Download - 2q 2015 Gmo Quarterly Update 2
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
1/63
40 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
MO LLC 2015
GMO offers institutionallyoriented investment strategies. This is not an offer or solicitation for the purchase or sale of any security and should not be construed as such
GMO Quarterly UpdateJune 30, 2015
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
2/63
June 30, 20
1
GMO Capabilities
GMO Multi-Asset Class Page
Benchmark-Free Allocation 4
Global Allocation Absolute Return 6
Global Asset Allocation 8Real Return Global Balanced Asset Al location 10
Tax-Managed Global Balanced 12
GMO Global Equities Page
Global All Country Equity Allocation 14
Global Developed Equity Alloca tion 16
Global Focused Equity 18
Quality 20
Resources 22
GMO International Equities Page
International Al l Country Equity Al location 24
International Developed Equity Al location 26
Tax-Managed International Equities*
International Equity 28
International Active EAFE 30
International Active Foreign Smal l Companies 32
International Small Companies*
GMO U.S. Equities Page
U.S. Equity All ocation 34
* Certain GMO capabilities are not available through separately managed accounts and therefore information on those capabilities is n
included in this document. For information please contact GMO.
GMO Emerging Equities Pa
Emerging Markets 3
Emerging Countries*
Emerging Domestic Opportunities 3
GMO Fixed Income Pa
Global Bond 4
International Bond 4
Currency Hedged International Bond 4
Core Plus Bond 4
Emerging Country Debt*
Emerging Country Local Debt*
Emerging Country Debt U.S. Rates Hedged*
Debt Opportunities 4
GMO Absolute Return Pa
Fixed Income Hedge 5
Mean Reversion 5
Systematic Global Macro 5
Tactical Opportunities 5
Total Equities 5
Multi-Strategy*
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
3/63
June 30, 20
2
Performance of GMO Strategies and Benchmarks
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transa
osts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
opyright 2015 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means, without w
ermission from GMO.
Total Return Net of Fees Average Annual Total Return
GMO Multi-Asset Class Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
Benchmark-Free Allocation 7/31/01 -0.31 1.04 0.35 -2.22 7.30 7.12 10.2
CPI 0.87 0.69 0.04 1.85 2.05 2.1
Global Allocation Absolute Return 7/31/01 -0.65 0.26 -0.43 -2.24 6.53 6.42 8.9
CPI 0.87 0.69 0.04 1.85 2.05 2.1
Global Asset Allocation 6/30/88 0.07 1.31 -0.46 -2.75 8.34 6.00 9.4
GMO Global Asset Allocation + -0.35 1.77 1.21 9.13 5.68 8.0
Real Return Global Balanced Asset Allocation 6/30/04 -0.82 0.16 -1.47 -2.93 8.22 6.05 6.6
GMO Real Return Global Balanced AA Blended + -0.14 1.63 1.33 8.64 5.29 5.5
Tax-Managed Global Balanced 12/31/02 -0.55 1.45 -0.35 -1.05 7.56 5.47 7.3
GMO Tax-Managed Global Balanced Index -0.08 1.80 1.38 9.00 5.61 6.9
GMO Global Equity Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
Global All Country Equity Allocation 12/31/93 0.35 3.29 0.63 -4.12 11.63 6.80 8.9
MSCI ACWI ++ 0.35 2.66 0.71 12.23 6.36 7.3
Global Developed Equity Allocation 3/31/87 0.62 3.74 1.11 -3.20 12.75 6.69 9.3
MSCI World + 0.31 2.63 1.43 13.10 6.38 7.4
Global Focused Equity 12/31/11 -1.47 1.20 -1.46 -7.75 13.1
MSCI ACWI 0.35 2.66 0.71 12.8
Quality 2/29/04 -1.46 -1.05 -2.28 5.28 15.66 7.32 6.5
S&P 500 0.28 1.23 7.42 17.34 7.89 7.5
Resources 12/31/11 2.61 1.44 6.59 -24.53 -1.0
MSCI ACWI Commodity Producers -0.79 -5.15 -26.03 -4.4
GMO International Equity Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
nternational All Country Equity Allocation 2/28/94 1.24 4.83 0.80 -8.83 8.49 5.73 7.3
MSCI ACWI ex USA + 0.53 4.03 -5.26 7.82 5.48 5.6
nternational Developed Equity Allocation 11/30/91 1.03 5.48 -0.04 -9.01 10.37 5.64 8.1
MSCI EAFE ++ 0.62 5.52 -4.22 9.54 5.30 6.2
nternational Equity 3/31/87 0.83 5.23 -0.29 -8.99 9.15 4.44 7.9
MSCI EAFE + 0.62 5.52 -4.22 9.59 4.69 7.0
MSCI EAFE 0.62 5.52 -4.22 9.54 5.12 5.3
nternational Active EAFE 5/31/81 3.38 9.25 3.73 -4.64 8.46 4.43 11.6
MSCI EAFE 0.62 5.52 -4.22 9.54 5.12 8.9
nt'l. Active Foreign Small Companies 1/31/95 2.70 9.40 0.15 -5.76 11.49 8.34 11.0
S&P Developed ex-U.S. Small Cap 4.61 9.25 -1.62 12.02 7.46 7.4
GMO U.S. Equity Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
U.S. Equity Allocation 2/28/89 -0.73 -0.16 -2.10 3.85 15.71 6.45 10.5
Russell 3000 +++ 0.14 1.94 7.29 17.48 8.05 10.2
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
4/63
June 30, 20
3
Performance of GMO Strategies and Benchmarks
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.
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transa
osts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Total Return Net of Fees Average Annual Total Return
GMO Emerging Equity Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
Emerging Markets 12/31/93 1.09 1.31 -2.72 -9.18 2.23 6.16 7.1
S&P/IFCI Composite 1.84 4.03 -3.71 4.69 9.09 5.7MSCI Emerging Markets 0.69 2.95 -5.12 3.68 8.11 5.1
Emerging Domestic Opportunities 3/31/11 -1.24 2.45 -0.50 -0.77 4.3
MSCI Emerging Markets 0.69 2.95 -5.12 -1.7
GMO Fixed Income Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
Global Bond* 12/31/95 -2.07 -4.35 -0.92 -6.44 4.17 3.59 5.3
.P. Morgan GBI Global -1.68 -3.43 -7.46 1.35 3.37 4.5
nternational Bond 12/31/93 -2.38 -6.97 -1.41 -13.38 3.58 3.40 6.1
.P. Morgan GBI Global ex U.S. -1.54 -5.56 -13.22 0.32 2.80 4.7
Currency Hedged International Bond 9/30/94 -5.39 -2.41 -1.10 5.32 6.91 4.63 7.8
.P. Morgan GBI Global ex Japan ex U.S. (Hedged) + -4.95 -1.31 5.18 5.08 4.81 6.8
Core Plus Bond 4/30/97 -2.01 -0.87 -0.77 2.49 6.17 4.44 5.8
Barclays U.S. Aggregate -1.68 -0.10 1.86 3.35 4.44 5.5
Debt Opportunities 10/31/11 0.58 1.21 1.01 2.35 6.3
.P. Morgan U.S. 3 Month Cash 0.10 0.20 0.37 0.5
GMO Absolute Return Strategies Inception
2Q
2015
YTD
2015
YTD Value
Added
One
Year
Five
Year
Ten
Year
Sinc
Incept
Fixed Income Hedge 8/31/05 -7.38 -12.90 -13.10 0.50 6.44 -0.2
.P. Morgan U.S. 3 Month Cash 0.10 0.20 0.37 0.50 2.0
Mean Reversion 2/28/02 -0.81 -3.47 -3.48 -8.09 -0.23 2.25 5.9
Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.3
Systematic Global Macro 3/31/02 -4.30 1.70 1.69 4.74 4.71 6.54 7.1Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.3
Tactical Opportunities 9/30/04 -2.32 -9.72 -9.73 -4.78 -6.62 -6.77 -7.0
Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.4
Total Equities 9/30/00 -0.39 2.89 2.88 -3.45 6.17 2.31 5.8
Citigroup 3-Mo. T-Bill 0.00 0.01 0.02 0.06 1.34 1.6
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
5/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
4MO LLC 2015
GMO Benchmark-Free Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The chart above shows the past performance of the Benchmark-Free Allocati
Composite (the Composite). Prior to January 1, 2012, the accounts in the
Composite served as the principal component of a broader real return strateg
Beginning January 1, 2012, accounts in the composite have been managed as
standalone investment.
