73
9.92%
                        
International Growth Equity Fund (Class IV)
403,286,838.46
29.61%
34,921,825.05
2.08%
44,565,553.59
1.20%
147,403,986.42
11.69%
176,742,199.69
8.52%
    
325,227,291.06
39.47%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
574,348,469.41
42.17%
123,036,929.22
7.32%
180,359,164.47
4.87%
278,547,537.48
22.09%
334,787,664.32
16.15%
    
449,099,152.42
54.50%
        
International Small Companies Fund
0.00%
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
693,536,207.40
41.28%
1,017,205,146.01
27.48%
564,154,796.36
44.74%
783,495,708.22
37.79%
  
0.00%
    
37,790,816.87
50.01%
975,242,775.56
27.35%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
140,973.80
0.01%
2,974,402.75
0.08%
                        
Special Situations Fund (VI)
      
151,633,163.26
4.10%
    
99,719,670.90
4.81%
17,421,014.55
4.46%
        
159,367,313.91
4.47%
SPV
    
43.82
0.00%
                            
Special Purpose Holdings Fund
                                  
Strategic Fixed Income Fund (Class VI)
      
387,200,294.02
10.46%
    
181,318,249.78
8.74%
12,703,444.75
3.25%
        
377,419,440.11
10.58%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
85,363,590.11
5.08%
  
0.00%
112,699,564.96
8.94%
34,127,762.93
1.65%
  
0.00%
    
36,045,270.58
47.70%
    
U.S. Flexible Equities Fund (Class VI)
    
0.00%
                            
U.S. Growth Fund
                  
0.00%
                
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,723,950.18
2.28%
    
World Opportunity Overlay Fund
      
24,408,861.77
0.66%
    
9,236,080.33
0.45%
  
0.00%
          
0.00%
                                     
Total Market Value
1,362,050,871.16
100.00%
1,680,089,955.74
100.00%
3,701,951,410.52
100.00%
1,261,092,399.03
100.00%
2,073,421,998.82
100.00%
390,897,136.51
100.00%
823,984,971.62
100.00%
75,560,037.63
100.00%
3,566,297,308.25
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
April, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,275,815.27
0.98%
                                           607,240,842.32
16.13%
    
                                                61,139,172.02
3.00%
                                   117,139,102.10
20.15%
        
704,290,548.42
20.02%
Alternative Asset Opportunity Fund
      
                                             74,172,911.77
1.97%
        
                                     15,063,801.08
2.59%
        
92,296,204.65
2.62%
Asset Allocation Bond Fund (VI)
      
                                             45,313,644.82
1.20%
      
0.00%
  
0.00%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
                             152,186,550.07
9.14%
                                           297,047,148.79
7.89%
120,323,203.24
9.75%
                                              210,593,229.09
10.35%
  
0.00%
        
529,205,781.36
15.04%
Debt Opportunities Fund, Class VI
                  
                                     20,644,934.99
3.55%
        
53,095,687.83
1.51%
Domestic Bond Fund (Class VI)
      
                                             61,005,031.15
1.62%
    
                                                15,859,409.87
0.78%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             18,961,191.51
0.50%
    
                                                13,409,666.53
0.66%
                                     11,654,982.34
2.00%
        
67,605,181.08
1.92%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         316,607,997.74
24.03%
                             209,085,525.04
12.56%
                                           310,273,808.16
8.24%
  
0.00%
                                                37,488,364.58
1.84%
                                     11,760,476.58
2.02%
  
0.00%
    
333,713,431.70
9.48%
Emerging Markets Opportunities Fund ( Class VI)
                              
Implementation Fund
                    
                                   331,963,727.17
57.10%
            
Flexible Equities Fund-Class (VI)
                                           54,681,141.64
4.15%
                               43,721,361.30
2.63%
                                           134,096,012.46
3.56%
                                                      35,278,736.72
2.86%
                                              101,043,107.03
4.96%
                                     35,806,802.41
6.16%
                                                     47,196,121.79
5.91%
    
235,167,472.19
6.68%
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             316,201,870.64
19.00%
                                           381,096,833.52
10.12%
                        
International Growth Equity Fund (Class IV)
                                         395,532,326.60
30.03%
                               16,777,253.73
1.01%
                                             44,583,998.63
1.18%
                                                    138,848,658.27
11.25%
                                              174,249,681.49
8.56%
    
                                                   320,640,752.34
40.14%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         550,458,114.14
41.79%
                             128,668,079.60
7.73%
                                           175,615,013.78
4.66%
                                                    270,240,856.81
21.90%
                                              321,239,455.58
15.78%
    
                                                   431,044,339.83
53.96%
        
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
                             696,932,589.40
41.87%
                                        1,041,556,692.09
27.66%
                                                    557,481,213.03
45.19%
                                              774,284,046.17
38.04%
  
0.00%
  
0.00%
                            37,285,862.45
49.95%
                          963,706,289.53
27.39%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    141,176.93
0.01%
                                               2,978,688.46
0.08%
                        
Special Situations Fund (VI)
      
                                           151,989,776.82
4.04%
    
                                                99,008,407.63
4.86%
                                     24,524,240.00
4.22%
        
                          157,879,012.51
4.49%
SPV
    
                                             43.82
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           395,381,960.63
10.50%
    
                                              184,276,814.21
9.05%
                                     12,842,364.55
2.21%
        
                          381,546,748.69
10.84%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               84,483,576.27
5.08%
  
0.00%
                                                    111,537,744.36
9.04%
                                                33,775,939.58
1.66%
      
0.00%
                            35,673,679.63
47.79%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,693,599.22
2.27%
    
