GMO Update

GMOQuarterlyUpdate June30,2016
GMOoffersinstitutionallyorientedinvestmentstrategies.Thisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.
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GMOLLC2016
GMOCapabilities
June30,2016
GMOMultiAssetClass
BenchmarkFreeAllocation
GlobalAllocationAbsoluteReturn
GlobalAssetAllocation
RealReturnGlobalBalancedAssetAllocation
TaxManagedGlobalBalanced
GMOGlobalEquities
GlobalAllCountryEquityAllocation
GlobalDevelopedEquityAllocation
Quality
Resources
Page
4
7
10
13
16
Page
19
21
23
25
GMOInternationalEquities
InternationalAllCountryEquityAllocation
InternationalDevelopedEquityAllocation
TaxManagedInternationalEquities*
InternationalEquity
InternationalActiveEAFE
InternationalActiveForeignSmallCompanies
Page
27
29
GMOU.S.Equities
U.S.EquityAllocation
Page
37
31
33
35
GMOEmergingEquities
EmergingMarkets
EmergingCountries*
EmergingDomesticOpportunities
Page
39
GMOFixedIncome
GlobalBond
CurrencyHedgedInternationalBond
CorePlusBond
EmergingCountryDebt*
EmergingCountryLocalDebt*
EmergingCountryDebtU.S.RatesHedged*
DebtOpportunities
Page
43
45
47
GMOAbsoluteReturn
FixedIncomeHedge
MeanReversion
MeanReversion(Comprehensive)
SystematicGlobalMacro
SystematicGlobalMacroMajorMarkets
TacticalOpportunities
MultiStrategy*
Page
51
53
55
57
59
61
41
49
*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnot
includedinthisdocument.ForinformationpleasecontactGMO.
PerformanceofGMOStrategiesandBenchmarks
June30,2016
2Q
2016
0.84
0.84
TotalReturnNetofFees
YTD
YTDValue
2016
Added
1.14
0.27
0.87
One
Year
4.07
0.90
AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
3.81
5.25
9.22
1.36
1.72
2.04
GMOMultiAssetClassStrategies
BenchmarkFreeAllocation
CPI
Inception
7/31/01
GlobalAllocationAbsoluteReturn
CPI
7/31/01
1.15
0.84
1.72
0.87
0.85
2.25
0.90
3.97
1.36
5.04
1.72
8.15
2.04
GlobalAssetAllocation
GMOGlobalAssetAllocation+
6/30/88
0.92
1.42
2.55
2.76
0.22
3.08
0.16
3.84
5.08
4.70
4.83
8.99
7.73
RealReturnGlobalBalancedAssetAllocation
GMORealReturnGlobalBalancedAABlended+
6/30/04
0.75
1.07
2.30
1.58
0.73
3.12
0.23
4.21
4.89
4.71
4.21
5.77
5.03
TaxManagedGlobalBalanced
GMOTaxManagedGlobalBalancedIndex
12/31/02
0.79
1.28
0.48
2.16
1.69
3.28
0.44
3.37
5.21
4.08
4.76
6.53
6.49
GMOGlobalEquityStrategies
GlobalAllCountryEquityAllocation
MSCIACWI++
Inception
12/31/93
2Q
2016
0.15
0.99
YTD
2016
1.23
1.23
YTDValue
Added
0.00
One
Year
7.30
3.73
Five
Year
4.17
5.61
Ten
Year
4.39
4.34
Since
Inception
8.12
6.87
GlobalDevelopedEquityAllocation
MSCIWorld+
3/31/87
0.24
1.01
0.30
0.66
0.95
6.95
2.78
5.33
6.63
4.23
4.44
8.70
7.05
Quality
S&P500
2/29/04
2.50
2.46
6.66
3.84
2.83
9.31
3.99
12.27
12.09
8.13
7.42
6.80
7.24
Resources
MSCIACWICommodityProducers
12/31/11
7.15
10.76
20.22
20.16
0.06
7.63
6.05
GMOInternationalEquityStrategies
InternationalAllCountryEquityAllocation
MSCIACWIexUSA+
Inception
2/28/94
2Q
2016
0.02
0.64
YTD
2016
1.25
1.02
YTDValue
Added
2.26
One
Year
12.01
10.24
Five
Year
0.28
0.15
Ten
Year
1.84
1.79
Since
Inception
6.38
4.84
InternationalDevelopedEquityAllocation
MSCIEAFE++
11/30/91
1.31
1.46
3.18
4.42
1.25
13.59
10.16
1.05
1.68
1.65
1.69
7.14
5.57
InternationalEquity
MSCIEAFE+
MSCIEAFE
3/31/87
2.00
1.46
1.46
4.58
4.42
4.42
0.16
14.39
10.16
10.16
0.19
1.88
1.68
0.46
1.12
1.58
7.09
6.40
4.76
InternationalActiveEAFE
MSCIEAFE
5/31/81
2.18
1.46
5.73
4.42
1.31
8.44
10.16
1.22
1.68
1.04
1.58
10.99
8.30
Int'l.ActiveForeignSmallCompanies
S&PDevelopedexU.S.SmallCap
1/31/95
3.79
1.30
5.64
0.78
4.86
8.67
3.80
2.69
4.19
4.54
4.15
10.00
6.86
GMOU.S.EquityStrategies
U.S.EquityAllocation
Russell3000+++
Inception
2/28/89
2Q
2016
1.06
2.63
YTD
2016
3.22
3.62
YTDValue
Added
0.41
One
Year
4.01
2.14
Five
Year
10.89
11.63
Ten
Year
6.66
7.35
Since
Inception
10.31
9.93
2.58
4.82
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaction
costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.
Copyright 2016 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without written
permission from GMO.
PerformanceofGMOStrategiesandBenchmarks
June30,2016
GMOEmergingEquityStrategies
EmergingMarkets
S&P/IFCIComposite
MSCIEmergingMarkets
Inception
12/31/93
EmergingDomesticOpportunities
MSCIEmergingMarkets
3/31/11
GMOFixedIncomeStrategies
GlobalBond*
J.P.MorganGBIGlobal
Inception
12/31/95
CurrencyHedgedInternationalBond
J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+
2Q
2016
1.94
1.43
0.66
TotalReturnNetofFees
YTD
YTDValue
2016
Added
11.05
4.94
6.11
6.41
One
Year
8.02
10.63
12.05
AverageAnnualTotalReturn
Five
Ten
Since
Year
Year
Inception
5.07
1.98
6.45
2.66
4.44
5.00
3.78
3.54
4.30
4.01
0.66
5.52
6.41
0.89
5.37
12.05
1.69
3.78
2.44
3.82
2Q
2016
3.51
3.59
YTD
2016
8.87
10.58
YTDValue
Added
1.71
One
Year
9.98
11.52
Five
Year
3.40
1.60
Ten
Year
4.51
4.57
Since
Inception
5.58
4.88
9/30/94
3.48
3.24
6.34
7.27
0.93
9.49
10.42
8.15
7.17
5.61
5.91
7.93
6.99
CorePlusBond
BarclaysU.S.Aggregate
4/30/97
2.71
2.21
3.55
5.31
1.76
3.53
6.00
5.32
3.76
4.75
5.13
5.77
5.61
DebtOpportunities
J.P.MorganU.S.3MonthCash
10/31/11
1.56
0.24
1.49
0.47
1.02
1.86
0.69
GMOAbsoluteReturnStrategies
FixedIncomeHedge
FixedIncomeHedgeBlended
Inception
8/31/05
2Q
2016
0.41
0.06
YTD
2016
9.56
0.18
YTDValue
Added
9.74
One
Year
8.33
0.39
Five
Year
3.48
0.48
Ten
Year
1.69
1.70
Since
Inception
1.03
1.91
MeanReversion
Citigroup3Mo.TBill
2/28/02
2.54
0.06
1.16
0.12
1.28
2.07
0.14
0.61
0.06
1.91
0.96
5.58
1.29
MeanReversion(Comprehensive)
Citigroup3Mo.TBill
2/28/02
2.36
0.06
1.25
0.12
1.37
1.56
0.14
0.74
0.06
1.98
0.96
5.63
1.29
SystematicGlobalMacro
Citigroup3Mo.TBill
3/31/02
4.21
0.06
5.91
0.12
5.79
2.44
0.14
4.96
0.06
6.29
0.96
6.80
1.28
SystematicGlobalMacroMajorMarkets
Citigroup3Mo.TBill
10/31/11
5.28
0.06
5.82
0.12
5.71
5.14
0.14
TacticalOpportunities
Citigroup3Mo.TBill
9/30/04
1.00
0.06
7.03
0.12
6.92
26.22
0.14
5.35
0.55
3.83
0.07
0.52
0.06
2.43
0.96
4.55
1.30
* Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
GMOBenchmarkFreeAllocationStrategy
June30,2016
STRATEGYPROFILE
PERFORMANCENETOFFEES
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,6.6
OtherU.S.,4.0
Europe, 8.1
Japan,3.3
OtherInternational,2.1
EmergingMarkets, 17.2
MergerArbitrage,5.1
SpecialOpportunity,5.1
Systematic GlobalMacro,5.1
RelativeValueInterestRates&FX,2.5
High Yield/Distressed, 3.4
ABS/StructuredProducts,4.8
EmergingDebt,4.5
Cash&CashEquiv.,28.1
80
60
40
20
0
U.S.Equity
Intl.DevelopedEquity
EmergingEquity
2Q2016
YTD2016
EquityRegionalWeights(%)
41.3
EuropeexUK
14.9
Japan
OtherInternational
UnitedKingdom
Benchmark
0.84
0.87
4.17
1.31
11.24
10.35
3.60
4.58
19.86
12.07
10.93
12.75
0.72
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
AnnualTotalReturn(%)
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Alternative Strategies
FixedIncome
Cash
Emerging
Strategy
0.84
1.14
8.0
AnnualizedReturn(%)
4.4
9.22
10
5.2
UnitedStates
0.90
EquityCharacteristics
5.25
3.81
26.2
1.36
2.04
1.72
0
Strategy
Price/EarningsHist1YrWtdMed
Price/BookHist1YrWtdAvg
ReturnonEquityHist1YrMed
11.4 %
DividendYieldHist1YrWtdAvg
11.45
3.3 years
Benchmark
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.
BB
16.0%
B
12.2%
<B
17.2%
NR
0.1%
SD
0.7%
1 The groups indicated above represent exposures determined pursuant to
proprietary methodologies and are subject to change over time.
2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is
the return over the risk free rate per unit of risk. Drawdown is the largest
negative cumulative portfolio return from peak to trough. Risk profile data is net.
3 The credit ratings above may encompass emerging debt, developed rates, and
assetbacked exposure. Ratings for the emerging debt and developed rates
portions of the portfolio are derived by taking the Standard and Poors country
ratings and applying these ratings to the country exposures of the portfolio. For
the assetbacked portion of the portfolio, credit ratings are derived by using the
lowest rating among rating agencies at the issue level. Final credit ratings are
expressed based upon Standard and Poors ratings scale. Standard & Poors rates
securities from AAA (highest quality) to C (lowest quality), and D to indicate
securities in default; some securities are not rated (NR). BB and below are
considered below investment grade securities.
The above information is based on a representative account in the Strategy
selected because it has the fewest restrictions and best represents the
implementation of the Strategy.
8.8%
27.3%
4.8%
13.0%
(617)3307500| www.gmo.com
GMOLLC2016
Strategy
ITD
ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocation
Composite(theComposite).PriortoJanuary1,2012,theaccountsinthe
Compositeservedastheprincipalcomponentofabroaderrealreturnstrategy.
BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasa
standaloneinvestment.
BondPortfolio
BondPortfolioDuration
CreditRatings
AAA
AA
A
BBB
10YR
Performancedataquotedrepresentspastperformanceandisnotpredictiveof
futureperformance.Returnsareshownafterthedeductionofmanagementfees,
transactioncostsandotherexpenses,butbeforecustodycharges,withholding
taxes,andotherindirectexpenses.Thereturnsassumethereinvestmentof
dividendsandotherincome.
3.5 %
Strategy
6.45
0.58
Drawdown
(2/27/152/29/16)
5YR
$17.9
Std.Deviation
SharpeRatio
4.07
1YR
1.3 x
MarketCapWeightedMedian$Bil
5YearRiskProfile
14.0 x
June30,2016
QUARTERLYATTRIBUTION
Performance(%)
TOPDOWNALLOCATION:+0.3%
Equity
Alts
NetofFees,FairValue,USD(RepAccount)
+0.86
GrossofFees,LocalClose,USD(RepAccount)
+0.81
CPIIndex
+0.84
ValueAdded
0.03
SECURITYSELECTION:0.3%
Bonds
Equity
Cash
Alts
Bonds
Cash
MajorPerformanceDrivers
Equity
Positioning:
U.S. equities rose during the quarter and so they remain an expensive asset class. Although most nonU.S. equities declined in local
currency terms in the second quarter (the notable exceptionbeing the U.K.), developed exU.S. equities still offer muted expected
returns. We continue to concentrate our allocations in the most compelling areas, including emerging markets value and international
value primarily across Europe and Japan, while our exposure to the U.S. remains biased toward high quality positions.
At the end of the second quarter, equities represented approximately 41% of the portfolio. Our topdown equity and regional equity
targets remained unchanged during the quarter, but underlying position exposures did change as we eliminated our fundamentally
sourced equity positions and built a dedicated allocation to high quality equities, predominantlyin the U.S.
Results:
Equities declined modestly, detracting from portfolio returns during the quarter, due largely to exposures to European stocks and poor
selection within emerging markets. In particular, Consumer Discretionary positions in the U.K., Germany, and France and Financials
positions in France underperformed.Strong performance in Brazil Financials and Utilities in emerging equities was more than offset by
weakness in South Korea Consumer Discretionary, fundamental China IT positions, and China Financials.U.S. fundamental positions were
additive due primarily to strength in U.S. Consumer Discretionary (driven mainly by Amazon.com).
Positioning:
We remain underwhelmed by the opportunities available across equity markets and look for other ways to get paid for taking risk.
Alternative strategies represent diversifying ways to generate returns. Alternative strategies are comprised of merger arbitrage, Special
Opportunities, Systematic Global Macro, and relative value interest rates & FX. At the end of the second quarter, alternative strategies
represented approximately 18% of the portfolio, having modestly decreased over the period as we reduced the weight in relative value
interest rates & FX.
Results:
During the quarter, alternative strategies contributed to portfolio returns, rising 1.3%. Systematic Global Macro delivered strong returns
of 5.4% due primarily to currency positions (long yen and NZD/short GBP and USD) and equity exposures (long U.K./short Japan). Merger
arbitrage declined as two deals (AllerganPfizer and Office DepotStaples) broke and another (Abbot LabsAlere) saw the probability of a
break rise. Relative value interest rates & FX rose modestly as currency positions (short EUR and CHF/long USD) were additive, while
opportunistic positions and interestrate strategies detracted. Special Opportunities was down modestly for the quarter as positive
returns on stock and bond positions in Canada Energy were offset by negative returns for U.S. Consumer Discretionary and Financials
equity positions.
(617)3307500| www.gmo.com
GMOLLC2016
June30,2016
Fixed Income
Positioning:
Sovereign rates once again rallied across the globe during the quarter and remain low (even negative), leaving few opportunities for
traditional duration exposures. Spreads in some credit assets look attractive, but underlying duration exposures and concerns about
potentially rising default rates limit our enthusiasm. TIPS also performed well, driving yields even lower to an unimpressive 0.09% on 10
year U.S. TIPS. The overall exposure to our fixed income allocation declined to 13% as we eliminated our TIPS position and broadbased
exposure to high yield. The fixed income portfolio is comprised of assetbacked securities, Emerging Country Debt, and a select number
of distressed credit opportunities.
Results:
The fixed income allocation contributed to portfolio performance as all strategies delivered positive returns. Emerging Country Debt
delivered strong returns of 7.3% due both to the decline in underlying Treasury yields as well as spread tightening. In addition, oil
producing countries, which we were overweight, benefitted from a strong rebound in oil prices. TIPS rallied as well (up 2.7%) as yields
fell as breakeven rates narrowed 25 basis points. Our assetbacked positions rose 1.5% while distressed credit holdings, inclusive of our
broadbased high yield position, also delivered a gain, increasing 1.2%.
Cash
Positioning:
Cash consists of U.S. Tbills and other high quality short duration government and agency securities. The portfolios cash allocation
increased 15% during the quarter to approximately 28%, due largely to the sale of our TIPS position. Cash represents an important dry
powder asset in an investment environment offering limited opportunities.
Results:
The allocation to cash had minimal impact on portfolio returns.
(617)3307500| www.gmo.com
GMOLLC2016
GMOGlobalAllocationAbsoluteReturnStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,6.4
OtherU.S.,3.8
Europe, 7.9
Japan,3.1
OtherInternational, 2.3
SpecialOpportunity,5.2
SystematicGlobalMacro,3.8
ABS/Structured Products,4.6
EmergingDebt,4.9
Multi Strategy,19.9
80
60
40
20
2Q2016
YTD2016
Cash&Cash Equiv.,22.2
AlternativeStrategies
FixedIncome
AbsoluteReturn
Cash
Emerging
39.7
EuropeexUK
Japan
OtherInternational
UnitedKingdom
10
8
6
4
2
0
2
4
6.2
26.7
Strategy
Price/EarningsHist1YrWtdMedian
14.3 x
11.8 %
1.36
2.04
1.72
2.25
5YR
10YR
Strategy
Benchmark
ITD
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublished
monthlybytheU.S.governmentasanindicatorofchangesinpricelevels(or
inflation)paidbyurbanconsumersforarepresentativebasketofgoodsand
services.
10.58
3.8 years
BB
20.8%
B
16.0%
<B
20.9%
NR
0.1%
SD
0.9%
10.4%
8.2%
5.8%
16.9%
(617)3307500| www.gmo.com
GMOLLC2016
0.90
3.4 %
Strategy
5.95
0.66
Drawdown
(2/27/152/29/16)
5.04
3.97
$18.1
Std.Deviation
SharpeRatio
8.15
1YR
1.3 x
CreditRatings
AAA
AA
A
BBB
0.72
0.67
1.56
1.87
2.95
1.25
2.86
0.16
4.12
2.58
AnnualizedReturn(%)
5.0
BondPortfolio
3.66
1.81
10.04
9.42
4.22
3.02
14.92
7.19
9.99
11.01
14.7
7.8
UnitedStates
5YearRiskProfile
Benchmark
0.84
0.87
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
0
U.S.Equity
EmergingEquity
Strategy
1.15
1.72
June30,2016
Performance(%)
TOPDOWNALLOCATION:+0.1%
Equity
Alts
NetofFees,USD(RepAccount)
+1.15
GrossofFees,USD(RepAccount)
+1.41
CPIIndex
+0.84
ValueAdded
+0.56
SECURITYSELECTION:+0.5%
Bonds
Cash
Equity
Alts
Bonds
Cash
Equity
Positioning:
U.S. equities rose during the quarter and remain an expensive asset class. Although most nonU.S. equities declined in local currency
terms in the second quarter (the notable exceptionbeing the U.K.), developed exU.S. equities still offer muted expected returns. We
continue to concentrate our allocations in the most compelling areas including emerging markets value and international value primarily
across Europe and Japan, while our exposure to the U.S. remains biased towards high quality positions.
At the end of the second quarter, equities represented approximately 39% of the portfolio. Our topdown equity and regional equity
targets remained unchanged during the quarter, but underlying position exposures did change as we eliminated our fundamentally
sourced equity positions and built a dedicated allocation to high quality equities, predominantly in the U.S.
Results:
Equities added to absolute returns and were flat on a relativebasis during the quarter. U.S. fundamental positions were additive due
primarily to strength in U.S. Consumer Discretionary (driven mainly by Amazon.com) while exposures to European stocks detracted.In
particular, Consumer Discretionary positions in the U.K., Germany, and France and Financials positions in France underperformed.
Positioning:
We remain underwhelmed by the opportunities available across equity markets and look for other ways to get paid for taking risk.
Alternative strategies represent diversifying ways to generate returns. Alternative strategies are comprised of Special Opportunities and
Systematic Global Macro. Alternative strategies represented approximately 9% of the portfolio at quarter end.
Results:
During the quarter, alternative strategies contributed to absolute and relative returns, rising 2.1%. Special Opportunities was down
modestly for the quarter as positive returns on stock and bond positions in Canada Energy were offset by negative returns for U.S.
Consumer Discretionary and Financials equity positions. Systematic Global Macro delivered strong returns of 5.4% due primarily to
currency positions (long yen and NZD/short GBP and USD) and equity exposures (long U.K./short Japan).
(617)3307500| www.gmo.com
GMOLLC2016
June30,2016
Fixed Income
Positioning:
year U.S. TIPS. The overall exposure to our fixed income allocation declined to 10% as we eliminated our TIPS position and broadbased
exposure to high yield. The fixed income portfolio is comprised of assetbacked securities and Emerging Country Debt.
Results:
The fixed income allocation contributed strongly to portfolio performance as all strategies delivered positive returns. Emerging Country
Debt delivered strong returns of 7.4% due both to the decline in underlying Treasury yields as well as spread tightening. In addition, oil
producing countries, which we were overweight, benefitted from a strong rebound in oil prices. TIPS rallied as well (up 2.8%) as yields fell
as breakeven rates narrowed 25 basis points. Our assetbacked positions rose 1.6% while our small exposure to broadbased high yield
increased as well.
MultiStrategy / Cash and Cash Equivalents

