GMO Quarterly Update 2 q 13

7/27/2019 GMO Quarterly Update 2 q 13

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GMO offers institutionally-oriented strategies investing in equities and fixed income in the U.S., developed international, andemerging markets. For client inquiries, please contact your Client Relationship Manager. For new business inquiries, pleasecontact your Relationship Manager or Holly Carson at (617) 346-7501 or [email protected]

This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such.



GMO Capabili ties

* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities are not included inthis document. For information please contact GMO.

GMO Asset Allocation Page

Global Asset Allocation 29

Real Return Global Balanced Asset Alloc. 30

Benchmark-Free Allocation 31

Global Al location Absolute Return 32

Real Return Asset Allocation 33

Global All Country Equity Al location 34

Global Developed Equity Allocation 35

International Al l Country Equity Alloc. 36

International Developed Equity Al location 37

U.S. Equity Allocation 38

Flexible Equities*

Special Situations*

Alternative Asset Opportunity*

Alpha Only*

Tax-Managed Global Bal anced 39

GMO Absolute Return Page

Total Equities 40

Tactical Opportunities 41

Emerging Country Debt Long/Short*

Currency Hedge 42

Fixed Income Hedge 43

Emerging Currency Hedge 44

Mean Reversion 45

Systematic Global Macr o 46

Completion*Multi-Strategy*

GMO U.S. Equities Page

U.S. Core 5

Intrinsic Value 6

Growth 7

Small/M id Cap 8

Real Estate*

GMO International Equities Page

International Active EAFE 9

International Active Foreign Small Companies 10

International Intr insic Value 11

International Growth 12

International Core Equity 13

Currency Hedged International Equity 14

Japan Equity 15

International Small Companies*

Tax-Managed International Equities 16

GMO Emerging Equities Page

Emerging Markets 17

Emerging Countries 18

Emerging Domestic Opportunities 19

GMO Global Equities Page

Global Active Equity 20

Global Focused Equity 21

Quality 22

Global Equity 23

Risk Premium*

GMO Alternative Assets Page

Resources 24

GMO Fixed Income Page

Core Plus Bond 25

U.S. Treasury*

International Bond 26

Currency Hedged Int'l. Bond 27Global Bond 28

Emerging Country Debt*

Emerging Country Local Debt*

Asset Al location Bond*

1



2013 Performance of GMO Strategies and Benchmarks

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 assumethe reinvestment of dividends and other income.

Copyright © 2013 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by anymeans, without written permission from GMO.

otal Return Net of Fees Average Annual Total Return

GMO U.S. Equity Inception 2Q YTD YTD Value One Five Ten Since

Strategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

U.S. Core 9/30/85 3.57 15.38 1.56 19.32 8.06 6.57 11.18

S&P 500 2.91 13.82 20.60 7.01 7.30 10.72

Intrinsic Value 5/31/99 3.58 16.16 0.26 22.47 8.11 6.88 5.35Russell 1000 Value 3.20 15.90 25.32 6.67 7.79 4.94

Growth 12/31/88 2.79 13.23 1.42 17.33 9.38 6.43 10.00

Russell 1000 Growth 2.06 11.80 17.07 7.47 7.40 9.32

Small/Mid Cap 12/31/91 3.19 18.25 2.84 29.62 9.49 8.56 11.27

Russell 2500 + 2.27 15.42 25.61 9.18 10.04 11.30

GMO International Equity Inception 2Q YTD YTD Value One Five Ten Since


International Active EAFE 5/31/81 0.80 3.72 -0.39 15.87 -1.68 7.25 11.85

MSCI EAFE -0.99 4.10 18.62 -0.63 7.67 8.91

Int'l. Active Foreign Small Companies 1/31/95 0.14 7.58 3.55 23.81 3.46 12.57 11.23

S&P Developed ex-U.S. Small Cap -2.72 4.03 18.53 1.64 10.80 6.82

International Intrinsic Value 3/31/87 0.61 3.47 0.73 16.96 -1.93 7.24 7.82

MSCI EAFE Value -0.80 2.74 18.56 -0.93 7.64 6.80

MSCI EAFE -0.99 4.10 18.62 -0.63 7.67 5.08

International Growth 11/30/01 -0.35 7.16 1.70 20.36 2.32 9.03 7.77

MSCI EAFE Growth -1.17 5.47 18.67 -0.38 7.62 5.61

MSCI EAFE -0.99 4.10 18.62 -0.63 7.67 5.88

International Core Equity 1/31/02 0.50 4.07 -0.03 17.70 -0.97 7.93 7.72

MSCI EAFE -0.99 4.10 18.62 -0.63 7.67 6.42

Currency Hedged International Equity 6/30/95 1.33 8.91 -1.90 21.49 1.76 6.93 7.37

MSCI EAFE (Hedged) 1.12 10.82 24.60 1.83 6.71 5.92

Japan Equity 12/31/05 -1.15 12.81 -3.27 17.26 2.04 n/a 1.40

MSCI Japan IMI++ 3.26 16.08 21.28 0.36 n/a -0.29 Tax-Managed International Equities 8/31/98 0.88 4.37 0.26 17.41 -1.20 8.53 7.35

MSCI EAFE -0.99 4.10 18.62 -0.63 7.67 4.53

2





* 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.


GMO Emerging Equity Inception 2Q YTD YTD Value One Five Ten Since


Emerging Markets 12/31/93 -10.28 -12.25 -3.82 -0.34 -2.57 13.26 7.78

S&P/IFCI Composite -7.43 -8.43 4.19 0.30 14.65 5.80

MSCI Emerging Markets -7.88 -9.57 2.87 -0.43 13.66 5.24Emerging Countries 9/30/97 -10.66 -13.02 -4.58 -1.89 -3.46 12.18 8.17

S&P/IFCI Composite -7.43 -8.43 4.19 0.30 14.65 7.71

MSCI Emerging Markets -7.88 -9.57 2.87 -0.43 13.66 6.53

Emerging Domestic Opportunities 3/31/11 -4.37 1.22 10.79 16.57 n/a n/a 6.21

MSCI Emerging Markets -7.88 -9.57 2.87 n/a n/a -6.74

GMO Global Equity Inception 2Q YTD YTD Value One Five Ten Since


Global Active Equity 8/31/00 1.66 7.69 -0.74 18.01 0.60 8.42 7.78

MSCI World 0.64 8.43 18.58 2.70 7.25 2.21

Global Focused Equity 12/31/11 3.20 5.41 -0.64 20.01 n/a n/a 16.77

MSCI ACWI -0.40 6.05 16.57 n/a n/a 14.90Quality 2/29/04 2.11 12.85 -0.97 16.44 8.97 n/a 5.60

S&P 500 2.91 13.82 20.60 7.01 n/a 5.86

Global Equity 7/31/96 2.86 9.28 0.85 18.04 2.21 7.41 7.08

MSCI World 0.64 8.43 18.58 2.70 7.25 5.70

GMO Alternative Asset Inception 2Q YTD YTD Value One Five Ten Since


Resources 12/31/11 -7.05 -9.58 -0.01 1.16 n/a n/a -0.82

MSCI ACWI Commodity Producers -7.70 -9.57 -2.79 n/a n/a -5.27

GMO Fixed Income Inception 2Q YTD YTD Value One Five Ten SinceStrategies/Benchmarks Date 2013 2013 Added Year Year Year Inception

Core Plus Bond 4/30/97 -3.61 -0.60 1.85 4.43 5.95 4.75 6.07

Barclays U.S. Aggregate -2.33 -2.45 -0.69 5.19 4.52 5.90

International Bond 12/31/93 -4.98 -4.16 3.40 1.07 4.43 5.77 6.95

J.P. Morgan GBI Global ex U.S. -3.55 -7.56 -6.55 2.96 4.94 5.56

Currency Hedged Int'l. Bond 9/30/94 -2.81 -0.57 0.12 7.28 6.97 4.83 7.94

J.P. Morgan GBI Global -0.99 -0.69 4.31 6.10 4.67 6.87ex-Japan ex U.S. (Hedged) +

Global Bond* 12/31/95 -4.28 -4.03 1.77 0.53 4.55 5.17 5.87

J.P. Morgan GBI Global -3.10 -5.80 -4.96 3.48 4.85 5.17

3






GMO Asset Allocation Inception 2Q YTD YTD Value One Five Ten Since


Global Asset Allocation 6/30/88 -0.46 3.23 0.19 9.89 5.75 7.92 9.77

Blended Benchmark -1.07 3.05 10.29 3.88 6.25 8.00

Real Return Global Balanced Asset Alloc. 6/30/04 0.21 5.04 0.52 11.33 5.31 n/a 6.94Blended Benchmark -0.07 4.52 10.72 3.19 n/a 4.88

Benchmark-Free Allocation 7/31/01 -0.04 4.14 3.29 9.99 6.70 10.77 11.23

CPI 0.26 0.85 1.89 1.39 2.41 2.31

Global Allocation Absolute Return 7/31/01 -0.49 3.55 0.21 9.00 5.88 9.45 9.76

CPI Plus 5% 1.49 3.34 6.98 6.45 7.52 7.42

Real Return Asset Allocation 12/31/09 0.02 3.34 2.49 7.91 n/a n/a -0.34

CPI 0.26 0.85 1.89 n/a n/a 1.97

Global All Country Equity Allocation 12/31/93 -0.08 5.97 -0.53 15.03 4.53 9.15 8.95

Blended Benchmark -0.25 6.50 16.98 2.74 7.44 7.00

Global Developed Equity Allocation 3/31/87 1.47 8.65 0.23 17.27 3.91 8.61 9.26

Blended Benchmark 0.64 8.43 18.58 2.71 7.12 7.06

International All Country Equity Alloc. 2/28/94 -2.54 -0.39 -0.46 13.12 -0.63 9.40 7.33Blended Benchmark -3.02 0.07 13.79 -0.81 8.61 5.42

Inter national Devel oped Equity Al location 11/30/91 0.04 3.97 -0.14 17.94 -0.20 8.80 8.06

Blended Benchmark -0.99 4.10 18.62 -0.50 8.03 6.07

U.S. Equity Allocation 2/28/89 2.97 14.39 0.40 18.01 8.40 7.02 10.54

Blended Benchmark 2.84 13.99 21.07 7.23 7.59 9.80

Alternative Asset Opportuni ty 10/31/11 2.15 3.66 3.63 2.22 n/a n/a 3.20

Citigroup 3-Mo. T-Bill 0.02 0.03 0.08 n/a n/a 0.06

Tax-Managed Global Balanced 12/31/02 -1.30 2.27 -0.53 8.42 4.23 7.13 7.63

GMO Tax-Managed Global Balanced Index -1.22 2.79 9.83 4.19 6.20 6.73

GMO Absolute Return Inception 2Q YTD YTD Value One Five Ten Since


Total Equities 9/30/00 0.93 4.01 3.98 11.84 3.92 1.48 5.80

Citigroup 3-Mo. T-Bill 0.02 0.03 0.08 0.23 1.63 1.90

Tactical Opportuniti es 9/30/04 -3.47 -1.76 -1.80 -15.17 -10.13 n/a -6.30

Citigroup 3-Mo. T-Bill 0.02 0.03 0.08 0.23 n/a 1.72

Currency Hedge 7/31/03 -12.19 -7.21 -7.42 -6.52 -4.79 n/a -0.11

J.P. Morgan U.S. 3 Month Cash 0.10 0.21 0.56 1.08 n/a 2.38

Fixed Income Hedge 8/31/05 -2.18 -0.53 -0.74 6.92 1.31 n/a -0.70


Emerging Currency Hedge 3/31/06 -3.60 -3.43 -3.65 0.87 0.35 n/a 2.43


Mean Reversion 2/28/02 0.39 3.89 3.86 4.49 0.95 6.87 8.25


Systematic Global Macro 3/31/02 3.11 6.05 6.02 5.65 4.96 6.32 7.56


4



As of June 30, 2013

GMO © 2013

GMO U.S. Core StrategyInception: 9/30/85; Benchmark: S&P 500 Index

Performance1

The U.S. Core Strategy returned +3.6% net of fees for the second quarter of 2013, leading the +2.9% return of its benchmark, theS&P 500 index.

Sector selection had a modest positive impact on relative returns for the quarter. The Strategy saw positive returns relative to thebenchmark attributable to an overweight in Health Care and underweight positions in Utilities and Materials. An overweight inConsumer Staples and underweight positions in Financials and Consumer Discretionary detracted.

Stock selection was flat for the quarter. Selections in Information Technology, Financials, and Consumer Discretionary added toreturns versus the benchmark while selections in Health Care, Consumer Staples, and Energy detracted. Individual stocks adding torelative returns in the second quarter included overweight positions in Microsoft and UnitedHealth Group and an underweight in Apple. Stock selections detracting from returns versus the benchmark included overweight positions in International Business

Machines, Eli Lilly, and Oracle.

Top Ten Holdings2,5

Risk Profile Since 9/30/854 Sector Weights5

Characteristics5

Quarterly Strategy Attribut ion

1 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 andother income.

2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,

adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.

4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s sensitivity to the market; R 2 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. Risk profile data is gross.

5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.

GICS Sectors

Total Return Net of Fees (%) Average Annual Total Return (%)

2Q YTD One Five Ten Since2013 2013 Year Year Year Inception

Strategy 3.57 15.38 19.32 8.06 6.57 11.18Benchmark 3 2.91 13.82 20.60 7.01 7.30 10.72

Annu al Tota l Retu rn Net of Fees (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 26.64 9.85 3.66 9.74 1.64 -30.17 21.40 8.95 8.16 12.87

Benchmark 28 .69 10.88 4.91 15.80 5.49 - 37.00 26.46 15.06 2.11 16.00

Microsoft Corp. 5.3%

Johnson & Johnson 5.3%

Google Inc. (Cl A) 4.1%

Pfizer Inc. 3.8%

Chevron Corp. 3.5%

Merck & Co Inc 3.4%

Int 'l. Business Machines 3.3%

Procter & Gamble Co. 3.2%

Oracle Corp. 2.6%

Philip Morris Int'l. Inc. 2.6%

Total 37.1%

Underweight/Overweight

Sector Against Benchmark Strategy Benchmark

Consumer Discretionary 7.8 % 12.2 %

Consumer Staples 16.9 10.5Energy 7.7 10.5

Financials 11.3 16.7

Health Care 27.3 12.7

Industrials 3.3 10.2

Information Technology 24.6 17.8

Materials 0.3 3.3

Telecom. Services 0.6 2.8

Utilities 0.2 3.3-3.1

-2.2

-3.0

6.8

-6.9

14.6

-5.4

-2.86.4

-4.4

-20 -10 0 10 20

St ra teg y Ben ch ma rk

Alpha 1.52 0.00

Beta 0.92 1.00

R 2

0.95 1.00Sharpe Ratio 0.53 0.44


Price/Earnings - Hist 1 Yr Wtd Med 17.6 x 17.9 x

Price/Book - Hist 1 Yr Wtd Avg 2.4 x 2.4 x

Dividend Yield - Hist 1 Yr Wtd Avg 2.2 % 2.2 %

Return on Equity - Hist 1 Yr Med 18.1 % 15.4 %

Market Cap - Weighted Median $Bil $139.2 $62.4

5



As of June 30, 2013

GMO © 2013

GMO Intrinsic Value StrategyInception: 5/31/99; Benchmark: Russell 1000 Value Index

Performance1

The Intrinsic Value Strategy returned +3.6% net of fees for the second quarter of 2013, leading the +3.2% return of its benchmark,the Russell 1000 Value index.

Sector selection added to relative returns for the quarter. The Strategy saw positive returns relative to the benchmark attributable to anoverweight in Information Technology and underweight positions in Energy and Utilities. Underweight positions in Financials andConsumer Discretionary and an overweight in Consumer Staples detracted.

Stock selection detracted from relative returns. Selections in Financials, Industrials, and Materials added to returns versus thebenchmark while selections in Information Technology, Health Care, and Energy detracted. Individual stocks adding to relativereturns in the second quarter included overweight positions in Microsoft, Google, and JPMorgan Chase. Stock selections detracting from returns versus the benchmark included overweight positions in International Business Machines, Eli Lilly, and Oracle.

Top Ten Holdings2,5


Characteristics5



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with lower price-to-

book ratios and lower forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and alltrademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination orredistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting or configuration of this material or for anyinaccuracy in GMO’s presentation thereof.



GICS Sectors





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 30.42 12.12 5.57 13.61 -3.73 -34.51 19.42 11.86 9.82 14.63

Benchmark 30.03 16.49 7 .05 22.24 -0 .17 -36.85 19.69 15.51 0 .39 17.51


Pfizer Inc. 4.8%


JPMorgan Chase & Co. 4.1%

Merck & Co Inc 3.4%

Wal-Mart Stores Inc. 3.3%


Oracle Corp. 2.6%


Bank of America Corp. 2.5%

Total 35.5%

Underweight/OverweightSector Against Benchmark Strategy Benchmark



Financials 16.6 28.7


Industrials 3.0 9.0


Materials 0.7 3.3



-1.7

-2.6

12.7

-6.0

17.7

-12.1

-8.4

8.8

-2.1

-20 -10 0 10 20


Alpha 1.18 0.00

Beta 0.91 1.00

R 2

0.94 1.00Sharpe Ratio 0.25 0.17







6



As of June 30, 2013

GMO © 2013

GMO Growth StrategyInception: 12/31/88; Benchmark: Russell 1000 Growth Index

Performance1

The Growth Strategy returned +2.8% net of fees in the second quarter of 2013, leading the +2.1% return of its benchmark, the Russell1000 Growth index.