World Opportunity Overlay Fund
      
                                             24,449,509.34
0.65%
    
                                                  9,251,460.98
0.45%
  
0.00%
          
0.00%
                                     
Total Market Value
1,317,279,580.12
100.00%
1,664,473,842.07
100.00%
3,765,763,064.25
100.00%
1,233,710,412.43
100.00%
2,035,618,754.76
100.00%
581,400,431.22
100.00%
798,881,213.96
100.00%
74,653,141.30
100.00%
3,518,506,357.96
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
May, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
  
                               16,463,742.21
1.00%
                                           611,123,300.66
17.05%
    
                                                42,539,939.69
2.20%
                                   160,407,989.32
21.75%
        
711,273,050.52
20.99%
Alternative Asset Opportunity Fund
      
                                             74,444,097.83
2.08%
        
                                     40,537,464.76
5.50%
        
92,939,283.13
2.74%
Asset Allocation Bond Fund (VI)
      
                                             39,909,909.22
1.11%
      
0.00%
  
0.00%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
144,833,742.71
8.79%
                                           281,267,617.38
7.85%
113,323,792.53
9.85%
                                              199,398,442.34
10.31%
  
0.00%
        
498,495,658.74
14.71%
Debt Opportunities Fund, Class VI
      
                                             38,508,407.20
1.07%
    
                                                40,603,765.26
2.10%
                                     41,417,507.34
5.62%
        
90,693,136.80
2.68%
Domestic Bond Fund (Class VI)
      
                                             56,837,804.64
1.59%
    
                                                14,776,060.64
0.76%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             18,145,238.60
0.51%
    
                                                12,832,611.21
0.66%
                                     15,454,750.16
2.10%
        
64,695,941.73
1.91%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         277,692,177.12
23.70%
                             205,236,205.39
12.46%
                                           276,233,894.58
7.71%
  
0.00%
                                                33,054,708.65
1.71%
                                     10,314,939.52
1.40%
  
0.00%
    
292,792,674.32
8.64%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           49,450,771.57
4.22%
                               41,368,894.73
2.51%
                                           121,918,725.68
3.40%
                                                      31,904,248.86
2.77%
                                                91,864,131.56
4.75%
                                     40,916,963.59
5.55%
                                                     42,681,710.14
5.92%
    
212,761,740.81
6.28%
Implementation Fund
                    
                                   386,689,074.53
52.42%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
        
0.00%
                        
International Core Equity Fund (VI)
  
                             306,272,040.36
18.59%
                                           342,799,049.26
9.56%
                        
International Growth Equity Fund (Class IV)
                                         355,897,146.92
30.37%
                               11,675,518.83
0.71%
                                             32,807,604.24
0.92%
                                                    126,811,496.74
11.02%
                                              159,988,940.28
8.27%
    
                                                   292,826,664.04
40.64%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         488,737,943.08
41.71%
                             122,523,533.22
7.44%
                                           163,712,698.86
4.57%
                                                    241,404,180.01
20.99%
                                              289,944,855.63
15.00%
    
                                                   385,070,096.82
53.44%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
    
                             712,190,854.69
43.22%
                                           987,470,640.98
27.55%
                                                    529,991,541.85
46.07%
                                              740,015,444.26
38.27%
  
0.00%
    
                            35,447,278.34
49.77%
                          916,301,107.95
27.04%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    141,176.93
0.01%
                                               2,978,688.46
0.08%
                        
Special Situations Fund (VI)
      
                                           152,600,725.42
4.26%
    
                                              100,920,868.73
5.22%
                                     28,932,336.35
3.92%
        
                          160,081,698.58
                       0.05
SPV
    
                                             42.06
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           358,934,030.01
10.01%
    
                                              165,760,034.01
8.57%
                                     12,942,695.53
1.75%
        
                          348,102,995.46
                       0.10
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               86,964,036.70
5.28%
  
0.00%
                                                    106,862,509.57
9.29%
                                                32,532,030.07
1.68%
        
                            34,178,375.69
47.99%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,593,047.93
2.24%
    
World Opportunity Overlay Fund
      
                                             24,693,394.72
0.69%
    
                                                  9,343,744.88
0.48%
  
0.00%
          
0.00%
                                     
Total Market Value
1,171,778,038.69
100.00%
1,647,669,787.83
100.00%
3,584,385,827.74
100.00%
1,150,297,769.56
100.00%
1,933,575,577.21
100.00%
737,613,721.10
100.00%
720,578,471.00
100.00%
71,218,701.96
100.00%
3,388,137,288.04
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
June, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           613,299,596.52
16.64%
    
                                                42,591,965.70
2.09%
                                   222,692,319.78
22.05%
        
539,119,496.64
15.13%
Alternative Asset Opportunity Fund
      
74,765,937.96
2.03%
        
                                     85,003,943.93
8.42%
        
93,341,082.49
2.62%
Asset Allocation Bond Fund (VI)
                
0.00%
  
0.00%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
170,387,810.20
9.69%
383,415,560.57
10.41%
112,462,889.77
9.24%
                                              273,865,121.69
13.47%
  
0.00%
        
817,846,962.76
22.95%
Debt Opportunities Fund, Class VI
      
                                             38,486,725.55
1.04%
    
                                                40,825,211.59
2.01%
                                     54,464,581.30
5.39%
        
91,187,762.40
2.56%
Domestic Bond Fund (Class VI)
      
                                             56,969,678.89
1.55%
    
                                                14,810,343.85
0.73%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             18,786,344.46
0.51%
    
                                                13,286,011.82
0.65%
                                     20,772,190.41
2.06%
        
66,981,772.65
1.88%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         321,213,171.31
25.56%
                             257,358,554.92
14.63%
                                           381,414,108.52
10.35%
                                                      23,214,934.56
1.91%
                                                56,896,508.23
2.80%
  