Positioning:
MultiStrategy is a diversified portfolio of GMO alpha strategies aimed at providing capital appreciation with a low beta to global equities
and correlation to traditional portfolios. The combination of MultiStrategy along with a meaningful allocation to cash and cash
equivalents provides us greater flexibility to take risk elsewhere in the portfolio. Capital allocation with MultiStrategy evolved as we
decreased the exposure to Fixed Income Hedge Fund by approximately 9%, adding weight across our other strategies, including Total
Equities, which we are in the process of converting to an eventdriven strategy. As such, we continued to add merger arbitrage positions
to Total Equities during the quarter. At the end of the quarter, we held approximately 20% in MultiStrategy and 22% in cash. Cash
increased over 9% as we sold out of our TIPS and broadbased high yield exposures.
Results:
A positive return of 1.4% in MultiStrategy for the quarter led our MultiStrategy and Cash and Cash Equivalents allocation to add to
portfolio returns. Within MultiStrategy, gains in Systematic Global Macro and Emerging Country Debt more than offset declines in Mean
Reversion and Completion. Systematic Global Macro delivered strong returns of 5.5% primarily due to currency positions (long yen and
NZD/short GBP and USD) and equity exposures (long U.K./short Japan). Our fixed income positioning (long U.S. and U.K. bonds/short
Japanese bonds) was also additive. Emerging Country Debt delivered strong returns of 8.1% due both to the decline in underlying
Treasury yields as well as spread tightening. In addition, oilproducing countries, which we were overweight, benefitted from a strong
rebound in oil prices. Our Argentina bond positions benefited as well as the country finally cured its dispute with holdout bondholders
during the quarter. Mean Reversion declined 2.2% largely due to equity positions somewhat offset by gains in rates. Positions in EAFE
and EM value vs. Russell 2000 lost money over the quarter. In rates, yields fell globally and curves flattened, benefiting our receive
positions in AUD, SEK and NZD forward swaps. In currency, small gains for our long USD/Asia and USD/antipodes trades were offset by a
loss on our long EUR/USD position. In completion, our long quality/short S&P and merger arbitrage positions were the largest detractors.
Merger arbitrage declined modestly as two deals broke, driving deals spreads wider. Our cash and cash equivalents position had minimal
impact on portfolio returns.
(617)3307500| www.gmo.com
GMOLLC2016
GMOGlobalAssetAllocationStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,7.3
OtherU.S.,7.9
Europe, 14.2
Japan,6.3
PutSelling,2.8
SystematicGlobalMacro, 3.0
RelativeValueInterestRates &FX,2.2
EmergingDebt,4.5
U.S.TIPS,7.8
AlphaOnly,3.0
80
60
40
20
0
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Cash
Emerging
10.5
EuropeexUK
Japan
7.6
5.2
7.2
7.9
6.4
OtherInternational
UnitedKingdom
14.8
12.1
23.9
19.9
UnitedStates
Strategy
31.0
1.13
4.87
13.60
12.13
1.80
11.05
24.14
27.72
9.26
13.41
8.99
53.6
3.84
5.08
4.70
7.73
4.83
Benchmark
0
21.7 x
1.4 x
2.0 x
11.4 %
13.3 %
3.4 %
0.16
Benchmark
14.3 x
$20.0
5YR
10YR
Strategy
Benchmark
ITD
$37.9
2.7 %
Strategy
0.41
0.84
0.92
0.50
7.54
3.08
1YR
Benchmark
0.00
1.00
1.00
0.58
8.65
TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmark
computedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAsset
AllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAsset
Allocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAsset
AllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;
manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandard
IndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
weightingofeachmarketindexwillvaryslightly.Theindexisinternallyblendedby
GMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)
IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof
65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and
35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
preparedorapprovedthisreport,andhasnoliabilityhereunder.
5.8 years
BB
9.8%
B
7.4%
<B
10.5%
NR
0.0%
SD
0.4%
2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios
sensitivity to the market; R2 is a measure of how well a portfolio tracks the
market; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.
Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
5.4%
55.6%
3.0%
7.9%
(617)3307500| www.gmo.com
GMOLLC2016
4.25
1.23
12.38
11.11
2.13
7.93
24.15
20.83
7.94
12.30
10
Strategy
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
3
BondPortfolio
CreditRatings
AAA
AA
A
BBB
Benchmark
1.42
2.76
AnnualizedReturn(%)
5YearRiskProfile
Strategy
0.92
2.55
2Q2016
YTD2016
10
June30,2016
Performance(%)
TOPDOWNALLOCATION:0.8%
Equity
Alts
+0.93
+0.84
GMOGlobalAssetAllocationIndex
+1.42
ValueAdded
0.58
Bonds
Equity
Cash
Alts
Bonds
Cash
Equity
Positioning:
U.S. equities rose during the quarter and so they remain an expensive asset class. Although most nonU.S. equities declined in local
currency terms in the second quarter (the notable exception being the U.K.), developed exU.S. equities still offer muted expected
returns. We continue to concentrate our allocations in the most compelling areas, including emerging markets value and international
value primarily across Europe and Japan, while our exposure to the U.S. remains biased toward high quality positions.
At the end of the second quarter, equities represented approximately 51% of the portfolio compared to a 65% benchmark allocation.Our
topdown equity and regional equity targets remained unchanged during the quarter, but underlying position exposures did change as
we eliminated our fundamentallysourced equity positions and built a dedicated allocation to high quality equities, predominantly in the
U.S.
Results:
Equity positions were essentially flat for the quarter, detracting on a relative basis. From an allocation perspective, being underweight
equities, which failed to keep up with the blended benchmark, had little relative impact. Our allocations within equities, however,
detracted from relative performance as strength in the U.S., which outperformed the MSCI ACWI index, was more than offset by
underperformance in international and emerging equities, particularly European equities. Stock selection detracted modestly due to
weakness in U.S. Energy and Europe Consumer Discretionary, but was somewhat offset by strength in Japan Telecom and emerging
markets (Financials in Russia, India, and China).
(617)3307500| www.gmo.com
GMOLLC2016
11
June30,2016
Positioning:
We remain underwhelmed by the opportunitiesavailable across equity markets and look for other ways to get paid for taking risk.
Alternative strategies represent diversifying ways to generate returns. Systematic Global Macro, our put selling strategy, and relative
value rates & FX comprised alternative strategies. Our weight in alternatives decreased 2% to 8% at quarter end as we reduced our
exposure to relative value rates & FX.
Results:
During the quarter, alternative strategies contributed to both absolute and relative returns. Systematic Global Macro delivered strong
returns of 5.4% due primarily to currency positions (long yen and NZD/short GBP and USD) and equity exposures (long U.K./short Japan).
Put selling rose a solid 3.9% during the quarter while relative value interest rates & FX rose modestly as rates positions (long USD versus
the EUR and CHF) were additive.
Fixed Income
Positioning:
year U.S. TIPS. The overall exposure to our fixed income allocation declined to 17% versus the benchmark allocation of 35% as we
reduced our TIPS position by approximately 3% and eliminated our 1% broadbased exposure to high yield. The fixed income portfolio is
comprised of TIPS, assetbacked securities, and Emerging Country Debt.
Results:
Our fixed income allocation contributed to absolute returns and was a wash on a relative basis as all strategies delivered positive returns.
Our underweight to the asset class detracted from relative returns as bonds rallied, but was offset by positive selection effect within
fixed income. Emerging Country Debt delivered strong returns of 7.2% due both to the decline in underlying Treasury yields as well as
spread tightening. In addition, oilproducing countries, which we were overweight, benefitted from a strong rebound in oil prices. TIPS
rallied as well (up 2.0%) as yields fell when breakeven rates narrowed. Our assetbacked positions rose 1.5% while our small exposure to
broadbased high yield increased as well.
Cash/Cash Plus
Positioning:
We hold a combination of cash and the Alpha Only Strategy. Alpha Only seeks modestly positive returns over cash by taking long
positions in attractively priced equities while shorting market exposure through futures or direct equity positions. The portfolios
cash/cash plus position ended the quarter at approximately 24%, up 7% as we held proceeds from the sale of TIPS, high yield, and
relative value rates & FX in cash.
Results:
The allocation to cash/cash plus detracted modestly in both absolute and relative terms. Alpha Only fell due largely to the
outperformance of the R2000 (held short) relative to nonU.S. value stocks (held long), primarily developed country exposures.
(617)3307500| www.gmo.com
GMOLLC2016
12
GMORealReturnGlobalBalancedAssetAllocationStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,6.4
OtherU.S., 7.2
Europe, 13.3
Japan,5.9
EmergingDebt,3.7
U.S.TIPS,3.2
80
60
40
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
MultiStrategy,28.2
20
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
Cash
Emerging
0.0
EuropeexUK
Japan
OtherInternational
UnitedKingdom
25.4
19.9
16.5
12.2
8.5
5.2
8
7.8
7.2
UnitedStates
Strategy
29.5
8
6
4
2
0
2
4
59.8
Benchmark
Benchmark
14.3 x
22.1 x
1.4 x
2.1 x
11.2 %
13.5 %
3.4 %
Strategy
0.20
0.82
0.86
0.60
6.93
$42.3
Benchmark
0.00
1.00
1.00
0.61
7.87
4.89
4.71
5.77
5.03
4.21
0.23
3.12
5YR
10YR
Strategy
Benchmark
ITD
TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isan
internallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationComposite
through06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMO
blendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholding
tax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
GMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprised
of60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),
20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.
TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
5.7 years
BB
14.4%
B
11.2%
<B
13.7%
NR
0.1%
SD
0.6%
6.7%
37.8%
3.8%
11.8%
(617)3307500| www.gmo.com
GMOLLC2016
0.18
4.22
14.95
10.42
1.76
8.94
19.17
25.17
7.87
13.69
2.7 %
CreditRatings
AAA
AA
A
BBB
5.16
2.00
13.68
10.65
3.16
5.00
13.02
11.36
7.63
13.26
4.21
1YR
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
BondPortfolio
Strategy
$19.3
5YearRiskProfile
Benchmark
1.07
1.58
AnnualizedReturn(%)
Strategy
0.75
2.30
2Q2016
YTD2016
13
June30,2016
Performance(%)
Equity
Bonds
+0.76
+1.01
GMORRGBALBlendedIndex
+1.07
ValueAdded
0.06
Equity
Cash
Bonds
Cash
Equity
Positioning:
U.S. equities rose during the quarterand remain an expensive asset class. Although most nonU.S. equities declined in local currency
terms in the second quarter (the notable exception being the U.K.), developed exU.S. equities still offer muted expected returns. We
continue to concentrate our allocations in the most compelling areas including emerging markets value and international value
primarily across Europe and Japan, while our exposure to the U.S. remains biased toward high quality positions.
At the end of the second quarter, equities represented approximately 48% of the portfolio compared to a 60% benchmark allocation.
Our topdown equity and regional equity targets remained unchanged during the quarter, but underlying position exposures did
change as we eliminated our fundamentallysourced equity positions and built a dedicated allocation to high quality equities,
predominantly in the U.S.
Results:
Equity positions were flat for the quarter, detracting on a relative basis. From an allocation perspective, being underweight equities,
which failed to keep up with the blended benchmark, had a modest positive relative impact. Our allocations within equities,
however, detracted from relative performance as strength in the U.S., which outperformed the MSCI ACWI index, was more than
offset by underperformance in international and emerging equities, particularly European equities. Stock selection had no impact on
relative returns as weakness in U.S. Energy and Europe Consumer Discretionary was offset by strength in Japan Telecom and
emerging markets (Financials in Russia, India, and China).
(617)3307500| www.gmo.com
GMOLLC2016
14
June30,2016
Fixed Income
Positioning:
potentially rising default rates limit our enthusiasm. TIPS also performed well, driving yields even lower to an unimpressive 0.09% on
10year U.S. TIPS. The overall exposure to our fixed income allocation declined to 10% versus the benchmark allocation of 20% as we
reduced our U.S. TIPS position by approximately 7%. The fixed income portfolio is comprised of Emerging Country Debt, TIPS, and
assetbacked securities.
Results:
Our fixed income allocation contributed to absolute returns and was a wash on a relative basis as all strategies delivered positive
returns. Our underweight to the asset class detracted from relative returns as bonds rallied but was offset by positive selection effect
within fixed income. Emerging Country Debt delivered strong returns of 7.4%, due both to the decline in underlying Treasury yields as
well as spread tightening. In addition, oilproducing countries, which we were overweight, benefitted from a strong rebound in oil
prices. TIPS rallied as well (up 2.1%) as yields fell as breakeven rates narrowed. Our assetbacked positions rose 1.6%.
MultiStrategy / Cash and Cash Equivalents