The CPI (Consumer Price Index) for All Urban Consumers U.S. All Items is publ
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.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Std. Deviation is a measure of the volatility of a portfoliosreturn. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poorsratings scale. Standard & Poorsratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Total Return (%)
Strategy Benchmark
2Q 2015 -0.31 0.87
YTD 20 15 1.04 0.69
Annual Total Return (%)
2014 1.31 0.67
2013 11.24 1.56
2012 10.35 1.87
2011 3.60 2.95
2010 4.58 1.25
2009 19.86 2.86
2008 -12.07 0.16
2007 10.93 4.12
2006 12.75 2.58
2005 16.32 3.45
Annualized Return (%)
-2.22
7.30 7.12
10.25
0.041.85 2.05 2.13
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
Group Exposures (%)1
0
20
40
60
80
100 U.S. Quality, 6.2
Europe Value, 10.1
Emerging Markets, 17.2
Cash & Cash Equiv., 9.1
Japan, 2.3
U.S. Opportunistic Value, 3.4
Asset Backed Securities, 3.9Cross -Sectional Rates &FX, 20.8Systematic Global Macro, 5.0Special Opportunity, 3.0Merger Arbitrage, 5.5
Alpha Only, 7.2Emerging Debt, 4.6Credit Opportunities, 1 .6
U.S. Equity Cash
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
Equity Characteristics
Strategy
Price/Earnings - Hist 1 Yr Wtd Med 14.9 x
Price/Book - Hist 1 Yr Wtd Avg 1.3 x
Return on Equity - Hist 1 Yr Med 10.2 %
Market Cap - Weighted Median $Bil $36.6
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 %
5-Year Risk Profile2
Strategytd. Deviation 5.87
harpe Ratio 1.23
Drawdown
3/30/12-5/31/12)-4.63
Equity Regional Weights (%)
43.1
15.3
5.7
1.8
10.2
23.9
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Bond Portfolio3
Bond Portfolio Dura tion 0.0 years
Credit Ratings
AAA 5.4% BB 5.8%
AA 71.7% B 2.0%
A 1.4%
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
6/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
5MO LLC 2015
GMO Benchmark-Free Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) -
Gross of Fees, USD (Rep Account) -
CPI Index (prelim through most recent month-end) +
Value Added -
Alts BondsEquity Cash EquityAlts Bonds Ca
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
7/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
6MO LLC 2015
GMO Global Allocation Absolute Return Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The CPI (Consumer Price Index) for All Urban Consumers US All Items is publis
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.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Std. Deviation is a measure of the volatility of a portfoliosreturn. Sharpe Ratio isthe return over the risk free rate per unit of risk. Drawdown is the largestnegative cumulative portfolio return from peak to trough. Risk profile data is net.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poorsratings scale. Standard & Poorsratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
U.S. Equity Cash
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
Total Return (%)
Strategy Benchmark
2Q 2015 -0.65 0.87
YTD 2015 0.26 0.69
Annual Total Return (%)
2014 1.80 0.67
2013 10.04 1.56
2012 9.42 1.87
2011 4.22 2.95
2010 3.02 1.25
2009 14.92 2.86
2008 -7.19 0.16
2007 9.99 4.12
2006 11.01 2.58
2005 13.54 3.45
Annualized Return (%)
-2.24
6.53 6.42
8.94
0.04
1.85 2.05 2.13
-5
0
5
10
1YR 5YR 10YR ITD
Strategy Benchmark
Group Exposures (%)1
0
20
40
60
80
00U.S. Quality, 9.4
Europe Value, 11.5
Emerging Markets, 12.5
Cash & CashEquiv., 2.5
Systematic Global Macro, 3.5Special Opportunity, 3.2Risk Premium, 2.1
Japan, 3.4
U.S. Opportunistic Value, 1.6
Emerging Debt, 4.6Asset Backed Securities, 3.5Cross -SectionalRates & FX, 20.6
Multi Strategy, 20.2Alpha Only, 1.3
quity Regional Weights (%)
31.7
19.5
8.6
2.0
10.2
28.1
Emerging
Europe ex UK
Japan
ther International
United Kingdom
United States
Equity Characteri stics
Strategy
Price/Earnings - Hist 1 Yr Wtd Median 16.1 x
Price/Book - Hist 1 Yr Wtd Avg 1.5 x
Return on Equity - Hist 1 Yr Med 10.5 %
Market Cap - Weighted Median $Bil $30.4
Dividend Yield - Hist 1 Yr Wtd Avg 3.3 %
5-Year Risk Profile2
Strategy
Std. Deviation 5.23
Sharpe Ratio 1.24
Drawdown
3/30/12-5/31/12)-3.82
Bond Portfolio3
Bond Portfolio Duration 0.1 years
Credit Ratings
AAA 4.8% BB 5.9%
AA 72.5% B 2.0%
A 1.4%
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
8/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
7MO LLC 2015
GMO Global Allocation Absolute Return Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Alts
Performance (%)
Net of Fees, USD (Rep Account) -
Gross of Fees, USD (Rep Account) -
CPI Index (prelim through most recent month-end) +
Value Added -
Cash BondsEquityEquity Bonds Alts C
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
9/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
8MO LLC 2015
GMO Global Asset Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The GMO Global Asset Allocation Index + is an internally maintained benchma
computed by GMO, comprised of (i) GMO blended benchmark of Global Asse
Allocation Composite through 06/30/2014 and (ii) The GMO Global Asset
Allocation (Blend) Index thereafter. The GMO blended benchmark of Global A
Allocation Composite is comprised of a weighted average of account benchm
many of the account benchmarks consist of S&P 500, MSCI ACWI (MSCI Stand
Index Series, net of withholding tax) and Barclays Aggregate or some like prox
each market exposure they have. For each underlying account benchmark, th
weighting of each market index will vary slightly. The index is internally blend
GMO and maintained on a monthly basis. The GMO Global Asset Allocation (B
Index is an internally maintained benchmark computed by GMO, comprised o
65% MSCI ACWI Index (MSCI Standard Index Series, net of withholding tax) an
35% the Barclays U.S. Aggregate Index. 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 informatReproduction of the data or information in any form is prohibited except with
prior written permission of S&P or its third party licensors. MSCI data may not
reproduced or used for any other purpose. MSCI provides no warranties, has