0.00%
                                                     14,734,528.89
1.88%
    
473,001,726.58
13.28%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           39,017,573.99
3.10%
                               38,117,635.36
2.17%
                                             94,770,248.37
2.57%
                                                      34,224,209.27
2.81%
                                                98,544,155.55
4.85%
                                     51,959,291.13
5.14%
                                                     37,519,312.66
4.79%
    
228,232,997.20
6.41%
Implementation Fund
                    
                                   562,139,366.94
55.66%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             289,776,466.41
16.47%
                                           361,847,420.25
9.82%
                        
International Growth Equity Fund (Class IV)
                                         284,144,986.76
22.61%
  
0.00%
  
0.00%
                                                      75,413,711.29
6.20%
                                              112,186,745.06
5.52%
    
                                                   235,903,770.58
30.12%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         612,354,472.96
48.73%
                             188,561,483.17
10.72%
                                           215,055,791.66
5.84%
                                                    316,839,836.66
26.04%
                                              350,333,392.10
17.23%
    
                                                   495,054,003.14
63.21%
        
International Small Companies Fund
                    
0.00%
            
Quality Fund (Class VI)
    
                             745,046,834.75
42.35%
                                        1,024,190,419.89
27.79%
                                                    553,986,763.31
45.52%
                                              787,534,172.97
38.73%
  
0.00%
    
                            37,052,878.89
49.94%
                          957,786,388.88
26.88%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    141,346.21
0.01%
                                               2,982,260.03
0.08%
                        
Special Situiations Fund
        
                                           146,866,774.92
3.99%
    
                                              100,658,151.71
4.95%
  
0.00%
        
159,664,974.19
4.48%
SPV
    
                                             40.31
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           272,010,209.23
7.38%
    
                                              108,152,455.91
5.32%
                                     12,957,385.01
1.28%
        
135,802,976.14
3.81%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               69,741,867.53
3.96%
  
0.00%
                                                    100,803,545.44
8.28%
                                                33,777,396.84
1.66%
        
                            35,486,766.64
47.83%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,652,195.75
2.23%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,256,730,205.02
100.00%
1,759,132,038.86
100.00%
3,684,861,076.82
100.00%
1,216,945,890.30
100.00%
2,033,461,633.02
100.00%
1,009,989,078.50
100.00%
783,211,615.27
100.00%
74,191,841.28
100.00%
3,562,966,139.93
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
July, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund/4061
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           637,985,306.27
17.09%
    
                                                43,045,186.68
2.09%
                                   294,578,030.22
23.01%
        
542,996,448.22
15.21%
Alternative Asset Opportunity Fund
      
75,038,264.23
2.01%
        
                                     96,289,208.49
7.52%
        
93,681,066.57
2.62%
Asset Allocation Bond Fund (VI)
        
0.00%
      
0.00%
  
0.00%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
168,539,149.28
9.48%
380,463,350.14
10.19%
134,483,037.59
9.13%
                                              274,940,790.93
13.34%
  
0.00%
        
812,787,029.31
22.76%
Debt Opportunities Fund, Class VI
      
                                             39,012,499.54
1.05%
    
                                                52,679,612.98
2.56%
                                     76,704,172.23
5.99%
        
92,433,494.66
2.59%
Domestic Bond Fund (Class VI)
      
                                             57,919,173.54
1.55%
    
                                                15,057,182.91
0.73%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             19,705,612.80
0.53%
    
                                                13,936,133.51
0.68%
                                     26,990,416.06
2.11%
        
70,259,377.99
1.97%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         337,520,358.31
26.00%
                             260,841,003.23
14.67%
                                           385,756,584.14
10.34%
                                                      29,636,532.68
2.01%
                                                57,544,286.31
2.79%
  
0.00%
                                                     14,902,284.44
1.92%
    
478,386,945.48
13.40%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           38,117,523.16
2.94%
                               36,935,643.02
2.08%
                                             89,690,516.58
2.40%
                                                      38,797,666.00
2.63%
                                                93,262,140.48
4.52%
                                     62,953,603.65
4.92%
                                                     35,508,259.11
4.58%
    
215,999,596.61
6.05%
Implementation Fund
                    
                                   709,884,083.61
55.44%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             290,025,515.95
16.31%
                                           365,135,916.47
9.78%
                        
International Growth Equity Fund (Class IV)
                                         295,299,445.50
22.75%
  
0.00%
  
0.00%
                                                      99,555,880.39
6.76%
                                              114,183,679.36
5.54%
    
                                                   239,436,013.39
30.89%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         627,250,853.71
48.32%
                             186,558,552.67
10.49%
                                           213,826,585.72
5.73%
                                                    363,658,924.31
24.69%
                                              348,330,972.70
16.90%
    
                                                   485,156,250.59
62.60%
        
International Small Companies Fund
    
0.00%
  
0.00%
      
0.00%
                
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
976,906,369.21
27.36%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                    139,748.64
0.01%
                                               2,992,974.74
0.08%
                        
Special Situations Fund (VI)
      
                                           146,812,014.75
3.93%
    
                                              100,620,620.71
4.88%
  
0.00%
        
150,182,380.66
4.21%
SPV
    
                                             40.31
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           274,859,361.15
7.36%
    
                                              109,285,291.24
5.30%
                                     13,093,106.23
1.02%
        
137,225,434.92
3.84%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               69,773,197.80
3.92%
    
                                                    115,533,478.98
7.84%
                                                34,361,956.76
1.67%
        
                            35,946,571.43
47.52%
    
U.S. Flexible Equities Fund (Class VI)
  
                             765,468,290.44
43.05%
1,043,045,818.64
27.95%
                                                    691,085,938.09
46.92%
                                              803,973,693.86
39.00%
        
