40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.comGMOLLC2014

GMOoffersinstitutionallyorientedglobalinvestmentstrategies.Forclientinquiries,pleasecontactyourClientRelationship Manager.Fornewbusinessinquiries,pleasecontactyourRelationshipManagerorHollyCarsonat(617)3467501orholly.carson@gmo.comThisisnotanofferorsolicitationforthepurchaseorsaleofanysecurityandshouldnotbeconstruedassuch.

GMOQuarterlyUpdate December31,2014

December31,2014

1

GMOCapabilities

GMOMultiAssetClass PageBenchmarkFreeAllocation 4Global AllocationAbsoluteReturn 6Global AssetAllocation 8Real ReturnGlobal BalancedAssetAllocation 10TaxManagedGlobal Balanced 12

GMOGlobalEquities PageGlobal All CountryEquityAllocation 14Global DevelopedEquityAllocation 16Global FocusedEquity 18Quality 20Resources 22

GMOInternationalEquities PageInternational All CountryEquityAllocation 24International DevelopedEquityAllocation 26TaxManagedInternational Equities*International Equity 28International ActiveEAFE 30International ActiveForeignSmall Companies 32International Small Companies*

GMOU.S.Equities PageU.S.EquityAllocation 34

GMOEmergingEquities PageEmergingMarkets 36EmergingCountries*EmergingDomesticOpportunities 38

GMOFixedIncome PageGlobal Bond 40International Bond 42CurrencyHedgedInternational Bond 44CorePlus Bond 46EmergingCountryDebt*EmergingCountryLocal Debt*DebtOpportunities 48

GMOAbsoluteReturn PageEmergingCountryDebtLong/Short*FixedIncomeHedge 50MeanReversion 52SystematicGlobal Macro 54Tactical Opportunities 56Total Equities 58MultiStrategy*

*CertainGMOcapabilitiesarenotavailablethroughseparatelymanagedaccountsandthereforeinformationonthosecapabilitiesisnotincludedinthisdocument.ForinformationpleasecontactGMO.

December31,2014

2

PerformanceofGMOStrategiesandBenchmarks

TotalReturnNetofFees AverageAnnualTotalReturn

GMOMultiAssetClassStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

BenchmarkFreeAllocation 7/31/01 0.74 1.31 0.64 1.31 6.15 7.53 10.56CPI 0.62 0.67 0.67 1.66 2.14 2.15GlobalAllocationAbsoluteReturn 7/31/01 0.60 1.82 1.15 1.82 5.65 6.89 9.26CPI 0.62 0.67 0.67 1.66 2.14 2.15GlobalAssetAllocation 6/30/88 1.21 1.27 3.59 1.27 6.87 6.12 9.60GMOGlobalAssetAllocation+ 0.90 4.87 4.87 7.81 5.55 8.12RealReturnGlobalBalancedAssetAlloc. 6/30/04 0.92 2.01 2.21 2.01 6.81 6.26 6.92GMORealReturnGlobalBalancedAABlended+ 0.97 4.22 4.22 7.20 5.16 5.63TaxManagedGlobalBalanced 12/31/02 0.69 2.02 3.00 2.02 6.09 5.60 7.55GMOTaxManagedGlobalBalancedIndex 0.58 5.02 5.02 7.69 5.47 7.12

GMOGlobalEquityStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

GlobalAllCountryEquityAllocation 12/31/93 2.20 0.65 4.82 0.65 8.50 6.65 8.95MSCIACWI++ 0.41 4.17 4.17 9.49 6.04 7.44GlobalDevelopedEquityAllocation 3/31/87 1.86 0.38 4.56 0.38 9.42 6.46 9.33MSCIWorld+ 1.01 4.94 4.94 10.21 6.02 7.45GlobalFocusedEquity 12/31/11 2.35 3.24 7.40 3.24 N/A N/A 14.99MSCIACWI 0.41 4.16 4.16 N/A N/A 14.10Quality 2/29/04 5.17 12.54 1.14 12.54 13.25 7.23 7.00S&P500 4.93 13.69 13.69 15.45 7.67 7.77Resources 12/31/11 18.58 16.79 2.10 16.79 N/A N/A 1.74MSCIACWICommodityProducers 14.05 14.69 14.69 N/A N/A 3.50

GMOInternationalEquityStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

InternationalAllCountryEquityAlloc. 2/28/94 5.48 6.22 2.33 6.22 5.04 5.43 7.27MSCIACWIexUSA+ 3.87 3.88 3.88 4.43 5.06 5.54InternationalDevelopedEquityAllocation 11/30/91 5.54 5.97 1.07 5.97 6.48 5.14 8.06MSCIEAFE++ 3.57 4.90 4.90 5.37 4.63 6.19InternationalEquity 3/31/87 5.32 5.97 2.18 5.97 5.21 3.97 7.89MSCIEAFE+ 3.57 3.79 3.79 4.77 4.07 6.97MSCIEAFE 3.57 4.90 4.90 5.33 4.43 5.23InternationalActiveEAFE 5/31/81 5.22 11.04 6.14 11.04 3.32 3.35 11.50MSCIEAFE 3.57 4.90 4.90 5.33 4.43 8.86Int'l.ActiveForeignSmallCompanies 1/31/95 3.70 9.53 6.11 9.53 8.46 7.69 10.79S&PDevelopedexU.S.SmallCap 2.59 3.42 3.42 8.52 6.84 7.13

GMOU.S.EquityStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

U.S.EquityAllocation 2/28/89 3.55 9.76 3.00 9.76 13.23 6.55 10.78Russell3000+++ 5.24 12.76 12.76 15.51 7.80 10.36

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Copyright 2014 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without writtenpermission from GMO.

December31,2014

3

PerformanceofGMOStrategiesandBenchmarks

* 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.

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

TotalReturnNetofFees AverageAnnualTotalReturn

GMOEmergingEquityStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

EmergingMarkets 12/31/93 5.03 5.92 4.80 5.92 0.51 6.87 7.29S&P/IFCIComposite 4.57 1.12 1.12 2.69 9.37 5.73MSCIEmergingMarkets 4.50 2.19 2.19 1.78 8.43 5.11EmergingDomesticOpportunities 3/31/11 0.83 0.30 1.89 0.30 N/A N/A 4.30MSCIEmergingMarkets 4.50 2.19 2.19 N/A N/A 2.76

GMOFixedIncomeStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

GlobalBond* 12/31/95 0.13 4.98 4.31 4.98 6.11 3.68 5.75J.P.MorganGBIGlobal 0.91 0.67 0.67 2.13 3.36 4.86InternationalBond 12/31/93 2.50 1.30 3.83 1.30 5.63 3.58 6.69J.P.MorganGBIGlobalexU.S. 2.87 2.53 2.53 1.08 2.80 5.16CurrencyHedgedInt'l.Bond 9/30/94 4.22 16.59 3.49 16.59 9.41 5.44 8.18J.P.MorganGBIGlobalexJapanexU.S.(Hedged)+ 3.52 13.10 13.10 6.24 5.49 7.07CorePlusBond 4/30/97 2.19 9.31 3.35 9.31 8.22 4.83 6.12BarclaysU.S.Aggregate 1.79 5.97 5.97 4.45 4.71 5.76DebtOpportunities 10/31/11 0.26 4.36 4.01 4.36 N/A N/A 6.94J.P.MorganU.S.3MonthCash 0.08 0.35 0.35 N/A N/A 0.53