prepared or approved this report, and has no liability hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poorsratings scale. Standard & Poorsratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
U.S. Equity Cash
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
Total Return (%)
Strategy Benchmark
2Q 2015 0.07 -0.35
YTD 20 15 1.31 1.77
Annual Total Return (%)
2014 1.24 4.87
2013 12.38 13.60
2012 11.11 12.13
2011 2.13 -1.80
2010 7.93 11.05
2009 24.15 24.14
2008 -20.83 -27.72
2007 7.94 9.26
2006 12.30 13.41
2005 9.06 5.99
Annualized Return (%)
-2.75
8.34
6.00
9.46
1.21
9.13
5.68
8.04
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
Group Exposures (%)1
0
20
40
60
80
100 U.S. Quality, 12.3
Europe Value, 17.8
Other Int'l. Opportunistic Value, 1.4Emerging Markets, 12.6
Cash & Cash Equiv., 6.5
Japan, 5.2
U.S. Opportunistic Value, 2.1
Asset Backed Securities, 4.6Cross -SectionalRates & FX, 20.4
Systematic Global Macro,3.0Risk Premium, 2.5
Alpha Only, 7.1Emerging Debt, 4.5
quity Regional Weights (%)
24.5
23.1
10.2
2.2
12.0
28.0
10.6
15.6
7.9
7.37.0
51.5
Emerging
Europe ex UK
Japan
Other InternationalUnited Kingdom
United States
Strategy Benchmarkquity Characteristics
Strategy Benchmark
rice/Earnings - Hist 1 Yr Wtd Med 16.3 x 19.5 x
rice/Book - Hist 1 Yr Wtd Avg 1.5 x 2.1 x
eturn on Equity - Hist 1 Yr Med 10.5 % 14.6 %
Market Cap - Weighted Median $Bil $32.6 $39.5
ividend Yield - Hist 1 Yr Wtd Avg 3.3 % 2.5 %
-Year Risk Profile2
Strategy Benchmarklpha 0.66 0.00
eta 0.84 1.002
0.92 1.00
harpe Ratio 1.09 1.04
td. Deviation 7.60 8.69
ond Portfolio3
ond Portfolio Duration 0.1 years
redit Ratings
AA 6.0% BB 6.1%
A 69.8% B 2.1%
1.7%
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
10/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
9MO LLC 2015
GMO Global Asset Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
GMO Global Asset Allocation Index -
Value Added +
Bonds CEquityBonds CashAltsEquity Alts
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
11/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
10MO LLC 2015
GMO Real Return Global Balanced Asset Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The GMO Real Return Global Balanced Asset Allocation Blended Index + is an
internally maintained benchmark computed by GMO, comprised of (i) GMO
blended benchmark of Real Return Global Balanced Asset Allocation Compos
through 06/30/2014 and (ii) The GMO RRGBAL Blended Index thereafter. The
blended benchmark of Real Return Global Balanced Asset Allocation Compos
comprised of a weighted average of account benchmarks; many of the accou
benchmarks consist of MSCI World (MSCI Standard Index Series, net of withho
tax), Barclays Aggregate, and Citigroup 3-Month T-Bill or some like proxy for e
market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blend
GMO and maintained on a monthly basis. The RRGBAL Blended Index is comp
of 60% MSCI World Index (MSCI Standard Index Series, net of withholding tax
20% Barclays U.S. Aggregate Index and 20% Citigroup 3-Month Treasury Bill In
The index is internally blended by GMO and maintained on a monthly basis. M
data may not be reproduced or used for any other purpose. MSCI provides nowarranties, has not prepared or approved this report, and has no liability
hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.The credit ratings above may encompass emerging debt, developed rates, andasset-backed exposure. Ratings for the emerging debt and developed ratesportions of the portfolio are derived by taking the Standard and Poorscountryratings and applying these ratings to the country exposures of the portfolio. Forthe asset-backed portion of the portfolio, credit ratings are derived by using thelowest rating among rating agencies at the issue level. Final credit ratings areexpressed based upon Standard and Poorsratings scale. Standard & Poorsratessecurities from AAA (highest quality) to C (lowest quality), and D to indicatesecurities in default; some securities are not rated (NR). BB and below areconsidered below investment grade securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Total Return (%)
Strategy Benchmark
2Q 2015 -0.82 -0.14
YTD 20 15 0.16 1.63
Annual Total Return (%)
2014 2.00 4.22
2013 13.68 14.95
2012 10.65 10.42
2011 3.16 -1.76
2010 5.00 8.94
2009 13.02 19.17
2008 -11.36 -25.17
2007 7.63 7.87
2006 13.26 13.69
2005 8.09 6.82
Annualized Return (%)
-2.93
8.22
6.05 6.61
1.33
8.64
5.29 5.52
-5
0
5
10
1YR 5YR 10YR ITD
Strategy Benchmark
-Year Risk Profile2
Strategy Benchmarklpha 1.18 0.00
eta 0.81 1.002 0.87 1.00
harpe Ratio 1.17 1.07
td. Deviation 6.97 7.99
Group Exposures (%)1
0
20
40
60
80
100U.S. Quality, 11.5
Europe Value, 15.5
Other Int'l. Opportunistic Value, 1.2
Emerging Markets, 12.6
Asset Backed Securities, 2.7Cross -Sectional Rates & FX, 16.4
Japan, 4.6
U.S. Opportunistic Value, 2 .0
Multi Stra tegy, 29.0
Emerging Debt, 3.2
Cash & Cash Equiv., 1.3
quity Regional Weights (%)
26.6
21.8
9.6
2.1
11.4
28.5
0.0
17.5
8.9
8.2
7.9
57.6
Emerging
Europe ex UK
Japan
Other InternationalUnited Kingdom
United States
Strategy Benchmark
quity Characteristics
Strategy Benchmark
rice/Earnings - Hist 1 Yr Wtd Median 16.3 x 19.8 x
rice/Book - Hist 1 Yr Wtd Avg 1.5 x 2.2 x
eturn on Equity - Hist 1 Yr Med 10.7 % 14.9 %
Market Cap - Weighted Median $Bil $31.9 $45.1
ividend Yield - Hist 1 Yr Wtd Avg 3.3 % 2.5 %
U.S. Equity Cash
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
ond Portfolio3
ond Portfolio Duration 0.0 years
redit Ratings
AA 4.8% BB 5.4%
A 73.9% B 1.9%
1.4%
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
12/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
11MO LLC 2015
GMO Real Return Global Balanced Asset Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD -
Gross of Fees, USD (Rep Account) -
GMO Real Return Global Balanced Asset Allocation Blended Ind -
Value Added -
Bonds BondsEquityCash CaEquity
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
13/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
12MO LLC 2015
GMO Tax-Managed Global Balanced Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The GMO Tax-Managed Global Balanced Index is an internally computed
benchmark comprised of (i) 60% MSCI ACWI (All Country World Index) (MSCI