                            38,059,793.89
50.31%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,640,366.18
2.17%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,298,188,180.68
100.00%
1,778,281,141.34
100.00%
3,732,243,978.71
100.00%
1,472,751,458.04
100.00%
2,061,221,548.43
100.00%
1,280,492,620.49
100.00%
775,002,807.53
100.00%
75,646,731.50
100.00%
3,570,858,143.63
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
August, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           698,539,857.34
17.73%
    
                                                45,929,416.80
2.18%
                                   410,409,791.51
24.14%
        
542,996,448.22
15.21%
Alternative Asset Opportunity Fund
      
97,914,840.06
2.49%
        
                                   152,426,398.80
8.97%
        
93,681,066.57
2.62%
Asset Allocation Bond Fund (VI)
        
0.00%
          
0.00%
          
0.00%
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
167,227,168.09
9.23%
400,674,774.75
10.17%
138,944,889.76
9.27%
275,816,294.54
13.10%
  
0.00%
        
812,787,029.31
22.76%
Debt Opportunities Fund, Class VI
      
                                             55,016,812.31
1.40%
    
                                                53,695,809.22
2.55%
                                   102,838,925.04
6.05%
        
92,433,494.66
2.59%
Domestic Bond Fund (Class VI)
      
                                             52,406,829.61
1.33%
    
                                                13,624,145.01
0.65%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                             25,558,446.45
0.65%
    
                                                14,296,214.45
0.68%
                                     44,263,582.28
2.60%
        
70,259,377.99
1.97%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
                                         327,565,806.78
25.61%
                             263,287,916.96
14.53%
                                           384,757,906.63
9.77%
                                                      29,914,548.93
2.00%
                                                58,084,101.38
2.76%
  
0.00%
                                                     15,777,564.64
1.85%
    
478,386,945.48
13.40%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                           36,487,583.63
2.85%
                               40,508,405.37
2.23%
                                             92,572,730.20
2.35%
                                                      38,473,445.09
2.57%
                                                76,281,677.81
3.62%
                                     67,133,737.12
3.95%
                                                     36,896,191.77
4.33%
    
215,999,596.61
6.05%
Implementation Fund
                    
                                   909,568,580.99
53.51%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
        
0.00%
                        
International Core Equity Fund (VI)
  
                             327,643,404.19
18.08%
                                           413,205,947.76
10.49%
                        
International Growth Equity Fund (Class IV)
                                         284,803,799.32
22.26%
  
0.00%
  
0.00%
  
0.00%
                                              127,250,654.61
6.04%
    
                                                   257,169,021.77
30.21%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
                                         630,318,433.27
49.28%
                             193,744,228.27
10.69%
                                           226,490,843.54
5.75%
                                                    386,224,522.27
25.76%
                                              394,988,823.10
18.76%
    
                                                   541,387,676.65
63.60%
        
International Small Companies Fund
    
0.00%
  
0.00%
      
0.00%
  
0.00%
            
Quality Fund (Class VI)
      
0.00%
  
0.00%
                                                    115,769,254.70
7.72%
  
0.00%
  
0.00%
      
0.00%
976,906,369.21
27.36%
Real Estate Fund
                                    
Short-Duration Investment Fund
  
                                                   -
0.00%
  
0.00%
                        
Special Situations Fund (VI)
      
                                           160,308,824.35
4.07%
    
                                              101,033,461.75
4.80%
  
0.00%
        
150,182,380.66
4.21%
SPV
    
                                             38.56
0.00%
                            
Special Purpose Holdings Fund
  
                                           179.17
0.00%
3,837.26
0.00%
                    
                          137,225,434.92
3.84%
Strategic Fixed Income Fund (Class VI)
      
                                           287,626,168.66
7.30%
    
                                              111,017,862.93
5.27%
                                     13,300,679.87
0.78%
          
0.00%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               71,114,990.06
3.92%
  
0.00%
                                                      90,328,299.36
6.03%
                                                35,022,763.62
1.66%
        
                            36,637,851.65
47.51%
    
U.S. Flexible Equities Fund (Class VI)
  
                             748,953,233.93
41.32%
1,044,785,760.49
26.52%
                                                    699,402,775.17
46.66%
                                              798,423,193.05
37.92%
        
                            38,775,062.03
50.29%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,697,542.41
2.20%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,279,175,623.00
100.00%
1,812,479,564.60
100.00%
3,939,863,579.41
100.00%
1,499,057,735.28
100.00%
2,105,464,418.27
100.00%
1,699,941,695.61
100.00%
851,230,454.83
100.00%
77,110,456.09
100.00%
3,570,858,143.63
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
September, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund/4061
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           696,422,666.94
17.59%
    
                                              109,393,595.43
5.22%
                                   481,470,232.41
24.10%
        
575,906,486.91
15.65%
Alternative Asset Opportunity Fund
    
0.00%
172,146,472.71
4.35%
        
                                   180,533,449.75
9.04%
        
179,722,755.01
4.89%
Asset Allocation Bond Fund (VI)
    
0.00%
  
0.00%
      
0.00%
              
0.00%
Core Plus Bond Fund (Class (IV)
    
0.00%
                            
Currency Hedged International Bond Fund
  
0.00%
316,447,857.76
7.99%
                        
Currency Hedged International Equity Fund III
180,010,345.17
9.66%
    
152,058,555.34
9.93%
228,138,641.37
10.89%
  
0.00%
        
870,661,454.14
23.67%
Debt Opportunities Fund, Class VI
    
0.00%
95,534,094.10
2.41%
    
75,431,784.47
3.60%
                                   119,869,335.32
6.00%
        
149,986,869.45
4.08%
Domestic Bond Fund (Class VI)
    
0.00%
                                             48,819,849.83
1.23%
    
                                                12,691,641.88
0.61%
                
Emerging Countries Fund
    
0.00%
                            
Emerging Country Debt Fund (Class III)
                    