GMOAbsoluteReturnStrategies Inception4Q2014

YTD2014

YTDValueAdded

OneYear

FiveYear

TenYear

SinceInception

FixedIncomeHedge 8/31/05 7.51 22.31 21.97 22.31 10.75 N/A 1.22J.P.MorganU.S.3MonthCash 0.08 0.35 0.35 0.49 N/A 2.15MeanReversion 2/28/02 3.35 4.73 4.76 4.73 0.42 3.01 6.48Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46 1.43SystematicGlobalMacro 3/31/02 3.22 4.45 4.42 4.45 6.13 6.89 7.29Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46 1.43TacticalOpportunities 9/30/04 0.08 2.47 2.50 2.47 7.28 5.81 6.40Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46 1.47TotalEquities 9/30/00 1.64 2.71 2.74 2.71 5.23 2.75 5.88Citigroup3Mo.TBill 0.00 0.03 0.03 0.07 1.46 1.71

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

4GMOLLC2014

GMOBenchmarkFreeAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.ThechartaboveshowsthepastperformanceoftheBenchmarkFreeAllocationComposite(theComposite).PriortoJanuary1,2012,theaccountsintheCompositeservedastheprincipalcomponentofabroaderrealreturnstrategy.BeginningJanuary1,2012,accountsinthecompositehavebeenmanagedasastandaloneinvestment.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersU.S.AllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.

3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

4Q2014 0.74 0.62YTD2014 1.31 0.67

AnnualTotalReturn(%)2013 11.24 1.562012 10.35 1.872011 3.60 2.952010 4.58 1.252009 19.86 2.862008 12.07 0.162007 10.93 4.122006 12.75 2.582005 16.32 3.452004 17.96 3.35

AnnualizedReturn(%)

1.31

6.157.53

10.56

0.671.66 2.14 2.15

024681012

1year 5years 10years ITDStrategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,13.6EuropeValue, 10.5OtherInt'l.OpportunisticValue,0.5EmergingMarkets, 8.5

Cash&CashEquiv.,6.9

Japan,2.5U.S.OpportunisticValue,3.2

AssetBacked Securities,4.2Developed Rates,22.3Systematic GlobalMacro,5.0SpecialOpportunity,3.0MergerArbitrage,6.2

AlphaOnly,9.9EmergingDebt,3.5

U.S.Equity CashIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

EquityCharacteristicsStrategy

Price/EarningsHist1YrWtdMed 16.8 xPrice/BookHist1YrWtdAvg 1.6 xReturnonEquityHist1YrMed 14.2 %MarketCapWeightedMedian$Bil $62.1DividendYieldHist1YrWtdAvg 2.9 %5YearRiskProfile2

StrategyStd.Deviation 6.19SharpeRatio 0.98Drawdown(4/30/106/30/10) 5.91

BondPortfolio3BondPortfolioDuration 2.0 yearsCreditRatingsAAA 4.4% BB 4.7%AA 73.6% B 1.6%A 2.5% NR 0.5%BBB 9.2%

EquityRegionalWeights(%)22.021.2

6.30.8

6.143.5

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

5GMOLLC2014

GMOBenchmarkFreeAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 0.80GrossofFees,USD(RepAccount) 0.53CPIIndex(prelimthroughmostrecentmonthend) 0.25ValueAdded 0.27

AltsBondsAlts Bonds CashEquity EquityCash

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

6GMOLLC2014

GMOGlobalAllocationAbsoluteReturnStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheCPI(ConsumerPriceIndex)forAllUrbanConsumersUSAllItemsispublishedmonthlybytheU.S.governmentasanindicatorofchangesinpricelevels(orinflation)paidbyurbanconsumersforarepresentativebasketofgoodsandservices.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Std. Deviation is a measure of the volatility of a portfolios return. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.

3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.Equity CashIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

TotalReturn(%)Strategy Benchmark

4Q2014 0.60 0.62YTD2014 1.82 0.67

AnnualTotalReturn(%)2013 10.04 1.562012 9.42 1.872011 4.22 2.952010 3.02 1.252009 14.92 2.862008 7.19 0.162007 9.99 4.122006 11.01 2.582005 13.54 3.452004 15.29 3.35

AnnualizedReturn(%)

1.82

5.656.89

9.26

0.671.66 2.14 2.15

0246810

1year 5years 10years ITDStrategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,11.6EuropeValue, 12.2OtherInt'l.OpportunisticValue,1.0EmergingMarkets, 9.0

Cash&CashEquiv.,1.7

SystematicGlobalMacro,3.6SpecialOpportunity,3.0RiskPremium,2.0Japan,3.4U.S.OpportunisticValue,1.9

EmergingDebt,3.4AssetBacked Securities,3.5DevelopedRates,22.3

Multi Strategy,20.0AlphaOnly,1.4

EquityRegionalWeights(%)23.123.9

8.62.0

7.834.7

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

EquityCharacteristicsStrategy

Price/EarningsHist1YrWtdMedian 16.5 xPrice/BookHist1YrWtdAvg 1.5 xReturnonEquityHist1YrMed 10.8 %MarketCapWeightedMedian$Bil $36.0DividendYieldHist1YrWtdAvg 3.3 %

BondPortfolio3BondPortfolioDuration 2.9 yearsCreditRatingsAAA 3.7% BB 4.5%AA 76.0% B 1.5%A 2.1% NR 0.5%BBB 8.5%

5YearRiskProfile2Strategy

Std.Deviation 5.30SharpeRatio 1.05Drawdown(3/31/106/30/10) 4.95

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

7GMOLLC2014

GMOGlobalAllocationAbsoluteReturnStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance (%)

Net of Fees, USD (Rep Account) -0.59

Gross of Fees, USD (Rep Account) -0.35

CPI Index (prelim through most recent month-end) -0.25

Value Added -0.10

BondsAlts AltsEquity Equity CashBonds Cash

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

8GMOLLC2014

GMOGlobalAssetAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOGlobalAssetAllocationIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAssetAllocationCompositethrough06/30/2014and(ii)TheGMOGlobalAssetAllocation(Blend)Indexthereafter.TheGMOblendedbenchmarkofGlobalAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,MSCIACWI(MSCIStandardIndexSeries,netofwithholdingtax)andBarclaysAggregateorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheGMOGlobalAssetAllocation(Blend)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof65%MSCIACWIIndex(MSCIStandardIndexSeries,netofwithholdingtax)and35%theBarclaysU.S.AggregateIndex.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.Equity CashIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

TotalReturn(%)Strategy Benchmark

4Q2014 1.21 0.90YTD2014 1.27 4.87

AnnualTotalReturn(%)2013 12.38 13.602012 11.11 12.132011 2.13 1.802010 7.93 11.052009 24.15 24.142008 20.83 27.722007 7.94 9.262006 12.30 13.412005 9.06 5.992004 13.55 10.26

AnnualizedReturn(%)

1.27

6.87 6.12

9.60

4.87

7.81

5.55

8.12

024681012

1year 5years 10years ITDStrategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,14.5EuropeValue, 18.7OtherInt'l.OpportunisticValue,1.5EmergingMarkets, 9.4

Cash&CashEquiv.,5.6

Japan,5.2U.S.OpportunisticValue,2.4

AssetBacked Securities,4.4Developed Rates,22.2SystematicGlobalMacro,3.0Risk Premium,2.5