Sector selection added to relative returns for the quarter. An underweight position in Energy and overweight positions in Information Technology and Consumer Staples added to relative returns.

Stock selection added to relative returns for the quarter. Selections in Information Technology, Consumer Staples, and ConsumerDiscretionary were among those adding to returns versus the benchmark. Individual stocks adding to relative returns in the secondquarter included overweight positions in Priceline.com, Google, and Groupon. Stock selections detracting from returns versus thebenchmark included overweight positions in Qualcomm and Equinix and an underweight in Boeing.

Top Ten Holdings2,5


Characteristics5



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in the Russell 1000 Index with higher price-

to-book ratios and higher forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and alltrademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination orredistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting or configuration of this material or for anyinaccuracy in GMO’s presentation thereof.



GICS Sectors





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 28.27 4.66 3.93 2.44 5.99 -30.42 24.64 12.02 8.72 16.36

Benchmark 29.75 6.30 5.26 9.07 11.81 -38.44 37.21 16.71 2.64 15 .26

Apple Inc. 4.7%




Coca-Cola Co. 3.0%

QUALCOMM Inc. 2.9%


Wal-Mart Stores Inc. 2.5%

Oracle Corp. 2.3%

PepsiCo Inc. 2.3%

Total 32.1%





Financials 0.5 4.9




Materials 1.6 3.9



-0.4

-2.3

5.4

-8.1

-1.9

-4.4

-3.215.3

-0.2

-20 -10 0 10 20


Alpha 1.67 0.00

Beta 0.92 1.00

R 2

0.94 1.00Sharpe Ratio 0.43 0.34

Strategy Benchmark


Earnings/Share - F'cast LT Med Growth 12.0 x 12.4 x




7



As of June 30, 2013

GMO © 2013

Performance1

The Small/Mid Cap Strategy returned +3.2% net of fees in the second quarter of 2013, leading the +2.3% return of its benchmark, theRussell 2500 index.

Sector selection added to returns relative to the benchmark. Overweight positions in Consumer Staples and Consumer Discretionary and an underweight in Materials added to relative returns during the period.

Stock selection also added to relative returns for the quarter. Selections in Financials, Information Technology, and Health Careadded to returns versus the benchmark while selections in Energy, Consumer Staples, and Industrials detracted. Individual stocksadding to relative returns included overweight positions in First Solar, GameStop, and Warner Chilcott. Individual names detracting from relative returns included overweight positions in Hollyfrontier and Delek US Holdings and an underweight in Tesla Motors.

Top Ten Holdings2,5

Risk Profile Since 12/31/914 Sector Weights 5

Characteristics5



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The Russell 2500 + Index is an internally maintained benchmark computed by GMO, comprised of (i) the Russell 2500 Index from 12/31/1991 to 12/31/1996 and (ii)

the Russell 2500 Value Index from 12/31/1996 to 1/16/2012 and (iii) the Russell 2500 Index thereafter. Russell Investments is the source and owner of the Russell indexdata contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use,disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting orconfiguration of this material or for any inaccuracy in GMO’s presentation thereof.



GICS Sectors

GMO Small/Mid Cap StrategyInception: 12/31/91; Benchmark: Russell 2500 + Index





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 45.26 20.80 7.95 10.86 -12.37 -26.97 13.64 25.88 1.81 16.33

Benchmark 44.93 21.58 7 .74 20.18 -7 .27 -31.99 27.68 24.82 -3 .36 17.59

HollyFrontier Corp. 1.1%

Tesoro Petroleum Corp. 0.9%

Computer Sciences Corp. 0.9%

Gannett Co. Inc. 0.8%

Energizer Holdings Inc. 0.7%

GameStop Corp. 0.7%

Amdocs Ltd. 0.7%

Harris Corp. 0.7%

Torchmark Corp. 0.7%

Hasbro Inc. 0.7%

Total 7.9%



Consumer Staples 6.3 3.3

Energy 5.1 5.7Financials 24.3 23.4




Materials 5.1 6.4



-0.1

-1.3

0.1

-1.0

-1.7

0.9

-0.6

3.0

4.5

-6 -3 0 3 6

St r at eg y B en ch ma rk

Alpha 0.97 0.00

Beta 0.94 1.00

R 2

0.94 1.00

Sharpe Ratio 0.55 0.51







8



As of June 30, 2013

GMO © 2013

GMO International Active EAFE StrategyInception: 5/31/81; Benchmark: MSCI EAFE Index

Performance1

The International Active EAFE Strategy outperformed the MSCI EAFE index in the second quarter; the Strategy gained 0.8% net of fees while the benchmark fell 1.0%.

Country selection was ahead of the benchmark. An underweight position in Australia added to returns. The market fell as itsexposure to a slowing China became a negative. An underweight position in Continental Europe also added to performance, as did anoverweight position in Japan. Despite some bumps, the Japanese index benefited from Abenomics.

Stock selection beat the benchmark in the second quarter. Holdings in Continental Europe and Japan outperformed. Stock selectionin the emerging markets was negative.

Top Ten Holdings2,5

Risk Profile Since 5/31/814



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published

index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, hasnot prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5



Strategy 0.80 3.72 15.87 -1.68 7.25 11.85Benchmark 3 -0.99 4.10 18.62 -0.63 7.67 8.91

An nu al To ta l Retur n Net o f Fees (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 41.37 22.33 13.52 27.52 10.58 -41.24 25.53 5.01 -11.65 14.92

Benchmark 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Sumitomo Mitsui Financial 3.0%

Mitsubishi Tokyo Financial 2.5%

HSBC Holdings PLC 2.3%

Toyota Motor Corp. 2.1%

Sanofi-Aventis S.A. 2.0%

Australia & NZ Banking 2.0%

Mediaset S.p.A. 1.7%

Telstra Corp. Ltd. 1.7%

E.ON AG 1.7%

British American Tobacco 1.6%

Total 20.6%

St r at eg y B en ch ma r k

Alpha 4.52 0.00

Beta 0.82 1.00

R 2

0.83 1.00




Pri ce/Cash Flow - Hist 1 Yr Wtd Med 8.4 x 10.4 x

Pri ce/Book - Hist 1 Yr Wtd Avg 1.3 x 1.5 x



Regi on Agai nst Benchmark (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Australia/New Zealand

Emerging

Cash2.6

4.8

-1.6

-3.5

2.6

-3.8

-1.0

-6 -3 0 3 6

Underweight/Overweightec or ga ns enc mar ra egy enc mar

Consumer Discretionary 18.7 % 11.7 %Consumer Staples 7.4 11.8Energy 6.1 7.0Financials 28.9 25.0Health Care 7.3 10.5Industrials 13.7 12.7Information Technology 4.2 4.4Materials 6.1 8.0 Telecom. Serv ices 4.6 5.2Utilities 3.0 3.8-0.8

-0.6

-1.9-0.2

1.0

-3.2

3.9

-0.9-4.4

7.0

-10 -5 0 5 10

9



As of June 30, 2013

GMO © 2013

GMO Int’l. Active Foreign Small Companies StrategyInception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index

Performance1

The International Active Foreign Small Companies Strategy outperformed the S&P Developed ex-U.S. Small Cap index in the secondquarter, gaining 0.1% net of fees while the benchmark fell 2.7%.

Country selection was ahead of the benchmark. An underweight position in Canada added to returns. An underweight position in Australia helped when the market fell as its exposure to a slowing China became a negative. An underweight position in ContinentalEurope also added to performance.

Stock selection beat the benchmark. Our holdings in Japan, Continental Europe, Australia, and Korea outperformed. Stock selection

was negative in the emerging markets.

Top Ten Holdings2,5


Quarterly Strategy Attribution


2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the small capitalization stock component of the

S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developed and emerging countries with a total available market capitalization (float)of at least the local equivalent of $100 million USD. The S&P Developed ex-U.S. Small Cap Index represents the bottom 15% of available market capitalization (float) ofthe BMI in each country.



Sector Weights 5 Regional Weights5

Characteristics5

GICS Sectors



Strategy 0.14 7.58 23.81 3.46 12.57 11.23Benchmark 3 -2.72 4.03 18.53 1.64 10.80 6.82

An nu al To ta l Return Net o f Fees (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 50.75 29.30 18.91 36.24 8.00 -45.91 47.63 24.76 -15.21 21.64

Benchmark 53.73 28.73 22.10 29.42 7.32 -47.67 45.07 21.96 -14.49 18.55

Nihon Kohden Corp. 1.8%

Autogrill S.p.A. 1.4%

Sky City Entertainment 1.3%

Euromoney Inst itut ional 1 .3%

NHK Spring Co. Ltd. 1.3%

Filtrona PLC 1.2%

Asciano Group 1.2%

Toll Holdings Ltd. 1.2%

Federation Centres 1.2%

Lupus Capital PLC 1.2%

Total 13.1%

St ra teg y B en ch ma r k

Alpha 5.65 0.00

Beta 0.92 1.00

R 2

0.94 1.00









Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 3.4

5.5

0.6

-5.7

-2.7

4.0

-2.3

-2.7

-10 -5 0 5 10


Consumer Discretionary 28.1 % 17.7 %Consumer Staples 5.1 6.0Energy 6.0 4.6Financials 16.0 20.8Health Care 5.5 5.6Industrials 22.6 23.3Information Technology 7.9 8.1Materials 7.6 10.1 Telecom. Serv ices 0.9 1.5Utilities 0.5 2.3-1.8

-0.6-2.5

-0.2

-0.7-0.1

-4.8

1.4

-0.910.4

-20 -10 0 10 20

10



As of June 30, 2013

GMO © 2013

GMO International Intrinsic Value StrategyInception: 3/31/87; Benchmark: MSCI EAFE Value Index and MSCI EAFE Index

Performance1 Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely

published index comprised of international large and mid capitalization stocks that have a value style. Large and mid capitalization stocks encompass approximately 85%of each market’s free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCIdata may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.




Characteristics5

The International Intrinsic Value Strategy returned +0.6% net of fees during the second quarter of 2013, compared to the broad market MSCI EAFEindex, which returned -1.0%, and the MSCI EAFE Value benchmark, which returned -0.8%.

In the Strategy, stock selection, country al location, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE.

GMO’s stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic valueunderperformed slightly. Those with strong momentum characteristics outperformed.

Selection was strongest within Financials, Energy, and Consumer Discretionary, by sector, and in the UK and Italy by country. Individual stock positions that were significant contributors to relative performance included overweights in media company Mediaset (Italy), telecom KDDI (Japan),and financial Lloyds Banking Group (UK). Stock positions that detracted included overweights in Takeda Pharmaceutical (Japan), tech company Research In Motion (Canada), and metals and mining company Rio Tinto (UK/Australia).

Country allocation added value mainly from our underweight position in Australia, which underperformed, and our overweight position in Italy,

which outperformed.Our underweight to the Australian dollar, which declined relative to the U.S. dollar, also added value.

Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, whichunderperformed, and from our overweight to Telecommunication Services, which performed well. Performance was slightly worse relative to theMSCI EAFE Value index, which benefited from a much smaller weighting in the weak Consumer Staples sector.

During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This changeeliminates some technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to thisassessment.

GICS Sectors

To tal Retur n Net of Fees (%) Aver age Ann ua l To tal Retur n (%)


Strategy 0.61 3.47 16.96 -1.93 7.24 7.82MSCI EAFE Value 3 -0.80 2.74 18.56 -0.93 7.64 6.80

MSCI EAFE 3 -0.99 4.10 18.62 -0.63 7.67 5.08


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 43.53 25.23 13.98 25.78 10.21 -40.31 21.41 7.53 -10.18 12.98MSCI EAFE Value 45.30 24.33 13.80 30.38 5.96 -44.09 34.23 3.25 -12.17 17.69

MSCI EAFE 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Total S.A. 4.5%

Royal Dutch Shell PLC 4.3%

BP PLC 3.2%

Vodafone Group PLC 2.7%


Banco Santander S.A. 2.5%

AstraZeneca PLC 2.3%

Telefonica S.A. 2.1%

Barclays PLC 1.8%

E.ON AG 1.7%

Total 27.8%

Strategy

M SCI

EAFE Valu e

M SCI

EAFE

Alpha 2.30 0.00 0.00

Beta 0.82 1.00 1.00

R 2

0.87 1.00 1.00

Sharpe Ratio 0.30 0.17 0.07

Strategy

M SCI

EAFE Value

MSCI

EAFE

Price/Earnings - Hist 1 Yr Wtd Med 11.7 x 12.9 x 17.1 x

Price/Cash Flow - Hist 1 Yr Wtd Med 5.4 x 6.4 x 10.4 x

Pr ice/Book - Hist 1 Yr Wtd Avg 1.0 x 1.1 x 1.5 x

Return on Equity - Hist 1 Yr Med 9.5 % 9.0 % 10.3 %Market Cap - Weighted Median $Bil $26.0 $28.9 $27.7

Dividend Yield - Hist 1 Yr Wtd Avg 4.0 % 4.2 % 3.3 %


Regi on Agai nst M SCI EAFE Val ue (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 1.6

-4.1

0.2

-2.2

1.5

0.9

2.2

-6 -3 0 3 6


Sector Agai nst MSCI EAFE Val ue Strategy Benchmark

Consumer Discretionary 9.3 % 7.0 %Consumer Staples 3.5 3.5Energy 16.0 10.9Financials 25.4 36.0Health Care 10.9 6.6Industrials 8.9 10.2Information Technology 2.5 3.3Materials 5.5 8.2 Telecom. Serv ices 10.7 8.2Utilities 7.4 6.11.3

2.5

-2.7

-0.8

-1.3

4.3

-10.6

5.1

0.0

2.3

-20 -10 0 10 20

11



As of June 30, 2013

GMO © 2013

GMO International Growth StrategyInception: 11/30/01; Benchmark: MSCI EAFE Growth Index and MSCI EAFE Index





2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely

published index comprised of international large and mid capitalization stocks that have a growth style. Large and mid capitalization stocks encompass approximately 85%of each market’s free float-adjusted market capitalization. Style is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCIdata may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The International Growth Strategy returned -0.3% net of fees during the second quarter of 2013, compared to the MSCI EAFE Growth benchmark, which returned -1.2%, and the broad market MSCI EAFE index, which returned -1.0%.

In the Strategy, sector exposures and currency allocation were primarily responsible for the outperformance relative to EAFE Growth.

Sector exposures (as a result of stock selection) had a positive impact, mainly from an overweight to Telecommunication Services, which performedstrongly, and underweights to Consumer Staples and Materials, which underperformed.

Our underweight to the Australian dollar, which declined relative to the U.S. dollar, also added value.

GMO’s stock selection disciplines had mixed results in the quarter. Stocks with strong momentum characteristics outperformed while those rankedhighly by intrinsic value or chosen for their high quality (defined as high, stable profitability and low debt) underperformed.

Individual stock positions that were significant contributors to relative return included underweight positions in metals and mining company BHPBilliton (UK/Australia) and financial Standard Chartered Group (UK) and an overweight in telecom KDDI (Japan). Stocks that were significantdetractors from relative performance included underweight positions in automaker Toyota Motor (Japan) and chemical company BASF (Germany)and an overweight in Westpac Banking (Australia).

Country allocation helped slightly mainly from our underweight position in Australia, which underperformed.

During the period, we removed a component from our process that explicitly forecast countries based largely on aggregate market valuation andmomentum. Our country positions are now driven as a residual of stock selection rather than explicit forecasts.