0.00%
            
Emerging Country Debt Fund (Class IV)
      
                                             85,602,117.83
2.16%
    
                                                58,334,212.15
2.78%
50,065,769.38
2.51%
        
95,662,323.59
2.60%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                
0.00%
Emerging Markets Fund (Class VI)
344,918,270.53
26.22%
277,235,325.20
14.88%
                                           376,538,664.42
9.51%
                                                      31,499,241.58
2.06%
                                                39,955,893.03
1.91%
    
                                                     16,613,364.99
1.90%
    
464,388,616.49
12.62%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
37,252,751.66
2.83%
33,334,940.93
1.79%
                                             72,482,017.56
1.83%
                                                      27,549,492.06
1.80%
                                                67,589,579.00
3.22%
                                     78,301,700.38
3.92%
                                                     37,604,348.57
4.31%
    
100,151,630.49
2.72%
Implementation Fund
                    
                                1,087,520,104.35
54.44%
            
Inflation Indexed Plus Bond Fund (Class VI)
              
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
396,894,496.89
21.31%
                                           479,461,658.70
12.11%
                        
International Growth Equity Fund (Class IV)
283,126,504.70
21.53%
  
0.00%
  
0.00%
                                                    136,467,387.72
8.91%
                                              139,536,590.98
6.66%
    
                                                   261,223,443.96
29.91%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
649,957,535.67
49.42%
199,829,912.06
10.73%
                                           233,118,727.36
5.89%
                                                    438,926,830.88
28.65%
                                              429,070,286.03
20.47%
    
                                                   557,922,981.27
63.88%
        
International Small Companies Fund
        
0.00%
      
0.00%
                
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
923,349,243.31
25.10%
Real Estate Fund
                                    
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
173.48
0.00%
                                                      3,715.44
0.00%
                        
Special Situations Fund (VI)
      
                                           155,187,517.18
3.92%
    
                                                65,761,062.98
3.14%
  
0.00%
        
178,620,339.47
4.86%
SPV
    
36.81
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           289,697,905.77
7.32%
    
                                              111,817,511.41
5.34%
  
0.00%
        
140,405,048.65
3.82%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
72,869,641.49
3.91%
    
                                                      77,018,158.43
5.03%
                                                     750,203.31
0.04%
        
                            36,946,889.66
47.29%
    
U.S. Flexible Equities Fund Class VI
  
702,654,728.54
37.72%
936,670,101.92
23.66%
                                                    668,494,943.21
43.64%
                                              757,420,106.94
36.14%
        
                            39,452,684.47
50.49%
    
U.S. Growth Fund (III)
      
0.00%
                            
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,736,974.29
2.22%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,315,255,062.56
100.00%
1,862,829,600.57
100.00%
3,958,133,367.52
100.00%
1,532,014,609.22
100.00%
2,095,891,108.98
100.00%
1,997,760,591.59
100.00%
873,364,138.79
100.00%
78,136,548.42
100.00%
3,678,854,767.51
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
October, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           794,305,162.81
17.94%
    
                                              106,628,476.41
5.14%
                                   543,027,087.86
24.09%
        
575,906,486.91
15.65%
Alternative Asset Opportunity Fund
      
224,132,703.41
5.06%
        
                                   204,692,047.09
9.08%
        
179,722,755.01
4.89%
Asset Allocation Bond Fund (VI)
        
0.00%
      
0.00%
                
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
188,853,264.38
9.82%
337,223,269.51
7.62%
                                                    140,689,791.79
10.11%
229,686,272.41
11.06%
  
0.00%
        
870,661,454.14
23.67%
Debt Opportunities Fund, Class VI
      
108,364,328.69
2.45%
    
75,910,805.89
  
                                   133,436,725.61
5.92%
        
149,986,869.45
4.08%
Domestic Bond Fund (Class VI)
      
                                             46,841,735.98
1.06%
    
                                                12,177,393.83
0.59%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                    
0.00%
            
Emerging Country Debt Fund (Class IV)
      
                                           111,831,073.15
2.53%
    
                                                58,727,982.14
2.83%
            
95,662,323.59
2.60%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
342,696,096.40
25.86%
285,463,386.35
14.84%
                                           404,295,306.95
9.13%
                                                      28,581,765.70
2.05%
                                                39,597,223.60
1.91%
                                     60,524,247.79
2.69%
                                                     16,464,232.89
1.87%
    
464,388,616.49
12.62%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
37,732,229.72
2.85%
34,888,880.66
1.81%
                                             79,719,199.58
1.80%
                                                      25,495,717.04
1.83%
                                                68,303,553.42
3.29%
                                     91,524,505.66
4.06%
                                                     38,001,577.61
4.32%
    
100,151,630.49
2.72%
Implementation Fund
                    
                                1,220,856,780.92
54.16%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
419,215,975.39
21.79%
                                           585,559,232.33
13.23%
                        
International Growth Equity Fund (Class IV)
283,592,468.50
21.40%
  
0.00%
  
0.00%
                                                    125,542,411.20
9.02%
                                              140,131,629.75
6.75%
    
                                                   261,307,958.60
29.70%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
661,225,976.20
49.89%
210,168,086.74
10.93%
                                           251,631,471.27
5.68%
                                                    406,888,826.88
29.24%
                                              434,211,417.76
20.92%
    
                                                   564,136,185.42
64.11%
        
International Small Companies Fund
0.00%
      
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
923,349,243.31
25.10%
Real Estate Fund
                                    
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
167.79
0.00%
                                                      3,593.62
0.00%
                        
Special Situations Fund (VI)
      
                                           170,353,299.50
3.85%
    
                                                64,288,898.68
3.10%
  
0.00%
        
178,620,339.47
4.86%
SPV
    
35.05
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           286,462,340.93
6.47%
    