AlphaOnly,6.9EmergingDebt,3.6

EquityRegionalWeights(%)18.2

27.810.0

2.39

32.6

10.315.3

7.27.77.1

52.4

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

Strategy BenchmarkEquityCharacteristics

Strategy BenchmarkPrice/EarningsHist1YrWtdMed 16.4 x 18.3 xPrice/BookHist1YrWtdAvg 1.5 x 2.1 xReturnonEquityHist1YrMed 10.7 % 15.3 %MarketCapWeightedMedian$Bil $36.0 $39.2DividendYieldHist1YrWtdAvg 3.3 % 2.5 %5YearRiskProfile2

Strategy BenchmarkAlpha 0.23 0.00Beta 0.85 1.00R2 0.94 1.00SharpeRatio 0.84 0.84Std.Deviation 8.08 9.25BondPortfolio3BondPortfolioDuration 2.8 yearsCreditRatingsAAA 4.5% BB 4.7%AA 73.2% B 1.6%A 2.5% NR 0.5%BBB 9.3%

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

9GMOLLC2014

GMOGlobalAssetAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 1.21Gross ofFees,USD(RepAccount) 0.98GMOGlobalAssetAllocationIndex +0.90ValueAdded 1.88

BondsCash CashAlts Bonds AltsEquity Equity

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

10GMOLLC2014

GMORealReturnGlobalBalancedAssetAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMORealReturnGlobalBalancedAssetAllocationBlendedIndex+isaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositethrough06/30/2014and(ii)TheGMORRGBALBlendedIndexthereafter.TheGMOblendedbenchmarkofRealReturnGlobalBalancedAssetAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax),BarclaysAggregate,andCitigroup3MonthTBillorsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheRRGBALBlendedIndexiscomprisedof60%MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax),20%BarclaysU.S.AggregateIndexand20%Citigroup3MonthTreasuryBillIndex.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 The credit ratings above may encompass emerging debt, developed rates, andassetbacked exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poors countryratings and applying these ratings to the country exposures of the portfolio. Forthe assetbacked portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poors ratings scale. Standard & Poors ratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.EquityIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

TotalReturn(%)Strategy Benchmark

4Q2014 0.92 0.97YTD2014 2.01 4.22

AnnualTotalReturn(%)2013 13.68 14.952012 10.65 10.422011 3.16 1.762010 5.00 8.942009 13.02 19.172008 11.36 25.172007 7.63 7.872006 13.26 13.692005 8.09 6.822004 10.11 7.45

AnnualizedReturn(%)

2.01

6.816.26

6.92

4.22

7.20

5.16 5.63

0

2

4

6

8

1year 5years 10years ITDStrategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.91 0.00Beta 0.82 1.00R2 0.91 1.00SharpeRatio 0.92 0.83Std.Deviation 7.32 8.55

GroupExposures(%)1

0

20

40

60

80

100U.S.Quality,14.1EuropeValue, 16.8OtherInt'l.OpportunisticValue,1.4EmergingMarkets, 8.2

AssetBackedSecurities,2.9DevelopedRates,17.5

Japan,4.7U.S.OpportunisticValue,2.3

MultiStrategy,29.0EmergingDebt,3.1

EquityRegionalWeights(%)17.2

27.29.8

2.28.9

34.6

0.017.1

8.08.67.9

58.4

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

Strategy Benchmark

EquityCharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.6 x 18.5 xPrice/BookHist1YrWtdAvg 1.6 x 2.2 xReturnonEquityHist1YrMed 11.1 % 15.6 %MarketCapWeightedMedian$Bil $37.1 $46.2DividendYieldHist1YrWtdAvg 3.2 % 2.4 %

BondPortfolio3BondPortfolioDuration 2.7 yearsCreditRatingsAAA 3.7% BB 4.9%AA 74.1% B 1.7%A 2.2% NR 0.5%BBB 9.4%

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

11GMOLLC2014

GMORealReturnGlobalBalancedAssetAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance (%)

Net of Fees, USD -0.93

Gross of Fees, USD (Rep Account) -0.68

GMO Real Return Global Balanced Asset Allocation Blended Ind +0.97

Value Added -1.65

Equity EquityAlts CashBonds AltsCash Bonds

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

12GMOLLC2014

GMOTaxManagedGlobalBalancedStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGMOTaxManagedGlobalBalancedIndexisaninternallycomputedbenchmarkcomprisedof(i)60%MSCIACWI(AllCountryWorldIndex)(MSCIstandardIndexSeries,netofwithholdingtax)and(ii)40%BarclaysMuni7Year(68)Index.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.Equity CashIntl.DevelopedEquityEmergingEquity

AlternativeStrategiesFixedIncomeAbsoluteReturn

TotalReturn(%)Strategy Benchmark

4Q2014 0.69 0.58YTD2014 2.02 5.02

AnnualTotalReturn(%)2013 10.86 12.782012 9.71 11.472011 1.34 0.272010 6.88 9.992009 14.29 23.902008 14.95 25.892007 7.16 7.122006 12.08 12.952005 9.91 5.912004 12.73 10.02

AnnualizedReturn(%)

2.02

6.09 5.60

7.55

5.02

7.69

5.477.12

0246810

1year 5years 10years ITDStrategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100 U.S.Quality,14.9EuropeValue, 18.3OtherInt'l.OpportunisticValue,1.1EmergingMarkets, 7.4

Cash&CashEquiv.,1.3

MunicipalBonds,33.3EmergingCountryDebt,2.0RiskPremium,2.6Japan,4.1U.S.OpportunisticValue,1.7

MultiStrategy,13.4

EquityRegionalWeights(%)15.5

29.98.6

1.99.1

35.1

10.315.3

7.27.77.1

52.4

EmergingEuropeexUK

JapanOtherInternational

UnitedKingdomUnitedStates

Strategy Benchmark

EquityCharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.9 x 18.3 xPrice/CashFlowHist1YrWtdMedian 10.7 x 13.7 xPrice/BookHist1YrWtdAvg 1.6 x 2.1 xReturnonEquityHist1YrMed 13.4 % 15.3 %MarketCapWeightedMedian$Bil $36.0 $39.2DividendYieldHist1YrWtdAvg 3.1 % 2.5 %

5YearRiskProfile2Strategy Benchmark

Alpha 0.45 0.00Beta 0.85 1.00R2 0.96 1.00SharpeRatio 0.81 0.89Std.Deviation 7.42 8.57

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

13GMOLLC2014

GMOTaxManagedGlobalBalancedStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 0.71GrossofFees,USD(RepAccount) 0.46TaxManagedGlobalBalancedIndex +0.58ValueAdded 1.04

CashAlts Bonds BondsAltsEquity CashEquity

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

14GMOLLC2014

GMOGlobalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositethrough06/30/2014and(ii)MSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorldIndex)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.EquityIntl.DevelopedEquity

EmergingEquityCash

TotalReturn(%)Strategy Benchmark

4Q2014 2.20 0.41YTD2014 0.65 4.17

AnnualTotalReturn(%)2013 21.33 23.462012 14.74 16.342011 1.29 6.872010 10.12 12.942009 24.19 34.452008 31.41 41.822007 11.12 10.382006 18.87 20.342005 12.51 9.952004 17.62 14.86

AnnualizedReturn(%)

0.65

8.506.65

8.95

4.17

9.49

6.047.44

20246810

1year 5years 10years ITDStrategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.03 0.00Beta 0.90 1.00R2 0.96 1.00SharpeRatio 0.64 0.65Std.Deviation 13.20 14.41

GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,30.5

EuropeValue, 34.7

OtherInt'l.OpportunisticValue,2.8EmergingMarkets, 15.8Cash&CashEquiv.,1.5

Japan,9.6

U.S.OpportunisticValue,5.0

TopCountryWeights(%)35.6

9.6

8.7

8.4

7.4

52.4

7.2

7.1

3.3

3.1

UnitedStatesJapan

UnitedKingdomFrance

Germany

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.8 x 18.3 xPrice/BookHist1YrWtdAvg 1.6 x 2.1 xReturnonEquityHist1YrMed 11.4 % 15.3 %MarketCapWeightedMedian$Bil $43.1 $39.2DividendYieldHist1YrWtdAvg 3.2 % 2.5 %

TopHoldings3Company Country Sector %ofEquityExpressScriptsHldg UnitedStates HealthCare 2.1RoyalDutchShell UnitedKingdom Energy 2.1TotalS.A. France Energy 1.9PhilipMorrisInt'l. UnitedStates ConsumerStaples 1.7Amazon.comInc. UnitedStates ConsumerDisc. 1.7Total 9.5

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

15GMOLLC2014

GMOGlobalAllCountryEquityAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 2.27GrossofFees,USD(RepAccount) 2.00MSCIACWI +0.41ValueAdded 2.41

EMU.S. Intl EMIntlU.S.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

16GMOLLC2014

GMOGlobalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIWorld+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIWorldIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofGlobalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIWorld(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

U.S.EquityIntl.DevelopedEquity

EmergingEquityCash

TotalReturn(%)Strategy Benchmark

4Q2014 1.86 1.01YTD2014 0.38 4.94

AnnualTotalReturn(%)2013 25.82 26.682012 14.14 15.842011 0.40 5.522010 9.25 11.772009 20.55 29.972008 33.19 40.702007 9.69 9.022006 20.22 20.052005 12.26 9.422004 17.36 13.64

AnnualizedReturn(%)

0.38

9.42

6.46

9.33

4.94

10.21

6.027.45

024681012

1year 5years 10years ITDStrategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.10 0.00Beta 0.91 1.00R2 0.96 1.00SharpeRatio 0.71 0.72Std.Deviation 13.18 14.17

GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,33.6

EuropeValue, 36.6

OtherInt'l.OpportunisticValue,3.0EmergingMarkets, 9.5Cash&CashEquiv.,1.6

Japan,10.2

U.S.OpportunisticValue,5.5

TopCountryWeights(%)39.1

10.2

9.1

8.8

7.9

58.4

8

7.9

3.6

3.4

UnitedStatesJapan

UnitedKingdomFrance

Germany

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.9 x 18.5 xPrice/BookHist1YrWtdAvg 1.7 x 2.2 xReturnonEquityHist1YrMed 12.8 % 15.6 %MarketCapWeightedMedian$Bil $46.8 $46.2DividendYieldHist1YrWtdAvg 3.1 % 2.4 %TopHoldings3Company Country Sector %ofEquityExpressScriptsHldg UnitedStates HealthCare 2.3RoyalDutchShell UnitedKingdom Energy 2.2TotalS.A. France Energy 2.0PhilipMorrisInt'l. UnitedStates ConsumerStaples 1.9Amazon.comInc. UnitedStates ConsumerDisc. 1.9Total 10.3

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

17GMOLLC2014

GMOGlobalDevelopedEquityAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 2.24GrossofFees,USD(RepAccount) 1.87MSCIWorld +1.01ValueAdded 2.88

EMU.S. Intl EMIntlU.S.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

18GMOLLC2014

GMOGlobalFocusedEquityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheGlobalFocusedEquityStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIAllCountryWorldIndexinanefforttocompareandcontrasttheStrategyversusabroadglobalequityindex.TheMSCIACWI(AllCountryWorld)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy MSCIACWI

4Q2014 2.35 0.41YTD2014 3.24 4.16

AnnualTotalReturn(%)2013 31.29 22.802012 19.71 16.13

AnnualizedReturn(%)

3.24

14.99

4.16

14.10

505101520

1year ITDStrategy MSCIACWI

RiskProfileSince12/31/111Strategy MSCIACWI

Alpha 2.68 0.00Beta 1.25 1.00R2 0.84 1.00SharpeRatio 1.04 1.34Std.Deviation 14.34 10.50Characteristics

Strategy MSCIACWIPrice/EarningsHist1YrWtdMedian 17.1 x 18.3 xPrice/CashFlowHist1YrWtdMedian 8.7 x 13.7 xPrice/BookHist1YrWtdAvg 1.6 % 2.1 %DividendYieldHist1YrWtdAvg $1.9 $2.5TopTenHoldings2Company %ofEquitySamsungElectronicsCo. 3.7AmericanAirlines Group,Inc. 2.8UnitedContinentalHoldings Inc. 2.6TriMasCorp. 2.5MorganStanley 2.5GeneralMotorsCo. 2.5ComcastCorp. 2.5MedtronicInc. 2.5NVIDIACorp. 2.4AppleInc. 2.4Total 26.4

GICSSectorWeights(%)Under/Overweightvs.MSCIACWI Strategy MSCIACWI

14.9 12.11.8 9.78.6 8.0

19.1 21.86.9 11.6

20.0 10.512.4 13.912.2 5.42.2 3.81.7 3.4

2.87.9

0.62.7

4.79.5

1.56.8

1.61.7

ConsumerDisc.ConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTech.Materials

Telecom.ServicesUtilities

RegionWeights(%)Underweight/OverweightAgainstMSCIACWI

6.01.0

2.83.0

0.30.61.1

2.91.5

Australia/NewZealandCanada

EmergingEuropeexUK

JapanSoutheastAsia

UnitedKingdomUnitedStates

Cash+UnrealizedG/L

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

19GMOLLC2014

GMOGlobalFocusedEquityStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

The Global Focused Equity Strategy declined 2.4% net of fees for the quarter. The strategys reference benchmark, MSCI All Country World index, rose 0.4%.

Negative contributions came from holdings in Apache Corp, BPZ Resources, Methanex, and LyondellBasell in the United States. A position in Statoil in Norway also hurt returns. Apache, BPZ Resources, and Statoil traded down with other oil sensitive names. Energy companies everywhere have suffered. The drop in oil prices has been the result of oversupply and tepid demand growth, intensified by Saudi Arabias production and pricing strategy. Brent has fallen almost 70% in the quarter and oil names have been under pressure as lower oil prices imply lower selling prices and profit margins, less incentive for additional exploration, and potentially lower payouts to shareholders. LyondellBasell and Methanex, like other petrochemical companies, have benefited tremendously for a number of years from access to low natural gas while the rest of the world made competitive products with higher cost oil. As oil prices have declined, so too have profit margins. We believe that the stocks are very cheap at current levels and continue to hold them.

A positive contribution came from American Airlines, United Continental Airlines, and TriMas in the United States. Both American and United Airlines continue to benefit from the industry tailwinds of solid traffic trends and pricing, capacity discipline, and lower fuel costs. The stocks continue to be cheap despite the significant earnings growth that they offer and we still have conviction in both names. TriMas, a manufacturer and distributor of engineered and applied products, surprised investors by announcing a spin-off of their lowest margin business. The resulting portfolio of products and services is more focused, higher margin, and higher growth. We expect that the valuation discount between TriMas and the industrials sector will continue to narrow.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

20GMOLLC2014

GMOQualityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P500IndexisanindependentlymaintainedandwidelypublishedindexcomprisedofU.S.largecapitalizationstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.