standard Index Series, net of withholding tax) and (ii) 40% Barclays Muni 7 Ye
8) Index. MSCI data may not be reproduced or used for any other purpose. M
provides no warranties, has not prepared or approved this report, and has no
liability hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
U.S. Equity Cash
Intl. Developed Equity
Emerging Equity
Alternative Strategies
Fixed Income
Absolute Return
Total Return (%)
Strategy Benchmark
2Q 2015 -0.55 -0.08
YTD 20 15 1.45 1.80
Annual Total Return (%)
2014 2.02 5.02
2013 10.86 12.78
2012 9.71 11.47
2011 1.34 -0.27
2010 6.88 9.99
2009 14.29 23.90
2008 -14.95 -25.89
2007 7.16 7.12
2006 12.08 12.95
2005 9.91 5.91
Annualized Return (%)
-1.05
7.56
5.47
7.36
1.38
9.00
5.616.99
-2
0
2
4
6
8
10
1YR 5YR 10YR ITD
Strategy Benchmark
Group Exposures (%)1
0
20
40
60
80
00U.S. Quality, 10.8
Europe Value, 13.6
Emerging Markets, 15.4
Cash & Cash Equiv., 0.9
Municipal Bonds, 34.3
Emerging Country Debt, 2.0Risk Premium, 2.3
Japa n, 3.8
U.S. Opportunistic Value, 3 .3
Multi-Strategy, 13.7
quity Regional Weights (%)
32.6
21.9
8.0
0.6
7.2
29.8
10.6
15.6
7.9
7.3
7.0
51.5
Emerging
Europe ex UK
Japan
Other International
United Kingdom
United States
Strategy Benchmark
quity Characteristics
Strategy Benchmark
rice/Earnings - Hist 1 Yr Wtd Median 16.9 x 19.5 x
rice/Cash Flow - Hist 1 Yr Wtd Median 9.1 x 13.3 xrice/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 x
eturn on Equity - Hist 1 Yr Med 11.5 % 14.6 %
Market Cap - Weighted Median $Bil $31.5 $39.5
ividend Yield - Hist 1 Yr Wtd Avg 2.9 % 2.5 %
-Year Risk Profile2
Strategy Benchmark
Alpha -0.14 0.00
Beta 0.86 1.00
R2 0.95 1.00
harpe Ratio 1.07 1.11
td. Deviation 7.03 8.03
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
14/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
13MO LLC 2015
GMO Tax-Managed Global Balanced Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) -
Gross of Fees, USD (Rep Account) -
Tax-Managed Global Balanced Index -
Value Added -
CBonds CashAltsEquity Equity BondsAlts
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
15/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
14MO LLC 2015
GMO Global All Country Equity Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The MSCI ACWI ++ Index is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of Global All Country Equity
Allocation Composite through 06/30/2014 and (ii) MSCI ACWI (All Country Wo
Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GM
blended benchmark of Global All Country Equity Allocation Composite is
comprised of a weighted average of account benchmarks; many of the accou
benchmarks consist of MSCI ACWI (All Country World Index) (MSCI Standard I
Series, net of withholding tax) or some like proxy for each market exposure th
have. For each underlying account benchmark, the weighting of each market
will vary slightly. The index is internally blended by GMO and maintained on a
monthly basis. The MSCI ACWI (All Country World) Index (MSCI Standard Inde
Series, net of withholding tax) is an independently maintained and widely
published index comprised of global developed and emerging markets. MSCI
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.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
Total Return (%)
Strategy Benchmark
2Q 2015 0.35 0.35
YTD 20 15 3.29 2.66
Annual Total Return (%)
2014 -0.69 4.17
2013 21.33 23.46
2012 14.74 16.34
2011 -1.29 -6.87
2010 10.12 12.94
2009 24.19 34.45
2008 -31.41 -41.82
2007 11.12 10.38
2006 18.87 20.34
2005 12.51 9.95
Annualized Return (%)
-4.12
11.63
6.808.90
0.71
12.23
6.36 7.39
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
-Year Risk Profile2
Strategy Index
lpha 0.63 0.00
eta 0.90 1.002 0.95 1.00
harpe Ratio 0.93 0.90
td. Deviation 12.42 13.45
roup Exposures (%)1
0
20
40
60
80
00
U.S. Quality, 27.9
Europe Value, 32.6
Other Int'l. Opportunistic Value, 2.6
Emerging Markets, 21.2
Cash & Cash Equiv., 1.3
Japan, 9.6
U.S. Opportunistic Value, 4.8
op Country Weights (%)
32.7
11.3
9.6
7.2
5.0
51.5
7.0
7.9
3.4
3.1
United States
United Kingdom
Japan
France
Germany
Strategy Benchmark
haracteristics
Strategy Index
rice/Earnings - Hist 1 Yr Wtd Median 16.7 x 19.5 x
rice/Book - Hist 1 Yr Wtd Avg 1.6 x 2.1 x
eturn on Equity - Hist 1 Yr Med 11.5 % 14.6 %
Market Cap - Weighted Median $Bil $38.3 $39.5
ividend Yield - Hist 1 Yr Wtd Avg 3.2 % 2.5 %
op Holdings3
ompany Country Sector % of Equity
otal S.A. France Energy 2.2
oyal Dutch Shell United Kingdom Energy 2.2
P PLC United Kingdom Energy 1.8
issan Motor Co. Ltd. Japan Consumer Disc. 1.6
ohnson & Johnson United States Health Care 1.6
otal 9.4
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
16/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
15MO LLC 2015
GMO Global All Country Equity Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI ACWI +
Value Added +
IntlEM U.S.U.S. Intl EM
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
17/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
16MO LLC 2015
GMO Global Developed Equity Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The MSCI World + Index is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of Global Developed Equity
Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI
Standard Index Series, net of withholding tax) thereafter. The GMO blended
benchmark of Global Developed Equity Allocation Composite is comprised of
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 for each market exposure they have. For each underlying acc
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 ma
be reproduced or used for any other purpose. MSCI provides no warranties, h
not prepared or approved this report, and has no liability hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
U.S. Equity
Intl. Developed Equity
Emerging Equity
Cash
Total Return (%)
Strategy Benchmark
2Q 2015 0.62 0.31
YTD 20 15 3.74 2.63
Annual Total Return (%)
2014 0.32 4.94
2013 25.82 26.68
2012 14.14 15.84
2011 -0.40 -5.52
2010 9.25 11.77
2009 20.55 29.97
2008 -33.19 -40.70
2007 9.69 9.02
2006 20.22 20.05
2005 12.26 9.42
Annualized Return (%)
-3.20
12.75
6.69
9.30
1.43