To ta l Ret ur n Net of Fees (%) Aver ag e An nu al To ta l Ret ur n (%)


Strategy -0.35 7.16 20.36 2.32 9.03 7.77MSCI EAFE Growth 3 -1.17 5.47 18.67 -0.38 7.62 5.61

MSCI EAFE3

-0.99 4.10 18.62 -0.63 7.67 5.88


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 30.40 20.03 13.16 24.56 14.35 -38.29 24.81 13.94 -8.02 19.28MSCI EAFE Growth 31.99 16.12 13.28 22.33 16.45 -42.70 29.36 12.25 -12.11 16.86

MSCI EAFE 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Roche Holding AG 3.0%

Nestle S.A. 2.6%


GlaxoSmithKline PLC 2.3%

Diageo PLC 2.1%

Rio Tinto PLC 1.9%

Novo Nordisk A/S 1.8%

Toyota Motor Corp. 1.3%

Bayer AG 1.3%

Unilever N.V. 1.2%

Total 20.1%

Strategy

MSCI

EAFE Gro wth

M SCI

EAFE

Alpha 3.24 0.00 0.00

Beta 0.91 1.00 1.00

R 2

0.97 1.00 1.00

Sharpe Ratio 0.43 0.23 0.23

Strategy

MSCI

EAFE Growth

MSCI

EAFE

Price/Earnings - Hist 1 Yr Wtd Med 19.1 x 19.7 x 17.1 x

Earnings/Share - F'cast LT Med Growth Rate 9.8 x 10.0 x 8.6 x

Pri ce/Book - Hist 1 Yr Wtd Avg 2.1 x 2.3 x 1.5 x

Return on Equity - Hist 1 Yr Med 15.5 % 14.9 % 10.3 %Market Cap - Weighted Median $Bil $20.9 $26.9 $27.7

Dividend Yield - Hist 1 Yr Wtd Avg 2.7 % 2.4 % 3.3 %

Underweight/OverweightRegi on Agai nst M SCI EAFE Growth (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 1.1

-1.9

2.6

0.9

1.2

1.2

-5.4

-6 -3 0 3 6


Sector Agai nst MSCI EAFE Growth Strategy Benchmark

Consumer Discretionary 15.2 % 16.4 %Consumer Staples 16.6 20.1Energy 2.5 3.0Financials 17.8 14.1Health Care 17.1 14.4Industrials 11.6 15.1Information Technology 6.1 5.5

Materials 6.6 7.7 Telecom. Services 4.1 2.2Utilities 2.3 1.50.8

1.9-1.1

0.6

-3.5

2.73.7

-0.5-3.5

-1.2

-4 -2 0 2 4

12



As of June 30, 2013

GMO © 2013

GMO International Core Equity StrategyInception: 1/31/02; Benchmark: MSCI EAFE Index





2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published

index comprised of international large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, hasnot prepared or approved this report, and has no liability hereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The International Core Equity Strategy returned +0.5% net of fees during the second quarter of 2013, compared to the MSCI EAFE index, whichreturned -1.0%.

In the Strategy, stock selection, country al location, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE.

GMO’s stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic valueunderperformed slightly. Those with strong momentum characteristics outperformed.

Selection was strongest within Consumer Discretionary, Energy, and Financials, by sector, and in the UK and Australia, by country. Individual stock positions that were significant contributors to relative performance included overweights in telecom KDDI (Japan) and auto maker Fuji Heavy Industries (Japan), and an underweight position in metals and mining company BHP Billiton (UK/Australia). Stock positions that detracted includedoverweights in metals and mining company Rio Tinto (UK/Australia), tech company Research In Motion (Canada), and Takeda Pharmaceutical(Japan).

Country allocation added value mainly from our overweight position in Japan, which outperformed.Our underweight to the Australian dollar, which declined relative to the U.S. dollar, and overweight to the euro, which gained, also added value.

Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, whichunderperformed, and from our overweight to Telecommunication Services, which performed well.

During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This changeeliminates some technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to thisassessment.





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 37.67 23.28 15.58 25.56 12.13 -41.34 23.73 10.33 -9.09 14.44

Benchmark 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Total S.A. 4.0%



BP PLC 2.9%





E.ON AG 1.7%

Rio Tinto PLC 1.5%

Total 24.9%


Alpha 2.07 0.00

Beta 0.95 1.00

R 2

0.98 1.00




Earnings/Share - F'cast LT Med Growth Rate 7.0 x 8.6 x



Market Cap - Weighted Median $Bil $24.0 $27.7Dividend Yield - Hist 1 Yr Wtd Avg 3.9 % 3.3 %



Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Cash 1.0

-2.1

0.9

-2.0

0.5

2.5

-0.8

-4 -2 0 2 4

Underweight/OverweightSector Agai nst Benchmark Strategy Benchmark

Consumer Discretionary 12.9 % 11.7 %Consumer Staples 5.9 11.8Energy 14.4 7.0Financials 19.9 25.0Health Care 12.2 10.5Industrials 10.2 12.7Information Technology 3.1 4.4Materials 5.2 8.0

Telecom. Serv ices 9.7 5.2Utilities 6.5 3.82.74.5

-2.8

-1.3

-2.5

1.7

-5.1

7.4

-5.9

1.2

-10 -5 0 5 10

13



As of June 30, 2013

GMO © 2013

GMO Currency Hedged International Equity StrategyInception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index

Performance1

The Currency Hedged International Equity Strategy returned +1.3% net of fees during the second quarter of 2013, compared to theMSCI EAFE (Hedged) index, which returned +1.1%.

Hedging added to returns for U.S.-dollar-based investors as most currencies declined relative to the U.S. dollar in the quarter. Among the major currencies, the Australian dollar fell by 12%, the Japanese yen by 5%, the euro gained 1%, and the British pound and Swissfranc were essentially unchanged. The unhedged EAFE index returned -1.0%.

At the start of the quarter, the Currency Hedged International Equity Strategy was invested in the International Intrinsic Value Strategy and International Growth Equity Strategy in approximately a 75/25 mix in favor of Value over Growth. Over the course of the pastthree months, the Strategy has shifted to an approximately 100% Value exposure.

Performance of the Currency Hedged International Equity Strategy relative to the MSCI EAFE (Hedged) index was helped by boththe outperformance of the International Intrinsic Value Strategy and International Growth Equity Strategy versus their respective stylebenchmarks and the heavier weighting toward Value.

Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of

international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Sector Weights 5

GICS Sectors

Regional Weights5

Characteristics5




An nua l To ta l Retu rn Net o f Fees (%)

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 20.96 14.77 27.32 19.31 5.88 -34.09 16.11 7.72 -9.68 16.51

Benchmark 19.17 12.01 29.67 19.19 5.32 -39.77 25.67 5.60 -12.10 17.54

Total S.A. 4.5%


BP PLC 3.2%






Barclays PLC 1.8%

E.ON AG 1.7%

Total 27.8%

St ra teg y B en ch ma rk

Alpha 2.74 0.00

Beta 0.82 1.00

R 2

0.88 1.00




Pr ice/Book - Hist 1 Yr Wtd Avg 1.0 x 1.5 x

Return on Equity - Hist 1 Yr Wtd Med 9.5 % 10.3 %

Mar ket Cap - Weighted Median $Bil $26.0 $27.7



Consumer Discretionary 9.3 % 11.7 %Consumer Staples 3.5 11.8Energy 16.0 7.0Financials 25.4 25.0Health Care 10.9 10.5Industrials 8.9 12.7Information Technology 2.5 4.4

Materials 5.5 8.0 Telecom. Serv ices 10.7 5.2Utilities 7.4 3.83.6

5.5-2.5

-1.9

-3.8

0.4

0.4

9.0

-8.3

-2.4

-10 -5 0 5 10

Underweight/OverweightRegi on Agai nst Benchmark (%)

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada

Australia/New ZealandCash 4.9

-4.2

0.2

-2.4

0.6

2.0

-1.1

-6 -3 0 3 6

14



As of June 30, 2013

GMO © 2013

GMO Japan Equity StrategyInception: 12/31/05; Benchmark: MSCI Japan IMI ++ Index

Performance1

The Japan Equity Strategy returned -1.1% net of fees during the second quarter of 2013, as compared to its benchmark, the MSCI Japan IMI index, which returned +3.3%.

Within the Strategy, stock selection was mainly responsible for the underperformance.

Stock selection was weak within several areas including Consumer Discretionary, Industrials, Financials, and Consumer Staples.

Individual stock positions that were significant detractors included underweight positions in Toyota Motor and Softbank and anoverweight in Mizuho Financial Group. Stock positions that added significant value included overweights in Nippon Telephone & Telegraph and KDDI and an underweight position in Takeda Pharmaceutical.

Sector exposures (as a result of stock selection) added some value. Our overweight to Telecommunication Services, whichoutperformed, and our underweight to Health Care, which underperformed, added the most value.

Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprised of (i) the MSCI Japan (MSCI

Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI (MSCI Standard Index Series, net of withholding tax)thereafter. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liabilityhereunder.



Sector Weights5

Characteristics5

GICS Sectors



Strategy -1.15 12.81 17.26 2.04 n/a 1.40Benchmark 3 3.26 16.08 21.28 0.36 n/a -0.29


2006 2007 2008 2009 2010 2011 2012

Strategy 6.39 -2.39 -24.83 -1.78 21.95 -1.92 7.31

Benchmark 6.24 -4.23 -28.16 6.12 16.02 -12.88 7.54

Nippon T & T Corp. 5.8%

Mizuho Financial Group 5.0%

KDDI Corp. 4.0%



NTT DoCoMo Inc. 1.8%

Mitsui Trust Holdings Inc. 1.8%

Resona Holdings Inc. 1.7%

Itochu Corp. 1.3%

Century Leasing System Inc. 1.2%

Total 28.2%

St ra teg y B en ch ma r k

Alpha 2.48 0.00

Beta 1.06 1.00

R 2

0.92 1.00

Sharpe Ratio 0.03 -0.11

Strategy Benchmark

% Negative Earnings 7.5 % 5.7 %

Price/Earnings - Excl Neg Earn Hist 1 Yr Wtd Med 11.1 x 19.1 x


Pr ice/Book - Hist 1 Yr Wtd Avg 0.8 x 1.2 xReturn on Equity - Hist 1 Yr Med 7.7 % 7.3 %




Consumer Discretionary 20.6 % 21.4 %Consumer Staples 6.9 7.0Energy 3.4 1.0Financials 23.6 20.8Health Care 1.6 6.0Industrials 21.9 19.6

Information Technology 2.2 10.1Materials 5.8 7.0 Telecom. Services 11.6 4.3Utilities 2.2 2.7-0.5

7.3

-1.2

-7.92.3

-4.4

2.8

2.4

-0.1

-0.8

-10 -5 0 5 10

15



As of June 30, 2013

GMO © 2013

GMO Tax-Managed International Equities StrategyInception: 8/31/98; Benchmark: MSCI EAFE Index (After Tax)

Performance1

The Tax-Managed International Equities Strategy returned +0.9% net of fees for the second quarter of 2013, while the MSCI EAFE index returned -1.0%.In the Strategy, stock selection, country allocation, currency allocation, and sector exposures all contributed to the outperformance relative to EAFE.GMO’s stock selection disciplines had mixed results in the quarter. Stocks ranked highly by either our quality-adjusted value or intrinsic value underperformed

slightly. Those with strong momentum characteristics outperformed.Selection was strongest within Consumer Discretionary, Financials, and Energy, by sector, and in Italy, the UK and Australia, by country. Individual stock positions

that were significant contributors to relative performance included overweights in telecoms KDDI (Japan) and Nippon Telephone & Telegraph (Japan), and mediacompany Mediaset (Italy). Stock positions that detracted included overweights in metals and mining company Rio Tinto (UK/Australia) and pharmaceutical AstraZeneca (UK) and an underweight position in Toyota Motor (Japan).Country allocation added value mainly from our overweight position in Japan, which outperformed, and our underweight position in Australia, which

underperformed.

Our underweight to the Australian dollar, which declined relative to the U.S. dollar, and overweight to the euro, which gained, also added value.Sector exposures (as a result of stock selection) had a positive impact, largely from our underweights to Materials and Consumer Staples, which underperformed, and

from our overweight to Telecommunication Services, which performed well.During the period, we implemented an update to the top-down country model used in this Strategy to value stock markets in aggregate. This change eliminates some

technical factors and reweights some of the valuation components. Currency valuation remains a macroeconomic component to this assessment.

Top Ten Holdings2,6


GICS Sectors


Sector Weights6 Regional Weights6

Characteristics6


2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 Market conditions, tax legislation and government regulations may limit the Strategy’s ability to utilize tax efficient strategies. After-tax returns are calculated using the

historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s taxsituation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement.

4 The Strategy’ benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Managerestimates the MSCI EAFE Index’s after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Index’s dividend yield andto its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the MSCI EAFE Index). The MSCI EAFE (Europe,

Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised ofinternational large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared orapproved this report, and has no liability hereunder.




2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 41.05 24.36 16.55 25.90 13.75 -40.71 23.71 9.38 -8.18 13.37

Benchmark 38.59 20.25 13.54 26.34 11.17 -43.38 31.78 7.75 -12.14 17.32

Total S.A. 4.1%


BP PLC 2.9%




Rio Tinto PLC 1.6%


Barclays PLC 1.5%


Total 23.4%


Alpha 3.77 0.00

Beta 0.90 1.00

R 2 0.92 1.00


St ra teg y B en ch ma rk



Pri ce/Book - Hist 1 Yr Wtd Avg 1.2 x 1.5 xDividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.3 %


Mar ket Cap - Weighted Median $Bil $22.6 $27.7


Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada

Australia/New ZealandCash 1.8

-3.7

1.3

-1.3

0.8

1.6

-0.4

-6 -3 0 3 6


Consumer Discretionary 12.1 % 11.7 %Consumer Staples 5.8 11.8Energy 14.0 7.0Financials 22.8 25.0Health Care 12.3 10.5Industrials 10.8 12.7Information Technology 2.7 4.4Materials 4.8 8.0 Telecom. Serv ices 8.6 5.2Utilities 6.1 3.82.3

3.4-3.2

-1.7

-1.91.8

-2.2

7.0

-6.0

0.4

-10 -5 0 5 10


2Q YTD One Five Ten Since

2013 2013 Year Year Year Inception

Before-Tax

Strategy 3 0.88 4 .37 17.41 -1.20 8.53 7.35

Benchmark 4 -0.99 4.10 18.62 -0.63 7.67 4.53 After-Tax

Strategy 0.88 4.37 17.08 -1.54 7.99 6.79

Benchmark -1.44 3.27 17.34 -1.30 6.73 3.76

16



As of June 30, 2013

GMO © 2013

GMO Emerging Markets StrategyInception: 12/31/93; Benchmark: S&P/IFCI Composite Index

Performance1

The Emerging Markets Strategy fell 10.3% net of fees in the second quarter, underperforming the 7.4% fall of the S&P/IFCI Composite by 2.8%. Overall, country/sector selectiondetracted 1.8% and stock selection detracted 1.1%.

June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protests incountries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise in Hungary.Sector returns were more clustered, varying from a 17.2% fall in Materials to a rise of 0.5% for Telecommunications.

Inflation in Brazil accelerated to 6.7%, rising above the central bank’s target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This galvanizedthe central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.5%.In addition, the government’s stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budget deficits. The continuing slowdown inChina, Brazil’s major trading partner, hurt sentiment as well. Our overweight in Brazilian Financials and Materials detracted from performance.

The stock market in China fell after the official gauge of manufacturing showed expansion to be at the slowest pace in four months. The Purchasing Managers’ Index in June was at50.1, down from May’s 50.8. Also impacting markets has been the realization that the higher cost of credit would lead to a growth deceleration. President Xi Jinping said officialsshouldn’t be judged solely on their record in boosting gross domestic product. In a similar vein, other reports suggest the government wants to place more importance onachievements in improving people’s livelihood, social development, and environmental quality when evaluating the performance of officials. Investors are drawing on signs such asthese to conclude that the government might accelerate its economic reform plans and move towards placing less reliance on exports and fixed asset investment. Sectors such asHealth Care and Technology, which are seen to offer earnings growth even in a lackluster economy, did well. Our underweight in Chinese Information Technology hurtperformance.

Investor sentiment in Peru was hit by the drop in copper prices, the country’s largest export. Commodity prices tumbled in response to a revised forecast from the InternationalMonetary Strategy projecting lower growth globally and in China, the world’s biggest consumer of industrial metals. The stock market was also hurt by President Humala’ssuggestion that the government might purchase shares in oil major Repsol’s local unit, which led to concerns of greater state control of the economy. Our overweight in PeruMaterials negatively impacted performance.

Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events, especially theEuropean crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued “declining trend” for interest rates. Also boosting sentiment was the Russian government’s firmer stance on dividend payments by state-owned firms. The government announced that beginning next year official approval would beneeded to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods. Our overweight in Russian Energy, the largest country/sector bet in the portfolio, detracted from performance.

The risk-off trade that dominated emerging markets most of the quarter manifested itself by the relative outperformance (it was the only sector with a positive return among the 10economic sectors) of the defensively oriented Telecommunication Services sector. Our overweight in this sector across countries such as China, Korea, and Taiwan contributed toperformance.

Stock selection was weak, particularly in Korean Financials and Taiwan Information Technology.

Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. S&P does not guarantee the

accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5



Strategy -10.28 -12.25 -0.34 -2.57 13.26 7.78Benchmark 3 -7.43 -8.43 4.19 0.30 14.65 5.80


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 70.21 26.54 40.15 29.51 37.22 -55.74 71.89 20.20 -16.95 15.19

Benchmark 57.15 28.11 35.19 35.11 40.28 -53.74 81.03 20.64 -19.03 18.89

China Mobile Ltd. 4.0%

Vale S.A. 3.6%

OAO Gazprom 3.2%

Lukoil Oil Company 2.7%

Industrial & Commercial Bank 2.2%

China Const ruct ion Bank 2.1%

Astra International 2.1%

America Movil S.A. de C.V. 2.1%

Sberbank Rossia ADS 1.9%

Banco do Brasil S.A. 1.7%

Total 25.6%


Alpha 3.24 0.00

Beta 0.99 1.00

R 2

0.93 1.00


St r at eg y Ben ch ma rk


Price/Cash Flow - Hist 1 Yr Wtd Med 5.6 x 9.2 x


Return on Equity - Hist 1 Yr Avg 13.1 % 12.5 %



Underweight/OverweightRegion Against Benchmark (%)

Developed

East Asia

Europe

Latin/South America

Mideast/Africa

South Asia

Cash 1.6

-0.2

-4.4

-4.2

9.6

-3.6

1.1

-10 -5 0 5 10



Telecom. Services 16.0 7.3Utilities 2.4 3.2-0.8

8.7

2.0

-6.4

-4.2

-1.0

1.7

7.2

-6.9

-0.2

-10 -5 0 5 10

17



As of June 30, 2013

GMO © 2013

GMO Emerging Countries StrategyInception: 9/30/97; Benchmark: S&P/IFCI Composite Index

Performance1

The Emerging Countries Strategy fell 10.7% net of fees in the second quarter, underperforming the 7.4% fall of the S&P/IFCI Composite by 3.2%. Overall, country/sectorselection detracted 2.1% and stock selection detracted 1.2%.

June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protests incountries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise in Hungary.Sector returns were more clustered, varying from a 17.1% fall in Materials to a rise of 0.7% for Telecommunications.

Inflation in Brazil accelerated to 6.7%, rising above the central bank’s target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This galvanizedthe central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expected to grow only 2.5%.In addition, the government’s stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budget deficits. The continuing slowdown inChina, Brazil’s major trading partner, hurt sentiment as well. Our overweight in Brazilian Financials and Materials detracted from performance.

The stock market in China fell after the official gauge of manufacturing showed expansion to be at the slowest pace in four months. The Purchasing Managers’ Index in June was at50.1, down from May’s 50.8. Also impacting markets has been the realization that the higher cost of credit would lead to a growth deceleration. President Xi Jinping said officialsshouldn’t be judged solely on their record in boosting gross domestic product. In a similar vein, other reports suggest the government wants to place more importance onachievements in improving people’s livelihood, social development, and environmental quality when evaluating the performance of officials. Investors are drawing on signs such asthese to conclude that the government might accelerate its economic reform plans and move towards placing less reliance on exports and fixed asset investment. Sectors such asHealth Care and Technology, which are seen to offer earnings growth even in a lackluster economy, did well. Our underweight in Chinese Information Technology hurtperformance.

Investor sentiment in Peru was hit by the drop in copper prices, the country’s largest export. Commodity prices tumbled in response to a revised forecast from the InternationalMonetary Strategy projecting lower growth globally and in China, the world’s biggest consumer of industrial metals. The stock market was also hurt by President Humala’ssuggestion that the government might purchase shares in oil major Repsol’s local unit, which led to concerns of greater state control of the economy. Our overweight in PeruMaterials negatively impacted performance.

Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events, especially theEuropean crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued “declining trend” for interest rates. Also boosting sentiment was the Russian government’s firmer stance on dividend payments by state-owned firms. The government announced that beginning next year official approval would beneeded to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods. Our overweight in Russian Energy, the largest country/sector bet in the portfolio, detracted from performance.

The risk-off trade that dominated emerging markets most of the quarter manifested itself by the relative outperformance (it was the only sector with a positive return among the 10economic sectors) of the defensively oriented Telecommunication Services sector. Our overweight in this sector across countries such as China, Korea, and Taiwan contributed toperformance.

Stock selection was weak, particularly in Korean Financials and Taiwan Information Technology.

Top Ten Holdings2,5



Sector Weights 5

GICS Sectors

Regional Weights5

Characteristics5


2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks. S&P does not guarantee the

accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.





Strategy -10.66 -13.02 -1.89 -3.46 12.18 8.17Benchmark 3 -7.43 -8.43 4.19 0.30 14.65 7.71


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 68.27 24.89 37.54 28.95 37.44 -55.81 69.96 19.89 -16.94 14.11

Benchmark 57.15 28.11 35.19 35.11 40.28 -53.74 81.03 20.64 -19.03 18.89

China Mobile Ltd. 4.1%

Vale S.A. 3.4%

OAO Gazprom 3.2%

Astra International 2.7%

Industrial & Commercial Bank 2.3%


Sberbank Rossia ADS 2.2%

China Construct ion Bank 2.2%

America Movil S.A. de C.V. 2.2%

Banco do Brasil S.A. 1.9%

Total 26.5%


Alpha 1.60 0.00

Beta 1.04 1.00

R 2

0.93 1.00


St ra teg y Ben ch ma r k










10.0

2.4

-8.1

-4.7

-1.0

2.5

7.1

-7.0

0.1

-20 -10 0 10 20


Region Against Benchmark (%)

Developed

East Asia

Europe

Latin/South America

Mideast/Africa

South Asia

Cash 2.3

0.2

-4.4

-4.2

9.3

-4.3

1.2

-10 -5 0 5 10

18



As of June 30, 2013

GMO © 2013

GMO Emerging Domestic Opportunities StrategyInception: 3/31/11; Benchmark: MSCI Emerging Markets Index

Performance1

The GMO Emerging Domestic Opportunities Strategy invests in companies whose prospects are linked to the internal growth of the world's non-developed markets. The Strategy uses fundamental analysis within a structured approach to select countries, sectors, and stocks that are the most likely to benefit from the rising demand forgoods and services in emerging markets.

June marked the end of a poor quarter for emerging markets. Softness in commodity prices and a slowdown in China are impacting sentiment in the asset class. Protestsin countries as varied as Brazil, Egypt, and Turkey further depressed markets. Country returns varied in the quarter, ranging from a 27.5% drop in Peru to a 13.2% rise inHungary. Sector returns were more clustered, varying from a 10.1% fall in Utilities to a rise of 0.7% for Telecommunications.

The Emerging Domestic Opportunities Strategy lost 4.4% in the second quarter net of fees.Inflation in Brazil accelerated to 6.7%, rising above the central bank’s target range. The central bank targets inflation of 4.5%, plus or minus 2 percentage points. This

galvanized the central bank to switch its stance and tighten monetary policy. The target interest rate is expected to go up to 9% this year even as the economy is expectedto grow only 2.5%. In addition, the government’s stimulus measures, partly a response to massive street protests in June, are raising concerns of widening budgetdeficits. The continuing slowdown in China, Brazil’s major trading partner, hurt sentiment as well. Our positions in Brazilian Health Care and Industrials detracted fromperformance.

Weakness in commodity prices hurt investor sentiment in Russia. The government lowered its growth forecast for the year to 2.4% from 3.6% as global events,

especially the European crisis, became strong headwinds for the economy. The central bank provided some cheer by suggesting a continued “declining trend” forinterest rates. Also boosting sentiment was the Russian government’s firmer stance on dividend payments by state owned firms. The government announced thatbeginning next year official approval would be needed to exempt companies from a payout equivalent to at least 25% of profit under international accounting methods.Our exposure to Russian Consumer Staples and Information Technology contributed to performance.

Investors in Thailand worried that any tapering of the Federal Reserve’s stimulus would curtail demand for emerging-market assets. In mid-June, Fed ChairmanBernanke announced that $85 billion a month of debt purchases may be trimmed this year and ended in 2014 if indicators in the US economy improved sufficiently to

warrant such action. Thailand’s finance ministry cut its 2013 growth forecast to 4% to 5%. The previous estimate was 4.8% to 5.8%. Our investments in Thai sectorssuch as Financials, Utilities, and Industrials negatively impacted performance.

Turkey saw the largest demonstrations against Prime Minister Erdogan in a decade. The unrest began over the redevelopment of a popular park but mushroomed intoprotests against what critics say is Erdogan’s increasingly authoritarian rule. Investors also grew more concerned about the expanding trade gap and the country’s relianceon short term inflows after reports of a potential tapering of the Fed stimulus. Our holdings in Turkish Consumer Discretionary and Financials hurt the portfolio.

Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global

emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not preparedor approved this report, and has no liability hereunder.



Characteristics5



Strategy -4.37 1.22 16.57 n/a n/a 6.21Benchmark 3 -7.88 -9.57 2.87 n/a n/a -6.74

Unilever PLC 5.8%


Nestle S.A. 3.8%

Copa Holdings S.A. (Cl A) 3.5%

Groupe Danone 3.1%

Abbott Laboratories 2.3%

Adv Info Services Co (Alien) 2.2%

Commerce Asset Holding 2 .0%

PepsiCo Inc. 2.0%

Yum! Brands Inc. 2.0%

Total 30.6%


Alpha 12.29 0.00

Beta 0.74 1.00

R 2

0.86 1.00

Sharpe Ratio 0.44 -0.33









ec or ga ns enc mar ra egy enc mar



1.5

-6.7

-13.1

6.6

4.3

-8.6

-10.7

22.4

6.0

-30 -15 0 15 30 GICS Sectors


2011 2012

Strategy -8.99 24.33

Benchmark -20.06 18.22



eg on ga ns enc mar

Developed

East Asia

Europe

Latin/South America

Mideast/Africa

South Asia

Cash16.9

3.3

-5.0

-9.7

0.0

-32.7

27.2

-40 -20 0 20 40

19



As of June 30, 2013

GMO © 2013

GMO Global Active Equity StrategyInception: 8/31/00; Benchmark: MSCI World Index

Performance1

The Global Active Equity Strategy outperformed the MSCI World index in the second quarter, gaining 1.7% net of fees while thebenchmark rose 0.6%.

Country selection was ahead of the benchmark. An underweight position in Australia added to returns. The market fell as itsexposure to a slowing China became a negative. An underweight position in Continental Europe also added to performance, as did anoverweight position in Japan. Despite some bumps, the Japanese index benefited from Abenomics. On the negative side, ourunderweight position in the United States hurt returns.

Sector selection lagged the index. An overweight position in Materials subtracted from performance, as did an overweight position in

Energy. An overweight position in Consumer Discretionary somewhat offset these negatives.

Stock selection was ahead of the benchmark in the quarter. Positions in the United States, Continental Europe, and Japan added toreturns. Positions in Canada hurt performance.

Top Ten Holdings2,5




2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed

markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liabilityhereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 43.07 22.00 17.66 25.69 8.64 -40.89 28.16 9.93 -8.51 13.38

Benchmark 33.11 14.72 9 .49 20.07 9 .04 -40.71 29.99 11.76 -5 .54 15.83



Lyondel lBasel l Industries 2.3%

Cisco Systems Inc. 2.3%

Citigroup Inc. 2.3%


WellPoint Inc. 2.2%

Suncor Energy Inc. 2.2%

Arch Capital Group Ltd. 2.2%

ITT Corp 2.1%

Total 23.1%


Alpha 6.40 0.00

Beta 0.95 1.00

R 2

0.85 1.00







Underweight/OverweightRegion Against Benchmark (%)

United States

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 3.1

7.7

0.6

-0.2

-1.9

4.1

-4.2

3.2

-12.5

-20 -10 0 10 20




-3.8

9.1

-1.9

2.4

-4.2

3.7

0.8

-5.2

2.5

-10 -5 0 5 10

20



As of June 30, 2013

GMO © 2013

GMO Global Focused Equity StrategyInception: 12/31/11; Benchmark: MSCI ACWI Index

Performance1

The Global Focused Equity Strategy rose 3.2% net of fees for the quarter. The Strategy’s reference benchmark, the MSCI ACWI, fell0.4%.

The largest contribution to performance came from a holding in Mediaset in Italy. Mediaset, the dominant player in the Italian TV advertising market, benefited from investors’ interest. The company has been cutting costs aggressively as it went through a historicalcollapse in advertising spending (-30% from the 2007 peak). The company is well-positioned to benefit from any macroeconomicstabilization. Its 38% stake in Mediaset España strengthens the investment case, as the Spanish TV company could benefit from evenbetter industry dynamics. We believe the valuation of the parent company does not reflect the earnings power of the franchise. Othercontributions came from Yandex, the Russian internet company, and EPL Oil & Gas in the United States.

The largest detractor from performance was Saipem in Italy, as the company shocked the market with another major downgrade to2013 earnings, which also raised doubts over its 2014 and 2015 recovery. The earnings revision relates to projects in Algeria, Mexico,and Canada in the onshore engineering and construction (E&C) division, as well as technical issues on a new build vessel for a client inthe offshore E&C area. These issues stem from legacy management, with corrective actions having been made and appropriatemargins having been bid into the current backlog. Nonetheless, credibility, both with the financial community and from an industrialstandpoint, took another big hit.

Top Ten Holdings2,5


Sector Weights5

GICS Sectors

Regional Weights5


2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised

of global developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared orapproved this report, and has no liability hereunder.

4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s 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. Risk profile data is gross.




Strategy 3.20 5.41 20.01 n/a n/a 16.77Benchmark 3 -0.40 6.05 16.57 n/a n/a 14.90


Koninklijke Philips 4.4%

DaimlerChrysler AG 4.3%

ING Groep N.V. 3.9%

Cisco Systems Inc. 3.8%

Syngenta AG 3.8%

Banco Bilbao Vizcaya 3.6%

Delta Air Lines Inc. 3.5%

Rexel S.A. 3.4%

ArcelorMittal SA 3.3%

Total 39.1%







United States

Europe ex-UK

United Kingdom

Japan

Southeast Asia

Canada


Emerging

Cash 7.7

-1.7

-1.8

-1.1

-1.7

1.3

-5.7

37.7

-34.8

-40 -20 0 20 40





-4.3

3.5

-0.8

10.3

-10.2

0.0

-2.4

-6.2

13.5

-20 -10 0 10 20


2012

Strategy 19.71

Benchmark 16.13

Risk Profile Since 12/31/114 Characteristics5


Alpha -0.28 0.00

Beta 1.21 1.00

R 2

0.85 1.00


21



As of June 30, 2013

GMO © 2013

GMO Quality StrategyInception: 2/29/04; Benchmark: S&P 500 Index

Performance1

The Quality Strategy returned +2.1% net of fees in the second quarter while developed market indices returned +2.9% for the S&P 500 index and+0.6% for the MSCI World index.

Quality stocks lagged both low quality and the market in the second quarter. During the quarter, market sentiment shifted from optimism driven by continued signs of economic recovery in the U.S. to concerns that the central bank spigot would begin to be tightened sooner rather than later.

Volatility increased, and investors ended the quarter more pessimistic than at the start.During the quarter, large cap stocks lost a little ground to the broader market, both within quality and the larger universe. Each of the components of

quality, companies with low leverage, companies with high profits, and companies with stable profitability lagged the overall market during thequarter.

Sector selection detracted from relative returns for the quarter. The best performing sector for the quarter was Financials, and the Strategy’s zero

weight in Financials was the largest relative detractor. Consumer Staples was one of the poorest performing sector in the second quarter, and theStrategy’s overweight position also hurt relative performance.Overall, stock selection was modestly positive for the quarter, with the largest relative contribution coming from stock selection within Information

Technology. The largest detractor to relative performance came from stock selection within Consumer Staples. Individual stocks adding to relativereturns included overweights to Microsoft, Cisco Systems, and Google. Stock selections detracting from relative returns included overweights inOracle, Philip Morris International, and Pfizer.

We believe that patient investors will be compensated for owning quality companies, while taking less absolute risk than the market. Based on current valuations, our conviction remains high that the Quality Strategy will continue to provide attractive risk-adjusted returns into the foreseeable future.

Top Ten Holdings2,4


Sector Weights4

Characteristics4



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P does not guarantee the accuracy,

adequacy, completeness or availability of any data or information and is not responsible for any errors or omissions from the use of such data or information.Reproduction of the data or information in any form is prohibited except with the prior written permission of S&P or its third party licensors.

4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.5 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s sensitivity to the market; R 2 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. Risk profile data is gross.

GICS Sectors

Regional Weights4



Strategy 2.11 12.85 16.44 8.97 n/a 5.60Benchmark 3 2.91 13.82 20.60 7.01 n/a 5.86




Coca-Cola Co. 4.8%

Oracle Corp. 4.4%

Pfizer Inc. 4.4%

Chevron Corp. 4.0%




Total 44.8%







Debt/Equity - Wtd Med 0.6 x 0.8 x


Alpha 1.36 0.00

Beta 0.73 1.00

R 2

0.86 1.00


U.S. Equities86.2%

Int'l. Equities12.6%

Cash1.2%





Energy 7.1 10.5

Financials 0.0 16.7




Materials 0.0 3.3



-2.4

-3.3

11.0

-8.9

15.4

-16.7

-3.4

19.0

-7.4

-20 -10 0 10 20


2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 3.54 -0.79 12.69 6.04 -24.08 19.89 5.48 11.84 11.81

Benchmark 7.39 4.91 15.80 5.49 -37.00 26 .46 15.06 2.11 16.00

22



As of June 30, 2013

GMO © 2013

GMO Global Equity StrategyInception: 7/31/96; Benchmark: MSCI World Index





2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed

markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liabilityhereunder.