5YearRiskProfile1Strategy Benchmark

Alpha 1.03 0.00Beta 0.79 1.00R2 0.88 1.00SharpeRatio 1.21 1.19Std.Deviation 10.87 12.89

RegionWeights(%)11.4

88.1

0.5

0.0

100.0

0.0

NonUS

US

Cash

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 20.2 x 19.0 xPrice/BookHist1YrWtdAvg 4.2 x 2.8 xReturnonEquityHist1YrMed 21.0 % 18.9 %MarketCapWeightedMedian$Bil $124.1 $73.8Debt/EquityWtdMed 0.6 x 0.9 xDividendYieldHist1YrWtdAvg 2.0 % 2.0 %

TopHoldings2Company Sector %ofEquityOracleCorp. InformationTechnology 5.6ExpressScriptsHoldingCo HealthCare 5.1AppleInc. InformationTechnology 5.0MicrosoftCorp. InformationTechnology 4.8PhilipMorrisInternationalInc. ConsumerStaples 4.8Total 25.31 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

GICSSectorWeights(%)5.6

23.70.90.0

22.47.6

37.41.31.10.0

12.19.8

8.416.6

14.210.4

19.73.22.33.2

ConsumerDiscretionaryConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTechnologyMaterials

TelecommunicationServicesUtilities

Strategy Benchmark

TotalReturn(%)Strategy Benchmark

4Q2014 5.17 4.93YTD2014 12.54 13.69

AnnualTotalReturn(%)2013 25.47 32.392012 11.81 16.002011 11.84 2.112010 5.48 15.062009 19.89 26.462008 24.08 37.002007 6.04 5.492006 12.69 15.802005 0.79 4.912004 3.54 7.39

AnnualizedReturn(%)

12.54 13.25

7.23 7.00

13.6915.45

7.67 7.77

0

5

10

15

20

1year 5years 10years ITDStrategy Benchmark

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

21GMOLLC2014

GMOQualityStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) +5.09GrossofFees,USD(RepAccount) +5.31S&P500 +4.93ValueAdded +0.38

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

22GMOLLC2014

GMOResourcesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWI(AllCountryWorld)CommodityProducersIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedoflistedlargeandmidcapitalizationcommodityproducerswithintheglobaldevelopedandemergingmarkets.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

4Q2014 18.58 14.05YTD2014 16.79 14.69

AnnualTotalReturn(%)2013 4.39 3.312012 9.23 1.96

AnnualizedReturn(%)

16.79

1.74

14.69

3.50

20151050

1year ITDStrategy Benchmark

RiskProfileSince12/31/111Strategy Benchmark

Alpha 2.02 0.00Beta 1.07 1.00R2 0.95 1.00SharpeRatio 0.11 0.23Std.Deviation 16.93 15.42

TopCountryWeights(%)16.8

12.1

10

9.2

8.4

2.1

18.4

2.6

41.7

1.1

Japan

UnitedKingdomRussia

UnitedStatesNorway

Strategy Benchmark

GICSSectorWeights(%)0.02.0

61.80.00.0

16.30.0

13.30.0

6.5

0.02.1

68.50.00.00.00.0

29.40.00.0

ConsumerDiscretionaryConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTechnologyMaterials

TelecommunicationServicesUtilities

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 9.5 x 11.6 xEarnings/ShareF'castLTMedianGrowthRate 5.6 x 5.6 xReturnonEquityHist1YrMed 10.8 % 11.7 %MarketCapWeightedMedian$Bil $23.1 $46.0DividendYieldHist1YrWtdAvg 5.0 % 3.9 %

TopHoldings2Company Country Sector %ofEquityCNOOCLtd. China Energy 5.1BPPLC UnitedKingdom Energy 5.1RoyalDutchShell UnitedKingdom Energy 5.0TotalS.A. France Energy 4.8LukOilOAO Russia Energy 4.7Total 24.7

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

23GMOLLC2014

GMOResourcesStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 18.94GrossofFees,USD(RepAccount) 18.45MSCIACWICommodityProducers 14.05ValueAdded 4.40

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

24GMOLLC2014

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 54.0

OtherInt'l.OpportunisticValue,4.4EmergingMarkets, 25.1Cash&CashEquiv.,1.5

Japan,15.0

GMOInternationalAllCountryEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIACWIexUSA+IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositethrough6/30/2014and(ii)MSCIACWIexUSAIndex(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalAllCountryEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIACWI(AllCountryWorld)exU.S.Index(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

Intl.DevelopedEquity EmergingEquity Cash

TotalReturn(%)Strategy Benchmark

4Q2014 5.48 3.87YTD2014 6.22 3.88

AnnualTotalReturn(%)2013 16.71 15.472012 16.82 16.902011 11.31 13.632010 12.74 10.822009 27.77 40.162008 40.96 45.262007 17.39 16.082006 25.91 26.942005 19.03 16.712004 24.06 21.11

AnnualizedReturn(%)

6.22

5.04 5.437.27

3.88

4.43 5.06 5.54

1050

5

10

1year 5years 10years ITDStrategy Benchmark

TopCountryWeights(%)15.0

13.5

13.0

11.6

5.0

15.0

14.9

6.9

6.5

4.7

Japan

UnitedKingdomFrance

Germany

China

Strategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.68 0.00Beta 0.98 1.00R2 0.97 1.00SharpeRatio 0.30 0.27Std.Deviation 16.37 16.39Characteristics

Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.1 x 17.1 xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xReturnonEquityHist1YrMed 9.1 % 11.3 %MarketCapWeightedMedian$Bil $21.9 $23.4DividendYieldHist1YrWtdAvg 3.9 % 3.0 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.2TotalS.A. France Energy 3.0NissanMotorCo.Ltd. Japan ConsumerDisc. 2.1BPPLC UnitedKingdom Energy 2.1AstraZenecaPLC UnitedKingdom HealthCare 2.1Total 12.5

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

25GMOLLC2014

GMOInternationalAllCountryEquityAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 5.42GrossofFees,USD(RepAccount) 5.05MSCIACWIexUSA 3.87ValueAdded 1.18

EMIntl EMIntl

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

26GMOLLC2014

GMOInternationalDevelopedEquityAllocationStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositethrough06/30/2014and(ii)MSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.TheGMOblendedbenchmarkofInternationalDevelopedEquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofMSCIEAFE(Europe,Australasia,andFarEast)(MSCIStandardIndexSeries,netofwithholdingtax)orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

Intl.DevelopedEquity EmergingEquity Cash

TotalReturn(%)Strategy Benchmark

4Q2014 5.54 3.57YTD2014 5.97 4.90

AnnualTotalReturn(%)2013 24.13 22.782012 17.09 17.322011 9.45 12.142010 10.58 7.932009 19.84 32.162008 38.39 43.332007 12.69 11.582006 25.50 26.622005 15.56 14.412004 24.89 21.17

AnnualizedReturn(%)

5.97

6.48 5.148.06

4.90

5.37 4.636.19

1050

5

10

1year 5years 10years ITDStrategy Benchmark

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 65.0

OtherInt'l.OpportunisticValue,5.2EmergingMarkets, 10.0Cash&CashEquiv.,1.8

Japan,18.1

TopCountryWeights(%)18.1

16.2

15.7

14

4.9

21.2

21.1

9.7

9.2

3.5

Japan

UnitedKingdomFrance

Germany

Spain

Strategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 1.33 0.00Beta 0.96 1.00R2 0.97 1.00SharpeRatio 0.40 0.32Std.Deviation 16.14 16.58Characteristics

Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.6 x 17.9 xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xReturnonEquityHist1YrMed 8.7 % 10.8 %MarketCapWeightedMedian$Bil $25.5 $29.7DividendYieldHist1YrWtdAvg 3.8 % 3.0 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 3.9TotalS.A. France Energy 3.6NissanMotorCo.Ltd. Japan ConsumerDisc. 2.5BPPLC UnitedKingdom Energy 2.5AstraZenecaPLC UnitedKingdom HealthCare 2.5Total 15.0