Positioning:
MultiStrategy is a diversified portfolio of GMO alpha strategies aimed at providing capital appreciation with a low beta to global
equities and correlation to traditional portfolios. The combination of MultiStrategy along with a meaningful allocation to cash and
cash equivalents provides us greater flexibility to take risk elsewhere in the portfolio. Capital allocation with MultiStrategy evolved
as we decreased the exposure to Fixed Income Hedge Fund by approximately 9%, adding weight across our other strategies,
including Total Equities, which we are in the process of converting to an eventdriven strategy. As such, we continued to add merger
arbitrage positions to Total Equities during the quarter. At the end of the quarter, we held approximately 28% in MultiStrategy and
14% in cash. Cash increased over 8% as we sold down TIPS.
Results:
A positive return of 1.4% in MultiStrategy for the quarter led our MultiStrategy and cash and cash equivalents allocation to add to
portfolio returns. Within MultiStrategy,gains in Systematic Global Macro and Emerging Country Debt more than offset declines in
Mean Reversion and Completion. Systematic Global Macro delivered strong returns of 5.5% due primarily to currency positions (long
yen and NZD/short GBP and USD) and equity exposures (long U.K./short Japan). Our fixed income positioning (long U.S. and U.K.
bonds/short Japanese bonds) was also additive. Emerging Country Debt delivered strong returns of 8.1% due both to the decline in
underlying Treasury yields as well as spread tightening. In addition, oilproducing countries, which we were overweight, benefitted
from a strong rebound in oil prices. Our Argentina bond positions benefited as well as the country finally cured its dispute with
holdout bondholders during the quarter. Mean Reversion declined 2.2% due largely to equity positions somewhat offset by gains in
rates. Positions in EAFE and EM value vs. Russell 2000 lost money over the quarter. In rates, yields fell globally and curves flattened,
benefitting our receive positions in AUD, SEK, and NZD forward swaps. In currency, small gains for our long USD/Asia and
USD/antipodes trades were offset by a loss on our long EUR/USD position. In completion, our long quality/short S&P and merger
arbitrage positions were the largest detractors. Merger arbitrage declined modestly as two deals broke, driving deals spreads wider.
Our cash and cash equivalents positionhad minimal impact on portfolio returns.
(617)3307500| www.gmo.com
GMOLLC2016
15
GMOTaxManagedGlobalBalancedStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
U.S.Quality,6.8
OtherU.S.,7.3
Europe, 11.8
Japan,5.0
PutSelling,2.6
EmergingDebt,2.2
80
60
40
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
MunicipalBonds,34.1
20
MultiStrategy,13.6
Cash&CashEquiv.,1.3
0
U.S.Equity
EmergingEquity
FixedIncome
AbsoluteReturn
Cash
Emerging
EuropeexUK
Japan
OtherInternational
UnitedKingdom
10.5
8
6
4
2
0
2
4
53.6
Strategy
Price/CashFlowHist1YrWtdMedian
21.7 x
9.2 x
14.1 x
1.4 x
2.0 x
12.1 %
13.3 %
3.3 %
Strategy
1.11
0.86
0.95
0.47
7.01
$37.9
2.7 %
Benchmark
0.00
1.00
1.00
0.65
7.97
The groups indicated above represent exposures determined pursuant to

(617)3307500| www.gmo.com
GMOLLC2016
6.49
4.76
0.44
3.28
5YR
10YR
Strategy
Benchmark
ITD
TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputed
benchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCI
standardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(6
8)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasno
liabilityhereunder.
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
3.37
4.08
Benchmark
14.9 x
$26.0
5YearRiskProfile
0.09
5.02
12.78
11.47
0.27
9.99
23.90
25.89
7.12
12.95
6.53
5.21
1YR
Benchmark
2.34
2.02
10.86
9.71
1.34
6.88
14.29
14.95
7.16
12.08
AnnualizedReturn(%)
30.6
Strategy
Benchmark
1.28
2.16
26.7
18.4
14.8
10.9
7.6
5.7
7.2
7.8
6.4
UnitedStates
Strategy
0.79
0.48
2Q2016
YTD2016
16
June30,2016
Performance(%)
Equity
Alts
+0.76
+1.01
TaxManagedGlobalBalancedIndex
+1.28
ValueAdded
0.26
Bonds
Equity
Cash
Alts
Bonds
Cash
Equity
Positioning:
U.S.equitiesroseduringthequarterandsotheyremainanexpensiveassetclass.AlthoughmostnonU.S.equitiesdeclinedinlocal
currencytermsinthesecondquarter(thenotableexceptionbeingtheU.K.),developedexU.S.equitiesstilloffermutedexpected
returns.Wecontinuetoconcentrateourallocationsinthemostcompellingareasincludingemergingmarketsvalueandinternational
valueprimarilyacrossEuropeandJapan,whileourexposuretotheU.S.remainsbiasedtowardshighqualitypositions.
Attheendofthesecondquarter,equitiesrepresentedapproximately48%oftheportfoliocomparedtoa60%benchmarkallocation.
Ourtopdownequityandregionalequitytargetsremainedunchangedduringthequarter,butunderlyingpositionexposuresdidchange
asweeliminatedourfundamentallysourcedequitypositionsandbuiltadedicatedallocationtohighqualityequities,predominantlyin
theU.S.
Results:
Equitypositionswereflatforthequarter,detractingonarelativebasis.Fromanallocationperspective,beingunderweightequities,
whichfailedtokeepupwiththeblendedbenchmark,hadlittlerelativeimpact.Ourallocationswithinequitieshoweverdetractedfrom
relativeperformanceasstrengthintheU.S.,whichoutperformedtheMSCIACWIindex,wasmorethanoffsetbyunderperformancein
internationalandemergingequities,particularlyEuropeequities.StockselectiondetractedmodestlyduetoweaknessinEurope
ConsumerDiscretionary,somewhatoffsetbystrengthinJapanTelecom.
Positioning:
Weremainunderwhelmedbytheopportunitiesavailableacrossequitymarketsandlookforotherwaystogetpaidfortakingrisk.
Alternativestrategiesrepresentdiversifyingwaystogeneratereturns.Ourputsellingstrategycomprisedalternativestrategies,
representingapproximately3%oftheportfolioatquarterend.
Results:
Duringthequarter,alternativestrategiescontributedtobothabsoluteandrelativereturns.Putsellingroseasolid3.8%duringthe
quarter.
(617)3307500| www.gmo.com
GMOLLC2016
17
June30,2016
MunicipalsandEmergingCountryDebt
Positioning:
SovereignratesonceagainralliedacrosstheglobeduringthequarterasdidmunicipalbondyieldsintheU.S.Yieldsremainlow(even
negative),leavingfewopportunitiesfortraditionaldurationexposures.Themunicipalbondmarketcontinuedtobebuoyedby strong
flowsintobondfunds(thesupplydemandbalanceremainsattractive)duringthesecondquarter.Spreadsinsomecreditassetslook
reasonable,butunderlyingdurationexposuresandconcernsaboutpotentiallyrisingdefaultrateslimitourenthusiasm.Infixedincome,
weholdmunicipalbondsandEmergingCountryDebt.Themunicipalbondallocationrepresentedapproximately34%andEmerging
CountyDebt2%oftheportfolio,respectively,atquarterend.
Results:
Themunicipalbondportfoliorose2.0%aheadofitsbenchmarkasmunisbenefitedfromthebroadrallyinfixedincome.Emerging
CountryDebtdeliveredstrongreturnsof7.4%duebothtothedeclineinunderlyingTreasuryyieldsaswellasspreadtightening.In
addition,oilproducingcountries,whichwewereoverweight,benefittedfromastrongreboundinoilprices.
MultiStrategy/CashandCashEquivalents
Positioning:
MultiStrategyisadiversifiedportfolioofGMOalphastrategiesaimedatprovidingcapitalappreciationwithalowbetatoglobal
equitiesandcorrelationtotraditionalportfolios.ThecombinationofMultiStrategyalongwithcashandcashequivalentsprovidesus
greaterflexibilitytotakeriskelsewhereintheportfolio.CapitalallocationwithMultiStrategyevolvedaswedecreasedthe exposureto
FixedIncomeHedgefundbyapproximately9%,addingweightacrossourotherstrategies,includingTotalEquitieswhichwereinthe
processofconvertingtoaneventdrivenstrategy.Assuch,wecontinuedtoaddmergerarbitragepositionstoTotalEquities duringthe
quarter.Attheendofthequarter,weheldapproximately14%inMultiStrategyand1%incash.
Results:
Apositivereturnof1.4%inMultiStrategyforthequarterledourMultiStrategyandCashandCashEquivalentsallocationtoaddto
portfolioreturns.WithinMultiStrategy,gainsinSystematicGlobalMacroandEmergingCountryDebtmorethanoffsetdeclinesin
MeanReversionandCompletion.SystematicGlobalMacrodeliveredstrongreturnsof5.5%primarilyduetocurrencypositions(long
yenandNZD/shortGBPandUSD)andequityexposures(longU.K./shortJapan).Ourfixedincomepositioning(longU.S.andU.K.
bonds/shortJapanesebonds)wasalsoadditive.EmergingCountryDebtdeliveredstrongreturnsof7.0%duebothtothedeclinein
underlyingTreasuryyieldsaswellasspreadtightening.Inaddition,oilproducingcountries,whichwewereoverweight,benefittedfrom
astrongreboundinoilprices.OurArgentinabondpositionsbenefitedaswellasthecountryfinallycureditsdisputewith holdout
bondholdersduringthequarter.MeanReversiondeclined2.2%largelyduetoequitypositionssomewhatoffsetbygainsinrates.
PositionsinEAFEandEMvaluevs.Russell2000lostmoneyoverthequarter.Inrates,yieldsfellgloballyandcurvesflattened,benefiting
ourreceivepositionsinAUD,SEKandNZDforwardswaps.Incurrency,smallgainsforourlongUSD/AsiaandUSD/antipodestrades
wereoffsetbyalossonourlongEUR/USDposition.Incompletion,ourlongquality/shortS&Pandmergerarbitragepositionswerethe
largestdetractors.Mergerarbitragedeclinedmodestlyastwodealsbroke,drivingdealsspreadswider.Cashandcashequivalentshad
minimalimpactonportfolioreturns.
(617)3307500| www.gmo.com
GMOLLC2016
18
GMOGlobalAllCountryEquityAllocationStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
U.S.Quality,15.8
U.S.Small,2.1
80
Strategy
0.15
1.23
2Q2016
YTD2016
Benchmark
0.99
1.23
OtherU.S.,17.8
60
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
Europe, 24.7
40
Japan,11.0
20
Cash&CashEquiv.,1.9
0
U.S.Equity
EmergingEquity
Cash
TopCountryWeights(%)
35.8
UnitedStates
UnitedKingdom
Taiwan
Strategy
5
Strategy
0.92
0.91
0.95
0.33
12.45
10
Index
0.00
1.00
1.00
0.41
13.40
Strategy
Index
14.4 x
21.7 x
1.4 x
2.0 x
12.1 %
13.3 %
$22.5
4.39
6.87
4.34
3.3 %
Sector
HealthCare
Energy
HealthCare
Telecom.Services
HealthCare
3.73
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIACWI++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquity
AllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMO
blendedbenchmarkofGlobalAllCountryEquityAllocationCompositeis
comprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndex
Series,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
$37.9
2.7 %
Country
UnitedStates
France
UnitedStates
UnitedStates
UnitedStates
5.61
7.30
1YR
Characteristics
%ofEquity
1.9
1.7
1.5
1.5
1.4
8.0

3 Portfolio holdings are subject to change and should not be considered a
recommendation to buy individual securities.
(617)3307500| www.gmo.com
GMOLLC2016
4.17
Benchmark
TopHoldings
Company
Johnson&Johnson
TotalS.A.
UnitedHealthGroup
VerizonComm.Inc.
PfizerInc.
Total
8.12
10
5
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
2.36
4.17
23.46
16.34
6.87
12.94
34.45
41.82
10.38
20.34
AnnualizedReturn(%)
1.3
4.4
2.8
Germany
5YearRiskProfile
53.6
11.0
7.6
7.2
6.4
4.8
Japan
5.41
0.69
21.33
14.74
1.29
10.12
24.19
31.41
11.12
18.87
19
GMOGlobalAllCountryEquityAllocationStrategy
June30,2016
Performance(%)
GROUPALLOCATION:0.6%
Int'l
U.S.
+0.42
+0.14
MSCIACWI+
+0.99
ValueAdded
0.84
EM
U.S.
Int'l
EM
Europe
Characteristics: OurpositioninEuropecarriesafairamountofexposuretosomeofthemorecyclicallyexposedsegmentsofthemarketand
iscurrentlythelargestgrouplevelallocationinthestrategy.
Positioning:
Europeaccountedforapproximately25%ofourtotalportfolioweightonaverageduringthequarter.
Results:
OurpositioninEuropeproducedbothnegativeallocationandselectionimpactsduringthequarter.Europeanstockstrailed
theMSCIACWIindexduringthequarter.Stockselectionwasnegative,particularlyinGermanyandtheU.K.Ouroverweight
positionsinDaimler(Germany)andAXA(France)weresignificantindividualstockdetractorsfromrelativereturns.
U.S.HighQuality
Characteristics: OurpositioninU.S.highqualityiscomparativelymultinationalandcarrieslesscyclicaleconomicexposurecomparedtothe
U.S.market.
Positioning:
U.S.highqualityaccountedforapproximately14%ofourtotalportfolioweightonaverageduringthequarter.
Results:
OurpositioninhighqualityholdingsproducedapositiveallocationimpactbutanegativeselectionimpactastheU.S.
outperformedMSCIACWI,butourholdingsunderperformedtheS&P500duringthequarter.Johnson&Johnsonwasamong
themostsignificantindividualstockcontributors.
EmergingMarkets
Characteristics: Ourpositioninemergingmarketsisfocusedonundervaluedsegmentswithinthemarketthathavefallenoutoffavorwith
investors,includingpositionsinTaiwanInformationTechnologyandRussiaEnergy.
Positioning:
Emergingmarketsaccountedforapproximately21%ofourtotalportfolioweightonaverageduringthequarter.
Results:
Ouremergingmarketspositionresultedinaneutralallocationbutapositiveselectionimpactduringthequarterasour
holdingsoutperformedwithinemergingmarkets.AnoverweightpositioninRussianfinancialSberbankwasasignificant
contributortorelativereturns.
Japan
Characteristics: OurpositioninJapanisfocusedprimarilyonvaluestockswithintheregionselectedbyourquantitative
valuationapproaches.
Positioning:
Japanaccountedforapproximately11%ofourtotalportfolioweightonaverageduringthequarter.
Results:
OurJapanpositionproducedaneutralallocationbutapositiveselectionimpactduringthequarterasour
holdingsoutperformedwithinJapan.AnoverweightpositioninKDDIwasamongthebiggestpositive
contributors.
(617)3307500| www.gmo.com
GMOLLC2016
20
GMOGlobalDevelopedEquityAllocationStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
100
TotalReturn(%)
80
60
40
Europe, 27.9
20
Japan,12.5
Cash&CashEquiv.,1.7
0
U.S.Equity
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
EmergingEquity
Cash
42.5
UnitedStates
Japan
8.5
8.1
7.2
5.0
3.2
4.5
3.5
UnitedKingdom
Germany
France
5YearRiskProfile
59.8
12.4
Strategy
10
3.18
0.32
25.82
14.14
0.40
9.25
20.55
33.19
9.69
20.22
5.33
0.87
4.94
26.68
15.84
5.52
11.77
29.97
40.70
9.02
20.05
4.23
5
Strategy
0.74
0.91
0.96
0.43
12.22
Benchmark
0.00
1.00
1.00
0.50
13.06
Strategy
Benchmark
15.0 x
22.1 x
1.5 x
2.1 x
10
13.6 %
$27.3
3.3 %
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIWorld+Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCI
StandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofa
weightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)or
somelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.Theindexis
internallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.
13.5 %
$42.3
2.7 %
Sector
HealthCare
Energy
HealthCare
Telecom.Services
HealthCare
2.78
6.95
1YR
Characteristics
Country
UnitedStates
France
UnitedStates
UnitedStates
UnitedStates
7.05
4.44
Benchmark
8.70
6.63
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
%ofEquity
2.3
1.9
1.7
1.7
1.7
9.3

(617)3307500| www.gmo.com
GMOLLC2016
Benchmark
1.01
0.66
AnnualizedReturn(%)
TopHoldings
Company
Johnson&Johnson
TotalS.A.
UnitedHealthGroup
VerizonComm.Inc.
PfizerInc.
Total
Strategy
0.24
0.30
2Q2016
YTD2016
U.S.Quality,18.8
U.S.Small,2.5
OtherU.S.,21.1
21
GMOGlobalDevelopedEquityAllocationStrategy
June30,2016
Performance(%)
U.S.
Int'l
+0.11
0.14
MSCIWorld
+1.01
ValueAdded
1.14
U.S.
EM
Int'l
EM
Europe
Characteristics: OurpositioninEuropecarriesafairamountofexposuretosomeofthemorecyclicallyexposedsegmentsofthe
Positioning:
Results:
marketandiscurrentlythelargestgrouplevelallocationinthestrategy.
OurpositioninEuropeproducedbothnegativeallocationandselectionimpactsduringthequarter.European
stockstrailedtheMSCIWorldindexduringthequarter.Stockselectionwasnegative,particularlyinGermanyand
theU.K.OuroverweightpositionsinDaimler(Germany)andAXA(France)weresignificantindividualstock
detractorsfromrelativereturns.
U.S.HighQuality
Characteristics: OurpositioninU.S.highqualityiscomparativelymultinationalandcarrieslesscyclicaleconomicexposure
Positioning:
Results:
comparedtotheU.S.market.
Ourpositioninhighqualityholdingsproducedapositiveallocationimpactbutanegativeselectionimpact.asthe
U.S.outperformedMSCIWorld,butourholdingsunderperformedtheS&P500duringthequarter.Johnson&
Johnsonwasamongthemostsignificantindividualstockcontributors.
EmergingMarkets
Characteristics: Ourpositioninemergingmarketsisfocusedonundervaluedsegmentswithinthemarketthathavefallenoutof
favorwithinvestors,includingpositionsinTaiwanInformationTechnologyandRussiaEnergy.
Positioning:
Results:
Ouremergingmarketspositionresultedinaneutralallocationbutapositiveselectionimpactduringthequarter
asourholdingsoutperformedwithinemergingmarkets.AnoverweightpositioninRussianfinancialSberbank
wasasignificantcontributortorelativereturns.
Japan
Characteristics: OurpositioninJapanisfocusedprimarilyonvaluestockswithintheregionselectedbyourquantitativevaluation
Positioning:
Results:
approaches.
OurJapanpositionproducedaneutralallocationbutapositiveselectionimpactduringthequarterasour
holdingsoutperformedwithinJapan.AnoverweightpositioninKDDIwasamongthebiggestpositive
contributors.
(617)3307500| www.gmo.com
GMOLLC2016
22
GMOQualityStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GICSSectorWeights(%)
ConsumerDiscretionary
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTechnology
Materials
TelecommunicationServices
Utilities
12.3
10.6
1.0
7.4
2.9
15.8
19.0
15.0
7.1
9.9
19.8
1.9
2.8
1.0
2.9
0.0
3.6
Strategy
2Q2016
YTD2016
29.5
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
32.9
Benchmark
RegionWeights(%)
NonUS
14.9
100.0
0.7
0.0
10
5
Benchmark
Strategy
2.64
0.80
0.89
1.21
10.12
Benchmark
0.00
1.00
1.00
1.00
12.00
12.09
9.31
8.13
7.42
7.24
6.80
3.99
Strategy
Benchmark
24.0 x
23.0 x
4.6 x
2.8 x
1YR
19.2 %
$134.7
15.8 %
0.8 x
1.1 x
2.3 %
2.2 %
Sector
HealthCare
ConsumerStaples
10YR
Strategy
Benchmark
ITD
TheS&P500Indexisanindependentlymaintainedandwidelypublishedindex
comprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,
adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
Reproductionofthedataorinformationinanyformisprohibitedexceptwiththe
priorwrittenpermissionofS&Poritsthirdpartylicensors.
$78.6
Debt/EquityWtdMed
5YR
Characteristics
%ofEquity
5.4
5.4
5.1
5.0
4.4
25.3
Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios

(617)3307500| www.gmo.com
GMOLLC2016
1.38
13.69
32.39
16.00
2.11
15.06
26.46
37.00
5.49
15.80
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
TopHoldings
Company
Johnson&Johnson
MicrosoftCorp.
OracleCorp.
AlphabetInc.
Unilever
Total
1.40
12.54
25.47
11.81
11.84
5.48
19.89
24.08
6.04
12.69
AnnualizedReturn(%)
15
12.27
84.4
Strategy
5YearRiskProfile
Benchmark
2.46
3.84
0.0
US
Cash
Strategy
2.50
6.66
4.7
23
GMOQualityStrategy
June30,2016
Your portfolio returned +2.5% net of fees from a U.S. dollar perspective for the quarter and +6.7% for the year to date. This compares favorably with
the S&P 500s returns of +2.5% and +3.8% over the same periods and more so with the MSCI Worlds returns of +1.0% and +0.7%.
Stocks traded for the most part within a narrow range; the S&P 500s quarterly peak to trough spread was the lowest in a year. However, it didnt feel
like a quiet quarter for market participants as the drawdown was concentrated into just two days following Britains surprise decision to leave the
European Union.
The short-term impact of the so-called Brexit vote on your portfolio was dominated by currency movement. After the U.S. dollar, sterling is the next
most significant currency of denomination for your portfolio at around 8% of assets. Just as when the Swiss franc made a sharp move at the start of
2015, equity markets took a couple of days to process fully the exchange rate effects. Your U.K.-listed holdings were marked down by a few percentage
points on Brexit Day but regained their dollar valuations over the following couple of days. Our assessment of the value in British multi-nationals
such as Unilever and British American Tobacco is not dependent on their U.K. revenues none of your U.K. investments has more than 7% revenue
exposure to the U.K. and the sterling exchange rate is therefore largely passed through.
Exchange rates potentially cast a longer shadow on your portfolios multi-nationals (British, American, or otherwise), not via sterling but through the
knee-jerk appreciation of the USD, which makes their higher than average levels of non-USD revenues less valuable for now. Over the longer term, we
believe that the effect of exchange rates on multi-nationals will wash out.
The defensive nature of your portfolio helped during the period of pronounced volatility. Over the quarter as a whole, however, the portfolios sector
allocation hampered returns. The best performing sector was Energy, boosted by the continued rally in the price of crude; although we added one
Energy name to the portfolio when prices were lower, Energy is not a natural hunting ground for high quality names. At the other end of the spectrum,
technology stocks had a weak quarter and the portfolio has a substantial exposure here.
Stock selection acted as a positive force, especially in the Health Care sector. For several quarters now, biotechnology stocks have performed poorly,
having had a spectacular run until the middle of last year. The portfolio has shied away from biotech as a result of aggressive valuations, instead
preferring several medical devices companies and pharmaceuticals, largely via Johnson & Johnson. Johnson & Johnson made the largest positive
contribution to relative returns, benefitting from strong earnings momentum.
Although we did not trade your portfolio heavily, one addition proved to be a top contributor to returns from stock selection. We built a position in
crop science company, Monsanto. Weakness in farm profit margins created the conditions for a relatively attractive share price considering the
companys ability to generate free cash flow and the high returns from Monsantos significant investment in intellectual property over many years. The
stock price was re-rated sharply on the back of a (not yet formalized) takeover bid from Bayer. We remain ambivalent on a deal unless the price is high
the opportunity to participate in Monsantos cash flows is also attractive.
Over the quarter, your portfolios non-U.S. domiciled positions comfortably outperformed the S&P 500, and generally outperformed their local indices.
In an environment in which the risks to global sentiment appear to be on the rise, the portfolios emphasis on identifying specific high-returning assets
coupled to capital discipline should offer some comfort.
(617)3307500| www.gmo.com
GMOLLC2016
24
GMOResourcesStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
UnitedKingdom
Russia
17.0
15.5
3.3
Norway
42.5
2015
2014
2013
2012
7.4
1.1
5.3
0.2
Strategy
Benchmark
ConsumerStaples
Energy
Financials
HealthCare
Industrials
Materials
Utilities
RiskProfileSince12/31/11
42.0
2
70.5
4
8
27.3
42.8
4.82
6.05
7.63
1YR
ITD
Strategy
Benchmark
Strategy
2.73
1.10
0.95
0.12
21.31
Benchmark
0.00
1.00
1.00
0.26
18.83
Strategy
Benchmark
25.6 x
45.2 x
4.3 %
$7.4
4.1 %
TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandard
IndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidely
publishedindexcomprisedoflistedlargeandmidcapitalizationcommodity
producerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynot
bereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,has
notpreparedorapprovedthisreport,andhasnoliabilityhereunder.
2.9 %
$41.0
3.5 %
Sector
Materials
Materials
Energy
Materials
Materials
Benchmark
Characteristics
%ofEquity
7.0
5.4
4.9
4.3
4.2
25.8

(617)3307500| www.gmo.com
GMOLLC2016
2.58
10
Country
UnitedKingdom
Chile
UnitedKingdom
UnitedKingdom
UnitedKingdom
25.83
14.69
3.31
1.96
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
TopHoldings
Company
RioTintoPLC
SociedadQuimica
RoyalDutchShell
BHPBillitonPLC
AngloAmericanPLC
Total
22.06
16.78
4.39
9.23
0.0
0.0
0.0
0.0
1.7
0.0
0.0
0.0
Strategy
Benchmark
10.76
20.16
AnnualizedReturn(%)
0.0
0.0
9.8
2.2
0.0
0.0
3.6
0.0
Strategy
7.15
20.22
2Q2016
YTD2016
12.4
UnitedStates
Chile
26.2
25
GMOResourcesStrategy
June30,2016
Performance(%)
+7.82
+7.32
ValueAdded
SECTORALLOCATION:1.3%
+10.76
3.44
Energy
Positioning:
Results:
Energyaccountedforapproximately44%ofourtotalportfolioweightduringthequarter.
OurunderweightpositioninEnergyproducednegativeallocationandselectionimpactsduringthequarter.An
overweightinDrilling,Equipment,&Servicesdetractedfromrelativereturns,asdidstockselectionwithinIntegrated
Oil&GasCompanies.
IndustrialMetalMiners
Positioning:
IndustrialMetalMiningstocksaccountedforapproximately31%ofourtotalportfolioweightduringthequarter.
Results:
OurlargeoverweightpositioninIndustrialMetalMiningproducedanegativeallocationimpact,whichwasoffsetby
strongstockselection.TeckResourcesLtdwasaparticularlystrongpositionfortheportfolioduringthequarter.
Agriculture
Positioning:
Results:
Agriculturestocksaccountedforapproximately23%ofourtotalportfolioweightduringthequarter.
OursignificantoverweighttoAgriculturestocksproducedalargenegativeallocationimpact.However,strongstock
selectionwithintheAgriculturesectorhelpedtooffsettheallocationimpact.SocQuimicaYMinera,aChileanpotash
andlithiumproducer,ledthewaywithstrongperformanceinaweaksectoroverthecourseofthequarter.SalmarAsa,
aNorwegianfishfarmingcompany,alsohadastrongpositiveimpactontheportfolioduringthequarter.
(617)3307500| www.gmo.com
GMOLLC2016
26
GMOInternationalAllCountryEquityAllocationStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
80
Europe, 39.4
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
60
Japan,18.0
40
20
Cash&CashEquiv.,2.4
0
EmergingEquity
Cash
18.0
16.4
Japan
11.0
UnitedKingdom
Taiwan
Strategy
5YearRiskProfile
Benchmark
0.15
4.84
1.79
0.28
10
Strategy
0.43
0.96
0.95
0.02
15.14
Benchmark
0.00
1.00
1.00
0.01
15.40
Strategy
Benchmark
13.7 x
18.7 x
1.1 x
1.5 x
8.9 %
9.8 %
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
15
$14.1
3.9 %
Sector
Energy
HealthCare
Telecom.Services
Telecom.Services
Financials
10.24
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIACWIexUSA+Indexisaninternallymaintainedbenchmarkcomputed
byGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositeiscomprised
ofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposurethey
have.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindex
willvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedona
monthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
noliabilityhereunder.
$20.0
3.3 %
Country
France
UnitedKingdom
Japan
Japan
Switzerland
12.01
1YR
Characteristics
%ofEquity
2.8
2.3
1.9
1.9
1.8
10.7

(617)3307500| www.gmo.com
GMOLLC2016
6.38
1.84
TopHoldings
Company
TotalS.A.
AstraZenecaPLC
KDDICorp.
NipponT&TCorp.
SwissReAG
Total
5.66
3.88
15.47
16.90
13.63
10.82
40.16
45.26
16.08
26.94
10
6.6
6.8
France
8.89
6.21
16.71
16.82
11.31
12.74
27.77
40.96
17.39
25.91
AnnualizedReturn(%)
6.1
7.0
2.7
Benchmark
0.64
1.02
13.8
7.2
Germany
Strategy
0.02
1.25
2Q2016
YTD2016
27
GMOInternationalAllCountryEquityAllocationStrategy
June30,2016
Performance(%)
0.00
0.65
MSCIACWIexUSA
0.64
ValueAdded
Int'l
0.00
Int'l
EM
EM
Europe
Positioning:
Results:
stockstrailedtheMSCIACWIexUSAindexduringthequarter.Stockselectionwasnegative,particularlyin
GermanyandtheU.K.OuroverweightpositionsinDaimler(Germany)andAXA(France)weresignificant
individualstockdetractorsfromrelativereturns.
EmergingMarkets
Positioning:
Results:
Ouremergingmarketspositionresultedinbothpositiveallocationandselectionimpactsduringthequarteras
emergingmarketsoutperformedtheMSCIACWIexUSAindexandourholdingsoutperformedwithinemerging
markets.AnoverweightpositioninRussianfinancialSberbankwasasignificantcontributortorelativereturns.
Japan
approaches.
Positioning:
Results:
OurJapanpositionproducedbothpositiveallocationandselectionimpactsduringthequarterasJapan
outperformedtheMSCIACWIexUSAindexandourholdingsoutperformedwithinJapan.Anoverweightposition
inKDDIwasamongthebiggestpositivecontributors.
(617)3307500| www.gmo.com
GMOLLC2016
28
GMOInternationalDevelopedEquityAllocationStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
80
Europe, 52.4
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
60
40
Japan,24.2
20
OtherInternational, 11.2
Cash&CashEquiv.,2.3
0
EmergingEquity
Cash
24.2
23.3
Japan
14.6
UnitedKingdom
France
4.8
Switzerland
Strategy
0.81
4.90
22.78
17.32
12.14
7.93
32.16
43.33
11.58
26.62
7.14
10
5
9.3
1.05
1.68
1.65
5.57
1.69
Benchmark
5
10
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Strategy
0.54
0.94
0.95
0.07
14.75
Benchmark
0.00
1.00
1.00
0.11
15.24
Strategy
Benchmark
14.1 x
19.9 x
1.2 x
1.5 x
15
8.6 %
$18.1
4.0 %
Sector
Energy
HealthCare
Telecom.Services
Telecom.Services
Financials
10.16
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIEAFE++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquity
AllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyof
theaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)
(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeach
marketexposuretheyhave.Foreachunderlyingaccountbenchmark,the
GMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedor
usedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.
9.6 %
$24.5
3.5 %
Country
France
UnitedKingdom
Japan
Japan
Switzerland
13.59
1YR
Characteristics
%ofEquity
3.8
3.1
2.6
2.5
2.4
14.4

(617)3307500| www.gmo.com
GMOLLC2016
5.87
6.03
24.13
17.09
9.45
10.58
19.84
38.39
12.69
25.50
AnnualizedReturn(%)
TopHoldings
Company
TotalS.A.
AstraZenecaPLC
KDDICorp.
NipponT&TCorp.
SwissReAG
Total
Benchmark
1.46
4.42
19.6
9.7
8.7
8.8
9.6
Germany
5YearRiskProfile
Strategy
1.31
3.18
2Q2016
YTD2016
29
GMOInternationalDevelopedEquityAllocationStrategy
June30,2016
Performance(%)
Int'l
1.00
1.55
MSCIEAFE
1.46
ValueAdded
0.09
Int'l
EM
EM
Europe
Positioning:
Results:
stockstrailedtheMSCIEAFEindexduringthequarter.Stockselectionwasnegative,particularlyinGermanyand
theU.K.OuroverweightpositionsinDaimler(Germany)andAXA(France)weresignificantindividualstock
detractorsfromrelativereturns.
EmergingMarkets
Positioning:
Results:
Ouremergingmarketspositionresultedinbothpositiveallocationandselectionimpactsduringthequarteras
emergingmarketsoutperformedtheMSCIEAFEindexandourholdingsoutperformedwithinemergingmarkets.
AnoverweightpositioninRussianfinancialSberbankwasasignificantcontributortorelativereturns.
Japan
approaches.
Positioning:
Results:
OurJapanpositionproducedbothpositiveallocationandselectionimpactsduringthequarterasJapan
outperformedtheMSCIEAFEindexandourholdingsoutperformedwithinJapan.AnoverweightpositioninKDDI
wasamongthebiggestpositivecontributors.
(617)3307500| www.gmo.com
GMOLLC2016
30
GMOInternationalEquityStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GroupExposures(%)
100
2Q2016
YTD2016
80
Europe, 58.4
60
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
40
Japan, 27.0
20
Cash&CashEquiv.,2.2
0
Cash
Japan
23.3
16.2
UnitedKingdom
5.3
Switzerland
Strategy
10
5
0
5
10
15
20
9.3
Benchmark
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Characteristics
Strategy
1.63
0.97
0.97
0.01
15.40
Benchmark
0.00
1.00
1.00
0.12
15.71
Strategy
Benchmark
14.4 x
19.9 x
7.9 x
11.8 x
1.2 x
1.5 x
8.4 %
9.6 %
$19.5
Country
France
UnitedKingdom
Japan
Japan
Switzerland
4.1 %
Sector
Energy
HealthCare
Telecom.Services
Telecom.Services
Financials
1.88
0.19 1.68
0.46 1.58 1.12
0.81
3.79
22.95
17.69
12.17
3.25
34.23
44.09
5.96
30.38
5YR
10YR
4.76
6.40
10.1610.16
14.39
Strategy
MSCIEAFE
ITD
MSCIEAFE+
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.The
MSCIEAFE+(Europe,Australasia,andFarEast)Indexisaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,
Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,
andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
$24.5
3.5 %
%ofEquity
4.2
3.5
2.9
2.8
2.7
16.1