Sector Weights5

GICS Sectors

Regional Weights5

Characteristics5

The Global Equity Strategy returned +2.9% net of fees from a U.S. dollar perspective this quarter, ahead of its MSCI World benchmark by 2.2%. Two of the main sources of easy money globally showed signs of slowing. Federal Reserve Chairman Ben Bernanke gave strong hints that the “tapering” down of

quantitative easing is a real possibility. Meanwhile, a credit crunch took hold of China’s formerly exuberant financial system. Stock markets were rattled from the momentMr. Bernanke used the T-word. Bond prices fell markedly and gold had an awful quarter. From the perspective of the Global Equity Strategy, however, by far the mostimportant market movements was weakness in the developed markets that are entwined one way or another with China: Australia, Canada, Hong Kong, Singapore andNew Zealand.

Japan (overweight) was the best performing market over the period, despite jitters in the second half over whether Prime Minister Abe can follow through with hisstimulus policies. Our return expectations for Japanese value stocks have sagged over the last year as the Nikkei has risen and this quarter we reduced our allocations to

Japan, though this was largely a function of a change we made to our country assessments - in keeping with our preference for contrarian positioning, both tactically andstrategically, we bolstered the role of valuation at the expense of momentum.

The Eurozone outperformed modestly, despite political flair-ups in Portugal and Greece, whilst non-Euro Europe lagged a little. We continue to focus on domestic-facing Eurozone companies trading at modest valuations. Despite the Eurozone’s well publicised failings, or rather because of them, shares are available for purchase at ahefty discount to comparable companies elsewhere, with the major difference being that the vagaries of the futures are less cautiously reflected in share prices“elsewhere”.

Our contrarian and momentum strategies both won over the period but the stand-out contribution came from our value-based stock picks, especially in financials.Owning cheap European financials helped but there was also a significant boost from owning U.S. life insurers. The ever decreasing interest rate environment of the lastfew years has not been kind to life insurers as the promised returns on many of their offerings became increasingly difficult to fund with conservative investments. As aresult, many of the life insurers traded well below book value and we have built an overweight position over the last couple of years. Expectations of an earlier end tominimal interest rates therefore underpinned strong relative performance from this group. Industry selection helped performance in aggregate.

We continue to view high quality companies in the U.S. as a safe asset priced to offer reasonable returns, especially when compared to opportunities elsewhere. Thisquarter, the high quality grouping in the U.S. struggled in a relative sense. Again, quantitative easing was at least part of the explanation – investors who had begun to

view this group as a fixed income substitute in the fleeting moments of “bondmania” earlier in the year (when 10yr government paper yielded just over 1.6% again)presumably adjusted their holdings and the high quality stocks have returned to where they were before that episode i.e. still attractively priced.

We continue to skew the strategy towards the pockets of global markets that appear to be priced for the most attractive returns – the unusual blend of conservativecompanies in the U.S. and value stocks in Europe continues to stand out. Based on our current return forecasts of +6.9% for European value stocks and +3.9% for U.S.high quality names, relative to global markets over the next three years, there is plenty more room for outperformance.


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 36.36 17.95 11.08 21.19 6.16 -38.72 24.61 10.40 -3.28 12.01

Benchmark 33.11 14.72 9 .49 20.07 9 .04 -40.71 29.99 11.76 -5 .54 15.83


Total S.A. 1.8%

BP PLC 1.6%




Chevron Corp. 1.3%

Pfizer Inc. 1.2%


ENI S.p.A. 1.1%

Total 14.3%


Alpha 2.19 0.00

Beta 0.92 1.00

R 2

0.95 1.00






Return on Equity - Hist 1 Yr Wtd Med 13.2 % 13.9 %



Underweight/Overweighteg on ga ns enc mar

North America

Europe ex-UK

United Kingdom

Japan

Pacific ex-Japan

Cash 1.6

-4.2

0.8

0.6

4.6

-3.5

-6 -3 0 3 6




Telecom. Services 6.1 3.8Utilities 3.7 3.40.3

2.3

-0.9

0.3

-2.0

0.8

-2.3

1.4

-1.4

1.6

-4 - 2 0 2 4




23



As of June 30, 2013

GMO © 2013

GMO Resources StrategyInception: 12/31/11; Benchmark: MSCI ACWI Commodity Producers Index

Performance1

The Resources Strategy returned -7.1% net of fees during the second quarter of 2013 while the MSCI ACWI Commodity Producersindex returned -7.7%.

The Resources Strategy is currently focused on stocks that should benefit from a rise in natural resource prices. That focus has theStrategy invested primarily in companies with interests in Energy, Agriculture, and Industrial Metals.

Individual stock positions that were significant contributors to relative performance included overweights in industrial Vestas WindSystems (Denmark) and electric utility Electricite de France, and an underweight position in Barrick Gold (Canada). Stocks thatdetracted from relative performance included underweight positions in U.S. energy companies ExxonMobil, Occidental Petroleum,and Chevron.

Sector exposures helped relative returns as the overweights to Industrials and Utilit ies, which outperformed, and the underweight toMaterials, which underperformed, added value. Our underweight to Energy, which outperformed, hurt somewhat.

Top Ten Holdings2,5



2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.3 The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely

published index comprised of listed large and mid capitalization commodity producers within the global developed and emerging markets. MSCI data may not bereproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s 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. Risk profile data is gross.


Sector Weights5

GICS Sectors

Country Weights5

Characteristics5



Strategy -7.05 -9.58 1.16 n/a n/a -0.82Benchmark 3 -7.70 -9.57 -2.79 n/a n/a -5.27



Earnings/Share - F'cast LT Med Growth Rate 5.0 x 5.0 x


Market Cap - Weighted Median $Bil $20.4 $41.3Dividend Yield - Hist 1 Yr Wtd Avg 4.0 % 3.5 %


Count ry Against Benchmark (%) St ra tegy Benchmark

United States 20.3 39.2 %

United Kingdom 15.6 17.7

Japan 12.7 1.9

Russia 7.0 3.7

Norway 6.6 1.0

Canada 5.7 10.8

France 4.9 3.4

Brazil 4.9 3.2

Spain 3.9 0.5

Italy 2.7 1.5

Other 14.3 17.1

Cash 1.3 0.01.3

-2.8

1.2

3.4

1.7

1.5

-5.1

5.6

3.3

10.8

-2.1

-18.9

-20 -10 0 10 20


ec or ga ns enc mar ra egy enc mar


Telecom. Services 0.0 0.0Utilities 5.5 0.05.5

0.0

-0.8

0.0

15.2

0.0

0.0

-23.0

3.2

0.0

-30 -15 0 15 30

Rio Tinto PLC 3.9%


BP PLC 3.7%

Vale S.A. 3.6%

Total S.A. 3.4%

Mitsui & Co. Ltd. 2.2%

Mitsubishi Corp. 2.2%

OAO Gazprom 2.2%

Itochu Corp. 2.1%


Total 29.2%


2012

Strategy 9.23

Benchmark 1 .96



Alpha 5.63 0.00

Beta 1.08 1.00

R 2

0.97 1.00

Sharpe Ratio -0.01 -0.33

24



As of June 30, 2013

GMO © 2013

GMO Core Plus Bond StrategyInception: 4/30/97; Benchmark: Barclays U.S. Aggregate Index

Performance1

The Core Plus Bond Strategy returned -3.6% net of fees during the second quarter, underperforming the return of its benchmark, theBarclays U.S. Aggregate index, by 1.3%. The Barclays U.S. Aggregate index posted a second consecutive quarter of total return losses,posting -2.3%. Widening spreads across all sectors and rising U.S. Treasury yields were responsible for losses.

The overall option-adjusted spread of the Barclays U.S. Aggregate index widened by five basis points during the quarter, with spreads widening by as much as 18 basis points (triple-B credit) and by as little as one basis point (triple-A Credit).

U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the quarter: the 10-year U.S. Treasury yield rose by 62 basispoints to end the quarter at 2.5%, and 2-year yields rose by 10 basis points to end the quarter at 0.3%.

Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy wereresponsible for losses during the quarter. While unable to fully offset losses, developed markets interest-rate positioning and exposuresto GMO Short Duration Collateral Fund (SDCF) and GMO World Opportunity Overlay Fund (WOOF) contributed positively.




2 The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issues having a maturity of at least oneyear and rated investment grade or higher.


4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.5 Please note portfolio yield includes the yield on the portfolio’s cash assets, for example, via the Short Duration Collateral Fund.6 Regional weights are duration adjusted.

Currency Weights4 Regional Weights4,6

Characteristics4,5




Strategy -3.61 -0.60 4.43 5.95 4.75 6.07

Benchmark 2 -2.33 -2.45 -0.69 5 .19 4 .52 5.90


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 10.96 6.59 3.95 5.76 -1.01 -18.00 20.90 13.24 9.89 9.07

Benchmark 4.10 4.34 2.43 4.33 6.97 5.24 5.93 6.54 7.84 4.22


Alpha 0.16 0.00

Beta 1.10 1.00

R 2

0.49 1.00


Modified Duration 5.3

Coupon 4.0 %

Maturity 7.4 Yrs.

Yield to Maturity 3.2 %

Emerging Cntry Debt Exp. 4 %

Underweight/Overweight Agai nst Benchmar k (%)

Europe

North America

Pacific

Emerging 4.2

-15.1

23.3

-0.2

-30 -15 0 15 30

Underweight/Overweight Agai nst Benchma rk (%)

Europe

North America

Pacific 3.0

2.5

-5.5

-6 -3 0 3 6

25



As of June 30, 2013

GMO © 2013

GMO International Bond StrategyInception: 12/31/93; Benchmark: J.P. Morgan GBI Global ex U.S. Index

Performance1

The International Bond Strategy returned -5.0% net of fees in the second quarter, underperforming the J.P. Morgan GBI Global exU.S. index return of -3.6% by 1.4%. The U.S. dollar’s rise versus many developed currencies accounted for the bulk of negative indexreturns, with the 29-basis-point rise in the yield of the index also contributing to losses.

Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were thehighest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it plannedto curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of thequarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, andSwitzerland reported total return losses of -1.4% to -2.5%.

Global yield curves (measured by the difference between 10-year and 2-year swap rates) steepened across the board during the quarter, with the U.S. and Australia steepening the most.

In currencies, exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat,and the rest down heavily. The Antipodes were most heavily hit, with Australian dollar -12.2% and New Zealand dollar -7.8%. Yencontinued its decline, -5.4%, although with sharp reversals during the quarter.

In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%,respectively. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of itsoverall recovery plan.

Developed markets currency selection and exposure to emerging country debt via the GMO Emerging Country Debt Strategy wereresponsible for losses during the quarter. While unable to fully offset losses, exposures to GMO Short Duration Collateral Fund(SDCF) and GMO World Opportunity Overlay Fund (WOOF) and developed markets interest-rate positioning contributed positively.




2 The J.P. Morgan GBI Global ex U.S. Index is an independently maintained and widely published index comprised of non-U.S. government bonds with maturities of oneyear or more.



Currency Weights

4

Regional Weights

4,6

Characteristics4,5


Coupon 3.5 %

Maturity 9.3 Yrs.



Underweight/Overweight Agai nst Benchm ar k (%)

Europe

North America

Pacific -2.2

7.5

-5.3

-10 -5 0 5 10




Strategy -4.98 -4.16 1.07 4.43 5.77 6.95

Benchmark 2 -3.55 -7.56 -6.55 2 .96 4 .94 5.56


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 26.95 14.88 -8.08 9.33 3.66 - 13.95 20.59 15.18 6.71 6.21

Benchmark 18.63 12.04 -9.24 6.84 11.30 11.39 3.94 6.78 5.91 0.85


Alpha 1.86 0.00

Beta 0.95 1.00

R 2

0.76 1.00


Underweight/Overweightga ns enc mar

Europe

North America

Pacific

Emerging 4.2

-15.9

23.6

0.3

-30 -15 0 15 30

26



As of June 30, 2013

GMO © 2013

GMO Currency Hedged International Bond StrategyInception: 9/30/94; Benchmark: J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged) + Index

Performance1

The Currency Hedged International Bond Strategy returned -2.8% net of fees in the second quarter, underperforming the J.P. Morgan

GBI Global ex Japan ex U.S. (Hedged) index total return of -1.0% by 1.8% The yield of the J.P. Morgan GBI Global ex Japan ex U.S.(Hedged) index rose by 27 basis points during the quarter.

Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were thehighest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it plannedto curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of thequarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, andSwitzerland reported total return losses of -1.4% to -2.5%.








2 The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO, comprised of (i) the J.P. Morgan Non-U.S.Government Bond Index (Hedged) through 12/31/2003 and (ii) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) (ex-Japan) thereafter.




Characteristics4,5




Strategy -2.81 -0.57 7.28 6.97 4.83 7.94

Benchmark 2 -0.99 -0.69 4.31 6.10 4.67 6.87


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 8.77 8.91 7.25 2.45 -4.00 -13.56 18.81 11.70 7.97 11.34

Benchmark 1.99 6.73 6.54 1.79 3.42 9.22 2.90 3.71 6.10 8.07


Alpha 1.61 0.00

Beta 0.97 1.00

R 2

0.37 1.00



Coupon 4.7 %

Maturity 9.4 Yrs.



Underweight/Overweight Agai nst Benchmark (%)

Europe

North America

Pacific 3.1

2.4

-5.5

-6 -3 0 3 6


Agai nst Benchma rk (%)

Europe

North America

Pacific

Emerging 4.3

-14.8

23.3

0.7

-30 -15 0 15 30

27



As of June 30, 2013

GMO © 2013

Performance1

GMO Global Bond StrategyInception: 12/31/95; Benchmark: J.P. Morgan GBI Global Index

The Global Bond Strategy returned -4.3% net of fees during the second quarter, underperforming the J.P. Morgan GBI Global index

return of -3.1% by 1.2%. The 34-basis-point rise in the yield of the index accounted for the bulk of negative index returns, with theU.S. dollar’s rise versus many developed currencies also contributing to losses.

Government bond markets fell across the board in Q2 2013. In local currency J.P. Morgan Global Bond index terms, losses were thehighest in the U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it plannedto curtail its monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of thequarter. However, yields reversed course by quarter-end when Fed officials attempted to clarify that any reduction in bond purchases

would not necessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, andSwitzerland reported total return losses of -1.4% to -2.5%.







1 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 andother income. Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February2009.

2 The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities ofone year or more.




Characteristics4,5




Strategy -4.28 -4.03 0.53 4.55 5.17 5.87

Benchmark 2 -3.10 -5.80 -4.96 3 .48 4 .85 5.17


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 21.99 12.12 -5.84 7.94 2.58 -14 .93 20.30 14.14 8 .30 6.36

Benchmark 14.51 10.10 -6.53 5.94 10.81 12.00 1.91 6.42 7.22 1.30


Alpha 1.27 0.00

Beta 0.94 1.00

R 2

0.67 1.00



Coupon 3.6 %

Maturity 8.6 Yrs.



Underweight/Overweight Agai nst Benchm ar k (%)

Europe

North America

Pacific -2.2

7.8

-5.5

-10 -5 0 5 10

Underweight/Overweight Agai nst Benchma rk (%)

Europe

North America

Pacific

Emerging 4.8

-14.9

22.9

-0.2

-30 -15 0 15 30

28



As of June 30, 2013

GMO © 2013

GMO Global Asset Allocation StrategyInception: 6/30/88; Benchmark: Blended Benchmark


2 The GMO blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consistof S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate or some like proxy for each market exposure they have. For eachunderlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCIdata may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Performance1

The Global Asset Allocation Strategy finished the quarter with a loss of 0.5% net of fees, ahead of its benchmark by 0.6%. Asset allocation contributed the majority of the outperformance.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was “taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emergingequities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. Asyou may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slightpullbacks from this historic rally, but in the end, Japan ended strongly up.

There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter,

dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield. Against this backdrop, asset allocation contributions were positive, albeit modest. The largest advantage came from being dramatically underweight traditional bonds,

broadly, and also underweight duration. The Strategy had been maintaining underweights to traditional bonds for some time, and this positioning helped given the largemovement in yields. We maintained large “dry powder” holdings in Alpha Only Strategy and Alternative Asset Opportunity Strategy, both of which outperformed thebond markets. Within equities, the decision to overweight Japan, allocate to the Risk Premium Strategy, and to largely hedge non-U.S. dollar exposure all helped.

Implementation’s impact this quarter was negligible.



Strategy Compos ition3

Strategy Weights Relative to Benchmark3

Benchmark Composition(65% MSCI ACWI / 35% Barclays U.S. Aggregate)

* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities wereinvested in securities that GMO considers to be of high quality.** Cash & Cash Equivalents includes World Opportunity Overlay and othersecurities.