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

27GMOLLC2014

GMOInternationalDevelopedEquityAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 5.53GrossofFees,USD(RepAccount) 5.07MSCIEAFE 3.57ValueAdded 1.50

EMIntl EMIntl

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

28GMOLLC2014

GMOInternationalEquityStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.TheMSCIEAFE+(Europe,Australasia,andFarEast)IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)theMSCIEAFE(Europe,Australasia,andFarEast)ValueIndex(MSCIStandardIndexSeries,netofwithholdingtax)through06/30/2014and(ii)theMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)thereafter.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

Intl.DevelopedEquity Cash

TotalReturn(%)Strategy MSCIEAFE MSCIEAFE+

4Q2014 5.32 3.57 3.57YTD2014 5.97 4.90 3.79

AnnualTotalReturn(%)2013 25.62 22.78 22.952012 12.98 17.32 17.692011 10.18 12.14 12.172010 7.53 7.75 3.252009 21.41 31.78 34.232008 40.31 43.38 44.092007 10.21 11.17 5.962006 25.78 26.34 30.382005 13.98 13.54 13.802004 25.23 20.25 24.33

AnnualizedReturn(%)

5.97

5.21 3.97

7.89

4.90

5.33 4.43 5.23

3.79

4.77 4.076.97

1050

5

10

1year 5years 10years ITDStrategy MSCIEAFE MSCIEAFE+

GroupExposures(%)1

0

20

40

60

80

100

EuropeValue, 72.3

OtherInt'l. OpportunisticValue,5.7Cash&CashEquiv.,1.9Japan,20.1

TopCountryWeights(%)20.1

18.0

17.5

15.5

5.4

21.2

21.1

9.7

9.2

3.5

Japan

UnitedKingdomFrance

Germany

Spain

Strategy Benchmark

5YearRiskProfile2Strategy Benchmark

Alpha 0.70 0.00Beta 0.94 1.00R2 0.98 1.00SharpeRatio 0.31 0.27Std.Deviation 16.68 17.45Characteristics

Strategy BenchmarkPrice/EarningsHist1YrWtdMedian 13.7 x 17.9 xPrice/CashFlowHist1YrWtdMedian 5.5 x 10.7 xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xReturnonEquityHist1YrMed 8.7 % 10.8 %MarketCapWeightedMedian$Bil $30.4 $29.7DividendYieldHist1YrWtdAvg 3.8 % 3.0 %TopHoldings3Company Country Sector %ofEquityRoyalDutchShell UnitedKingdom Energy 4.4TotalS.A. France Energy 4.0NissanMotorCo.Ltd. Japan ConsumerDisc. 2.8BPPLC UnitedKingdom Energy 2.8AstraZenecaPLC UnitedKingdom HealthCare 2.8Total 16.8

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

29GMOLLC2014

GMOInternationalEquityStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) 5.62GrossofFees,USD(RepAccount) 5.06MSCIEAFE 3.57ValueAdded 1.49

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

30GMOLLC2014

GMOInternationalActiveEAFEStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheMSCIEAFE(Europe,Australasia,andFarEast)Index(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofinternationallargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

4Q2014 5.22 3.57YTD2014 11.04 4.90

AnnualTotalReturn(%)2013 24.11 22.782012 14.92 17.322011 11.65 12.142010 5.01 7.752009 25.53 31.782008 41.24 43.382007 10.58 11.172006 27.52 26.342005 13.52 13.542004 22.33 20.25

AnnualizedReturn(%)

11.04

3.32 3.35

11.50

4.90

5.33 4.438.86

15105051015

1year 5years 10years ITDStrategy Benchmark

5YearRiskProfile1Strategy Benchmark

Alpha 2.06 0.00Beta 1.01 1.00R2 0.98 1.00SharpeRatio 0.19 0.32Std.Deviation 16.87 16.59

TopOverweightHoldings2CompanyMitsubishiTokyoFinancialGroupInc. 3.9SumitomoMitsuiFinancialGroupInc. 3.9SamsungElectronicsCo. 3.5PeugeotS.A. 3.4DeutscheTelekomAG 3.0E.ONAG 2.8NokiaCorp. 2.5TelecomItalia S.p.A. 2.0MediasetS.p.A. 1.9KDDICorp. 1.7

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 16.8 x 17.9 xPrice/CashFlowHist1YrWtdMedian 7.0 x 10.7 xPrice/BookHist1YrWtdAvg 1.2 x 1.6 xDividendYieldHist1YrWtdAvg 2.8 % 3.0 %

GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark

17.1 12.45.9 11.14.1 5.7

27.6 25.92.1 11.09.3 12.6

10.9 4.83.6 7.6

11.0 5.08.5 3.9

4.75.2

1.61.7

8.93.3

6.14.0

6.04.6

ConsumerDisc.ConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTech.Materials

Telecom.ServicesUtilities

RegionWeights(%)Underweight/OverweightAgainstBenchmark

4.46.5

0.6

0.32.0

4.54.0

Australia/NewZealandEmerging

EuropeexUKJapan

SoutheastAsiaUnitedKingdom

Cash+UnrealizedG/L

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

31GMOLLC2014

GMOInternationalActiveEAFEStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

The International Active EAFE Strategy fell 5.2% net of fees in the fourth quarter; the strategy was 1.7 percentage points behind the MSCI EAFE index, which declined 3.6%.

Country selection was behind the benchmark. Our positioning in Europe subtracted from returns, particularly an overweight position in Italy, as the market underperformed MSCI EAFE in the quarter.

Stock selection also lagged the benchmark in the fourth quarter. Holdings in Europe underperformed, largely due to financials and energy companies.

European financials struggled as the much anticipated asset quality review (AQR) for European banks did not inspire enough investor confidence to make up for the stop-start recovery in Europe and the ECBs dragging its feet on QE. We are encouraged that now that the AQR is complete the ECB can embark on QE.

Energy companies everywhere, including Europe, have suffered. The drop in oil prices has been the result of oversupply and tepid demand growth, intensified by Saudi Arabias production and pricing strategy. Brent has fallen almost 70% in the quarter and big oil names have been under pressure as a major part of the investment case for these companies depends on the ability to generate strong free cash flows in the near future. We continue to see some value in energy stocks, particularly in Europe, but a lower-for-longer oil price has impaired the investment thesis for some of our holdings. As a result, we have sold our energy position down to neutral and have kept only the stocks with dividends that we believe are safe at current oil prices.

On the positive side, stock selection in Korea helped returns as a holding in an information technology company outperformed. The combination of a November buyback announcement, the news of a dividend increase, and the bottoming of negative earnings provisions led to a rally in the share price.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

32GMOLLC2014

GMOInternationalActiveForeignSmallCompaniesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&PDevelopedexU.S.SmallCapIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofthesmallcapitalizationstockcomponentoftheS&PBroadMarketIndex(BMI).TheBMIincludeslistedsharesofcompaniesfromdevelopedandemergingcountrieswithatotalavailablemarketcapitalization(float)ofatleastthelocalequivalentof$100millionUSD.TheS&PDevelopedexU.S.SmallCapIndexrepresentsthebottom15%ofavailablemarketcapitalization(float)oftheBMIineachcountry.