(617)3307500| www.gmo.com
GMOLLC2016
0.81
4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
7.09
1YR
TopHoldings
Company
TotalS.A.
AstraZenecaPLC
KDDICorp.
NipponT&TCorp.
SwissReAG
Total
5.60
5.96
25.62
12.98
10.18
7.53
21.41
40.31
10.21
25.78
MSCIEAFE+
1.46
4.42
AnnualizedReturn(%)
8.7
9.8
9.6
France
MSCIEAFE
1.46
4.42
19.6
10.8
Germany
5YearRiskProfile
27.0
Strategy
2.00
4.58
31
GMOInternationalEquityStrategy
June30,2016
Performance(%)
1.37
1.82
MSCIEAFE
1.46
ValueAdded
0.36
Europe
Positioning:
Results:
stockstrailedtheMSCIEAFEindexduringthequarter.Stockselectionwasnegative,particularlyinGermanyand
theU.K.OuroverweightpositionsinDaimler(Germany),AXA(France),andPersimmon(U.K.)weresignificant
individualstockdetractorsfromrelativereturnswhileTotal(France)andAstraZeneca(U.K.)weresignificant
contributors.
Japan
Positioning:
Results:
approaches.
OurJapanpositionproducedbothpositiveallocationandselectionimpactsduringthequarter.Japan
outperformedMSCIEAFEandourholdingsoutperformedwithinJapan.OverweightpositionsinKDDIandNippon
TelegraphandTelephonemadethebiggestpositiveindividualstockimpacts.
(617)3307500| www.gmo.com
GMOLLC2016
32
GMOInternationalActiveEAFEStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
RegionWeights(%)
3.0
Australia/NewZealand
Emerging
0.0
7.5
4.8
37.7
EuropeexUK
2.7
4.7
Cash+UnrealizedG/L
0.0
6.9
Strategy
Benchmark
Under/Overweightvs.Benchmark Strategy
ConsumerDisc.
10.8
1.3
ConsumerStaples
0.1
13.4
Energy
1.6
3.6
Financials
25.2
2.9
HealthCare
3.0
9.4
Industrials
6.5
6.8
InformationTech.
5.1
10.4
Materials
5.0
1.9
Telecom.Services
7.2 12.3
Utilities
2.3
6.2
5YearRiskProfile
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
22.0
19.6
UnitedKingdom
Benchmark
12.1
13.3
5.2
22.3
12.4
13.3
5.3
6.9
5.1
3.9
Strategy
0.41
0.97
0.97
0.08
15.00
Benchmark
0.00
1.00
1.00
0.11
15.24
Strategy
Benchmark
15
10
5
0
5
10
15
16.4 x
19.9 x
9.5 x
11.8 x
1.4 x
1.5 x
3.5 %
3.5 %
8.44
1.68
1.04
8.30
1.58
10.16
5YR
10YR
Strategy
Benchmark
ITD
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
publishedindexcomprisedofinternationallargeandmidcapitalizationstocks.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
4.2
4.0
3.8
3.0
2.5
2.0
1.8
1.7
1.7
1.7

2 Portfolio holdings are percent of equity. They are subject to change and should
not be considered a recommendation to buy individual securities.
(617)3307500| www.gmo.com
GMOLLC2016
1.22
TopOverweightHoldings
Company
AstraZenecaPLC
NipponTelegraph&TelephoneCorp.
BritishAmericanTobaccoPLC
RocheHoldingAG
ImperialTobaccoGroupPLC
KDDICorp.
AllianzAGHolding
AozoraBankLtd.
WPPPLC
ScentreGroup
0.81
4.90
22.78
17.32
12.14
7.75
31.78
43.38
11.17
26.34
10.99
1YR
Characteristics
6.12
11.03
24.11
14.92
11.65
5.01
25.53
41.24
10.58
27.52
AnnualizedReturn(%)
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Benchmark
1.46
4.42
45.0
22.9
23.3
Japan
SoutheastAsia
Strategy
2.18
5.73
2Q2016
YTD2016
33
GMOInternationalActiveEAFEStrategy
June30,2016
The International Active EAFE Strategy underperformed the MSCI EAFE index by 0.7 percentage points in the second quarter, falling 2.2% net of fees
while the benchmark lost 1.5%.
Developed market stock selection lagged for the quarter. The portfolios overweight to U.K. equities detracted from performance when the British
pound weakened due to the U.K. electorates decision to exit the European Union. The effect of the currency was offset by the portfolios underlying
stock exposure within the U.K., however, which is in predominantly global businesses with limited profits from the U.K. economy. Our top three
holdings are AstraZeneca, British American Tobacco, and Imperial Tobacco. These companies are actually beneficiaries of a weaker British pound.
Our underweight position in European banks, especially the U.K. banks, helped the portfolio. Besides the obvious uncertainty surrounding Brexit, U.K.
banks also suffered because of their exposure to the peaking U.K. housing market and slowing emerging markets.
Essentra, a U.K. distribution group and holding in the portfolio, was negatively impacted by a profit warning. The company experienced integration
difficulties on a recent acquisition as well as some trading weakness at its filters division. Holding building products distributor Travis Perkins also
negatively impacted the portfolio during the quarter. The company is exposed to cyclical markets and 100% of revenue is derived from the U.K. Shares
fell hard in the wake of the Brexit vote. The negative impact on the portfolio of Travis Perkins and Essentra was exacerbated by the slump in sterling
post Brexit.
Holdings in Japan outperformed during the quarter. It was a difficult environment for Japanese equities in general, owing to roughly a 9% rise in the
value of the yen versus the dollar during the period. The strongest performance came from our holdings in two telecom stocks, NTT and KDDI. In May,
NTT continued to earn the markets trust by announcing a 350 billion yen share buyback program. Similarly, KDDI announced the retirement of over
2.5% of treasury shares. Truck manufacturer, Isuzu, also outperformed as the company announced truck unit volume growth in Thailand, an important
end market investors use to gauge the pace of recovery of demand in emerging markets. Stocks that underperformed were companies that announced
weaker than expected 1Q earnings. Nippon Electric Glass and Bridgestone were the main culprits. In both cases, the companies claim that inventory
adjustments have led to short-term negative sales results. In the case of Bridgestone, short-term concerns over inventory adjustment were amplified by
the fear that strengthening yen could impair prospects for achieving full year guidance.
Scentre Group and Samsung Electronics added alpha in the Asia and emerging markets section of the portfolio. The former is a high quality retail REIT
in Australia that continues to benefit from the fall in interest rates we see across the world. While wary that this fall in rates is signaling poor economic
prospects, Scentres rental portfolio should hold up better than other lower grade competitors. Samsung has been moving back toward the top end of its
long-term trading band as the market warms up to better results from the companys all-important handset division. The stock remains very cheap on
almost all metrics.
Power Assets Holdings (PAH) and Incitec Pivot both underperformed. PAH, while still a very defensive holding with one of the strongest balance
sheets in the portfolio, suffered because several of its operating assets are in the U.K. and the market revalued those down with the weakness in sterling.
Incitec Pivot, as explained in previous commentaries, has been weak because of falls in the ammonia/natural gas spread this year. We believe that
despite this they will see a material increase in cash flow as their Louisiana ammonia plant starts operations over the next year. This should help re-rate
the shares over time.
(617)3307500| www.gmo.com
GMOLLC2016
34
GMOInternationalActiveForeignSmallCompaniesStrategy
June30,2016
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
Australia/NewZealand
Canada
Emerging
EuropeexUK
Japan
SoutheastAsia
UnitedKingdom
Cash+UnrealizedG/L
0.0
6.4
6.6
4.7
8.7
5.4
0.0
37.7
38.6
24.0
23.1
1.9
8.6
7.2
Strategy
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
12.7
14.4
Benchmark
Under/Overweightvs.Benchmark Strategy
ConsumerDisc.
5.7
21.0
ConsumerStaples
3.4
3.7
Energy
1.0
2.3
Financials
7.3 28.2
HealthCare
3.7
4.9
Industrials
19.0
1.8
InformationTech.
10.7
0.7
7.3
Materials
3.6
1.4
Telecom.Services
0.5
1.5
Utilities
0.7
5YearRiskProfile
Benchmark
15.3
7.1
3.3
20.9
8.6
20.8
10.0
10.9
0.9
2.2
Benchmark
1.30
0.78
5.89
9.53
28.92
21.64
15.21
24.76
47.63
45.91
8.00
36.24
5.92
3.42
26.06
18.55
14.49
21.96
45.07
47.67
7.32
29.42
AnnualizedReturn(%)
15
10.00
10
2.69
4.19
4.54
6.86
4.15
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Strategy
1.35
0.96
0.97
0.18
14.89
Benchmark
0.00
1.00
1.00
0.27
15.22
Strategy
Benchmark
5
10
17.1 x
20.5 x
10.1 x
12.1 x
1.4 x
1.4 x
3.0 %
2.6 %
5YR
10YR
Strategy
Benchmark
ITD
TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthesmallcapitalizationstockcomponentof
theS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarket
capitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&P
DevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarket
capitalization(float)oftheBMIineachcountry.
TopOverweightHoldings
Company
KabaHoldingAG
TakaraLebenCo.Ltd.
InformaPlc
AmplifonS.p.A.
Teleperformance
GrandCityPropertiesSA
SvenskaCellulosaAB
BaloiseHoldingAG
FederationCentres
DownerEDILtd.
3.80
8.67
1YR
Characteristics
1.9
1.8
1.7
1.7
1.5
1.4
1.3
1.3
1.3
1.3
S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityof
anydataorinformationandisnotresponsibleforanyerrorsoromissionsfromthe
useofsuchdataorinformation.Reproductionofthedataorinformationinany
formisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdparty
licensors.