                                              111,950,786.15
5.39%
  
0.00%
        
140,405,048.65
3.82%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
73,584,863.40
3.83%
    
                                                      68,848,776.36
4.95%
  
0.00%
        
                            35,910,805.32
47.38%
    
U.S. Flexible Equities Fund Class VI
  
711,488,529.53
36.99%
1,026,713,885.36
23.19%
                                                    595,614,733.08
42.80%
                                              734,190,084.24
35.37%
        
                            38,151,627.66
50.34%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
                              1,731,059.51
2.28%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,325,246,770.82
100.00%
1,923,663,189.29
100.00%
4,427,436,603.09
100.00%
1,391,662,022.05
100.00%
2,075,804,524.28
96.34%
2,254,061,394.93
100.00%
879,909,954.52
100.00%
75,793,492.49
100.00%
3,678,854,767.51
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
November, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           756,680,933.41
17.05%
    
77,871,581.07
3.82%
627,068,399.08
23.88%
        
502,260,941.12
13.67%
Alternative Asset Opportunity Fund
      
229,985,692.71
5.18%
        
240,576,035.05
9.16%
        
178,288,796.86
4.85%
Asset Allocation Bond Fund (VI)
        
0.00%
      
0.00%
  
0.00%
            
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
148,036,075.13
7.49%
224,537,619.34
5.06%
107,402,793.92
7.47%
135,066,152.51
6.63%
  
0.00%
        
856,351,280.70
23.30%
Debt Opportunities Fund, Class VI
      
109,459,210.62
2.47%
    
76,277,116.38
3.74%
137,427,101.59
5.23%
        
151,667,708.48
4.13%
Domestic Bond Fund (Class VI)
      
                                             47,131,859.34
1.06%
    
12,252,816.88
0.60%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                           113,753,955.77
2.56%
    
59,684,280.70
2.93%
70,545,684.96
2.69%
        
97,876,302.15
2.66%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
344,225,989.69
25.95%
286,636,253.88
14.50%
                                           406,461,788.74
9.16%
29,371,727.00
2.04%
36,632,140.08
1.80%
  
0.00%
16,945,274.58
1.86%
    
461,527,937.60
12.56%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
39,178,412.74
2.95%
36,226,085.15
1.83%
                                             82,847,486.95
1.87%
27,077,639.86
1.88%
70,921,459.65
3.48%
97,288,517.16
3.70%
40,435,128.89
4.44%
    
105,088,682.70
2.86%
Implementation Fund
                    
1,453,505,452.34
55.34%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
427,394,315.20
21.62%
                                           587,750,598.15
13.24%
                        
International Growth Equity Fund (Class IV)
275,122,353.58
20.74%
22,639,970.03
1.15%
                                             25,915,769.02
0.58%
149,757,367.06
10.42%
163,725,866.07
8.03%
    
269,052,928.28
29.54%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
668,115,030.38
50.36%
234,673,649.38
11.87%
                                           319,840,691.11
7.20%
441,129,877.93
30.68%
481,270,526.35
23.61%
    
584,527,462.83
64.17%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
866,718,386.39
23.58%
Real Estate Fund
                                    
Risk Premium Fund (Class VI)
      
66,568,841.60
1.50%
    
44,170,301.61
2.17%
            
137,840,936.36
3.75%
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
167.79
0.00%
                                                      3,593.62
0.00%
                        
Special SIT Fund-Class VI
      
                                           165,486,207.99
3.73%
    
63,916,137.38
3.14%
  
0.00%
        
176,289,912.94
4.80%
SPV
    
35.05
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           287,826,447.31
6.48%
    
112,483,885.13
5.52%
  
0.00%
        
141,241,789.11
3.84%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
73,424,547.79
3.71%
    
70,224,315.67
4.88%
  
0.00%
        
35,832,568.27
47.18%
    
U.S. Flexible Equities Fund Class VI
  
747,888,938.36
37.83%
1,015,049,494.42
22.87%
612,655,635.66
42.62%
704,241,016.94
34.55%
        
38,339,381.74
50.48%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,770,491.39
2.33%
  
0.00%
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
            
                                     
Total Market Value
1,326,641,786.39
100.00%
1,976,920,037.76
100.00%
4,439,300,190.10
100.00%
1,437,619,357.10
100.00%
2,038,513,280.75
100.00%
2,626,411,190.18
100.00%
910,960,794.58
100.00%
75,942,441.40
100.00%
3,675,152,674.41
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
December, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           737,308,110.02
16.08%
    
63,010,801.85
3.03%
806,107,734.07
24.18%
        
457,035,004.53
12.05%
Alternative Asset Opportunity Fund
      
247,553,718.35
5.40%
        
304,357,639.35
9.13%
        
183,358,607.74
4.84%
Asset Allocation Bond Fund (VI)
        
0.00%
                        
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
151,464,121.89
6.94%
                                           224,002,155.96
4.88%
111,792,147.80
7.99%
132,733,225.19
6.39%
  
0.00%
        
877,363,959.67
23.14%
Debt Opportunities Fund, Class VI
      
                                           113,332,439.86
2.47%
    
76,813,782.98
3.70%
193,109,007.34
5.79%
        
154,648,014.92
4.08%
Domestic Bond Fund (Class VI)
      
                                             47,685,731.22
1.04%
    
12,396,806.33
0.60%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                           119,750,014.61
2.61%
    
61,307,881.93
2.95%
90,674,586.68
2.72%
        
101,800,262.66
2.68%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
366,161,583.18
26.63%
329,547,448.91
15.09%
                                           448,952,076.14
9.79%
31,256,586.60
2.23%
39,016,676.15
1.88%
  
0.00%
18,083,387.46
1.92%
    
493,325,049.84
13.01%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (Class VI)
  