1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

4Q2014 3.70 2.59YTD2014 9.53 3.42

AnnualTotalReturn(%)2013 28.92 26.062012 21.64 18.552011 15.21 14.492010 24.76 21.962009 47.63 45.072008 45.91 47.672007 8.00 7.322006 36.24 29.422005 18.91 22.102004 29.30 28.73

AnnualizedReturn(%)

9.53

8.46 7.6910.79

3.42

8.52 6.84 7.13

15105051015

1year 5years 10years ITDStrategy Benchmark

TopOverweightHoldings2CompanyMediasetS.p.A. 1.7IncitecPivotLtd. 1.7SopraGroup 1.5AscianoGroup 1.4TollHoldingsLtd. 1.4PeugeotS.A. 1.3Mediobanca BancadiCreditoFinanziarioS.p.A. 1.3FaureciaS.A. 1.3TymanPlc 1.3IzumiCo.Ltd. 1.3

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 18.3 x 20.0 xPrice/CashFlowHist1YrWtdMedian 10.3 x 12.5 xPrice/BookHist1YrWtdAvg 1.4 x 1.5 xDividendYieldHist1YrWtdAvg 2.3 % 2.4 %

GICSSectorWeights(%)Under/Overweightvs.Benchmark Strategy Benchmark

26.4 17.93.0 5.64.2 3.2

24.6 22.32.3 6.9

20.7 21.48.2 8.7

10.0 10.10.7 1.40.0 2.4

8.52.6

1.02.3

4.60.70.50.1

0.72.4

ConsumerDisc.ConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTech.Materials

Telecom.ServicesUtilities

5YearRiskProfile1Strategy Benchmark

Alpha 0.27 0.00Beta 0.96 1.00R2 0.98 1.00SharpeRatio 0.51 0.50Std.Deviation 16.46 16.94

RegionWeights(%)Underweight/OverweightAgainstBenchmark

3.0

3.8

3.6

0.5

6.14.1

3.2

Australia/NewZealandEmerging

EuropeexUKJapan

SoutheastAsiaUnitedKingdom

Cash+UnrealizedG/L

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

33GMOLLC2014

GMOInternationalActiveForeignSmallCompaniesStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

The International Active Foreign Small Companies Strategy underperformed the S&P Developed ex-U.S. Small Cap index by 1.1 percentage points in the fourth quarter, declining 3.7% net of fees while the benchmark fell 2.6%.

Country selection was behind the benchmark in the quarter. Our positioning in Europe subtracted from returns, particularly an overweight position in Italy, as the market underperformed the benchmark in the quarter. This was somewhat offset by an underweight position in Canada, which added to returns.

Stock selection also lagged the benchmark in the fourth quarter. Our holdings in Canada and Korea underperformed. In Canada, the portfolio was particularly hurt by the small-cap energy companies, as energy companies everywhere have suffered. The drop in oil prices has been the result of oversupply and tepid demand growth, intensified by Saudi Arabias production and pricing strategy. Brent has fallen almost 70% in the quarter and oil sensitive names have been under pressure as lower oil prices imply lower selling prices and profit margins, less incentive for additional exploration, and potentially lower payouts to shareholders. Koreas DGB financial fell after announcing a highly dilutive rights issue. While the company says it is raising money for future growth, the market is skeptical. On the positive side, stock selection in Europe did well.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

34GMOLLC2014

GMOU.S.EquityAllocationStrategyPERFORMANCENETOFFEES

GroupExposures(%)1

0

20

40

60

80

100

U.S.Quality,84.4

Cash&CashEquiv.,1.6U.S.OpportunisticValue,13.9U.S.Small,0.1

U.S.Equity Cash

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheRussell3000+++IndexisaninternallymaintainedbenchmarkcomputedbyGMO,comprisedof(i)GMOblendedbenchmarkofU.S.EquityAllocationCompositethrough06/30/2014and(ii)Russell3000thereafter.TheGMOblendedbenchmarkofU.S.EquityAllocationCompositeiscomprisedofaweightedaverageofaccountbenchmarks;manyoftheaccountbenchmarksconsistofS&P500,Russell3000orsomelikeproxyforeachmarketexposuretheyhave.Foreachunderlyingaccountbenchmark,theweightingofeachmarketindexwillvaryslightly.TheindexisinternallyblendedbyGMOandmaintainedonamonthlybasis.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.RussellInvestmentGroupisthesourceandownerofthetrademarks,servicemarksandcopyrightsrelatedtotheRussellIndexes.RussellisatrademarkofRussellInvestmentGroup.

1 The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.

2 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

3 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

TotalReturn(%)Strategy Benchmark

4Q2014 3.55 5.24YTD2014 9.76 12.76

AnnualTotalReturn(%)2013 27.95 32.852012 12.25 16.212011 9.91 1.582010 7.43 16.262009 20.54 27.462008 27.87 37.152007 2.25 5.392006 9.93 15.712005 3.68 5.532004 10.74 11.45

AnnualizedReturn(%)

9.76

13.23

6.55

10.7812.76

15.51

7.8010.36

0

5

10

15

20

1year 5years 10years ITDStrategy Benchmark

GICSSectorWeights(%)9.9

17.89.6

2.020.3

7.531.5

1.30.00.0

12.19.8

8.416.6

14.210.4

19.73.22.33.2

ConsumerDiscretionaryConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTechnologyMaterials

TelecommunicationServicesUtilities

Strategy Benchmark

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMed 20.2 x 19.0 xPrice/BookHist1YrWtdAvg 3.8 x 2.8 xReturnonEquityHist1YrMed 20.6 % 18.9 %MarketCapWeightedMedian$Bil $126.7 $73.8DividendYieldHist1YrWtdAvg 1.9 % 2.0 %

TopHoldings3Company Sector %ofEquityExpressScriptsHoldingCo HealthCare 5.9PhilipMorrisInternationalInc. ConsumerStaples 4.8Amazon.comInc. ConsumerDiscretionary 4.8OracleCorp. InformationTechnology 4.7MicrosoftCorp. InformationTechnology 4.7Total 24.9

5YearRiskProfile2Strategy Benchmark

Alpha 0.66 0.00Beta 0.81 1.00R2 0.91 1.00SharpeRatio 1.18 1.17Std.Deviation 11.19 13.21

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

35GMOLLC2014

GMOU.S.EquityAllocationStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

Performance(%)NetofFees,USD(RepAccount) +3.41GrossofFees,USD(RepAccount) +3.53S&P500 +4.93ValueAdded 1.41

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

36GMOLLC2014

GMOEmergingMarketsStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheS&P/IFCICompositeIndexisanindependentlymaintainedandwidelypublishedindexcomprisedofemergingmarketsstocks.S&Pdoesnotguaranteetheaccuracy,adequacy,completenessoravailabilityofanydataorinformationandisnotresponsibleforanyerrorsoromissionsfromtheuseofsuchdataorinformation.ReproductionofthedataorinformationinanyformisprohibitedexceptwiththepriorwrittenpermissionofS&Poritsthirdpartylicensors.