13.10
6.38 7.41
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
5-Year Risk Profile2
Strategy Benchmark
Alpha 0.78 0.00
Beta 0.91 1.00
R2 0.95 1.00
Sharpe Ratio 1.03 0.99
Std. Deviation 12.34 13.19
Group Exposures (%)1
0
20
40
60
80
100
U.S. Quality, 31.2
Europe Value, 38.1
Other Int'l. Opportunistic Value, 2.9Emerging Markets, 9.8Cash & Cash Equiv., 1.3
Japa n, 11.3
U.S. Opportunistic Value, 5.4
op Country Weights (%)
36.6
13.2
11.3
8.4
5.8
57.6
7.9
8.93.8
3.4
United States
United Kingdom
Japan
France
Germany
Strategy Benchmark
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 17.2 x 19.8 x
Price/Book - Hist 1 Yr Wtd Avg 1.7 x 2.2 x
Return on Equity - Hist 1 Yr Med 12.1 % 14.9 %
Market Cap - Weighted Median $Bil $52.8 $45.1
Dividend Yield - Hist 1 Yr Wtd Avg 3.1 % 2.5 %
Top Holdings3
Company Country Sector % of Equity
Total S.A. France Energy 2.5
Royal Dutch Shell United Kingdom Energy 2.5
BP PLC United Kingdom Energy 2.1
Nissan Motor Co. Ltd. Japan Consumer Disc. 1.9
ohnson & Johnson United States Health Care 1.8
Total 10.8
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
18/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
17MO LLC 2015
GMO Global Developed Equity Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI World +
Value Added +
Intl IntlU.S.EMU.S. EM
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
19/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
18MO LLC 2015
GMO Global Focused Equity Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The Global Focused Equity Strategy does not have a benchmark. The Strategy
been compared to the MSCI All Country World Index in an effort to compare a
contrast the Strategy versus a broad global equity index. The MSCI ACWI (All
Country World) Index (MSCI Standard Index Series, net of withholding tax) is a
independently maintained and widely published index comprised of global
developed and emerging markets. MSCI data may not be reproduced or used
any other purpose. MSCI provides no warranties, has not prepared or approvthis report, and has no liability hereunder.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Risk Profile Since 12/31/111
Strategy Index
Alpha -2.71 0.00
Beta 1.24 1.00
R2 0.85 1.00
harpe Ratio 0.94 1.22
td. Deviation 13.95 10.44
Characteristics
Strategy Index
Price/Earnings - Hist 1 Yr Wtd Median 16.1 x 19.5 x
Price/Cash Flow - Hist 1 Yr Wtd Median 8.4 x 13.3 x
Price/Book - Hist 1 Yr Wtd Avg 1.5 % 2.1 %
Dividend Yield - Hist 1 Yr Wtd Avg $2.2 $2.5
Top Ten Holdings2
Company % of Equity
Mitsubishi Tokyo Financial Group Inc. 2.4
TT Corp 2.3
Methanex Corp. 2.3
yondellBasell Industries N.V. Cl A 2.3
Ardmore Shipping Corp. 2.3
Capital One Financial Corp. 2.3
Allergan plc 2.3National-Oilwell Inc. 2.3
umitomo Mitsui Financial Group Inc. 2.3
Pfizer Inc. 2.3
Total 23.1
GICS Sector Weights (%)
Under/Overweight vs. Index Strategy Index
10.3 12.7
0.0 9.4
10.5 7.4
24.3 22.0
11.1 12.4
14.5 10.3
13.1 13.8
8.7 5.3
5.7 3.7
1.9 3.1
-2.4
-9.4
3.1
2.3
-1.3
4.2-0.7
3.4
2.0
-1.2
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
IndustrialsInformation Tech.
Materials
Telecom. Services
Utilities
Total Return (%)
Strategy Index
2Q 2015 -1.47 0.35
YTD 2015 1.20 2.66
Annual Total Return (%)
2014 -3.24 4.16
2013 31.29 22.80
2012 19.71 16.13
Annualized Return (%)
-7.75
13.12
0.71
12.83
10
-5
0
5
10
15
1YR ITD
Strategy Index
Region Weights (%)
3.5
3.2
8.617.2
8.00.0
8.0
49.5
1.9
2.4
3.2
10.6
15.6
7.9
1.6
7.0
51.5
0.0
Australia/New Zealand
Canada
Emerging
Europe ex UK
JapanSoutheast Asia
United Kingdom
United States
Cash + Unrealized G/L
Strategy Index
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
20/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
19MO LLC 2015
GMO Global Focused Equity Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
21/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
20MO LLC 2015
GMO Quality Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The S&P 500 Index is an independently maintained and widely published inde
comprised of U.S. large capitalization stocks. S&P does not guarantee the acc
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 informat
Reproduction of the data or information in any form is prohibited except with
prior written permission of S&P or its third party licensors.
5-Year Risk Profile1
Strategy Benchmark
Alpha 1.91 0.00
Beta 0.79 1.00
R2 0.87 1.00
Sharpe Ratio 1.55 1.45
Std. Deviation 10.09 11.90
Region Weights (%)
17.8
81.1
1.2
0.0
100.0
0.0
Non US
US
Cash
Strategy Benchmark
Characteristics Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 19.8 x 20.2 x
Price/Book - Hist 1 Yr Wtd Avg 3.9 x 2.8 x
Return on Equity - Hist 1 Yr Med 20.0 % 17.5 %
Market Cap - Weighted Median $Bil $116.1 $83.1
Debt/Equity Wtd Med 0.6 x 1.0 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.3 % 2.1 %
Top Holdings2
Company Sector % of Equity
ohnson & Johnson Health Care 4.7
Microsoft Corp. Information Technology 4.6
Procter & Gamble Co. Consumer Staples 4.5
Oracle Corp. Information Technology 4.3
Google Inc. Information Technology 4.3
Total 22.4
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
GICS Sector Weights (%)
5.1
25.0
0.4
0.0
23.9
8.0
34.4
1.2
2.0
0.0
12.8
9.1
7.9
16.615.5
10.1
19.7
3.1
2.3
2.8
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
Total Return (%)
Strategy Benchmark
2Q 2015 -1.46 0.28
YTD 20 15 -1.05 1.23
Annual Total Return (%)2014 12.54 13.69
2013 25.47 32.39
2012 11.81 16.00
2011 11.84 2.11
2010 5.48 15.06
2009 19.89 26.46
2008 -24.08 -37.00
2007 6.04 5.49
2006 12.69 15.80
2005 -0.79 4.91
Annualized Return (%)
5.28
15.66
7.32 6.587.42
17.34
7.89 7.53
0
5
10
15
20
1YR 5YR 10YR ITD
Strategy Benchmark
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
22/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
21MO LLC 2015
GMO Quality Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) -
Gross of Fees, USD (Rep Account) -
S&P 500 +
Value Added -
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
23/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
22MO LLC 2015
GMO Resources Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment of
dividends and other income.