(617)3307500| www.gmo.com
GMOLLC2016
Strategy
3.79
5.64
2Q2016
YTD2016
35
GMOInternationalActiveForeignSmallCompaniesStrategy
June30,2016
International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index by 2.5 percentage points in the
second quarter, falling 3.8% net of fees while the benchmark fell 1.3%.
The effects of fair value pricing were slightly negative in the quarter.
Country and currency allocation were behind the benchmark, with our positioning in Europe significantly detracting from performance.
Stock selection also lagged the benchmark in the second quarter. Essentra, a U.K. distribution group and holding in the portfolio was negatively
impacted by a profit warning. The company experienced integration difficulties on a recent acquisition as well as some trading weakness at its filters
division. Holding building products distributor Travis Perkins also negatively impacted the portfolio during the quarter. The company is exposed to
cyclical markets and 100% of revenue is derived from the U.K. Shares fell hard in the wake of the U.K.s surprise vote to exit the European Union. The
negative impact on the portfolio of Travis Perkins and Essentra was exacerbated by the slump in sterling in the wake of the Leave vote.
The Brexit vote also negatively impacted Great Portland Estates, which is directly exposed to the London property market. Great Portland is
conservatively positioned in anticipation of an uncertain near term with low leverage and a committed development pipeline.
Yokohama Rubber, a tire company, stumbled during the quarter for three reasons. First, the company announced its intention to buy Alliance Tire, an
Indian agricultural tire specialist, from private equity investor KKR for $1.18bn. KKR bought the company just two years earlier for $500 million,
casting serious doubts that Yokohama management was getting a good price. Second, the company revised 1H earnings forecasts downward, citing a
host of issues, including excess inventories in the U.S. and credit losses in Russia. The final factor was the strengthening yen over the quarter, which
investors reckon will be a drag on overseas earnings. Tokyo Century Lease was collateral damage when the BoJ moved to negative interest rates. Leasing
is fundamentally a spread business between the cost to borrow funds and ability to price the payments for a leased item. Despite the fact that the
company was able to price three- and five-year bonds at 0.11 and 0.2 basis points, the market was concerned that core asset pricing would fall more. The
company gave two-year forward guidance of roughly 20% operating profit growth, but it did little to allay investor concerns.
(617)3307500| www.gmo.com
GMOLLC2016
36
GMOU.S.EquityAllocationStrategy
June30,2016
STRATEGYPROFILE
GroupExposures(%)
TotalReturn(%)
Strategy
1.06
3.22
100
80
U.S.Quality,35.2
60
U.S.Small,3.8
2Q2016
YTD2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
40
OtherU.S., 57.1
20
Cash&CashEquiv.,0.9
0
U.S.Equity
Cash
ConsumerStaples
Energy
Financials
HealthCare
Industrials
Materials
Utilities
11.1
12.3
10.6
9.5
7.4
15.3
15.8
16.9
15.0
11.6
9.9
20.9
19.8
5.7
2.4
2.8
4.7
2.9
1.8
3.6
Strategy
10.89
5YearRiskProfile
Benchmark
16.8 x
23.0 x
2.2 x
2.8 x
17.5 %
15.8 %
2.5 %
$78.6
2.2 %
Strategy
1.17
0.83
0.92
1.02
10.65
Benchmark
0.00
1.00
1.00
0.94
12.27
TopHoldings
Company
Sector
%ofEquity
Johnson&Johnson
HealthCare
5.1
VerizonCommunicationsInc. TelecommunicationServices
4.6
PfizerInc.
HealthCare
4.5
UnitedHealthGroupInc.
HealthCare
4.1
TravelersCos.Inc.
Financials
3.7
Total
22.0
(617)3307500| www.gmo.com
GMOLLC2016
4.01
2.14
5YR
10YR
Strategy
Benchmark
ITD
futureperformance.Returnsareshownafterthedeductionofmanagement
fees,transactioncostsandotherexpenses,butbeforecustodycharges,
withholdingtaxes,andotherindirectexpenses.Thereturnsassumethe
reinvestmentofdividendsandotherincome.
TheRussell3000+++Indexisaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocation
Compositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverage
ofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,
Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthly
basis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessor
availabilityofanydataorinformationandisnotresponsibleforanyerrorsor
omissionsfromtheuseofsuchdataorinformation.Reproductionofthedataor
informationinanyformisprohibitedexceptwiththepriorwrittenpermissionof
S&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandowner
ofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.
RussellisatrademarkofRussellInvestmentGroup.
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
9.93
7.35
Strategy
$34.8
10.31
6.66
1YR
11.63
10
Characteristics
0.48
12.76
32.85
16.21
1.58
16.26
27.46
37.15
5.39
15.71
AnnualizedReturn(%)
Benchmark
0.61
9.82
27.95
12.25
9.91
7.43
20.54
27.87
2.25
9.93
15
Benchmark
2.63
3.62
37
GMOU.S.EquityAllocationStrategy
June30,2016
Performance(%)
NetofFees,ClassIII,USD
+1.02
GrossofFees,ClassIII,USD
+1.13
S&P500
+2.46
ValueAdded
1.32
U.S.HighQuality
Characteristics: OurpositioninU.S.highqualityiscomparativelymultinationalandcarrieslesscyclicaleconomicexposure
Positioning:
Results:
comparedtotheU.S.market.
OurpositioninhighqualityholdingsslightlyunderperformedtheS&P500duringthequarter,producingasmall
negativeimpact.Johnson&JohnsonandUnitedHealthGroupwereamongthemostsignificantindividualstock
contributors.
Energy
Characteristics: OurpositioninEnergyisfocusedonlargeoil&gascompaniesselectedbyourquantitativevaluationapproaches.
Positioning:
ExposuretoEnergyaccountedforapproximately8%ofourtotalportfolioweightonaverageduringthequarter.
Results:
OuroverweightallocationtoEnergyproducedasmallpositiveimpactfromallocationbutstockselectioncaused
alargernegativeimpact.OverweightpositionsinValeroEnergyandTesoroCorp.wereamongthemost
significantdetractorsfromrelativereturnwhileChevronwasacontributor.
Characteristics: OurpositioninConsumerDiscretionaryisfocusedonretailersandmediacompaniesselectedbyour
quantitativevaluationapproaches.
Positioning:
Results:
ConsumerDiscretionarystocksaccountedforapproximately17%ofourtotalportfolioweightonaverage
duringthequarter.
Ourpositionsproducedsmallnegativeallocationandselectionimpactsduringthequarter.Overweight
positionsinHomeDepotandDeltaAirLineswereamongthemostsignificantdetractorswhileAmazon.com
madethebiggestpositivecontributiontorelativereturn.
(617)3307500| www.gmo.com
GMOLLC2016
38
GMOEmergingMarketsStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
Taiwan
11.8
16.1
China
3.8
India
25.0
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
12.1
10.3
Strategy
Benchmark
Under/Overweightvs.Benchmark Strategy Benchmark
ConsumerDisc.
12.8
11.1
1.7
ConsumerStaples
2.6
8.1
5.5
Energy
6.7
6.9
0.2
Financials
27.4
26.3
1.1
1.4
3.3
HealthCare
1.9
3.4
7.5
Industrials
4.1
23.9
20.8
InformationTech.
3.1
5.3
7.2
Materials
1.9
11.5
5.6
Telecom.Services
5.9
4.9
3.3
Utilities
1.6
1
5YearRiskProfile
Strategy
Benchmark
2.39
0.00
Alpha
1.01
1.00
Beta
2
0.97
1.00
R
0.27
0.15
SharpeRatio
19.06
18.63
Std.Deviation
Characteristics
Strategy
Benchmark
9.8 x
15.7 x
7.0 x
10.4 x
1.4 x
1.1 x
ReturnonEquityHist1YrAvg
11.6 %
$5.0
$6.2
NumberofEquityHoldings
434
2,396
2
TopTenHoldings
Company
SamsungElectronicsCo.Ltd.
Surgutneftegaz
SberbankRussiaADS
HDFCBankLtd.
ChinaMobileLtd.
ChinaConstructionBankCorp.
HyundaiMobisCo.Ltd.
3.5 %
Benchmark
1.43
6.11
16.09
5.92
5.19
15.19
16.95
20.20
71.89
55.74
37.22
29.51
12.38
1.12
0.57
18.89
19.03
20.64
81.03
53.74
40.28
35.11
AnnualizedReturn(%)
10
5
1.98
4.44
6.45
5.00
0
5
10
15
5.07
8.02
2.66
10.63
1YR
5YR
10YR
Strategy
Benchmark
ITD
9.8 %
TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguarantee
theaccuracy,adequacy,completenessoravailabilityofanydataorinformation
andisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataor
information.Reproductionofthedataorinformationinanyformisprohibited
exceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
3.2 %
%ofEquity
5.3
4.2
3.7
3.3
2.9
2.7
2.3
HonHaiPrecisionIndustryCo.Ltd.
2.0
MobileTelesystems
1.9
YesBankLtd.
1.8
Total
30.1
2
sensitivity to the market; R is a measure of how well a portfolio tracks the
(617)3307500| www.gmo.com
GMOLLC2016
Strategy
1.94
11.05
2Q2016
YTD2016
15.7
14.9
13.1
Korea
Russia
21.2
39
GMOEmergingMarketsStrategy
June30,2016
The Emerging Markets Strategy rose 1.9% net of fees in the second quarter, outperforming the 1.4% rise in the S&P/IFCI Composite by 0.5% (MSCI
EM, a widely used index, rose 0.7% over the quarter). Overall, country-sector allocation gained 0.5%, while stock selection was flat.
The second quarters performance encompassed many a twist and turn. April was a good month as Chinese economic data continued to show signs of
strength and the Fed signaled that any rate increases would proceed cautiously. May, on the other hand, saw investors agonizing over the potential for a
Brexit shock and the Feds next interest rate increase. June, a solidly positive month, was dominated by the fallout and subsequent recovery from the
surprise outcome of the Brexit vote. Country returns over the quarter varied, ranging from an 18.2% leap in Peru to a 17.3% drop in Poland. Sector
returns were more clustered, varying from a 4.3% jump in Consumer Staples to a fall of 3.2% in the Industrials sector.
Brazilian equities have been on a bull rally with President Dilma Rousseffs impeachment and subsequent ouster. Interim President Michel Temers
plans to fix the economy have been well-received by investors. Later in the quarter, better-than-expected unemployment figures boosted optimism that
the country is pulling out of its growth slump. Our overweight in Brazil Utilities contributed to performance.
Investor sentiment in Greece took a nosedive after the U.K. voted to leave the European Union. Peripheral markets are seen as most vulnerable because
of their weaker fiscal positions and dependence on support from the rest of Europe. Our overweight in Greece Financials detracted from performance.
Stocks in India rose on optimism over the outlook for company earnings. A forecast for above-average rainfall following two years of droughts has
helped improve sentiment. More potent monsoons have the potential to help with food inflation and rural consumption. Recent state elections
strengthened the hand of the central government, raising hopes of passage of market friendly measures. Our overweight in India Financials boosted
performance.
Investors in Russia were cheered by the rise in crude oil prices. Russia receives about half of its budget revenue from oil and natural gas sales. The
market is also foreseeing a turnaround in the earnings of Russian companies. Toward the end of the quarter, Russian stocks were negatively impacted as
Britains vote to quit the European Union triggered a flight from riskier assets. Our overweight in Russia Financials helped performance.
The Turkish stock market began the quarter on an optimistic note as the new central bank governor emphasized price stability in his first major public
appearance. Investor sentiment turned sour later as investors disapproved of the rising concentration of power by President Erdogan. A change in
prime ministers, at Erdogans behest, is being seen as one more step toward the transformation of his largely ceremonial role into an executive
presidency. Our overweight in Turkey Telecommunications hurt performance.
(617)3307500| www.gmo.com
GMOLLC2016
40
GMOEmergingDomesticOpportunitiesStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
India
Thailand
8.4
10.6
Russia
25.8
2015
2014
2013
2012
2011
9.7
1.6
6.7
3.7
Strategy
Index
Under/Overweightvs.Index
Strategy
ConsumerDisc.
9.5
1.0
ConsumerStaples
19.1
10.6
Energy
2.9
4.6
33.6
Financials
7.5
4.9
HealthCare
2.2
7.0
Industrials
0.8
5.8
InformationTech. 16.7
6.4
Materials
0.1
8.5
Telecom.Services
1.9
2.3
Utilities
0.9
2
Strategy
5.11
Alpha
0.70
Beta
2
0.82
R
0.17
SharpeRatio
14.23
Std.Deviation
Characteristics
Strategy
Index
10.5
8.5
7.5
26.1
2.7
6.2
22.5
6.3
6.6
3.2
AnnualizedReturn(%)
5
23.5 x
15.3 x
18.6 x
10.3 x
3.0 x
1.4 x
ReturnonEquityHist1YrAvg
15.5 %
10.5 %
$2.8
$8.6
NumberofEquityHoldings
103
835
3
TopTenHoldings
Company
TencentHoldingsLtd.
Unilever
SberbankRussiaADS
AsianPaintsLtd.
YesBankLtd.
IndusIndBankLtd.
BritishAmericanTobaccoPLC
2.0 %
2.7 %
8.12
0.30
3.80
24.33
8.99
14.92
2.19
2.60
18.22
20.06
2.44
1.69
5
10
15
3.78
5.37
3.82
12.05
1YR
5YR
Strategy
ITD
Index
TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.The
StrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinaneffortto
compareandcontrasttheStrategyversusabroademergingmarketsindex.The
MSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)
isanindependentlymaintainedandwidelypublishedindexcomprisedofglobal
emergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
Index
Index
0.66
6.41
Index
0.00
1.00
1.00
0.21
18.33
%ofEquity
5.4
5.3
4.7
4.6
4.1
3.5
2.4
DigitalTelecommunicationsInfrastructureFund(AlientMkt)
2.4
AIAGroupLtd.
2.2
RaiaDrogasilSA
2.0
Total
36.6
1 Weights are based on exposure, which will include the impact from hedges held,
if any.
(617)3307500| www.gmo.com
GMOLLC2016
Strategy
4.01
5.52
2Q2016
YTD2016
13.7
2.3
China
Philippines
21.1
41
GMOEmergingDomesticOpportunitiesStrategy
June30,2016
The Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the world's non-developed
markets. It uses fundamental analysis within a structured approach to select countries, sectors, and stocks that we believe are the most likely to benefit
from the rising demand for goods and services in emerging markets.
The Emerging Domestic Opportunities Strategy rose 4.0% net of fees in the second quarter. In comparison, MSCI EM, a widely used index, rose 0.7%
over the period.
The second quarters relatively flat return encompassed many a twist and turn. April was a good month as Chinese economic data continued to show
signs of strength and the Fed signaled that any rate increases would proceed cautiously. May, on the other hand, saw investors agonizing over the
potential for a Brexit shock and the Feds next interest rate increase. June, a solidly positive month, was dominated by the fallout and subsequent
recovery from the surprise outcome of the Brexit vote. Country returns over the quarter varied, ranging from an 18.2% leap in Peru to a 17.3% drop in
Poland. Domestic demand driven sector returns were more clustered, varying from a 4.3% jump in Consumer Staples to a fall of 3.2% in the Industrials
sector.
Brazilian equities have been on a bull rally with President Dilma Rousseffs impeachment and subsequent ouster. Interim President Michel Temers
plans to fix the economy have been well-received by investors. Later in the quarter, better-than-expected unemployment figures boosted optimism that
the country is pulling out of its growth slump. Our exposure to Brazil Consumer Staples and Financials contributed to performance.
Stocks in India rose on optimism over the outlook for company earnings. A forecast for above-average rainfall following two years of droughts has
helped improve sentiment. More potent monsoons have the potential to help with food inflation and rural consumption. Recent state elections
strengthened the hand of the central government, raising hopes of passage of market friendly measures. Our holdings in India Financials boosted
performance.
The election of Rodrigo Duterte as president of the Philippines is being welcomed by the stock market in a turnaround. The economy is motoring along
well on solid private household consumption and investment, buoyant business and consumer sentiment, and adequate credit and domestic liquidity
in the words of the central bank. Duterte has promised to boost public infrastructure spending to more than 5% of GDP. Our positions in Philippines
Consumer Staples added to performance.
Investors in Russia were cheered by the rise in crude oil prices. Russia receives about half of its budget revenue from oil and natural gas sales. The
market is also foreseeing a turnaround in the earnings of Russian companies. Toward the end of the quarter, Russian stocks were negatively impacted as
Britains vote to quit the European Union triggered a flight from riskier assets. Our investments in Russia Financials helped performance.
The Turkish stock market began the quarter on an optimistic note as the new central bank governor emphasized price stability in his first major public
appearance. Investor sentiment turned sour later as investors disapproved of the rising concentration of power by President Erdogan. A change in
prime ministers, at Erdogans behest, is being seen as one more step toward the transformation of his largely ceremonial role into an executive
presidency. Our positions in Turkey Financials hurt performance.
(617)3307500| www.gmo.com
GMOLLC2016
42
GMOGlobalBondStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
GlobalRatesContributiontoActiveDuration
Mexico
0.3
Sweden
0.3
NewZealand
0.2
Japan
0.1
UnitedStates
UnitedKingdom
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
0.1
Eurozone
0.1
0.7
1
PortfolioOverlayCurrencyPositions(%)
SWE
CAN
DNK
GBR
AUS
JPN
EUR
CHE
0.2
0.1
0.1
0.2
0.2
1.3
15
9.98
PortfolioRatingBreakdown(%)
UnderB
5YearRiskProfile
4.57
5.58
4.88
1.60
1YR
7
0
2
Strategy
1.83
0.98
0.82
0.65
5.10
Benchmark
0.00
1.00
1.00
0.33
4.69
Strategy
8.3
Maturity
9.8 Yrs.
ExposuretoEmergingCountryDebt
5.9 %
10YR
Strategy
Benchmark
ITD
TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofgovernmentbondsofdevelopedcountrieswith
maturitiesofoneyearormore.
Characteristics
ModifiedDuration
5YR
dividendsandotherincome.Returnsforoneoftheaccountsinthecompositeare
basedonestimatedmarketvaluesfortheperiodfromandincludingOctober2008
throughFebruary2009.
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
All currency positions are versus USD

(617)3307500| www.gmo.com
GMOLLC2016
4.51
3.40
BBB
B
2.61
0.67
4.50
1.30
7.22
6.42
1.91
12.00
10.81
5.94
11.52
70
BB
3.38
4.98
2.56
6.36
8.30
14.14
20.30
14.93
2.58
7.94
10
11
AA
A
Benchmark
3.59
10.58
AnnualizedReturn(%)
2.2
2.5
AAA
Strategy
3.51
8.87
2Q2016
YTD2016
43
GMOGlobalBondStrategy
June30,2016
The Global Bond Strategy returned +3.5% net of fees during the second quarter, underperforming the J.P. Morgan GBI Global index return of +3.6% by
0.1%. The 30-basis-point fall in the index yield accounted for the bulk of positive index returns, with the U.S. dollars fall versus yen also contributing to
gains.
Despite an early quarter sell-off when equity market strength and gains in oil prices briefly led to higher yields, global market uncertainty and volatility
revolving around the June 23 EU referendum in the UK led to a rally in developed government bond markets. In 10-year-equivalent, interest-rate swap
terms, the UK (+4.4%) was among the biggest gainers during the quarter. The British electorate shocked the world by voting to leave the European
Union, one of the richest economic blocs in the world, immediately prompting Prime Minister David Cameron to resign his post and the Bank of
England (BoE) to pledge an additional 250 billion in funds to support financial stability. Ratings agencies subsequently downgraded the UKs credit
score, including Standard & Poors, which cut the nations AAA credit rating by two notches to AA. Unsurprisingly, demand for safe-haven assets also
increased in the Eurozone (+2.3%). Yields began their descent mid-quarter when the European Commission lowered the regions growth and inflation
forecast given continued deflationary pressures, global economic weakness, and uncertainty regarding the upcoming UK EU membership referendum.
With the Brexit vote, the EU lost one of its largest economies, causing European equity markets and bond yields to plunge. Like the BoE, the European
Central Bank (ECB) also pledged to provide additional liquidity if necessary. In the U.S. (+3.0%), the Federal Reserve voted to keep rates steady at its
June 15 meeting, when it also lowered its economic growth forecasts for 2016 and 2017, and signaled that hikes will be more gradual than previously
expected. Fallout from the unexpected Brexit vote subsequently weighed on the possibility of Fed hikes before the end of 2016. Low inflation and
strong local currency concerns prompted the Reserve Bank of Australia (RBA) to cut rates on May 3 by 25 bps to 1.75%, which, along with global
economic weakness, put downward pressure on Australian yields (+4.2%). Japan (+2.3%) also delivered gains for the quarter, as yields fell to record
lows since the BoJ adopted its negative interest-rate policy (NIRP) in January. Other nations that implement negative interest rate policies were also up
during the quarter, including Sweden (+4.8%), Denmark (+4.2%), and Switzerland (+2.9%). The only emerging government bond market currently in
the investment set, Mexico, rose by 0.3%.
Global yield curves (measured by the difference between 30-year and 2-year swap rates) flattened across the board, with Japanese, Swedish, and
Canadian curves flattening the most.
FX markets endured heavy aftershocks from Brexit as the British pound plunged by 11% to a historic 31-year low versus the U.S. dollar in the days
following the vote, threatening its status as a reserve currency. Though the pound edged higher in the post-Brexit environment, ending the quarter
down 7.0% versus the dollar, investors speculate that the currency will continue to weaken given economic and political uncertainty in the UK. Elevated
volatility caused Swedish kronor and euros to depreciate significantly following the Brexit vote, though, like the pound, they also bounced back in the
final days of the quarter; the krona fell by 4.3% in Q2 while the single-currency fell by 2.5%. The Australian dollar tumbled by 3.2% during the quarter
as market volatility and the RBA rate cut put downward pressure on the Aussie.
Japanese yen strengthened the most in the opportunity set, by +9.6% versus the dollar in Q2, as yen tends to rally during times of market volatility.
Despite taking a brief hit after Brexit, the New Zealand dollar surged by 2.6% in Q2; the Reserve Bank of New Zealand voted to keep rates on hold at
2.25% in June, surprising investors and strengthening the kiwi. Though typically a safe haven during times of market stress, the Swiss franc actually
depreciated by 1.7% during the quarter. In an effort to curb excessive appreciation after the Brexit shock, the Swiss National Bank intervened in the FX
market, depreciating the franc. While the U.S. dollar ended the quarter up by 0.3% according to the Bloomberg Dollar Spot Index, its intra-quarter
moves were noteworthy. The dollar waned early in the quarter when sluggish global economic activity and low domestic inflation prompted the Federal
Reserve to leave rates unchanged. By May, the buck strengthened when Fed officials hinted that the central bank could see two to three hikes this year.
In the weeks leading up to Brexit, however, a dovish Fed statement and an anticipated Remain outcome put downward pressure on the dollar. After
the referendums surprising Leave outcome, the buck promptly reversed course, strengthening when investors demanded safety.
In performance, interest-rate strategies detracted during the quarter. The portfolios active short UK duration position drove losses, followed by losses
provided by the Eurozone steepener position. The portfolios active long Swedish and Australian duration positions partly offset losses.
The currency strategy added value for the quarter due to the portfolios short euro and Swiss franc positions.
In opportunistic strategies, cross-currency basis swap positions detracted as losses from euro cross-currency basis swap positions more than offset gains
from yen cross-currency basis swap positions.
(617)3307500| www.gmo.com
GMOLLC2016
44
GMOCurrencyHedgedInternationalBondStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
Mexico
0.3
Sweden
0.2
NewZealand
0.2
Australia
UnitedKingdom
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
0.1
Denmark
0.1
0.7
1
SWE
0.1
AUS
0.2
JPN
1.0
EUR
2.1
CHE
Strategy
3.48
6.34
2Q2016
YTD2016
Benchmark
3.24
7.27
0.48
16.59
0.14
11.34
7.97
11.70
18.81
13.56
4.00
2.45
1.59
13.10
0.65
8.07
6.10
3.71
2.90
9.22
3.42
1.79
2.5
AnnualizedReturn(%)
2
12
10
8
6
4
2
0
AAA
41
AA
A
28
0
BBB
22
BB
B
BelowB
5YearRiskProfile
6
2
Strategy
0.59
1.06
0.82
1.59
5.07
Benchmark
0.00
1.00
1.00
1.63
4.36
Strategy
8.4
10.4 Yrs.
5.8 %
All currency positions are versus USD