TotalReturn(%)Strategy Benchmark

4Q2014 5.03 4.57YTD2014 5.92 1.12

AnnualTotalReturn(%)2013 5.19 0.572012 15.19 18.892011 16.95 19.032010 20.20 20.642009 71.89 81.032008 55.74 53.742007 37.22 40.282006 29.51 35.112005 40.15 35.192004 26.54 28.11

AnnualizedReturn(%)

5.92

0.51

6.87 7.29

1.12

2.69

9.375.73

105051015

1year 5years 10years ITDStrategy Benchmark

5YearRiskProfile1Strategy Benchmark

Alpha 2.24 0.00Beta 1.02 1.00R2 0.97 1.00SharpeRatio 0.02 0.14Std.Deviation 19.05 18.37

TopTenHoldings2Company %ofEquitySamsungElectronicsCo.Ltd. 5.3China ConstructionBankCorp. 3.3Industrial&CommercialBankofChina Lt 3.2BankofChina Ltd. 2.8Surgutneftegaz 2.2KGHMPolskaMiedzS.A. 2.2HDFCBankLtd. 2.1China MobileLtd. 2.1GazpromOAO 1.9BancodoBrasilS.A. 1.7Total 26.8

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 9.8 x 15.9 xPrice/CashFlowHist1YrWtdMedian 6.1 x 10.1 xPrice/BookHist1YrWtdAvg 1.0 x 1.5 xReturnonEquityHist1YrAvg 11.4 % 10.8 %MarketCapWeightedMedian$Bil $4.8 $6.2NumberofEquityHoldings 418 2,513DividendYieldHist1YrWtdAvg 4.4 % 2.9 %

RegionWeights(%)Underweight/OverweightAgainstBenchmark

0.93.7

13.20.1

6.73.8

DevelopedEastAsiaEurope

Latin/SouthAmericaMideast/Africa

SouthAsiaGICSSectorWeights(%)

Under/Overweightvs.Benchmark Strategy Benchmark7.1 10.11.9 7.814 6.9

29.3 27.91.6 2.83.1 8.2

16.8 18.87.7 7.810 6.48.6 3.4

3.05.9

7.11.4

1.25.1

2.00.1

3.65.2

ConsumerDisc.ConsumerStaples

EnergyFinancials

HealthCareIndustrials

InformationTech.Materials

Telecom.ServicesUtilities

1 Alpha is a measure of riskadjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; 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.

2 Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.

The above information is based on a representative account in the Strategyselected because it has the fewest restrictions and best represents theimplementation of the Strategy.

QUARTERLYATTRIBUTION

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

December31,2014

37GMOLLC2014

GMOEmergingMarketsStrategy

Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transactioncosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other income.

The Emerging Markets Strategy lost 5.0% net of fees in the fourth quarter, underperforming the 4.6% drop in the S&P/IFCI Composite by 0.5%. Overall, country-sector allocation detracted 1.5% but stock selection added 0.8%.

Emerging markets had a good start to the quarter on the back of positive reforms in China and India. The gains were wiped out later by a steep fall in crude oil prices and a general dampening in demand for riskier assets. Country returns varied over the quarter, ranging from an 11.6% jump in Turkey to a 32.9% drop in Russia. Sector returns were more clustered, varying from a 1.6% rise in Financials to a fall of 24.5% for Energy.

Investor sentiment in Brazil deteriorated as Dilma Rousseff was re-elected president. The stock market preferred the opposition candidate who had promised a move away from the micromanaging style of the current government. Further depressing sentiment was the drop in crude oil prices and a corruption scandal at Petrobras. Some relief came at the end of the quarter from the appointment of a market-friendly team at the finance ministry, engendering hopes for an improvement in fiscal policy. Our overweight in Brazil Utilities and Telecommunications negatively impacted performance.

Stocks in China gained from speculation the government is pushing forward with market reforms and the restructuring of state-owned companies. The government pressed state-owned companies to adjust prices to reflect market conditions. Investors also placed funds into Chinese equities in anticipation of the start of an exchange link with Hong Kong. A further boost in sentiment came from an easing of restrictions on mortgage loans and from the central bank unexpectedly lowering rates. The action was prompted by signs of a deeper slowdown than expected. Also helping the market was the drop in oil prices as China is a major crude oil importer. Our overweight in China Financials and Telecommunications added to performance.

Indian stocks jumped as investors saw the government accelerating policy changes to boost economic growth. Prime Minister Modi, fresh off a landslide victory in May, ended price controls on diesel, raised natural-gas tariffs, and relaxed rules on foreign investment in property development. The government also clarified its policy on mining and selling coal. Stocks in India rose as the crude oil price dropped. India imports about 80% of its oil and the oil import bill has been a major driver of its worrisome current account deficit. Inflation has dropped to 5.5% from a high of 11.2% last year. This, along with the fall in oil prices, has boosted market expectations of a cut in interest rates. Our overweight in India Financials contributed to performance.

The Russian stock market fell on fears of an escalation in the Ukraine crisis as the Ukrainian government accused Russia of supplying arms to the rebels. Also deeply depressing sentiment was the steep fall in crude oil prices. Commodities constitute the bulk of Russias exports and about half of its budget revenue comes from oil and gas taxes. The Russian central bank raised its key interest rate to the highest since September 2013. It also lowered its forecast for economic growth in 2015 to zero and pushed back its estimate for meeting an inflation target of 4% by one year from 2016. Our overweight in Russia Energy and Financials detracted from performance.

Stock selection was additive to performance, particularly in Russia Energy and Korea IT.

December31,2014

40RowesWharf|Boston,Massachusetts20110(617)3307500| www.gmo.com

STRATEGYPROFILE

38GMOLLC2014

GMOEmergingDomesticOpportunitiesStrategyPERFORMANCENETOFFEES

Performancedataquotedrepresentspastperformanceandisnotpredictiveoffutureperformance.Returnsareshownafterthedeductionofmanagementfees,transactioncostsandotherexpenses,butbeforecustodycharges,withholdingtaxes,andotherindirectexpenses.Thereturnsassumethereinvestmentofdividendsandotherincome.TheEmergingDomesticOpportunitiesStrategydoesnothaveabenchmark.TheStrategyhasbeencomparedtotheMSCIEmergingMarketsIndexinanefforttocompareandcontrasttheStrategyversusabroademergingmarketsindex.TheMSCIEmergingMarketsIndex(MSCIStandardIndexSeries,netofwithholdingtax)isanindependentlymaintainedandwidelypublishedindexcomprisedofglobalemergingmarketslargeandmidcapitalizationstocks.MSCIdatamaynotbereproducedorusedforanyotherpurpose.MSCIprovidesnowarranties,hasnotpreparedorapprovedthisreport,andhasnoliabilityhereunder.

TotalReturn(%)Strategy Benchmark

4Q2014 0.83 4.50YTD2014 0.30 2.19

AnnualTotalReturn(%)2013 3.80 2.602012 24.33 18.222011 8.99 20.06

AnnualizedReturn(%)

0.30

4.30

2.19 2.76420246

1year ITDStrategy Benchmark

RiskProfileSince3/31/112Strategy Benchmark

Alpha 6.32 0.00Beta 0.74 1.00R2 0.81 1.00SharpeRatio 0.29 0.16Std.Deviation 14.69 18.00

TopTenHoldings3Company %ofEquityHDFCBankLtd. 5.1ColgatePalmoliveCo. 4.1Industrial&CommercialBankofChina Ltd. 3.2LupinLtd. 3.2Baidu.comInc. 2.8AbbottLaboratories 2.2BrillianceChna AutmtiveHldgs 1.9Raia DrogasilSA 1.8BDOUnibankInc 1.7China MobileLtd. 1.6Total 27.6

CharacteristicsStrategy Benchmark

Price/EarningsHist1YrWtdMedian 20.5 x 15.6 xPrice/CashFlowHist1YrWtdMedian 17.6 x 9.9 xPrice/BookHist1YrWtdAvg 2.8 x 1.5 xReturnonEquityHist1YrAvg 15.9 % 11.5 %MarketCapWeightedMedian$Bil $3.5 $8.4NumberofEquityHoldings 116 834DividendYieldHist1YrWtdAvg 2