41,694,276.49
1.91%
90,468,974.67
1.97%
29,737,383.43
2.13%
77,887,831.05
3.75%
119,120,890.15
3.57%
        
116,369,337.66
3.07%
Implementation Fund
43,026,773.66
3.13%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
1,820,829,504.33
54.61%
42,299,987.92
4.49%
      
0.00%
Inflation Indexed Plus Bond Fund (Class VI)
              
0.00%
                
International Bond Fund (Class III)
                
0.00%
                
International Core Equity Fund (VI)
  
477,931,326.44
21.89%
                                           617,013,240.84
13.46%
                        
International Growth Equity Fund (Class IV)
271,942,580.46
19.78%
28,162,785.20
1.29%
                                             27,080,171.31
0.59%
153,714,353.56
10.98%
167,941,399.00
8.08%
    
267,530,456.87
28.42%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
693,829,409.45
50.46%
271,322,112.90
12.43%
                                           335,151,388.81
7.31%
460,837,353.82
32.93%
502,384,691.60
24.19%
    
613,333,257.56
65.16%
        
International Small Companies Fund
        
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
852,173,463.56
22.47%
Real Estate Fund
                                    
Risk Premium Fund (Class VI)
      
115,545,689.96
2.52%
    
74,451,229.08
3.58%
            
235,859,613.99
6.22%
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
162.11
0.00%
                                                      3,471.81
0.00%
                        
Special SIT Fund-Class VI
      
                                           161,423,319.04
3.52%
    
63,245,167.05
3.04%
  
0.00%
        
175,887,244.80
4.64%
SPV
    
33.30
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           291,507,469.01
6.36%
    
113,395,394.28
5.46%
  
0.00%
        
144,182,287.93
3.80%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
72,664,888.05
3.33%
      
0.00%
  
0.00%
        
35,860,205.57
47.31%
    
U.S. Flexible Equities Fund Class VI
  
810,691,446.12
37.13%
1,008,894,401.38
22.00%
611,979,256.38
43.73%
692,664,546.01
33.35%
        
38,124,547.08
50.30%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,811,082.98
2.39%
    
World Opportunity Overaly Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,374,960,346.75
100.00%
2,183,478,601.41
100.00%
4,585,672,372.99
100.00%
1,399,317,081.59
100.00%
2,077,249,432.50
100.00%
3,334,199,361.92
100.00%
941,247,089.81
100.00%
75,795,835.63
100.00%
3,792,002,847.30
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
January, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
                                           723,663,082.19
15.40%
    
62,597,522.29
2.92%
1,030,208,148.32
24.61%
        
457,131,993.31
11.67%
Alternative Asset Opportunity Fund
      
260,705,335.63
5.55%
        
399,101,690.33
9.53%
        
187,076,121.57
4.78%
Asset Allocation Bond Fund (VI)
        
0.00%
      
0.00%
  
0.00%
            
Core Plus Bond Fund (Class (IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
158,049,518.50
11.13%
                                           234,460,023.36
4.99%
101,136,280.58
6.61%
137,772,365.14
6.44%
  
0.00%
        
923,858,044.87
23.58%
Debt Opportunities Fund, Class VI
      
                                           115,790,659.85
2.46%
    
77,714,057.94
3.63%
244,674,565.21
          
157,972,034.75
4.03%
Domestic Bond Fund (Class VI)
      
                                             45,311,994.60
0.96%
    
11,779,708.67
0.55%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class III)
                                  
Emerging Country Debt Fund (Class IV)
      
                                           120,218,708.55
2.56%
    
61,426,810.90
2.87%
117,341,661.37
2.80%
        
102,994,674.73
2.63%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
369,972,007.42
26.12%
335,266,597.46
23.60%
                                           455,208,452.97
9.69%
31,535,453.60
2.06%
39,481,951.68
1.84%
  
0.00%
18,299,032.63
1.86%
    
499,207,972.07
12.74%
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
45,994,906.91
3.25%
44,570,489.55
3.14%
                                             96,902,794.23
2.06%
31,696,204.10
2.07%
82,726,306.95
3.87%
135,825,939.49
3.24%
44,640,563.53
4.55%
    
125,465,873.92
3.20%
Implementation Fund
                    
2,259,812,358.08
              
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
                
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
495,248,108.80
34.86%
                                           638,598,844.74
13.59%
                        
International Growth Equity Fund (Class IV)
281,057,353.56
19.84%
28,654,977.36
2.02%
                                             28,272,676.00
0.60%
159,693,951.37
10.44%
173,948,815.75
8.13%
    
279,213,984.64
28.43%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
719,428,568.06
50.79%
282,216,499.85
19.87%
                                           360,251,250.16
7.67%
477,929,423.69
31.24%
519,608,092.20
24.28%
    
640,021,783.02
65.16%
        
International Small Companies Fund
        
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
        
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
901,859,662.87
23.02%
Real Estate Fund
                                    
Risk Premium Fund (Class VI)
      
117,555,180.22
2.50%
    
75,746,033.07
3.54%
            
243,009,115.97
6.20%
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
156.42
  
                                                      3,349.99
0.00%
                        
Special SIT Fund-Class VI
      
                                           158,532,909.57
3.37%
    
62,052,330.89
2.90%
  
0.00%
        
172,569,921.52
4.41%
Special Situations Fund
                                    
SPV
    
31.55
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
                                           295,366,818.72
6.29%
    
113,995,030.89
5.33%
  
0.00%
        
146,236,930.20
3.73%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
76,579,847.40
5.39%
    