The credit ratings above may encompass emerging debt, developed rates, and
2
(617)3307500| www.gmo.com
GMOLLC2016
7.93
7.17
5.61
6.99
5.91
5YR
10YR
Strategy
Benchmark
ITD
TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+isaninternallymaintained
benchmarkcomputedbyGMO,comprisedof(i)theJ.P.MorganGBIGlobalexU.S.
(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapanexU.S.
(Hedged)thereafter.
Characteristics
ModifiedDuration
8.15
Maturity
10.42
1YR
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
9.49
45
GMOCurrencyHedgedInternationalBondStrategy
June30,2016
The Currency Hedged International Bond Strategy returned +3.5% net of fees in the second quarter, outperforming the J.P. Morgan GBI Global ex
Japan ex U.S. (Hedged) index total return of +3.2% by 0.2%. The yield of the J.P. Morgan GBI Global ex Japan ex U.S. (Hedged) index fell by 31 basis
points during the quarter.
revolving around the June 23 EU referendum in the U.K. led to a rally in developed government bond markets. In 10-year-equivalent, interest-rate
swap terms, the U.K. (+4.4%) was among the biggest gainers during the quarter. The British electorate shocked the world by voting to leave the
European Union, one of the richest economic blocs in the world, immediately prompting Prime Minister David Cameron to resign his post and the
Bank of England (BoE) to pledge an additional 250 billion in funds to support financial stability. Ratings agencies subsequently downgraded the U.K.s
credit score, including Standard & Poors, which cut the nations AAA credit rating by two notches to AA. Unsurprisingly, demand for safe-haven assets
also increased in the Eurozone (+2.3%). Yields began their descent mid-quarter when the European Commission lowered the regions growth and
inflation forecast given continued deflationary pressures, global economic weakness, and uncertainty regarding the upcoming U.K. EU membership
referendum. With the Brexit vote, the EU lost one of its largest economies, causing European equity markets and bond yields to plunge. Like the BoE,
the European Central Bank (ECB) also pledged to provide additional liquidity if necessary. In the U.S. (+3.0%), the Federal Reserve voted to keep rates
steady at its June 15 meeting, when it also lowered its economic growth forecasts for 2016 and 2017, and signaled that hikes will be more gradual than
previously expected. Fallout from the unexpected Brexit vote subsequently weighed on the possibility of Fed hikes before the end of 2016. Low inflation
and strong local currency concerns prompted the Reserve Bank of Australia (RBA) to cut rates on May 3 by 25 bps to 1.75%, which, along with global
down 7.0% versus the dollar, investors speculate that the currency will continue to weaken given economic and political uncertainty in the U.K. Elevated
In performance, interest-rate strategies detracted during the quarter. The portfolios active short U.K. duration position drove losses, followed by losses
In opportunistic strategies, cross-currency basis swap positions detracted as losses from euro cross-currency basis swap positions more than offset gains
from yen cross-currency basis swap positions.
A small exposure to emerging debt added value during the quarter, thanks to spread tightening on the asset class and positive contributions from both
country selection and security selection.
(617)3307500| www.gmo.com
GMOLLC2016
46
GMOCorePlusBondStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
ContributiontoDuration
U.S.Treasuries
GovernmentRelated
Corporate
Securitized
EmergingDebt
2.3
2Q2016
YTD2016
0.5
1.9
0.8
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
0.3
Mexico
0.3
Sweden
0.3
NewZealand
0.2
Eurozone
0.6
UnitedKingdom
0.7
Strategy
2.71
3.55
Benchmark
2.21
5.31
0.89
9.31
0.07
9.07
9.89
13.24
20.90
18.00
1.01
5.76
0.55
5.97
2.03
4.22
7.84
6.54
5.93
5.24
6.97
4.33
SWE
AnnualizedReturn(%)
0.2
GBR
0.4
JPN
6.00
1.0
EUR
2.4
CHE
2.5
88
1
BB
B
BelowB
5YearRiskProfile
1
4
Strategy
0.84
1.20
0.67
1.31
4.01
5YR
10YR
Strategy
Benchmark
ITD
TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofU.S.fixedratedebtissueshavingamaturityofat
leastoneyearandratedinvestmentgradeorhigher.
Benchmark
0.00
1.00
1.00
1.35
2.75
Strategy
ModifiedDuration
5.6
Maturity
7.2 Yrs.
5.2 %
1 All currency positions are versus USD
(617)3307500| www.gmo.com
GMOLLC2016
5.61
Alpha
Beta
2
R
SharpeRatio
Std.Deviation
Characteristics
5.77
3.76
3.53
1YR
AA
BBB
5.13
AAA
1
4.75
5.32
47
GMOCorePlusBondStrategy
June30,2016
The Core Plus Bond Strategy returned +2.7% in the second quarter, outperforming the +2.2% return of its benchmark, the Barclays U.S. Aggregate
index, by 0.5%. Tightening sector spreads and falling U.S. Treasury yields contributed to index gains.
The overall option-adjusted spread of the Barclays U.S. Aggregate index was flat during the quarter, with spreads tightening by as much as 15 basis
points (BBB Credit). Only MBS (+4 basis points), U.S. Agency (+2 basis points), and AAA Credit (1 basis point) spreads widened during the quarter.
U.S. interest rates fell and the U.S. Treasury yield curve flattened during the quarter: the 10-year U.S. Treasury yield fell by 29 basis points to end the
quarter at 1.5%, and the 2 year yield fell by 15 bps to end the quarter at 0.6%.
previously expected. Fallout from the unexpected Brexit vote subsequently weighed on the possibility of Fed hikes before the end of 2016. Low
inflation and strong local currency concerns prompted the Reserve Bank of Australia (RBA) to cut rates on May 3 by 25 bps to 1.75%, which, along with
global economic weakness, put downward pressure on Australian yields (+4.2%). Japan (+2.3%) also delivered gains for the quarter, as yields fell to
record lows since the BoJ adopted its negative interest-rate policy (NIRP) in January. Other nations that implement negative interest rate policies were
also up during the quarter, including Sweden (+4.8%), Denmark (+4.2%), and Switzerland (+2.9%). The only emerging government bond market
currently in the investment set, Mexico, rose by 0.3%.
In performance, interest-rate strategies detracted during the quarter. The portfolios active short U.K. duration position drove losses, followed by losses
In opportunistic strategies, swap spread strategies added value as long end swap spreads in the U.S. went less negative.
A small exposure to emerging debt added value during the quarter, thanks to spread tightening on the asset class and positive contributions from both
country selection and security selection.
(617)3307500| www.gmo.com
GMOLLC2016
48
GMODebtOpportunitiesStrategy
June30,2016
STRATEGYPROFILE
1
Std.Deviation
SharpeRatio
Drawdown
(5/31/136/28/13)
TotalReturn(%)
Strategy
1.71
3.10
2Q2016
YTD2016
1.23
2015
2014
2013
2012
2011
Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

AnnualizedReturn(%)
6
5
4
3
1.86
2
0.69
1
0
1YR
Strategy
Strategy
1.56
1.49
Benchmark
0.24
0.47
1.58
4.35
5.76
11.90
0.16
0.41
0.35
0.40
0.82
0.12
5.35
0.55
ITD
Benchmark
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofthreemonthU.S.dollarEurodeposits.The
durationoftheIndexisgenerally90days.
(617)3307500| www.gmo.com
GMOLLC2016
49
GMODebtOpportunitiesStrategy
June30,2016
The Debt Opportunities Strategy returned +1.6% net of fees in the second quarter of 2016, outperforming the return of the J.P. Morgan U.S. 3 Month
Cash index by 1.3%.
Total returns for securitized products were generally positive in the second quarter. Overall, corporate credit market slightly outperformed structured,
with Investment Grade (IG) finishing +3.5% and High Yield (HY) posting +5.9% in total return. On the base rate side, swap rates sold off marginally
into the middle of the quarter before rallying on post Brexit fears and market uncertainty. Rates were lower by approximately 20 bps (U.S. 5-year),
finishing at 1.01%.
In structured products, excess returns were mostly positive for the quarter. Overall, ABS was modestly positive, with Auto securitizations returning
0.0% to 0.5% excess, and Student Loans returning +0.8% excess. Non-Agency RMBS securities were up in Q2 as we saw the continued theme of credit
burnout within collateral pools and slow but steadily improving fundamentals in a low rate environment. Additionally, many Non-Agency deals
received resolution payments in the Countrywide legal case. Credit Risk Transfer (CRT) deals on residential mortgages rebounded nicely after a slow
Q1 and posted some of the best performance in Q2. In the lower part of the CRT capital structure, non-rated tranches had positive excess return,
posting approximately +5.5% to +7.5%. These positions are very structurally levered, tending to exhibit significantly greater amount of beta than cash
Non-Agency bonds. In Commercial Mortgage Backed Securities (CMBS), spreads rallied off their Q1 wides into quarter end despite the Brexit
volatility. Overall, CMBS finished with approximately +0.8% excess, with AAA cash at +0.6%, and BBB at +1.2%. The Collateralized Loan Obligation
(CLO) market saw similar macro sentiment, as spreads rallied throughout the quarter. As a result, AAA cash returned approximately +1.0% excess
return, and, in the lower part of the capital structure, BBB returned +3.5% and BB +3.1% excess.
At quarter end, 22% of the portfolio was rated AAA, although approximately 34% of the portfolio was rated single-A or better. Approximately 45% of
the portfolio was invested in asset-backed securities (ABS), 24% in mortgage-backed securities (MBS), 13% in commercial mortgage-backed securities
(CMBS), 13% in esoteric ABS, and 5% in cash or cash equivalents.
Note: Ratings are lowest of Moodys, Standard & Poors, Fitch, DBRS, and Kroll. No rating is used if none of the five listed provides a rating.
(617)3307500| www.gmo.com
GMOLLC2016
50
GMOFixedIncomeHedgeStrategy
June30,2016
STRATEGYPROFILE
CurrencyExposure(%)
TotalReturn(%)
NetExposure
Sweden
2Q2016
YTD2016
1.3
Mexico
0.5
NewZealand
0.2
UK
Japan
10.4
24.3
Switzerland
24.5
CountryExposure(%)
NetExposure
Mexico
41.4
Sweden
11.72
22.28
3.79
10.07
15.85
11.03
21.63
25.45
23.39
4.61
0.41
0.35
0.40
0.82
0.44
0.45
1.45
4.12
5.70
5.25
31.4
NewZealand
AnnualizedReturn(%)
5
23.5
Euro
12.0
U.S.
UK
Benchmark
0.06
0.18
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
0.4
EuroArea
Strategy
0.41
9.56
0.39
3.48
1.91
1.70
0.48
3.7
66.1
1.69
5
10
8.33
1YR
PerformanceAttribution(%)
1.03
5YR
10YR
Strategy
Benchmark
ITD
NetContribution
Opportunistic
Cash/ABS/Other
0.9
0.2
FX
Rates
1.6
0.1
OverlayTotals
5YearRiskProfile
TheFixedIncomeHedgeBlendedBenchmarkisaninternallymaintained
benchmarkcomputedbyGMO,comprisedof100%JPMorganU.S.3MonthCash
Indexthrough1/31/2016and100%Citigroup3MonthTreasuryBillthereafter.
TheJPMorganU.S.3MonthCashIndexisanindependentlypublishedand
maintainedindex.Thisunmanagedindexisprovidedtorepresenttheinvestment
environmentexistingduringthetimeperiodsshown.Theindexdoesnotreflect
thedeductionofadvisoryfees.Itisnotpossibletoinvestdirectlyintheindex.The
indexmeasuresthetotalreturnperformanceofconstantmaturityeurocurrency
depositrates,theonlyshortterminvestmentsconsistentacrossallmarketsin
termsofliquidity,maturity,andcreditquality.TheJPMorganU.S.3MonthCash
IndexiscalculateddailyforthreemonthdepositsintheUnitedStates.Itis
maintainedandcalculatedbyJPMorganandisnotactivelymanaged.The
Citigroup3MonthTreasuryBillIndexisanindependentlymaintainedandwidely
publishedindexcomprisedofshorttermU.S.Treasurybills.Itismaintainedand
calculatedbyCitigroupandisnotactivelymanaged.
0.6
Std.Deviation
SharpeRatio
Drawdown
(2/27/153/31/16)
Strategy
11.41
0.30
26.63

(617)3307500| www.gmo.com
GMOLLC2016
51
GMOFixedIncomeHedgeStrategy
June30,2016
The Fixed Income Hedge Strategy returned +0.4% net of fees in the second quarter of 2016, outperforming its Fixed Income Hedge Blended
Benchmark by 0.3%. Currency selection was responsible for gains, while opportunistic positions and interest-rate strategies detracted.
previously expected. Fallout from the unexpected Brexit vote subsequently weighed on the possibility of Fed hikes before the end of 2016. Low inflation
and strong local currency concerns prompted the Reserve Bank of Australia (RBA) to cut rates on May 3 by 25 bps to 1.75%, which, along with global
In performance, interest-rate strategies detracted during the quarter. The portfolios short U.K. duration position drove losses, followed by losses
provided by the Eurozone steepener position. The portfolios long Swedish and Australian duration positions partly offset losses.
While opportunistic positions were mixed, they net detracted during the quarter. Cross-currency basis swap positions detracted as losses from euro
cross-currency basis swap positions more than offset gains from yen cross-currency basis swap positions. A hybrid options position in European
equities also detracted during the quarter. Partly offsetting losses, swap spread strategies added value as long end swap spreads in the U.S. went less
negative.
(617)3307500| www.gmo.com
GMOLLC2016
52
GMOMeanReversionStrategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
Equities,%ofNotional
LongU.S.Qualityvs.S&P500
2Q2016
YTD2016
LongS&P500vs.Russell2000
LongEAFEValuevs.Russell2000
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
LongEMValuevs.Russell2000
LongVIX
100%
50%
0%
50%
100%
Equities are FXhedged for AUD, ZAR, KRW and TWD
Rates,YearsofDuration
LongUSD10Yvs.BTP10Y
ReceiveNZD3Y1Yforward
ReceiveNZD10Y
Strategy
2.54
1.16
Benchmark
0.06
0.12
0.57
5.13
1.00
5.70
6.93
8.65
13.43
18.43
18.63
5.63
0.03
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
ReceiveAUD2Y2Yforward
AnnualizedReturn(%)
6
5
4
3
2.07
2
1
0.14
0
1YR
ReceiveSEK2Y2Yforward
PayJPY10Y
6
FX,%ofNotional
EUR
INR
NZD
KRW
5.58
1.91
0.61
1.29
0.96
0.06
5YR
10YR
Strategy
Benchmark
ITD
TWD
AUD
30%
5YearRiskProfile
15%
0%
15%
30%
Std.Deviation
SharpeRatio
Drawdown
(5/31/136/30/15)
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedand
widelypublishedindexcomprisedofshorttermU.S.Treasurybills.
Strategy
6.32
0.09
14.15

(617)3307500| www.gmo.com
GMOLLC2016
53
GMOMeanReversionStrategy
June30,2016
Mean Reversion Strategy delivered a net return of -2.5% during the second quarter of 2016. Performance was positive across fixed income positions
(which added 0.3%), but equity and currency positions detracted from the portfolio (-1.8% and 0.4, respectively).
Today, stocks are for income and bonds are for capital appreciation, Market Chatter, Q2 2016
We are certainly living in an interesting time. Global bond yields are hitting record lows while U.S. equities are registering new highs. Not exactly the
stuff your Economics of Finance 101 courses were made of. For that matter, when do we consider making some adjustments to those text books? After
all, time value of money is about as fundamental a concept to economics as one can find. Yet in Japan and Europe that fundamental concept no longer
applies. The progression of global central bank policy toward ZIRP and NIRP has created many well-flagged distortions, but in our view, the future path
of distortions is ever less clear as policy continues to strip investors ability to invest for income. They say the laws of physics are not clear around black
holes, but because no one has ever been we can only guess and theorize. However, when it comes to long-duration interest rates collapsing to zero and
beyond, we get to experience the black hole of incentives, valuations, and policy. We just cant be sure how these tried and tested concepts work. If
policys intent is to drive the cost of capital to zero, well, shouldnt the return on capital be driven to zero as well? Whats a saver to do? Preserving
capital seems like a pretty good outcome to us, because, after all, risk with no reward doesnt make much sense even around a black hole.
While on the subject of fundamental concepts about markets and their structure, it is worth dwelling for a minute on the concept of discounting risk
and being forward looking. A less fancy way to think about that is to say that the price of a financial asset is information. Absent panics and manias, it
should embody the collective view of investors and thus the discounting of future risks and opportunities. In the post GFC markets that we find
ourselves in, this concept, too, is suspect. After all, trading volumes for just about any financial instrument have fallen, as investors who are not solely
driven by hard-coded models step back from transacting in an environment that seems unlike any other. Practically, what that translates to is that the
marginal trade the marginal price contains less information than before. Through the lens of politics and polling, in the daily referendum of prices
the turnout is low, but the result still stands. Systematic models and traders are explicitly prevented from having views. Rather, they focus on a set of
variables and back tests. If everyone else steps back, eventually, the illusion of the back test may prove to be just that. Fundamentals always reassert
themselves eventually but that horizon may have extended itself further in a world of financial repression.
We remain committed to the tried and true disciplines of valuations, fundamentals, and economics those provide the longest back test of all.
(617)3307500| www.gmo.com
GMOLLC2016
54
GMOMeanReversion(Comprehensive)Strategy
June30,2016
STRATEGYPROFILE
TotalReturn(%)
Equities,%ofNotional
LongUSqualityvsS&P500
LongS&P500vsRussell2000
2Q2016
YTD2016
LongEAFEvaluevsRussell2000
COF
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
LongEMvaluevsRussell2000
LongVIX
100%
50%
0%
50%
100%
Equities are FXhedged for AUD, ZAR, KRW and TWD
Rates,YearsofDuration
PayJPY10Y
ReceiveSEK2Y2Yforward
Strategy
2.36
1.25
Benchmark
0.06
0.12
0.73
4.73
0.62
5.98
6.77
8.61
13.43
18.43
18.63
5.63
0.03
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
ReceiveAUD2Y2Yforward
AnnualizedReturn(%)
6
5
4
3
1.56
2
1
0.14
0
1YR
ReceiveNZD10Y
ReceiveNZD3Y1Yforward
LongUSD10Yvs.BTP10Y
4
FX,%ofNotional
AUD
TWD
5.63
1.98
1.29
0.96
0.74
0.06
5YR
10YR
Strategy
Benchmark
ITD
KRW
NZD
INR
EUR
30%
15%
0%
15%
30%
5YearRiskProfile
Std.Deviation
SharpeRatio
Drawdown
(5/31/136/30/15)
Strategy
6.01
0.11
13.28