Strategy -0.46 3.23 9.89 5.75 7.92 9.77Benchmark 2 -1.07 3.05 10.29 3.88 6.25 8.00


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 28.47 13.55 9.06 12.30 7.94 -20.83 24.15 7.93 2.13 11.11

Benchmark 21.99 10.26 5 .99 13.41 9 .26 -27.72 24.14 11.05 -1 .80 12.13

U.S. Equities31.6%

InternationalEquities26.1%

EmergingEquities7.4%

Fixed Income35.0%

U.S. FlexibleEquities*

23.1%

InternationalIntrinsic Value

18.9%

InternationalGrowth Equity

1.8%

Currency HedgedInternational Equity

5.4%FlexibleEquities

0.7%

RiskPremium

2.5%

EmergingMarkets8.7%

DomesticBond0.8%

StrategicFixed Income

6.1%

EmergingCountry Debt

2.4%

Debt Opportunities2.6%

Cash & Cash

Equivalents**0.4%

Alpha Only15.9%

AlternativeAsset Opportunity

7.2%

SpecialSituations

3.5%

-8.5%

+3.2% +1.3%

-23.1%

+27.0%

-30%

-15%

0%

15%

30%

U.S. Equities Int'l. Equities EmergingEquities

Fixed Income Other


Alpha 3.20 0.00

Beta 0.78 1.00

R 2

0.86 1.00


29



As of June 30, 2013

GMO © 2013

GMO Real Return Global Balanced Asset Allocation StrategyInception: 6/30/04; Benchmark: Blended Benchmark


2 The GMO blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for eachmarket exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO andmaintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved thisreport, and has no liability hereunder.



Performance1

The Real Return Global Balanced Asset Allocation Strategy returned +0.2% net of fees in the quarter, outperforming its benchmark by 0.3%. Asset allocation decisionsadded to performance, while implementation effects were negligible.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was “taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emergingequities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. Asyou may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slightpullbacks from this historic rally, but in the end, Japan ended strongly up.

There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it.

The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis points during the quarter,dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield.

Against this backdrop, asset allocation contributions were positive, albeit modest. The largest advantage came from being dramatically underweight traditional bonds,broadly, and also underweight duration. The strategy had been maintaining underweights to traditional bonds for some time, and this positioning helped given the largemovement in yields. Within equities, the decision to overweight Japan, allocate to the Risk Premium Strategy, and to largely hedge non-U.S. dollar exposure all helped.

Implementation's impact this quarter was negligible.



Strategy Composition3


Benchmark Composition

(60% MSCI World / 20% Citigroup 3-Mo. T-Bill / 20% Barclays U.S. Agg.)



Strategy 0.21 5.04 11.33 5.31 n/a 6.94Benchmark 2 -0.07 4.52 10.72 3.19 n/a 4.88


Alpha 4.32 0.00

Beta 0.62 1.00

R 2

0.78 1.00


* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities wereinvested in securities that GMO considers to be of high quality.** Cash & Cash Equivalents includes SOAF FI and other securities.


2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 1 0.11 8.09 13.26 7.63 -11.36 13.02 5.00 3.16 10.65

Benchmark 7.45 5.80 13.69 7 .87 -25.17 19.17 8.94 -1.76 10.42

U.S. Equities32.9%


Fixed Income20.0%

Absolute Return20.0%


24.0%


19.4%


2.4%


5.2%FlexibleEquities

1.3%

RiskPremium

2.3%

EmergingMarkets1.3%

DomesticBond0.3%


3.5%


1.8%


Cash & CashEquivalents**

0.2%

Alpha Only3.1%

SpecialSituations

0.5%

Multi-Strategy32.0%

-8.9%

+4.8%

-12.0%

+15.8%

-20%

-10%

0%

10%

20%

U.S. Equities Int'l. Equities Fixed Income Absolute Return

30



As of June 30, 2013

GMO © 2013

GMO Benchmark-Free Allocation StrategyInception: 7/31/01; Benchmark: CPI Index

1 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. The performance of the Benchmark-Free Allocation Strategy appearing in the chart above shows the past performance of the Benchmark-Free Allocation Composite (the“Composite”) which consists of accounts and/or mutual funds managed by Grantham, Mayo, Van Otterloo & Co. LLC (“GMO”). The Composite is comprised of thosefee-paying accounts under discretionary management by GMO that have investment objectives, policies and strategies substantially similar to the other accounts includedin the Composite. Prior to January 1, 2012, the accounts in the Composite served as the principal component (approximately 80%) of a broader real return strategy**(which has its own GIPS composite) pursued predominantly by separate account clients of GMO. The Benchmark-Free Allocation Strategy is not expected to differsignificantly from that component of the broader real return strategy. It is expected that the strategy’s investment exposures will not differ significantly from theallocations the strategy would have had as a component of the broader real return strategy, although the strategy will likely allocate a greater percentage of its assets to thestrategies that have cash-like benchmarks. Not all of the accounts included in the Composite may be mutual funds; however, all the accounts have invested their assets inother mutual funds. All of the accounts that make up the Composite have been managed by the Asset Allocation Division. Although the mutual funds and the clientaccounts comprising the Composite have substantially similar investment objectives and strategies, you should not assume that the mutual funds or the client accounts willachieve the same performance as the other accounts in the Composite. The client accounts in the Composite can change from time to time. The performance of eachaccount may differ based on client specific limitations and/or restrictions and different weightings among the mutual funds. For the broader real return strategy as of3/31/13: Total Returns 1Q = 4.06%, YTD = 4.06%. Average Annual Total Return: One Year = 8.59%, Five Year = 5.77%, Ten Year = 11.00%, Since Inception =10.02%. Annual Total Return: 2003 = 34.20%, 2004 = 15.29%, 2005 = 13.54%, 2006 = 11.01%, 2007 = 9.99%, 2008 = -7.19%, 2009 = 14.92%, 2010 = 3.02%, 2011 =4.22% and 2012 = 9.42%.

2 The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is published monthly by the U.S. government as an indicator of changes in price levels (orinflation) paid by urban consumers for a representative basket of goods and services.

3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.4 Std. Deviation is a measure of the volatility of a portfolio’s 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 gross.

Performance1

The Benchmark-Free Allocation Strategy was flat on a net of fees basis in the quarter.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was“taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest

rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening Chinasent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negativequarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities hadbeen on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks fromthis historic rally, but in the end, Japan ended strongly up.


The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis pointsduring the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield.

Against this largely negative backdrop, the Strategy had a positive, albeit tiny, absolute return for the quarter. The equity exposure of roughly 54% was essentially a wash. Quality stocks, international value, and our Japanese equity exposure posted positive returns, but those were largely offset by strongly negative performance from our emerging equity exposure. Emerging country debt exposure detracted roughly 0.1% to returns as creditspreads widened. A bright spot was the positive contributions from Alpha Only and Alternative Asset Opportunity, which were able to contribute0.1% and 0.2%, respectively. The Alternative Asset Opportunity Strategy operates in the four major asset classes – stocks, bonds, commodities, andcurrencies – and was able to navigate some pretty tough waters this quarter.



Absolute Strategy Weights 3 Strategy Composition3



Strategy -0.04 4.14 9.99 6.70 10.77 11.23Benchmark 2 0.26 0.85 1.89 1.39 2.41 2.31


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 44.39 17.96 16.32 12 .75 10.93 -12.07 19.86 4.58 3.60 10.35

Benchmark 1.82 3.35 3.45 2.58 4.12 0.16 2.86 1.25 2.95 1.87

Strategy

Std. Deviation 8.44

Sharpe Ratio 1.24

Drawdown

(10/31/07-2/28/09)-18.46

Global Quality20.0%

International ex-J apan(Hedged)

13.0%

J apaneseEquities (Hedged)

5.0%

EmergingEquities10.0%

Equity RiskPremium

5.0%

ABS &Credit6.0%


3.0%

Alpha Only24.0%


13.0%

Cash & Collateral1.0%

+53.0%

+9.0%

+37.0%

+1.0%0%

20%

40%

60%

Equities Fixed Income Absolute Return Cash

31



As of June 30, 2013

GMO © 2013

GMO Global Allocation Absolute Return StrategyInception: 7/31/01; Benchmark: CPI Plus 5% Index


2 The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All Urban Consumers US All Items which ispublished monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods andservices. The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the CPI Index.

3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.4 Std. Deviation is a measure of the volatility of a portfolio’s 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 gross.

Performance1

The Global Allocation Absolute Return Strategy returned -0.5% net of fees in the quarter.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operativephrase was “taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries inEurope and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, givenbullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up.


The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and highyield.

The equity exposure of roughly 54% was essentially a wash. Quality stocks, international value, and our Japanese equity exposureposted positive returns, but those were largely offset by strongly negative performance from our emerging equity exposure. Emerging country debt exposure detracted from returns as credit spreads widened.

Absolute return oriented strategies were a mixed bag this quarter. Alpha Only and Alternative Asset Opportunity were able tocontribute positive returns. Alternative Asset Opportunity operates in the four major asset classes – stocks, bonds, commodities, andcurrencies – and was able to navigate some pretty tough waters this quarter. Yet, the Multi-Strategy allocation essentially delivered aflat return for the quarter.



Absolute Strategy Weights 3 Strategy Composition3



Strategy -0.49 3.55 9.00 5.88 9.45 9.76Benchmark 2 1.49 3.34 6.98 6.45 7.52 7.42


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 34.20 15.29 13.54 11.01 9.99 -7.19 14.92 3.02 4.22 9.42

Benchmark 6.90 8.51 8.61 7.70 9.31 5.16 7.99 6.30 8.08 6.95

Strategy

Std. Deviation 6.84

Sharpe Ratio 1.34

Drawdown

(10/31/07-2/28/09)-11.22

Quality19.7%

Currency HedgedInt'l. Equity18.3%

FlexibleEquities

1.2%Risk

Premium4.8%

EmergingMarkets8.7%


2.9%


1.9%



6.2%

Alpha Only9.4%

SpecialSituations

3.6%

Multi-Strategy20.0%

+52.6%

+8.1%

+39.2%

0%

20%

40%

60%

Equities Fixed Income Absolute Return

32



As of June 30, 2013

GMO © 2013

Performance1

GMO Real Return Asset Allocation StrategyInception: 12/31/09; Benchmark: CPI Index


2 The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (orinflation) paid by urban consumers for a representative basket of goods and services.

3 Std. Deviation is a measure of the volatility of a portfolio’s return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negativecumulative portfolio return from peak to trough. Risk profile data is gross.


The Real Return Asset Allocation Strategy was flat net of fees in the second quarter.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operativephrase was “taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries inEurope and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last nine months, givenbullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to

120 basis points during the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and highyield.

Against this backdrop, the strategy was able to post positive, albeit modest, returns. Long positions in quality and international stocks were additive. Currency positions, specifically Aussie dollar shorts, were also additive. But net long positions in emerging (net of theChina short) marred returns. Multi-Strategy added essentially no return this quarter.


Equities4 Inflation / Deflation Themes4

Inflation

Currencies 4 Absolute Return 4


Exposure (%)

New Zealand 10 Yr. BondsDividend Swaps

Japanese Inflation 2

5

6

-10 -5 0 5 10

Expo sur e (%)

Multi-Strategy ABS/CreditCredit Opportunities 3

6

20

-30 -15 0 15 30

Exposure (%)

Quality International EquitiesEmerging EquitiesRisk Premium

Japanese EquitiesChina ShortS&P 500 Beta HedgeS&P 500 ex-Finanials -40

-10

-3

2

5

13

14

50

-60 -30 0 30 60

Exposure (%)

EuroNew Zealand DollarHong Kong Dollar

Australian DollarCanadian Dollar

Swiss Franc-5

-3

-2

-2

-1

5

-6 -3 0 3 6

Total Retur n Net of Fees (%) Aver age Annual Total Retur n (%)


Strategy 0.02 3.34 7.91 n/a n/a -0.34Benchmark 2 0.26 0.85 1.89 n/a n/a 1.97


2010 2011 2012

Str ategy -11.89 1.87 6.53

Benchmark 1.25 2.95 1.87

Strategy

Std. Deviation 6.22

Sharpe Ratio 0.15

Drawdown

(12/31/09-6/30/10)-12.35

33



As of June 30, 2013

GMO © 2013

GMO Global All Country Equity Allocation StrategyInception: 12/31/93; Benchmark: Blended Benchmark


2 The GMO blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on amonthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has noliability hereunder.



Performance1

The Global All Country Equity Allocation Strategy returned -0.1% net of fees for the quarter, outperforming its benchmark by 0.2%. Asset allocationaccounted for the majority of the outperformance.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was“taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interestrate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening Chinasent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negativequarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities hadbeen on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks fromthis historic rally, but in the end, Japan ended strongly up.

There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it. Asset allocation decisions added modestly to performance. Our currency decisions helped this quarter, as the use of the currency-hedged version of

our international strategy and the hedging within Flexible Equities protected returns from weakening currencies outside of the U.S. Japanese equity exposure, gained through Flexible Equities, added modestly as Japan outperformed many of the other international markets.

Implementation's impact was negligible.






(MSCI ACWI)





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 38.75 17.62 12 .51 18 .87 11 .12 -31.41 24.19 10.12 -1 .29 14 .74

Benchmark 33 .76 14.86 9 .95 20.34 10.38 -41.82 34.45 12.94 -6 .87 16.34


Alpha 3.39 0.00

Beta 0.82 1.00

R 2

0.91 1.00


* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities wereinvested in securities that GMO considers to be of high quality.

U.S. Equities48.6%

DevelopedInt'l. Equities

40.1%

Emerging Markets11.3%

U.S. Core3.5%


39.7%


27.0%

InternationalGrowth E quity

8.0%


7.8%

FlexibleEquities

0.5%

EmergingMarkets13.5%

-5.4%

+3.2% +2.2%

-10%

-5%

0%

5%

10%

U.S. Equities Developed Int'l.Equities

Emerging Equities

34



As of June 30, 2013

GMO © 2013

GMO Global Developed Equity Allocation StrategyInception: 3/31/87; Benchmark: Blended Benchmark


2 The GMO blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlyingaccount benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data maynot be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Performance1

The Global Developed Equity Allocation Strategy returned +1.5% net of fees for the quarter, outperforming its benchmark by 0.8%.Implementation accounted for the majority of the outperformance.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was“taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interestrate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening Chinasent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negativequarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had

been on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks fromthis historic rally, but in the end, Japan ended strongly up.


Asset allocation contributions were negligible this quarter. The decision to overweight Japan was largely offset by the decision to hold an out-of-benchmark allocation to emerging equities, which were down significantly in the quarter.

Implementation added to performance, as the International Intrinsic Value Strategy outperformed its benchmark by over 130 basis points, and theInternational Growth Equity Strategy beat its benchmark by over 80 basis points.






(MSCI World Index)





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 38.64 17.36 12.26 20.22 9.69 -33.19 20.55 9.25 -0.40 14.14

Benchmark 32.32 13.64 9 .42 20.05 9 .02 -40.70 29.97 11.77 -5 .52 15.84


Alpha 3.40 0.00

Beta0.84 1.00R

20.88 1.00


* As of 7/31/12, substantially all of the assets of U.S. Flexible Equities wereinvested in securities that GMO considers to be of high quality.

U.S. Core5.1%


44.7%


32.3%

InternationalGrowth Equi ty

8.0%


7.7%

FlexibleEquities

0.5%

EmergingMarkets1.7%

U.S. Equities54.8%


-5.0%

+5.0%

-6%

-3%

0%

3%

6%

U.S. Equities International Equities

35



As of June 30, 2013

GMO © 2013

GMO International All Country Equity Allocation StrategyInception: 2/28/94; Benchmark: Blended Benchmark


2 The GMO blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI ACWI (All Country World) ex USA Index (MSCI Standard Index Series, net of withholding tax) or some like proxy for each marketexposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO andmaintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved thisreport, and has no liability hereunder.



Performance1

The International All Country Equity Allocation Strategy returned -2.5% net of fees for the quarter, outperforming its benchmark by 0.5%. Asset allocation was responsible for essentially all of the outperformance.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operativephrase was “taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interest rate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries inEurope and the signs of a weakening China sent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negative quarter overall. Of note as well was the performance of Japanese equities. Asyou may recall, Japanese equities had been on a tear over the last nine months, given bullish strategies proposed by the Japan centralbank. During May, there were slight pullbacks from this historic rally, but in the end, Japan ended strongly up.


Asset allocation contributions were positive. The decision to overweight Japan (and partially hedge the yen) and international value was helpful. Some of those positives were offset by the decision to overweight emerging, which had a tough quarter.

Implementation effects were negligible.






(MSCI ACWI ex USA Index)



Strategy -2.54 -0.39 13.12 -0.63 9.40 7.33Benchmark 2 -3.02 0.07 13.79 -0.81 8.61 5.42


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 48 .86 24.06 19.03 25.91 17 .39 -40 .96 27.77 12.74 -11.31 16 .82

Benchmark 42.77 21.11 16.71 26.94 16.08 -45.26 40.16 10.83 -13.63 16.90


Alpha 2.93 0.00

Beta 0.92 1.00

R 2

0.94 1.00

Sharpe Ratio 0.31 0.14-1.8%

+1.8%

-4%

-2%

0%

2%

4%

Developed Int'l. Equities Emerging Equities

DevelopedInt'l.

