EX-99 8 att77p.htm Unassociated Document
 
 
 

GMO Trust
                                
FYE 2/28/11
                                
Attachment Filed in Response to Form N-SAR Sub-Item 77P
                            
                                 
GMO Fund of Fund Allocation %
                                
March, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
10,559,911.64
1.37%
413,469,873.47
13.18%
    
111,718,711.65
5.90%
341,629,618.54
19.56%
        
Alternative Asset Opportunity Fund
                  
20,007,305.04
1.15%
        
Asset Allocation Bond Fund (VI)
        
147,479,986.39
4.70%
    
70,823,458.55
3.74%
61,870,116.92
3.54%
        
Core Plus Bond Fund (Class IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
110,777,385.16
6.34%
        
Domestic Bond Fund (Class VI)
        
151,735,821.85
4.84%
    
37,398,635.78
1.97%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
13,841,321.98
0.44%
    
9,389,167.80
0.50%
35,274,992.16
2.02%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
245,943,721.28
22.64%
106,009,162.66
13.80%
286,046,766.68
9.12%
5,791,954.48
0.51%
13,767,503.42
0.73%
109,392,204.11
6.26%
        
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
22,203,285.22
2.04%
15,274,883.76
1.99%
52,445,462.29
1.67%
22,871,658.81
2.02%
50,059,814.82
2.64%
55,148,385.13
3.16%
12,532,004.48
1.76%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
34,302,384.06
1.09%
    
31,961,619.25
1.69%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
139,249,783.70
18.13%
356,655,682.25
11.37%
                    
International Growth Equity Fund (Class IV)
398,078,286.82
36.64%
71,926,529.18
9.36%
144,909,833.90
4.62%
246,034,991.72
21.75%
313,179,947.95
16.53%
    
343,770,160.30
48.14%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
399,089,443.96
36.73%
71,659,020.38
9.33%
144,718,482.83
4.61%
246,324,535.97
21.77%
312,269,146.47
16.48%
    
343,428,937.71
48.10%
    
International Small Companies Fund
21,119,608.46
1.94%
13,626,013.24
1.77%
61,265,395.25
1.95%
21,691,687.24
1.92%
40,313,197.88
2.13%
127,126,045.13
7.28%
14,313,777.47
2.00%
    
Quality Fund (Class VI)
    
299,646,857.31
39.01%
965,586,136.67
30.78%
415,119,919.48
36.69%
690,131,278.97
36.43%
580,717,750.66
33.25%
    
66,156,802.09
49.18%
Real Estate Fund
                                
Short-Duration Investment Fund
    
137,689.61
0.02%
2,917,502.20
0.09%
                    
Special Situations Fund
        
93,821,263.59
2.99%
    
47,211,756.64
2.49%
51,220,209.92
2.93%
        
SPV
    
31.55
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
245,167,848.47
7.82%
    
78,366,787.34
4.14%
233,075,692.16
13.35%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
39,991,228.31
5.21%
0.00
0.00%
173,528,799.92
15.34%
79,267,528.33
4.18%
  
0.00%
    
65,876,927.15
48.97%
U.S. Growth Fund
    
18,273.62
0.00%
          
0.00%
            
U.S. Small/Mid Cap Growth Fund
                            
1,179,415.25
0.88%
U.S. Small/Mid Cap Value Fund
                            
1,314,907.51
0.98%
World Opportunity Overlay Fund
        
22,286,050.88
0.71%
    
8,495,960.39
0.45%
20,066,258.06
1.15%
        
                                 
Total Market Value
1,086,434,345.74
100.00%
768,099,384.96
100.00%
3,136,649,812.76
100.00%
1,131,363,547.62
100.00%
1,894,354,515.24
100.00%
1,746,305,962.99
100.00%
714,044,879.96
100.00%
134,528,052.00
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
April, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
                      10,797,343.40
1.33%
                                 413,117,155.46
13.27%
    
                                   112,344,583.27
5.95%
                         350,069,090.34
19.59%
        
Alternative Asset Opportunity Fund
                  
                           20,373,605.03
1.14%
        
Asset Allocation Bond Fund (VI)
        
                                 148,209,046.76
4.76%
    
                                     71,929,115.19
3.81%
                           71,685,071.68
4.01%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
                         148,246,517.57
8.30%
        
Domestic Bond Fund (Class VI)
        
                                 146,096,990.64
4.69%
    
                                     36,008,821.61
1.91%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
                                   14,165,727.96
0.45%
    
                                       9,609,226.42
0.51%
                           36,902,128.84
2.07%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              255,512,201.59
23.72%
                    116,901,239.28
14.35%
                                 307,985,178.59
9.89%
                                          12,931,745.39
1.15%
                                     14,918,545.65
0.79%
                         135,228,101.12
7.57%
                                           4,575,976.86
0.65%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                22,720,408.32
2.11%
                      16,140,848.53
1.98%
                                   53,339,925.73
1.71%
                                          23,434,626.44
2.09%
                                     51,225,727.25
2.71%
                           56,432,812.34
3.16%
                                         12,823,879.71
1.82%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
                                   35,536,680.38
1.14%
    