(617)3307500| www.gmo.com
GMOLLC2016
55
GMOMeanReversion(Comprehensive)Strategy
June30,2016
Mean Reversion (Comprehensive) Strategy delivered a net return of -2.4% during the second quarter of 2016. Performance was positive across fixed
income positions (which added 0.3%), but equity and currency positions detracted from the portfolio (-1.8% and 0.4, respectively).
Today, stocks are for income and bonds are for capital appreciation, Market Chatter, Q2 2016
We are certainly living in an interesting time. Global bond yields are hitting record lows while U.S. equities are registering new highs. Not exactly the
stuff your Economics of Finance 101 courses were made of. For that matter, when do we consider making some adjustments to those text books? After
all, time value of money is about as fundamental a concept to economics as one can find. Yet in Japan and Europe that fundamental concept no longer
applies. The progression of global central bank policy toward ZIRP and NIRP has created many well-flagged distortions, but in our view, the future path
of distortions is ever less clear as policy continues to strip investors ability to invest for income. They say the laws of physics are not clear around black
holes, but because no one has ever been we can only guess and theorize. However, when it comes to long-duration interest rates collapsing to zero and
beyond, we get to experience the black hole of incentives, valuations, and policy. We just cant be sure how these tried and tested concepts work. If
policys intent is to drive the cost of capital to zero, well, shouldnt the return on capital be driven to zero as well? Whats a saver to do? Preserving
capital seems like a pretty good outcome to us, because, after all, risk with no reward doesnt make much sense even around a black hole.
While on the subject of fundamental concepts about markets and their structure, it is worth dwelling for a minute on the concept of discounting risk
and being forward looking. A less fancy way to think about that is to say that the price of a financial asset is information. Absent panics and manias, it
should embody the collective view of investors and thus the discounting of future risks and opportunities. In the post GFC markets that we find
ourselves in, this concept, too, is suspect. After all, trading volumes for just about any financial instrument have fallen, as investors who are not solely
driven by hard-coded models step back from transacting in an environment that seems unlike any other. Practically, what that translates to is that the
marginal trade the marginal price contains less information than before. Through the lens of politics and polling, in the daily referendum of prices
the turnout is low, but the result still stands. Systematic models and traders are explicitly prevented from having views. Rather, they focus on a set of
variables and back tests. If everyone else steps back, eventually, the illusion of the back test may prove to be just that. Fundamentals always reassert
themselves eventually but that horizon may have extended itself further in a world of financial repression.
We remain committed to the tried and true disciplines of valuations, fundamentals, and economics those provide the longest back test of all.
The Credit Opportunities Strategy gained 1.8% during the quarter, adding modestly to overall performance.
(617)3307500| www.gmo.com
GMOLLC2016
56
GMOSystematicGlobalMacroStrategy
June30,2016
STRATEGYPROFILE
EquityMarketSelection(%)
Country
TotalReturn(%)
NetWeight
UK
Korea
MSCIEmerging
Italy
HongKong
Netherlands
U.S.
Singapore
France
Australia
Germany
Taiwan
Canada
SouthAfrica
India
VIX
Sweden
Japan
24.9
NetEquity
BondMarketSelection(%)
Country
U.S.
UK
Canada
Australia
Japan
NetBond
CurrencySelection(%)
Currency
0.2
0.3
0.6
3.8
4.0
4.5
8.0
14.2
11.1
7.0
5.5
2.9
1.4
1.0
0.9
0.4
2Q2016
YTD2016
21.1
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
19.1
NetWeight
1.1
0.7
17.1
AnnualizedReturn(%)
8
31.0
7.2
6
4
22.9
NetWeight
Benchmark
0.06
0.12
1.63
4.44
9.58
0.73
5.79
10.37
15.28
3.88
15.06
8.39
0.03
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
6.80
6.29
4.96
2.44
0.14
1.28
0.96
0.06
JapaneseYen
24.7
NorwegianKrone
16.5
NewZealandDollar
13.9
CanadianDollar
2.3
SwedishKrona
3.4
SwissFranc
4.2
U.S.Dollar*
24.0
BritishPound
25.8
NetCash** 30.9
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
CommodityMarketSelection(%)
Commodity
NetWeight
Soybeans
5.0
Sugar
3.1
Silver
2.3
Cotton
2.0
SoybeanOil
2.0
Cocoa
0.1
Coffee
1.5
LiveCattle
1.6
HeatingOil
1.7
LeanHogs
2.0
NaturalGas
2.2
CrudeOil
3.7
Copper
4.0
Wheat
4.0
Gasoline
5.0
NetCommodity
11.2
1
5YearRiskProfile
Strategy
7.59
Std.Deviation
0.64
SharpeRatio
1YR
5YR
10YR
Strategy
Benchmark
ITD
Drawdown
9.87
(5/29/155/31/16)
(617)3307500| www.gmo.com
GMOLLC2016
Strategy
4.21
5.91
57
GMOSystematicGlobalMacroStrategy
June30,2016
The Systematic Global Macro Strategy was up 4.2% (net of fees) for the quarter and has returned +5.9% (net of fees) for the year to date.
For the quarter, our currency positions added the most value, contributing over 4%. Strong positive performance was the result of long positions in the
Japanese yen and New Zealand dollar appreciating against short positions in the British pound and U.S. dollar.
Our equity market exposures added 1.5%. A long position in the UK FTSE100 Index and a short position in Japans Nikkei 225 index added value. A
short position in VIX futures also added decent value. Our bond market positions added 0.6%. Long positions in the United States and United
Kingdom gained against a short position in Japan. Our net short in commodities cost 0.5% over the quarter.
The strategy had a very good month in June, adding 8.5% (net of fees, including incentive fees if any). The strategy was up by nearly 4% (net of fees,
based on a representative account), leading into the day of the UK referendum. While the Brexit result sparked waves of risk aversion and heightened
volatility across markets on June 24, our portfolios volatility was well contained. On that day our strategy added 1.2% (net of fees, based on a
representative account), and returns were positive in each day over the remainder of June, bringing total monthly returns to 8.5% (net of fees, including
incentive fees if any). Our currency position added the most value, with long positions in the Japanese yen and New Zealand dollar appreciating against
short positions in the British pound and USD. The stronger yen weighed down the Japanese stock market, held short, which added value as the Nikkei
225 Index slumped 9.6%. Our long position in the UK share market added value as the FTSE 100 Index advanced 4.4% while the British pound fell 8.1%
against the dollar. Additional gains were made from other asset classes during the month.
(617)3307500| www.gmo.com
GMOLLC2016
58
GMOSystematicGlobalMacroMajorMarketsStrategy
June30,2016
STRATEGYPROFILE
PERFORMANCENETOFFEES(USD)
EquityMarketSelection(%)
Country
TotalReturn(%)
NetWeight
UK
MSCIEmerging
U.S.
EuroStoxx50
Australia
Taiwan
HongKong
Canada
Singapore
SouthAfrica
Japan
NetEquity
BondMarketSelection(%)
Country
U.S.
UK
EuroBund
Canada
Australia
Japan
NetBond
CurrencySelection(%)
Currency
2Q2016
YTD2016
14.1
6.3
5.3
2.8
1.9
0.7
0.6
0.6
0.2
2015
2014
2013
2012
2011
AnnualizedReturn(%)
6
5.14
5
4
3
2
1
0.14
0
1YR
21.4
NetWeight
33.7
5.8
2.5
2.0
1.9
Strategy
23.5
22.4
0.03
0.03
0.05
0.07
0.00
3.83
0.07
ITD
Benchmark
4.0
1.4
1.2
1.5
2.8
0.1
Std.Deviation
SharpeRatio
Strategy
5.10
0.74
Drawdown
5.03
(5/29/155/31/16)
(617)3307500| www.gmo.com
GMOLLC2016
0.25
3.90
6.31
1.19
2.90
futureperformance.Returnsareshownafterthedeductionofmanagement
fees,transactioncostsandotherexpenses,butbeforecustodycharges,
withholdingtaxes,andotherindirectexpenses.Thereturnsassumethe
reinvestmentofdividendsandotherincome.
NetWeight
Soybeans
Silver
NetCommodity
1
Benchmark
0.06
0.12
2.1
9.0
JapaneseYen
22.2
NewZealandDollar
11.1
Euro
7.6
CanadianDollar
3.9
AustralianDollar
0.4
SwissFranc
7.8
U.S.Dollar*
17.9
BritishPound
19.5
NetCash** 43.7
* The U.S. Dollar exposure is a balancing item for foreign exchange positions. It
should not be included in gross exposure calculations.
** The Cash exposure is a balancing item for all other positions (including
foreign exchange, but excluding U.S. Dollar). It should not be included in gross
exposure calculations.
CommodityMarketSelection(%)
Commodity
NetWeight
Gold
Corn
CrudeOil
Strategy
5.28
5.82
59
GMOSystematicGlobalMacroMajorMarketsStrategy
June30,2016
The Systematic Global Macro Major Markets Strategy was up 5.3% (net of fees) for the quarter and up 5.8% for the year to date.
The portfolio returned +5.3% in the June quarter. Our currency positions contributed nearly two-thirds of this outperformance from long positions in
the Japanese yen and New Zealand dollar, which appreciated against the British pound and U.S. dollar, held short. Performance from our equity
markets exposure was also positive, mostly due to a long position in the UK FTSE 100 index, which outperformed a short position in Japans Nikkei 225
index. Our bond market positions added value as long positions in the U.S. and U.K. gained against a short position in Japan.
The portfolio had a very good month in June, adding 7.5%. It was up by nearly 3% leading into the day of the U.K. referendum. While the Brexit result
sparked waves of risk aversion and heightened volatility across markets on June 24, the portfolio gained 2.3%, and returns were positive for the rest of
June.
The portfolio holds net long exposures to both equity and bond markets. Among equity markets, the portfolio holds key long positions in the U.K.,
MSCI Emerging Markets index, and the U.S., while our main short position is held in Japan. In bonds, we hold a long position in U.S. 10-year bond
futures and a short in Japanese 10-year bond futures. In currencies, the portfolio holds long positions in the Japanese yen and the New Zealand dollar,
and short positions in the British pound and U.S. dollar.
(617)3307500| www.gmo.com
GMOLLC2016
60
GMOTacticalOpportunitiesStrategy
June30,2016
STRATEGYPROFILE
RegionWeights(%)
TotalReturn(%)
NetWeight
NonUS
US
2Q2016
YTD2016
13.1
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
12.9
NetWeight
ConsumerDisc.
ConsumerStaples
Energy
Financials
HealthCare
Industrials
InformationTech.
Materials
Telecom.Services
Utilities
22.2
36.1
3.3
8.3
7.4
3.9
23.4
10.1
3.4
15.4
Long
5.5
40.8
1.4
3.9
28.0
9.0
41.2
3.0
2.1
0.0
Short
27.7
4.7
4.7
12.2
20.6
12.9
17.8
13.1
5.5
15.4
Strategy
1.00
7.03
Benchmark
0.06
0.12
6.46
2.47
9.65
18.36
27.51
25.31
41.61
36.52
17.87
1.65
0.03
0.03
0.05
0.07
0.08
0.13
0.16
1.80
4.74
4.76
AnnualizedReturn(%)
30
26.22
20
10
0.14
5YearRiskProfile
Drawdown
(9/30/116/30/15)
1YR
38.83
Short
24.0 x
18.6 x
%NegativeEarnings
0.7 %
42.7 %
4.5 %
2.4 %
17.0 %
8.3 %
Price/EarningsExclNegEarningsHist1YrWtdMed
$134.7
0.8 x
1.5 x
%Long/Short
135 %
135 %
2.3 %
1.6 %
10YR
Strategy
Benchmark
4.55
ITD
$8.3
Debt/EquityWtdMed
5YR
Characteristics
Long
2.43
10
Strategy
16.68
0.03
1.30
0.96
0.06
Std.Deviation
SharpeRatio

(617)3307500| www.gmo.com
GMOLLC2016
0.52
61
GMOTacticalOpportunitiesStrategy
June30,2016
Tactical Opportunities Strategy ended the quarter down 1.0% and up 7.0% for the year, net of fees.
The positive contribution to the long portfolio was driven by Health Care and Consumer Staples. Johnson & Johnson and Medtronics were positive
contributors after reporting strong earnings. British American Tobacco was a top contributor in Consumer Staples whose overseas revenues proved
immune to Brexit fears.
Detractors in the long portfolio were concentrated in Information Technology where Microsoft, Google, and Apple all dragged the portfolio lower.
In the short portfolio, Consumer Discretionary was the largest contributor, taking advantage of weakness in the automotive industry. Health Care and
Information Technology were the top detractors for the quarter.
The portfolios average net exposure for the quarter remained neutral.
(617)3307500| www.gmo.com
GMOLLC2016
62
BenchmarksandIndices
June30,2016
GMO measures each strategys performance against a specific benchmark or index (each, a Benchmark), although no strategy is managed as an index strategy or index
plus strategy. Actual composition of a strategys portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and
expenses. One cannot invest directly in an index. In some cases, a strategys Benchmark differs from the broad based index against which performance is shown in the
strategys prospectus. GMO may change a strategys benchmark from time to time.
FullName
Description
BarclaysU.S.AggregateIndex
TheBarclaysU.S.AggregateIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.fixedrate
debtissueshavingamaturityofatleastoneyearandratedinvestmentgradeorhigher.
Citigroup3MonthTBillIndex
TheCitigroup3MonthTreasuryBillIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofshort
termU.S.Treasurybills.
CPIIndex
TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasan
indicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.
FixedIncomeHedgeBlendedBenchmark
TheFixedIncomeHedgeBlendedBenchmarkisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof100%
JPMorganU.S.3MonthCashIndexthrough1/31/2016and100%Citigroup3MonthTreasuryBillthereafter.TheJPMorgan
U.S.3MonthCashIndexisanindependentlypublishedandmaintainedindex.Thisunmanagedindexisprovidedto
representtheinvestmentenvironmentexistingduringthetimeperiodsshown.Theindexdoesnotreflectthedeductionof
advisoryfees.Itisnotpossibletoinvestdirectlyintheindex.Theindexmeasuresthetotalreturnperformanceofconstant
maturityeurocurrencydepositrates,theonlyshortterminvestmentsconsistentacrossallmarketsintermsofliquidity,
maturity,andcreditquality.TheJPMorganU.S.3MonthCashIndexiscalculateddailyforthreemonthdepositsinthe
UnitedStates.ItismaintainedandcalculatedbyJPMorganandisnotactivelymanaged.TheCitigroup3MonthTreasuryBill
IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofshorttermU.S.Treasurybills.Itis
maintainedandcalculatedbyCitigroupandisnotactivelymanaged.
GMOGlobalAssetAllocationIndex+
TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMO
blendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation
(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweighted
averageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndex
Series,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreach
underlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMO
andmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)Indexisaninternallymaintainedbenchmark
computedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%the
BarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataor
informationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthe
dataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedor
approvedthisreport,andhasnoliabilityhereunder.
GMORealReturnGlobalBalancedAsset
AllocationBlendedIndex+
TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedby
GMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough
06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobal
BalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccount
benchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3
MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweighting
ofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.The
RRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%
BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOand
maintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
GMOTaxManagedGlobalBalancedIndex
TheTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountry
WorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdata
maynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.
J.P.MorganGBIGlobal
TheJ.P.MorganGBIGlobalIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofgovernment
bondsofdevelopedcountrieswithmaturitiesofoneyearormore.
J.P.MorganGBIGlobalexJapanexU.S.
(Hedged)+
TheJ.P.MorganGBIGlobalexJapanexU.S.(Hedged)+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theJ.P.MorganGBIGlobalexU.S.(Hedged)through12/31/2003and(ii)theJ.P.MorganGBIGlobalexJapan
exU.S.(Hedged)thereafter.
J.P.MorganU.S.3MonthCashIndex
TheJ.P.MorganU.S.3MonthCashIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthree
monthU.S.dollarEurodeposits.ThedurationoftheIndexisgenerally90days.
MSCIACWI
TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependently
maintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
63
June30,2016
FullName
Description
MSCIACWI++
TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyfor
eachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvary
slightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)
Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindex
comprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.
MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducers
withintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCI
providesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
MSCIACWIexUSA+Index
TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex
(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountry
EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarks
consistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelike
proxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwill
varyslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproduced
orusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliability
hereunder.
MSCIEAFEIndex
TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isan
independentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCI
datamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthis
report,andhasnoliabilityhereunder.
MSCIEAFE+Index
TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,
comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netof
withholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndex
Series,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovides
nowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
MSCIEAFE++Index
TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,
Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblended
benchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccount
benchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndex
Series,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccount
benchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedon
amonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnot
MSCIEmergingMarketsIndex
TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedand
widelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbe
reproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhas
MSCIWorld+Index
TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandard
IndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocation
Compositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCI
World(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreach
andmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesno
warranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.
64
June30,2016
FullName
Description
Russell3000+++Index
TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblended
benchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblended
benchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyofthe
accountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreach
andmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofany
dataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.
ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthird
partylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedto
theRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.
S&P500Index
TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.
S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
S&PDevelopedexU.S.SmallCapIndex
TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthe
smallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompanies
fromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof
$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization
(float)oftheBMIineachcountry.
S&P/IFCICompositeIndex
TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarkets
stocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnot
responsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.Reproductionofthedataorinformationin
anyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.
65

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GMOQuarterlyUpdate June30,2016

The allocation to cash had minimal impact on portfolio returns.

MultiStrategy / Cash and Cash Equivalents

MultiStrategy / Cash and Cash Equivalents

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios

The groups indicated above represent exposures determined pursuant to

The groups indicated above represent exposures determined pursuant to

0.46 1.58 1.12

The groups indicated above represent exposures determined pursuant to

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios

Alpha is a measure of riskadjusted return; Beta is a measure of a portfolios

All currency positions are versus USD

All currency positions are versus USD

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

Equities are FXhedged for AUD, ZAR, KRW and TWD

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

Equities are FXhedged for AUD, ZAR, KRW and TWD

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio is

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