78.0%



53.9%


21.9%

Flexible

Equities0.4%

EmergingMarkets23.8%

36



As of June 30, 2013

GMO © 2013

GMO International Developed Equity Allocation StrategyInception: 11/30/91; Benchmark: Blended Benchmark


2 The GMO blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the accountbenchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlyingaccount benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data maynot be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.



Performance1

The International Developed Equity Allocation Strategy returned 0.0% net of fees for the quarter, outperforming its benchmark by 1.0%.Implementation accounted for the majority of this outperformance.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was“taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interestrate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening Chinasent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negativequarter overall. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities had been on a tear over the last ninemonths, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from this historic rally, but in the end,

Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it.

Asset allocation's impact was negligible, as the decision to overweight Japan and tilt toward international value, which performed well, was offset by the decision to overweight emerging equities, which had a difficult quarter.

Implementation effects were positive, as the International Intrinsic Value and International Growth Equity Strategies beat their benchmarks by over130 basis points and 80 basis points, respectively.



Strategy Compos ition3 Benchmark Composition

(MSCI EAFE Index)





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 46 .65 24.89 15.56 25.50 12.69 -38 .39 19 .84 10.58 -9 .45 17.09

Benchmark 40 .04 21.17 14.41 26.62 11.58 -43.33 32.16 7 .93 -12 .14 17.32


Alpha 3.11 0.00Beta 0.87 1.00

R 2

0.90 1.00



67.2%


29.6%

FlexibleEquities

1.4%

EmergingMarkets1.9%

37



As of June 30, 2013

GMO © 2013

GMO U.S. Equity Allocation StrategyInception: 2/28/89; Benchmark: Blended Benchmark


2 The GMO blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist ofS&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will varyslightly. The index is internally blended by GMO and maintained on a monthly basis. Russell Investments is the source and owner of the Russell index data contained orreflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosurecopying, dissemination or redistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the formatting or configuration of thismaterial or for any inaccuracy in GMO’s presentation thereof.



Performance1

The U.S. Equity Allocation Strategy finished the quarter with a return of +3.0% net of fees, outperforming its benchmark by 0.1%.Implementation accounted for the majority of this outperformance.

Asset allocation decisions detracted slightly, as the quality bias lagged slightly. Implementation helped balance performance out, withthe U.S. Core Equity Strategy and the U.S. Small/Mid Cap Strategy outperforming their benchmarks by 0.7% and 0.9%, respectively.






(Russell 3000 Index)





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 29.99 10.74 3.68 9.93 2.25 -27.87 20.54 7.43 9.91 12.25

Benchmark 29 .69 11.45 5.53 15.71 5.39 - 37.15 27.46 16.26 1.58 16.21


Alpha 2.27 0.00

Beta 0.84 1.00R

20.92 1.00


+15.4%

-15.4%-20%

-10%

0%

10%

20%

Large Cap Small/Mid Cap

Large Cap82.1%

Small/Mid Cap17.9%

U.S. Core

47.6%U.S. Flexible

Equities49.9%

Small/MidCap2.5%

38



As of June 30, 2013

GMO © 2013

GMO Tax-Managed Global Balanced StrategyInception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index


2 The GMO Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI standardIndex Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not be reproduced or used for any other purpose. MSCI provides no

warranties, has not prepared or approved this report, and has no liability hereunder.3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s sensitivity to the market; R 2 is a measure of how well a portfolio tracks the market;


Performance1

The Tax-Managed Global Balanced Strategy returned -1.3% net of fees for the quarter, underperforming its benchmark by 0.1%. Asset allocationdetracted from performance, while implementation was positive.

Ambiguous commentary from the Fed chairman caused risk markets to largely swoon the last month of the quarter. The operative phrase was“taper,” but it sent shock waves through both equity and fixed income markets, as the commitment to loose monetary policy and QE-type interestrate manipulation seemed to be on the wane. This, combined with new, or newly-resurfacing, worries in Europe and the signs of a weakening Chinasent the remainder of global equity markets into a tizzy. Emerging equities lost over 6% in June alone. EAFE lost 3.6% in June, capping a negativequarter overall. While the S&P 500 had a small hiccup in June, the damage was largely contained during the quarter, and the U.S. stood out by posting a solid return of +2.9% for the quarter. Of note as well was the performance of Japanese equities. As you may recall, Japanese equities hadbeen on a tear over the last nine months, given bullish strategies proposed by the Japan central bank. During May, there were slight pullbacks from

this historic rally, but in the end, Japan ended strongly up. There was a flight to the U.S. dollar, as virtually every major developed and emerging currency weakened against it.

The real story this quarter was in some dramatic moves in the fixed income markets. Real yields on 10-year treasuries moved close to 120 basis pointsduring the quarter, dramatic by any standards. Credit spreads also widened, a blow to emerging market debt and high yield.

Asset allocation contributions were negative. The decision to underweight U.S. equities while overweighting non-U.S. equities hurt relativeperformance. The decision to be overweight emerging also acted as a headwind.

Implementation contributed positively this quarter, with Tax Managed International Equities beating its benchmark by over 300 basis points.






(GMO Tax-Managed Global Balanced Index)





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Str ategy 23.15 12.73 9.91 12.08 7.16 -14.95 14.29 6.88 1.34 9.71

Benchmark 21.82 10.02 5.91 12.95 7.12 - 25.89 23.90 9.99 -0.27 11.47


Alpha 3.44 0.00

Beta 0.72 1.00

R 2 0.88 1.00


U.S. Equities29.2%



Fixed Income40.0%

U.S. Equities20.3%


RiskPremium

2.6%

EmergingEquities

8.2%


1.9%

MunicipalBonds28.4%

Multi-Strategy13.5%

-8.9%

+3.8% +1.4%

-9.7%

+13.5%

-20%-10%

0%

10%

20%

U.S. Equities Int'l. Equities EmergingMarkets

Fixed Income AbsoluteReturn

39



As of June 30, 2013

GMO © 2013

GMO Total Equities StrategyInception: 9/30/00; Benchmark: Citigroup 3-Month T-Bill Index


2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.3 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy. 4 Total exposure to downside equity moves, excluding effect of hedges and short positions, as a percent of total net assets.

Performance1

Global equities posted muted absolute returns during the second quarter amid concerns about matters including growth in China, theEuropean economic situation, Japanese equity market performance, and the U.S. Fed’s bond purchase program. U.S. equities generally fared better than their non-U.S. peers during the quarter. The S&P 500 posted a +2.9% return for the quarter, as compared to -1.0%for the MSCI EAFE index and -7.9% for the MSCI Emerging Markets index.

The MSCI ACWI returned -0.4% for the quarter. The Total Equities Strategy returned +0.9% net of fees for the period, with themajority of the positive absolute result driven by exposure to equities.

Our equities strategies posted a +1.5% return for the period, a result that led the MSCI ACWI index.

Our volatility strategies posted a +0.2% return for the quarter while merger arbitrage delivered a -0.3% return for the period.


Exposure3, 4





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy -5.61 1.07 3.56 -1.90 -5.37 14.26 -7.47 3.51 0.40 8.64

Benchmark 1.07 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07

By Strategy (%)

Merger Arbitrage

Volatil ity

Quantitative Equity

Fundamental Equit y

Other

Total 93.9

0.0

14.8

21.3

25.0

32.8

By Regi on (%)

Non-U.S.

U.S.

Total 93.9

37.4

56.5

40



As of June 30, 2013

GMO © 2013

GMO Tactical Opportunities StrategyInception: 9/30/04; Benchmark: Citigroup 3-Month T-Bill Index


2 The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.3 Std. Deviation is a measure of the volatility of a portfolio’s 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 gross.4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.

Exposure information is not normalized and shown as a percent of total net assets.

Performance1

The Tactical Opportunities Strategy fell 3.5% net of fees in the second quarter of 2013.

The positive absolute returns from the long portfolio were more than offset by the negative returns of the short portfolio.

During the quarter, market sentiment shifted from optimism driven by continued signs of economic recovery in the U.S. to concernsthat the central bank spigot would begin to be tightened sooner rather than later. Volatility increased, and investors ended the quartermore pessimistic than at the start.

Large cap stocks lost a little ground to the market, defined here as S&P 500, both within quality and the larger universe. Each of thecomponents of quality – companies with low leverage, high profits, and stable profitability – lagged the overall market during thequarter.

In the long portfolio the largest contributing sector was Information Technology. Individual stocks adding to returns includedMicrosoft, Cisco Systems, and Google. The long portfolio’s only detracting sector in the quarter was Consumer Staples, with Philip

Morris International contributing to the slight negative return.

In the short portfolio Energy and Materials were both absolute contributing sectors. Financials and Consumer Discretionary stockscaused a majority of the absolute negative return.

The Strategy’s average net exposure for the quarter was neutral.



Characteristics4 Sector Exposure4

Regional Weights4

GICS Sectors



Strategy -3.47 -1.76 -15.17 -10.13 n/a -6.30Benchmark 2 0.02 0.03 0.08 0.23 n/a 1.72

Strategy

Std. Deviation 19.01

Sharpe Ratio -0.35

Drawdown

(11/30/08-3/31/11)-60.54

Long Shor t

P/E - Ex Neg Earn Hist 1 Yr Wtd Med 18.2 x 21.5 x

% Negative Ear nings 2.8 % 58.3 %



Return on Equity - Hist 1 Yr Med 19.8 % 1.9 %Market Cap - Weighted Median $Bil $142.7 $6.3

Debt/Equity – Wtd Med 0.7 x 1.3 x

% Long/Short 132 % 135 %

Sector Net Wei ght Long Shor t



Energy 9.4 18.5

Financials 0.0 42.0




Materials 0.0 6.3



-2.2

-6.3

21.2

-10.218.4

-42.0

-9.1

38.8

-10.7

-60 -30 0 30 60Regi on Net Wei ght

United States

Non-United States 10.1

-13.1

-20 -10 0 10 20


2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy -7.57 -13.24 -1.65 17.87 36.52 -41.60 -25.31 27.51 -18.36

Benchmark 0.44 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07

41



As of June 30, 2013

GMO © 2013

GMO Currency Hedge StrategyInception: 7/31/03; Benchmark: J.P. Morgan U.S. 3 Month Cash Index


2 The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S. dollar Euro-deposits. The durationof the Index is generally 90 days.



Performance1

In the second quarter of 2013, the Currency Hedge Strategy returned -12.2% net of fees, compared to its benchmark, the J.P. MorganU.S. 3 Month Cash index, which gained 0.1%. This was the worst quarterly performance since the Lehman crisis.

Exchange rates were volatile during the quarter, with the euro ending on top, +1.2%, Swiss franc and sterling nearly flat, and the restdown heavily. The Antipodes were most heavily hit, with Australian dollar at -12.2% and New Zealand dollar at -7.8%. Yencontinued its decline, -5.4%, although with sharp reversals during the quarter.

In policy actions, the Reserve Bank of Australia and the ECB each lowered policy interest rates by 25 basis points, to 2.75% and 0.5%,respectively. In the U.S., the Federal Reserve telegraphed intentions to taper bond purchases, leading to a sharp increase in U.S. bondyields. The Bank of Japan refrained from further monetary policy actions as the administration revealed further details of its overallrecovery plan.

In performance attribution, but for the yen short, the remaining cross-market positions contributed negatively. Opportunisticpositions partially offset losses.



Performance Attribut ion4 Currency Weights4



Strategy -12.19 -7.21 -6.52 -4.79 n/a -0.11Benchmark 2 0.10 0.21 0.56 1.08 n/a 2.38

Strategy


Sharpe Ratio 0.00

Drawdown

(6/30/07-12/31/08)-41.19

Net Contri buti on (%)

Europe

North America

Asia PacificCash Mgmt/Fees/Other 2.9

-5.6

-2.7

-6.9

-10 -5 0 5 10


2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 5.70 2.93 8.94 13.60 -15.57 -28.70 23.08 3.17 1.25 2.31

Benchmark 0.50 1.48 3.37 5.25 5.70 4.12 1.45 0.45 0.44 0.82

Net Weig ht

Europe

North America

Asia Pacific 30.6

25.7

-56.1

-60 -30 0 30 60

42



As of June 30, 2013

GMO © 2013





Performance1

The GMO Fixed Income Hedge Strategy returned -2.2% net of fees in the second quarter of 2013, underperforming its benchmark,the J.P. Morgan U.S. 3 Month Cash index, by 2.3%. Cross-market strategies weighed on performance during the quarter, followed by losses from yield curve positioning and opportunistic strategies. Gains from tactical duration positions partly offset losses.

Government bond markets fell across the board in the second quarter. In local currency bond index terms, losses were the highest inthe U.K. (-3.9%), its biggest quarterly loss since Q2 1994, and the lowest in Australia (-0.2%). Fed statements that it planned to curtailits monetary stimulus program given improving economic data prompted a sell-off for Treasuries (-2.3%) during much of the quarter.However, yields reversed course by quarter end when Fed officials attempted to clarify that any reduction in bond purchases would notnecessarily mean a shift to a quantitative tightening policy. In other bond markets, Canada, eurozone, Sweden, Japan, and Switzerlandreported total return losses of -1.4% to -2.5%.


In policy actions, the European Central Bank and Reserve Bank of Australia each cut rates by 25 basis points, to 0.5% and 3.0%,respectively.

The cross-market strategy posted losses during the quarter, given long positions in Canada, the U.S., and Sweden, where yields rose.Short positions in the U.K. and Japan, where yields also rose, added value but were unable to fully offset losses.

The integrated yield curve slope strategy also detracted during the quarter, mostly given steepening yield curves in the U.S. andSwitzerland. The Strategy’s concentrated position in Treasury STRIPS vs. LIBOR detracted during the quarter, as the spread between Treasuries and LIBOR widened.

Finally, Tactical Duration Overlay positions added value during the quarter; this strategy was short U.S. duration during a sell-off inU.S. Treasuries.



Performance Attribut ion4 Country Weights4

GMO Fixed Income Hedge StrategyInception: 8/31/05; Benchmark: J.P. Morgan U.S. 3 Month Cash Index



Strategy -2.18 -0.53 6.92 1.31 n/a -0.70Benchmark 2 0.10 0.21 0.56 1.08 n/a 2.50

Strategy


Sharpe Ratio -0.09

Drawdown

(5/31/06-1/31/09)-48.54

Strategy Net Contr i buti on (%)

Cross-Market

Tactical Durat ion Overlay

Yield Curve

Swaption Volatility

STRIPS vs. LIBOR

Other Opportunistic

Cash Mgmt/ABS/Fees/Other -1.3

-0.1

0.0

0.0

-0.2

0.6

-1.3

-2 -1 0 1 2

Net Weig ht (%)

Europe

North America

Asia Pacific -132.8

216.4

-53.9

-400 -200 0 200 400


2005 2006 2007 2008 2009 2010 2011 2012

Strategy 1.45 -4.61 -23.39 -25.45 21.63 11.03 15.85 10.07

Benchmark 1.32 5.25 5.70 4.12 1.45 0.45 0.44 0.82

43



As of June 30, 2013

GMO © 2013

GMO Emerging Currency Hedge StrategyInception: 3/31/06; Benchmark: J.P. Morgan U.S. 3 Month Cash Index





Performance1

In the second quarter of 2013, the Emerging Currency Hedge Strategy returned -3.6% net of fees while the Strategy’s benchmark, the J.P. Morgan U.S. 3 Month Cash index, returned +0.1%.

The rapid rise in U.S. interest rates during the quarter drained support for most foreign currencies. Among the main emerging currencies, all but six fell in spot terms. Latin currencies were uniformly weak, while CEEMEA and Asia were more mixed. InCEEMEA, Hungary stood out, rising 4.6% in spot terms and 5.7% including carry, while Czech gained 0.4% in spot or 0.3% total.

In Asia, China guided the renminbi 1.2% higher which, coupled with the forward discount, translated into +1.4% total return. Withdeclines elsewhere, particularly in Japan and the rest of non-Japan Asia, China’s multilateral real exchange rate keeps hitting all-timehighs as a result. Near quarter’s end, lack of CNY strength relative to the dollar, coupled with the prospect for two-way CNY movements under the announced liberalization, began causing an unwind of CNY carry trades. With spot more or less pegged, thisresulted in a spike in local interest rates, which the PBOC only partially counteracted.

A number of countries took measures to stem currency weakness. Brazil removed its IOF tax. Indonesia raised interest rates twice. Turkey added “Additional Monetary Tightening.” Several countries intervened selling dollars. Net/net this tightens financialconditions locally, supporting the currencies.

Strategy currency losses included longs across Latin America as well as Russia, Turkey, South Africa, and India, notably. Partially offsetting losses were the shorts in Philippine peso, Singapore dollar, as well as longs in Hungary, Romania, and Indonesia.