The MSCI ACWI (All Country World) Commodity Producers Index (MSCI Stand
Index Series, net of withholding tax) is an independently maintained and wide
published index comprised of listed large and mid capitalization commodity
producers within the global developed and emerging markets. MSCI data may
be reproduced or used for any other purpose. MSCI provides no warranties, h
not prepared or approved this report, and has no liability hereunder.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Risk Profile Since 12/31/111
Strategy Benchmark
Alpha 3.83 0.00
Beta 1.10 1.00
R2 0.96 1.00
Sharpe Ratio -0.06 -0.28
Std. Deviation 18.41 16.37
Top Country Weights (%)
18.5
13.0
7.9
6.2
5.9
18.4
3.4
2.3
4.9
3.9
United Kingdom
Russia
Japan
Australia
France
Strategy Benchmark
GICS Sector Weights (%)
0.0
1.0
65.0
0.0
0.0
8.1
0.021.3
0.0
4.6
0.0
2.1
68.1
0.0
0.0
0.0
0.0
29.9
0.0
0.0
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information TechnologyMaterials
Telecommunication Services
Utilities
Strategy Benchmark
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 14.1 x 14.1 x
Earnings/Share - F'cast LT Median Growth Rate 5.7 x 6.4 x
Return on Equity - Hist 1 Yr Med 7.7 % 9.7 %
Market Cap - Weighted Median $Bil $22.6 $41.5
Dividend Yield - Hist 1 Yr Wtd Avg 4.7 % 3.8 %
Top Holdings2
Company Country Sector % of Equity
Gazprom OAO Russia Energy 5.1
BP PLC United Kingdom Energy 4.9
Total S.A. France Energy 4.9LukOil OAO Russia Energy 4.9
CNOOC Ltd. China Energy 4.8
Total 24.6
Total Return (%)
Strategy Benchmark
2Q 2015 2.61 -0.79
YTD 2015 1.44 -5.15
Annual Total Return (%)
2014 -16.78 -14.69
2013 4.39 3.31
2012 9.23 1.96
Annualized Return (%)
-24.53
-1.09
-26.03
-4.47
30
25
20
15
10
-5
0
1YR ITD
Strategy Benchmark
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
24/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
23MO LLC 2015
GMO Resources Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI ACWI Commodity Producers -
Value Added +
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
25/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
24MO LLC 2015
roup Exposures (%)1
0
20
40
60
80
00
Europe Value, 48.8
Other Int'l. Opportunistic Value, 3.9
Emerging Markets, 31.5
Cash & Cash Equiv., 1.5
Japan, 14 .4
GMO International All Country Equity Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The MSCI ACWI ex USA + Index is an internally maintained benchmark compu
by GMO, comprised of (i) GMO blended benchmark of International All Count
Equity Allocation Composite through 6/30/2014 and (ii) MSCI ACWI ex USA In
(MSCI Standard Index Series, net of withholding tax) thereafter. The GMO ble
benchmark of International All Country Equity Allocation Composite is compr
of a weighted average of account benchmarks; many of the account benchma
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 th
have. For each underlying account benchmark, the weighting of each market
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 purpo
MSCI provides no warranties, has not prepared or approved this report, and h
no liability hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Intl. Developed Equity Emerging Equity Cash
Total Return (%)
Strategy Benchmark
2Q 2015 1.24 0.53
YTD 2015 4.83 4.03
Annual Total Return (%)2014 -6.21 -3.88
2013 16.71 15.47
2012 16.82 16.90
2011 -11.31 -13.63
2010 12.74 10.82
2009 27.77 40.16
2008 -40.96 -45.26
2007 17.39 16.08
2006 25.91 26.94
2005 19.03 16.71
Annualized Return (%)
-8.83
8.49
5.737.33
-5.26
7.82
5.48 5.60
10
-5
0
5
10
1YR 5YR 10YR ITD
Strategy Benchmark
Top Country Weights (%)
16
14.4
10.7
7.4
5.2
14.5
16.3
6.9
6.4
2.8
United Kingdom
Japan
France
Germany
Taiwan
Strategy Benchmark
5-Year Risk Profile2
Strategy Benchmark
Alpha 0.80 0.00
Beta 0.98 1.00
R2 0.97 1.00
Sharpe Ratio 0.54 0.50
Std. Deviation 15.54 15.54
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 14.8 x 18.1 x
Price/Book - Hist 1 Yr Wtd Avg 1.3 x 1.7 x
Return on Equity - Hist 1 Yr Med 8.3 % 10.8 %
Market Cap - Weighted Median $Bil $23.2 $24.5
Dividend Yield - Hist 1 Yr Wtd Avg 3.8 % 2.9 %
Top Holdings3
Company Country Sector % of Equity
Total S.A. France Energy 3.2
Royal Dutch Shell United Kingdom Energy 3.2
BP PLC United Kingdom Energy 2.7
Nissan Motor Co. Ltd. Japan Consumer Disc. 2.5
AstraZeneca PLC United Kingdom Health Care 2.2
Total 13.8
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
26/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
25MO LLC 2015
GMO International All Country Equity Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI ACWI ex USA +
Value Added +
EMIntlIntl EM
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
27/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
26MO LLC 2015
GMO International Developed Equity Allocation Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The MSCI EAFE ++ Index is an internally maintained benchmark computed by
GMO, comprised of (i) GMO blended benchmark of International Developed
Allocation Composite through 06/30/2014 and (ii) MSCI EAFE (Europe, Austra
and Far East) Index (MSCI Standard Index Series, net of withholding tax) there
The GMO blended benchmark of International Developed Equity Allocation
Composite is comprised of a weighted average of account benchmarks; many
the account benchmarks consist of MSCI EAFE (Europe, Australasia, and Far E
(MSCI Standard Index Series, net of withholding tax) or some like proxy for ea
market exposure they have. For each underlying account benchmark, the
weighting of each market index will vary slightly. The index is internally blend
GMO and maintained on a monthly basis. MSCI data may not be reproduced
used for any other purpose. MSCI provides no warranties, has not prepared o
approved this report, and has no liability hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Intl. Developed Equity Emerging Equity Cash
Total Return (%)
Strategy Benchmark
2Q 2015 1.03 0.62
YTD 2015 5.48 5.52
Annual Total Return (%)2014 -6.03 -4.90
2013 24.13 22.78
2012 17.09 17.32
2011 -9.45 -12.14
2010 10.58 7.93
2009 19.84 32.16
2008 -38.39 -43.33
2007 12.69 11.58
2006 25.50 26.62
2005 15.56 14.41
Annualized Return (%)
-9.01
10.37
5.648.12
-4.22
9.54
5.30 6.29
10
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
Group Exposures (%)1
0
20
40
60
80
00
Europe Value, 64.7
Other Int'l. Opportunistic Value, 4.9Emerging Markets, 9.8Cash & Cash Equiv., 1.5
Japan, 19 .2
op Country Weights (%)
22.3
19.2
14.2
9.9
4.7
20.3
22.9