73,801,527.56
4.82%
  
0.00%
        
37,669,812.03
47.68%
    
U.S. Flexible Equities Fund Class VI
      
1,047,434,273.99
22.29%
654,147,827.91
42.76%
721,342,461.40
33.70%
        
39,398,305.70
49.87%
    
U.S. Growth Fund (III)
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,941,304.66
2.46%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,416,452,835.95
100.00%
1,420,586,226.89
100.00%
4,698,276,354.77
100.00%
1,529,940,668.81
100.00%
2,140,191,487.77
100.00%
4,186,964,362.80
40.18%
982,175,363.82
100.00%
79,009,422.39
100.00%
3,917,382,345.78
100.00%
                                     
                                     
                                     
                                     
GMO Fund of Fund Allocation %
                                  
February, 2013
                                    
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global  Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Benchmark-Free Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                     
Alpha Only Fund (Class IV)
    
0.00%
729,162,436.29
15.97%
    
62,597,522.29
2.92%
                                1,117,748,983.38
24.28%
        
457,131,993.31
11.58%
Alternative Asset Allocation Fund
      
269,060,668.40
5.89%
        
                                   481,287,387.03
10.46%
        
188,187,831.77
4.77%
Asset Allocation Bond Fund (VI)
                
0.00%
                
Core Plus Bond Fund (Class IV)
                                  
Currency Hedged International Bond Fund
                                
Currency Hedged International Equity Fund
161,105,664.51
7.05%
243,043,903.16
5.32%
105,584,819.39
6.84%
138,977,873.33
6.47%
  
0.00%
        
933,152,302.76
23.64%
Debt Opportunities Fund, Class VI
      
119,450,614.43
2.62%
    
78,618,928.49
3.66%
                                   267,402,815.45
5.81%
        
162,220,146.06
4.11%
Domestic Bond Fund (Class VI)
      
45,628,492.82
1.00%
    
11,861,988.36
0.55%
                
Emerging Countries Fund
                                  
Emerging Country Debt Fund (Class IV)
      
121,041,372.67
2.65%
    
62,062,358.31
2.89%
                                   127,099,622.75
2.76%
        
102,994,674.73
2.61%
Emerging Markets Fund (Class III)
                                  
Emerging Markets Fund (Class IV)
                                  
Emerging Markets Fund (Class VI)
357,138,076.54
25.77%
                             335,104,988.15
14.67%
455,385,221.64
9.97%
31,004,553.70
2.01%
38,817,272.36
1.81%
    
19,089,765.99
1.97%
    
490,803,797.46
12.43%
Emerging Markets Opportunities Fund ( Class VI)
                
0.00%
            
Flexible Equities Fund-Class (VI)
45,162,963.04
3.26%
                               42,427,714.70
1.86%
100,158,243.35
2.19%
32,542,051.37
2.11%
84,933,947.36
3.96%
141,469,402.60
  
43,798,346.85
4.53%
    
128,814,065.61
3.26%
Implementation Fund
                    
2,468,387,419.65
53.62%
            
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00%
      
0.00%
  
0.00%
            
International Bond Fund (Class III)
                                  
International Core Equity Fund (VI)
  
                             487,462,737.08
21.34%
622,763,298.31
13.64%
                        
International Growth Equity Fund (Class IV)
285,931,562.12
20.63%
                               30,002,709.67
1.31%
28,498,947.37
0.62%
155,180,561.20
10.05%
174,154,916.25
8.11%
    
278,348,071.17
28.79%
        
International Intrinsic Value Fund (Class III)
                                
International Intrinsic Value Fund (Class IV)
697,441,748.41
50.33%
                             278,726,152.59
12.20%
353,974,608.27
7.75%
477,749,782.93
30.95%
504,873,818.36
23.52%
    
625,551,511.00
64.70%
        
International Small Companies Fund
    
0.00%
  
0.00%
  
0.00%
  
0.00%
      
0.00%
        
Quality Fund (Class VI)
      
0.00%
  
0.00%
  
0.00%
  
0.00%
          
0.00%
918,524,953.59
23.27%
Real Estate Fund
                      
0.00%
            
Risk Premium Fund (Class VI)
      
117,555,180.22
2.57%
    
75,746,033.07
              
243,009,115.97
6.16%
Short-Duration Investment Fund
    
0.00%
  
0.00%
                        
Special Purpose Holding Fund
  
                                           153.57
  
3,289.08
0.00%
                        
Special SIT Fund-Class VI
        
0.00%
    
63,120,913.28
2.94%
            
175,541,690.29
4.45%
SPV
    
                                             29.80
0.00%
                            
Strategic Fixed Income Fund (Class VI)
      
296,449,409.38
6.49%
    
114,412,850.19
5.33%
  
0.00%
        
146,772,923.83
3.72%
U.S. Core Equity Fund (Class III)
                                  
U.S. Core Equity Fund (Class V)
                                  
U.S. Core Equity Fund (Class VI)
  
                               78,775,009.25
3.45%
    
75,688,384.68
4.90%
  
0.00%
        
38,283,950.63
47.57%
    
U.S. Flexible Equities Fund Class VI
  
                             871,120,726.08
38.13%
1,064,154,143.17
23.30%
665,980,381.92
43.14%
736,234,616.96
34.30%
        
40,220,812.78
49.97%
    
U.S. Growth Fund
                                    
U.S. Small/Mid Cap Growth Fund
                            
0.00%
    
U.S. Small/Mid Cap Value Fund
                          
1,979,369.46
2.46%
    
World Opportunity Overlay Fund
        
0.00%
      
0.00%
  
0.00%
          
0.00%
                                     
Total Market Value
1,385,674,350.11
100.00%
2,284,725,885.40
100.00%
4,566,329,828.56
100.00%
1,543,730,535.19
100.00%
2,146,413,038.61
96.47%
4,603,395,630.86
96.93%
966,787,695.01
100.00%
80,484,132.87
100.00%
3,947,153,495.38
100.00%