Strategy -3.60 -3.43 0.87 0.35 n/a 2.43Benchmark 2 0.10 0.21 0.56 1.08 n/a 2.36

Strategy


Sharpe Ratio 0.20

Drawdown

(7/31/08-12/31/08)-31.61

An nua l To ta l Return Net o f Fees (%)

2006 2007 2008 2009 2010 2011 2012

Strategy 5.13 9.72 -28.32 35.51 9.88 -5.14 5.56

Benchmark 4.07 5.70 4.12 1.45 0.45 0.44 0.82

44



As of June 30, 2013

GMO © 2013

GMO Mean Reversion StrategyInception: 2/28/02; Benchmark: Citigroup 3-Month T-Bill Index



cumulative portfolio return from peak to trough. Risk profile data is gross.4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.5 Displayed in local 10-year equivalents, except for ABS/Credit and China/Sovereign Banks CDS.

Performance1

The second quarter of 2013 was a positive one for the Mean Reversion Strategy, with a net return of +0.4%. It was a mixed quarter for equities, withthe S&P 500 rising 2.9%, MSCI EAFE down 1.0%, and MSCI Emerging Markets down 7.9%. Our equity positions contributed 25 basis points whilethe quality trade added 35 basis points. Even though the quality stocks underperformed the S&P, rising 2.1%, our hedge is not the S&P 500, but theS&P 500 ex-financials, and the financials had a strong quarter, rising over 7%, which left quality outperforming its hedge. The emerging versus Chinatrade cost us 15 basis points as our anti-China stocks fell slightly less than the emerging portfolio; the Japan position earned roughly 5 basis points as

Japan rose a bit in the quarter.

Our other positions were also positive in aggregate. The significant loser was the Japanese inflation swaps, which cost us 20 basis points asbreakevens fell, particularly in June. Currencies offset that loss, earning 20 basis points with the Australian dollar weak in the quarter. Our creditpositions added 20 basis points, as the Credit Opportunities Strategy rose 1% in the quarter, and we made about 15 basis points on credit positions asspreads tightened on our ABS positions and an additional few basis points on the government bond positions. Bond yields around the world rose

significantly, which left our bond spread trades hurting us a bit, but we did also have a modestly sized short position in global bonds, which we took off during the quarter, and that added enough value to pull the total positive. One other position to note is a small correlation swap we have had onbetween U.S. stocks and bonds. This returned 7 basis points as both bonds and stocks fell from late May into June, bringing up the correlationbetween them, which had otherwise been firmly negative.

During the quarter we removed our short global bond position as bond yields rose to the point where it no longer had a significantly positiveexpected return versus cash, and initiated a currency position long Indian rupee/short Asian FX, to try to take advantage of the fall in the rupee,

which has left it looking cheap versus other Asian currencies. We continued to trade out of our Japanese inflation swap position and sold a bit of oureuro area dividend swaps.



Fixed Income & Inflation Exposure4,5

Quality Exposure4

Currency Exposure4

Other Exposure4





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 35.76 11.42 6.97 5.63 18.63 18.43 -13.43 -8.61 6.77 5.98

Benchmark 1.07 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07

Strategy


Sharpe Ratio 0.94

Drawdown

(2/28/09-12/31/10)-24.87

Posi t i on Absol ute %

Quality S&P 500 ex-Financials -68.4

85.5

-100 -50 0 50 100

Other Equity Exposure4


Australian 10 Yr. BondsKiwi 10 Yr. Bonds ABS/Cred itUK 10 Yr. BondsCanadian RatesGerman Bunds

China Sovereign/ Bank CDSU.S. 10 Yr. Bonds Japanese Interest Rates -39.9

-7.3

-7.1

-5.8

-5.2

-5.0

2.0

11.6

18.5

-60 -30 0 30 60


Credit Opportunies Fund 5.0

-6 -3 0 3 6


Indian RupeeEuroNorwegian KronorNew Zealand DollarCanadian Dollar Australian Doll ar

Hong Kong DollarChinese Yuan RenminbiSwiss Franc -13.9

-7.9

-6.0

-5.9

-5.3

-2.6

2.1

14.0

16.8

-20 -10 0 10 20


Emerging EquitiesEuro Div. SwapsS&P 500 Beta HedgeChinese Equities -8.6

-1.7

1.0

9.0

-10 -5 0 5 10

45



As of June 30, 2013

GMO © 2013

GMO Systematic Global Macro StrategyInception: 3/31/02; Benchmark: Citigroup 3-Month T-Bill Index



cumulative portfolio return from peak to trough. Risk profile data is gross.4 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.

Performance1

The Systematic Global Macro Strategy returned +3.1% net of fees in the second quarter of 2013. The Strategy added 0.8% in April, driven mostly by asset allocation, which contributed positive returns from being net long equity markets and net short

commodity markets. Global equity markets rose 2.8%, according to the MSCI World index (local currency), while commodity markets fell 4.7%according to the S&P GSCI index.

May was also a good month for the Strategy with a return of +3.3%. Equity market positions contributed 1.4% to performance as our net long exposureto this asset class was concentrated in the outperforming UK and Dutch markets. A short position in Japanese 10-year bonds contributed to portfolioreturn as Japanese bonds weakened. Commodity markets were down 1.5% according to the S&P GSCI index and our net short in commodities added value. Currency positions made the largest contribution to May’s positive performance. We were positioned to profit from weakness in the Australiandollar, down 7.6%, and British pound, down 2.6%, against the U.S. dollar.

However, the Strategy lost 1.0% in June. After seven consecutive months of gains, global equity markets fell 2.4%, which meant our net long equity markets allocation lost 1.9% of value. Equity market selection cost 3.5% as long positions in the UK, Dutch, and Italian markets experienced larger falls. The negative returns from equity market positions were mostly offset by currency and commodity positions. A large short position in the Australiandollar added 1.5% to portfolio value as it fell a further 4.5% against the U.S. dollar. Commodity market positions contributed 3.5% to performance asthe strategy gained from falling prices in metals and wheat.

The Strategy holds a net long allocation to equity markets, net short allocations to commodity and bond markets, and a long exposure to the U.S. dollar. The resulting portfolio beta (relative to a hedged global equity benchmark) is in the range of 0.1 to 0.4. We hold long equity market positions in the UK,the Netherlands, and Italy, which offer good value according to our measure of fair value, and a short position in Japan. We continue to hold shortexposures in commodity markets, particularly metal markets where price momentum is negative but prices remain high. The Strategy has extended ashort position in the Australian dollar on worsening sentiment – it has fallen 13% against the U.S. dollar since April 11, remains overvalued, and furthercuts to key interest rates are possible.



Bond Market Selection4

Currency Selection4

Commodity Markets4

Equity Market Selection4





2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

Strategy 3.79 1.33 4.63 8.39 15.06 -3.88 15.28 10.37 5.79 0.73

Benchmark 1.07 1.24 3.00 4.76 4.74 1.80 0.16 0.13 0.08 0.07

Strategy


Sharpe Ratio 0.86

Drawdown

(6/30/08-9/30/08)-15.44

Country Net Wei ght (%)

United KingdomNetherlandsItaly SingaporeRussell 2000United StatesIndiaKorea JapanNet Equity Markets 72.0

-15.0-9.0-2.0

1.02.08.0

17.020.0

50.0

-80 -40 0 40 80

Commodi ty Net Wei ght (%)Soy BeansCocoaCottonGasolineSugarSilverHogsCattleCoffeeSoy OilCopper

WheatHeating OilGold

Net Commodities -38.0

-14.0-11.0-10.0

-7.0-5.0-5.0-4.0

-4.0-4.0-3.0

1.05.05.0

18.0

-40 -20 0 20 40

Currency Net Wei ght (%)

U.S. Dollar Australian DollarNet Cash -9.5

-50.0

50.0

-60 -30 0 30 60

Countr y Net Wei ght (%)

Asset Backed JapanNet Bond Markets -24.0

-26.0

2.0

-40 -20 0 20 40

Other 4

Other Net Wei ght (%) Volatil ity IndexNet Other -0.5

-0.5

-2 -1 0 1 2

46



Full Name Description

Barclays U.S. Aggregate Index The Barclays U.S. Aggregate Index is an independently maintained and widely published index comprised of U.S. fixed rate debt issueshaving a maturity of at least one year and rated investment grade or higher.

Citigroup 3-Month T-Bill Index The Citigroup 3-Month Treasury Bill Index is an independently maintained and widely published index comprised of short-term U.S. Treasury bills.

CPI Index The CPI (Consumer Price Index) for All Urban Consumers US All Items is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paid by urban consumers for a representative basket of goods and services.

CPI Plus 5% Index The CPI (Consumer Price Index) Plus 5% Index is an internally maintained (monthly) benchmark based on the CPI Index for All UrbanConsumers US All Items which is published monthly by the U.S. government as an indicator of changes in price levels (or inflation) paidby urban consumers for a representative basket of goods and services. The CPI Plus 5% Index is calculated by adding 5% annualized tothe return of the CPI Index.

GMO Blended Global AllCountry Equity AllocationIndex

The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;many of the account benchmarks consist of MSCI ACWI (All Country World Index) (MSCI standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index

will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or

used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended Global Asset Allocation Index

The blended Global Asset Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of theaccount benchmarks consist of S&P 500, MSCI ACWI (MSCI Standard Index Series, net of withholding tax) and Barclays Aggregate orsome like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will

vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used forany other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended GlobalDeveloped Equity AllocationIndex

The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks;many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy foreach market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. Theindex is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any otherpurpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended International All Country Equity AllocationIndex

The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of accountbenchmarks; many of the account benchmarks consist of MSCI ACWI (All Country World) ex-U.S. Index (MSCI Standard Index Series,net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may notbe reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has noliability hereunder.

GMO Blended InternationalDeveloped Equity AllocationIndex

The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of accountbenchmarks; many of the account benchmarks consist of MSCI EAFE (MSCI Standard Index Series, net of withholding tax) or some likeproxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly.

The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any otherpurpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

GMO Blended Real ReturnGlobal Balanced Asset

Allocation Index

The blended Real Return Global Balanced Asset Allocation Composite benchmark is comprised of a weighted average of accountbenchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax), Barclays

Aggregate, and Citigroup 3-Month T-Bill or some like proxy for each market exposure they have. For each underlying accountbenchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approvedthis report, and has no liability hereunder.

GMO Blended U.S. Equity Allocation Index

The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of theaccount benchmarks consist of S&P 500, Russell 3000 or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on amonthly basis. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and alltrademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure,copying, dissemination or redistribution is strictly prohibited. This is GMO’s presentation of the data. FCR is not responsible for the

formatting or configuration of this material or for any inaccuracy in GMO’s presentation thereof.

GMO Tax-Managed GlobalBalanced Index

The Tax-Managed Global Balanced Index is an internally computed benchmark comprised of (i) 60% MSCI ACWI (All Country WorldIndex) (MSCI standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Year (6-8) Index. MSCI data may not bereproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

J.P. Morgan GBI Global The J.P. Morgan GBI Global Index is an independently maintained and widely published index comprised of government bonds of developed countries with maturities of one year or more.

J.P. Morgan GBI Global ex- Japan ex-U.S. (Hedged) +Index

The J.P. Morgan GBI Global ex-Japan ex-U.S. (Hedged)+ Index is an internally maintained benchmark computed by GMO, comprisedof (i) the J.P. Morgan Non-U.S. Government Bond Index (Hedged) through 12/31/2003 and (ii) the J.P. Morgan Non-U.S. GovernmentBond Index (Hedged) (ex-Japan) thereafter.

J.P. Morgan GBI Global ex-U.S. Index

The J.P. Morgan GBI Global ex-U.S. Index is an independently maintained and widely published index comprised of non-U.S.government bonds with maturities of one year or more.

Benchmarks and IndicesGMO measures each strategy’s performance against a specific benchmark or index (each, a “Benchmark”), although nostrategy is managed as an “index strategy” or “index-plus” strategy. Actual composition of a strategy’s portfolio may differ to varying degrees from that of its Benchmark. Indices are not managed and do not pay fees and expenses. One cannot investdirectly in an index. In some cases, a strategy’s Benchmark differs from the broad based index against which performance isshown in the strategy’s prospectus. GMO may change a strategy’s benchmark from time to time.

47



Full Name Description

J.P. Morgan U.S. 3 Month CashIndex

The J.P. Morgan U.S. 3 Month Cash Index is an independently maintained and widely published index comprised of three month U.S.dollar Euro-deposits. The duration of the Index is generally 90 days.

MSCI ACWI Index The MSCI ACWI (All Country World) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed and emerging markets. MSCI data may not be reproduced or used for any otherpurpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI ACWI Commodity Producers Index

The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Standard Index Series, net of withholding tax) is anindependently maintained and widely published index comprised of listed large and mid capitalization commodity producers within theglobal developed and emerging markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no

warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI EAFE Growth Index The MSCI EAFE (Europe, Australasia, and Far East) Growth Index (MSCI Standard Index Series, net of withholding tax) is anindependently maintained and widely published index comprised of international large and mid capitalization stocks that have a growthstyle. Large and mid capitalization stocks encompass approximately 85% of each market’s free float-adjusted market capitalization. Styleis determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproducedor used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI EAFE (Hedged) Index The MSCI EAFE (Europe, Australasia, and Far East) Index (Hedged) (net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks currency hedged into U.S. dollars. MSCI data may not bereproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI EAFE Index The MSCI EAFE (Europe, Australasia, and Far East) Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of international large and mid capitalization stocks. MSCI data may not be reproducedor used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI EAFE Value Index The MSCI EAFE (Europe, Australasia, and Far East) Value Index (MSCI Standard Index Series, net of withholding tax) is anindependently maintained and widely published index comprised of international large and mid capitalization stocks that have a valuestyle. Large and mid capitalization stocks encompass approximately 85% of each market’s free float-adjusted market capitalization. Style

is determined using a multi-factor approach based on historical and forward-looking characteristics. MSCI data may not be reproduced orused for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI Emerging Markets Index The MSCI Emerging Markets Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global emerging markets large and mid capitalization stocks. MSCI data may not be reproduced or used forany other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI Japan IMI ++ Index The MSCI Japan IMI (Investable Market Index Series) ++ Index is an internally maintained benchmark computed by GMO, comprisedof (i) the MSCI Japan (MSCI Standard Index Series, net of withholding tax) from 12/31/2005 to 6/30/2008 and (ii) the MSCI Japan IMI(MSCI Standard Index Series, net of withholding tax) thereafter. MSCI data may not be reproduced or used for any other purpose.MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

MSCI World Index The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published indexcomprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no

warranties, has not prepared or approved this report, and has no liability hereunder.

Russell 1000 Growth Index The Russell 1000 Growth Index is an independently maintained and widely published index comprised of the stocks included in theRussell 1000 Index with higher price-to-book ratios and higher forecasted growth values. Russell Investments is the source and owner of the Russell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may contain confidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This isGMO’s presentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy inGMO’s presentation thereof.

Russell 1000 Value Index The Russell 1000 Value Index is an independently maintained and widely published index comprised of the stocks included in the Russell1000 Index with lower price-to-book ratios and lower forecasted growth values. Russell Investments is the source and owner of theRussell index data contained or reflected in this material and all trademarks and copyrights related thereto. The presentation may containconfidential information and unauthorized use, disclosure, copying, dissemination or redistribution is strictly prohibited. This is GMO’spresentation of the data. FCR is not responsible for the formatting or configuration of this material or for any inaccuracy in GMO’spresentation thereof.

Russell 2500 Index The Russell 2500 Index is an independently maintained and widely published index comprised of the stocks of the 2,500 smallest U.S.companies based on total market capitalization and current index membership. Russell Investment Group is the source and owner of thetrademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Russell Investment Group.

Russell 2500 + Index Russell 2500 + Index is comprised of Russell 2500 Index from 12/31/1991 to 12/31/1996, Russell 2500 Value Index from 12/31/1996to 1/13/2012, and the Russell 2500 Index thereafter.

S&P 500 Index The S&P 500 Index is an independently maintained and widely published index comprised of U.S. large capitalization stocks. S&P doesnot guarantee the accuracy, adequacy, completeness or availability of any data or information and is not responsible for any errors or

omissions from the use of such data or information. Reproduction of the data or information in any form is prohibited except with theprior written permission of S&P or its third party licensors.

S&P Developed ex-U.S. SmallCap Index

The S&P Developed ex-U.S. Small Cap Index is an independently maintained and widely published index comprised of the smallcapitalization stock component of the S&P Broad Market Index (BMI). The BMI includes listed shares of companies from developedand emerging countries with a total available market capitalization (float) of at least the local equivalent of $100 million USD. The S&PDeveloped ex-U. S. Small Cap Index represents the bottom 15% of available market capitalization (float) of the BMI in each country.

S&P/IFCI Composite Index The S&P/IFCI Composite Index is an independently maintained and widely published index comprised of emerging markets stocks

Documents

GMO Quarterly Update 2 q 13