9.7
8.9
3.5
United Kingdom
Japan
France
Germany
Spain
Strategy Benchmark
5-Year Risk Profile2
Strategy Benchmark
Alpha 1.23 0.00
Beta 0.96 1.00
R2 0.96 1.00
Sharpe Ratio 0.68 0.61
Std. Deviation 15.24 15.60
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 15.8 x 19.1 x
Price/Book - Hist 1 Yr Wtd Avg 1.3 x 1.7 x
Return on Equity - Hist 1 Yr Med 7.8 % 10.6 %
Market Cap - Weighted Median $Bil $28.5 $30.4
Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.0 %
Top Holdings3
Company Country Sector % of Equity
Total S.A. France Energy 4.3
Royal Dutch Shell United Kingdom Energy 4.3
BP PLC United Kingdom Energy 3.5
Nissan Motor Co. Ltd. Japan Consumer Disc. 3.3
AstraZeneca PLC United Kingdom Health Care 2.9
Total 18.3
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
28/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
27MO LLC 2015
GMO International Developed Equity Allocation Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI EAFE +
Value Added +
IntlIntl EM EM
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
29/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
28MO LLC 2015
GMO International Equity Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
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 stock
MSCI EAFE + (Europe, Australasia, and Far East) Index is an internally maintain
benchmark computed by GMO, comprised of (i) the MSCI EAFE (Europe,
Australasia, and Far East) Value Index (MSCI Standard Index Series, net of
withholding tax) through 06/30/2014 and (ii) the MSCI EAFE (Europe, Australa
and Far East) Index (MSCI Standard Index Series, net of withholding tax) there
MSCI data may not be reproduced or used for any other purpose. MSCI provid
no warranties, has not prepared or approved this report, and has no liability
hereunder.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are subject to change and should not be considered arecommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Intl. Developed Equity Cash
Total Return (%)
Strategy MSCI EAFE MSCI EAF
2Q 2015 0.83 0.62 0.62
YTD 201 5 5.23 5.52 5.52
Annual Total Return (%)
2014 -5.96 -4.90 -3.79
2013 25.62 22.78 22.95
2012 12.98 17.32 17.69
2011 -10.18 -12.14 -12.17
2010 7.53 7.75 3.25
2009 21.41 31.78 34.23
2008 -40.31 -43.38 -44.09
2007 10.21 11.17 5.96
2006 25.78 26.34 30.38
2005 13.98 13.54 13.80
Annualized Return (%)
-8.99
9.15
4.44
7.94
-4.22
9.54
5.12 5.34
-4.22
9.59
4.697.0
10
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy MSCI EAFE MSCI EAFE +
Group Exposures (%)1
0
20
40
60
80
100
Europe Value, 71.9
Other Int'l. Opportunistic Value, 5.4Cash & Cash Equiv., 1.5
Japan,21.3
Top Country Weights (%)
24.
21.3
15.8
11.0
5.2
20.3
22.9
9.7
8.9
3.5
United Kingdom
Japan
France
Germany
Spain
Strategy Benchmark
5-Year Risk Profile2
Strategy Benchmark
Alpha 0.03 0.00
Beta 0.95 1.00
R2 0.97 1.00
Sharpe Ratio 0.57 0.58
Std. Deviation 15.82 16.42
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 16.4 x 19.1 x
Price/Cash Flow - Hist 1 Yr Wtd Median 6.4 x 12.1 x
Price/Book - Hist 1 Yr Wtd Avg 1.4 x 1.7 x
Return on Equity - Hist 1 Yr Med 7.6 % 10.6 %
Market Cap - Weighted Median $Bil $30.4 $30.4
Dividend Yield - Hist 1 Yr Wtd Avg 3.7 % 3.0 %
Top Holdings3
Company Country Sector % of Equity
Total S.A. France Energy 4.8
Royal Dutch Shell United Kingdom Energy 4.8
BP PLC United Kingdom Energy 3.9
Nissan Motor Co. Ltd. Japan Consumer Disc. 3.7
AstraZeneca PLC United Kingdom Health Care 3.2
Total 20.4
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
30/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
29MO LLC 2015
GMO International Equity Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
Performance (%)
Net of Fees, USD (Rep Account) +
Gross of Fees, USD (Rep Account) +
MSCI EAFE +
Value Added +
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
31/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
30MO LLC 2015
GMO International Active EAFE Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
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 stock
MSCI data may not be reproduced or used for any other purpose. MSCI provid
no warranties, has not prepared or approved this report, and has no liability
hereunder.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Total Return (%)
Strategy Benchmark
2Q 2015 3.38 0.62
YTD 20 15 9.25 5.52
Annual Total Return (%)
2014 -11.03 -4.90
2013 24.11 22.78
2012 14.92 17.32
2011 -11.65 -12.14
2010 5.01 7.75
2009 25.53 31.78
2008 -41.24 -43.38
2007 10.58 11.17
2006 27.52 26.34
2005 13.52 13.54
Annualized Return (%)
-4.64
8.46
4.43
11.61
-4.22
9.54
5.12
8.90
10
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
5-Year Risk Profile1
Strategy Benchmark
Alpha -1.18 0.00
Beta 1.01 1.00
R2 0.98 1.00
Sharpe Ratio 0.53 0.61
Std. Deviation 15.97 15.60
Top Overweight Holdings2
Company
Sumitomo Mitsui Financial Group Inc. 3.8
Mitsubishi Tokyo Financial Group Inc. 3.6
AstraZeneca PLC 3.2
Nippon Telegraph & Telephone Corp. 2.6
Vodafone Group PLC 2.3
Roche Holding AG 2.2
Zurich Financial Services AG 1.9Asciano Group 1.8
Allianz AG Holding 1.7
Telecom Italia S.p.A. 1.6
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Median 16.2 x 19.1 x
Price/Cash Flow - Hist 1 Yr Wtd Median 8.3 x 12.1 x
Price/Book - Hist 1 Yr Wtd Avg 1.4 x 1.7 x
Dividend Yield - Hist 1 Yr Wtd Avg 3.0 % 3.0 %
GICS Sector Weights (%)
Under/Overweight vs. Benchmark Strategy Benchmark
13.8 13.2
5.2 10.9
4.5 5.2
33.2 26.2
7.5 11.2
8.3 12.6
8.3 4.7
1.0 7.4
13.0 4.9
5.2 3.6
0.6
-5.7
-0.7
7.0-3.7
-4.3
3.6
-6.4
8.1
1.6
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
nformation Tech.
Materials
Telecom. Services
Utilities
Region Weights (%)
3.0
6.4
43.1
21.01.9
19.8
4.7
7.0
0.0
45.2
22.9
4.7
20.3
0.0
Australia/New Zealand
Emerging
Europe ex UK
Japan
Southeast Asia
United Kingdom
Cash + Unrealized G/L
Strategy Benchmark
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
32/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
31MO LLC 2015
GMO International Active EAFE Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
33/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
32MO LLC 2015
GMO International Active Foreign Small Companies Strategy
PERFORMANCE NET OF FEES
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of management
transaction costs and other expenses, but before custody charges, withholdin
taxes, and other indirect expenses. The returns assume the reinvestment ofdividends and other income.
The S&P Developed ex-U.S. Small Cap Index is an independently maintained a
widely published index comprised of the small capitalization stock componen
the S&P Broad Market Index (BMI). The BMI includes listed shares of compan
from developed and emerging countries with a total available market
capitalization (float) of at least the local equivalent of $100 million USD. The S
Developed ex-U.S. Small Cap Index represents the bottom 15% of available m
capitalization (float) of the BMI in each country.
S&P does not guarantee the accuracy, adequacy, completeness or availability
any data or information and is not responsible for any errors or omissions fro
use of such data or information. Reproduction of the data or information in a
form is prohibited except with the prior written permission of S&P or its third
licensors.
Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.
Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.
he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Total Return (%)
Strategy Benchmark
2Q 2015 2.70 4.61
YTD 20 15 9.40 9.25
Annual Total Return (%)
2014 -9.53 -3.42
2013 28.92 26.06
2012 21.64 18.55
2011 -15.21 -14.49
2010 24.76 21.96
2009 47.63 45.07
2008 -45.91 -47.67
2007 8.00 7.32
2006 36.24 29.42
2005 18.91 22.10
Annualized Return (%)
-5.76
11.49
8.3411.00
-1.62
12.02
7.46 7.42
10
-5
0
5
10
15
1YR 5YR 10YR ITD
Strategy Benchmark
Top Overweight Holdings2
Company
Asciano Group 1.6
Mediaset S.p.A. 1.6
Faurecia S.A. 1.4
Telefonica Deutschland Holding AG 1.4
Filtrona PLC 1.4
Kaba Holding AG 1.3
Tyman Plc 1.3Amplifon S.p.A. 1.3
ncitec Pivot Ltd. 1.3
Takara Leben Co. Ltd. 1.3
Characteristics
Strategy BenchmarkPrice/Earnings - Hist 1 Yr Wtd Median 17.8 x 21.8 x
Price/Cash Flow - Hist 1 Yr Wtd Median 11.5 x 13.6 x
Price/Book - Hist 1 Yr Wtd Avg 1.5 x 1.7 x
Dividend Yield - Hist 1 Yr Wtd Avg 2.4 % 2.3 %
GICS Sector Weights (%)
Under/Overweight vs. Benchmark Strategy Benchmark
28.4 18.1
2.3 5.7
3.6 2.8
25.1 22.0
2.5 7.8
18.4 20.8
6.8 8.8
10.0 9.8
2.1 1.6
0.7 2.3
10.3
-3.4
0.8
3.1
-5.3
-2.4
-2.0
0.2
0.5
-1.6
Consumer Disc.
Consumer Staples
Energy
Financials
Health Care
Industrials
nformation Tech.
Materials
Telecom. Services
Utilities
5-Year Risk Profile1
Strategy Benchmark
Alpha -0.14 0.00
Beta 0.97 1.00
R2 0.97 1.00
Sharpe Ratio 0.73 0.75
Std. Deviation 15.70 16.02
Region Weights (%)
5.8
4.3
4.9
37.2
21.5
1.9
20.1
4.3
5.1
7.3
0.0
37.920.3
9.8
19.5
0.0
Australia/New Zealand
Canada
Emerging
Europe ex UKJapan
Southeast Asia
United Kingdom
Cash + Unrealized G/L
Strategy Benchmark
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
34/63
QUARTERLY ATTRIBUTION
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
June 30, 20
33MO LLC 2015
GMO International Active Foreign Small Companies Strategy
erformance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees, transaosts and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other incom
-
7/23/2019 2q 2015 Gmo Quarterly Update 2
35/63
June 30, 20
0 Rowes Wharf | Boston, Massachusetts 02110
617) 330-7500 |
www.gmo.com
TRATEGY PROFILE
34MO LLC 2015
GMO U.S. Equity Allocation Strategy
PERFORMANCE NET OF FEES
Group Exposures (%)1
0
20
40
60
80
100
U.S. Quality, 84.5
Cash & Cash Equiv., 1.0U.S. Opportunistic Value, 14.5
U.S. Equity Cash
Performance data quoted represents past performance and is not predictive
future performance. Returns are shown after the deduction of managemen
fees, transaction costs and other expenses, but before custody charges,
withholding taxes, and other indirect expenses. The returns assume thereinvestment of dividends and other income.
The Russell 3000 +++ Index is an internally maintained benchmark computed
GMO, comprised of (i) GMO blended benchmark of U.S. Equity Allocation
Composite through 06/30/2014 and (ii) Russell 3000 thereafter. The GMO ble
benchmark of U.S. Equity Allocation Composite is comprised of a weighted av
of account benchmarks; many of the account 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 a monthly
basis. 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
information in any form is prohibited except with the prior written permissio
S&P or its third party licensors. Russell Investment Group is the source and ow
of the trademarks, service marks and copyrights related to the Russell Indexe
Russell is a trademark of Russell Investment Group.
The groups indicated above represent exposures determined pursuant toproprietary methodologies and are subject to change over time.Alpha is a measure of risk-adjusted return; Beta is a measure of a portfoliossensitivity to the market; R2 is a measure of how well a portfolio tracks themarket; Sharpe Ratio is the return over the risk free rate per unit of risk; Std.Deviation is a measure of the volatility of a portfolio. Risk profile data is net.Portfolio holdings are percent of equity. They are subject to change and shouldnot be considered a recommendation to buy individual securities.he above information is based on a representative account in the Strategyelected because it has the fewest restrictions and best represents themplementation of the Strategy.
Total Return (%)
Strategy Benchmark
2Q 2015 -0.73 0.14
YTD 20 15 -0.16 1.94
Annual Total Return (%)
2014 9.82 12.76
2013 27.95 32.85
2012 12.25 16.21
2011 9.91 1.58
2010 7.43 16.26
2009 20.54 27.46
2008 -27.87 -37.15
2007 2.25 5.39
2006 9.93 15.71
2005 3.68 5.53
Annualized Return (%)
3.85
15.71
6.45
10.56
7.29
17.48
8.0510.24
0
5
10
15
20
1YR 5YR 10YR ITD
Strategy Benchmark
GICS Sector Weights (%)
9.8
17.5
8.8
2.5
20.0
8.8
31.3
1.3
0.0
0.0
12.8
9.1
7.9
16.6
15.510.1
19.7
3.1
2.3
2.8
Consumer Discretionary
Consumer Staples
Energy
Financials
Health Care
Industrials
Information Technology
Materials
Telecommunication Services
Utilities
Strategy Benchmark
Characteristics
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 20.1 x 20.2 x
Price/Book - Hist 1 Yr Wtd Avg 3.5 x 2.8 x
Return on Equity - Hist 1 Yr Med 19.8 % 17.5 %
Market Cap - Weighted Median $Bil $118.2 $83.1
Dividend Yield - Hist 1 Yr Wtd