                                     33,111,688.26
1.75%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
                    160,269,385.95
19.68%
                                 392,291,304.36
12.60%
                    
International Growth Equity Fund (Class IV)
                              392,081,779.27
36.40%
                      76,216,919.26
9.36%
                                 141,343,425.67
4.54%
                                        250,522,601.65
22.33%
                                   327,132,167.07
17.32%
    
                                       338,059,245.02
48.02%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              392,389,894.44
36.42%
                      77,305,178.02
9.49%
                                 141,556,274.94
4.55%
                                        250,297,459.61
22.31%
                                   326,268,421.11
17.28%
    
                                       338,562,792.19
48.09%
    
International Small Companies Fund
                                14,573,300.21
1.35%
                        9,520,075.76
1.17%
                                   41,123,393.76
1.32%
                                          15,051,442.49
1.34%
                                     28,212,032.13
1.49%
                           90,907,900.20
5.09%
                                           9,992,258.18
1.42%
    
Quality Fund (Class VI)
    
                    300,939,799.85
36.95%
                                 918,400,409.71
29.49%
                                        395,766,288.89
35.28%
                                   665,281,050.58
35.23%
                         575,555,597.95
32.21%
    
                    62,075,282.71
48.92%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           138,791.98
0.02%
                                     2,939,086.68
0.09%
                    
Special Situations Fund
        
                                   93,982,122.99
3.02%
    
                                     47,177,345.74
2.50%
                           51,182,877.41
2.86%
        
SPV
    
                                    29.80
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
                                 241,674,524.30
7.76%
    
                                     77,250,162.13
4.09%
                         229,754,665.46
12.86%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      46,197,753.36
5.67%
  
0.00%
                                        173,718,091.93
15.49%
                                     79,250,577.32
4.20%
        
                    62,374,190.28
49.15%
U.S. Growth Fund (III)
    
                                      1.24
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
                      1,152,082.71
0.91%
U.S. Small/Mid Cap Value Fund
                            
                      1,294,327.48
1.02%
World Opportunity Overlay Fund
        
                                   22,575,211.87
0.72%
    
                                       8,606,195.28
0.46%
                           20,326,617.29
1.14%
        
                                 
Total Market Value
1,077,277,583.83
100.00%
814,427,366.43
100.00%
3,114,336,459.80
100.00%
1,121,722,256.40
100.00%
1,888,325,659.01
100.00%
1,786,664,985.23
100.00%
704,014,151.96
100.00%
126,895,883.18
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
May, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
10,797,343.41
1.34%
                                 431,903,195.06
14.77%
    
                                   129,026,987.23
7.25%
                         274,211,151.38
17.12%
        
Alternative Asset Opportunity Fund
                  
                           19,538,441.07
1.22%
        
Asset Allocation Bond Fund (VI)
        
                                 148,597,806.67
5.08%
    
                                     75,446,900.89
4.24%
                           72,937,860.24
4.55%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
                         130,835,995.68
8.17%
        
Domestic Bond Fund (Class VI)
        
                                 144,559,127.58
4.94%
    
                                     35,629,781.20
2.00%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
                                   13,455,124.38
0.46%
    
                                       9,127,193.25
0.51%
                           35,050,986.07
2.19%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              233,079,823.51
24.33%
                    119,166,289.30
14.81%
                                 284,722,994.17
9.74%
  
#DIV/0!
                                     19,437,690.00
1.09%
                         133,723,460.90
8.35%
                                           7,298,527.55
1.20%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                20,178,803.32
2.11%
                      14,335,262.08
1.78%
                                   47,373,086.58
1.62%
  
#DIV/0!
                                     45,542,489.75
2.56%
                           50,290,048.21
3.14%
                                         11,088,359.32
1.83%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
                                   35,481,413.51
1.21%
    
                                     33,060,193.17
1.86%
            
International Bond Fund (Class III)
          
0.00%
                    
International Core Equity Fund (VI)
  
                    171,015,672.92
21.26%
                                 350,193,389.06
11.98%
                    
International Growth Equity Fund (Class IV)
                              348,022,170.01
36.33%
                      67,777,359.56
8.42%
                                 119,741,508.97
4.10%
  
#DIV/0!
                                   295,539,422.76
16.60%
    
                                       291,595,731.49
48.08%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              347,686,663.24
36.29%
                      67,824,421.18
8.43%
                                 118,698,325.28
4.06%
  
#DIV/0!
                                   293,342,875.86
16.48%
    
                                       290,331,767.37
47.87%
    
International Small Companies Fund
                                  9,081,628.73
0.95%
                        5,981,902.71
0.74%
                                   25,142,621.36
0.86%
  
#DIV/0!
                                     17,869,121.60
1.00%
                           58,039,254.73
3.62%
                                           6,133,994.95
1.01%
    
Quality Fund (Class VI)
    
                    302,675,190.94
37.62%
                                 829,031,333.66
28.36%
  
#DIV/0!
                                   607,828,858.61
34.14%
                         503,920,952.19
31.45%
    
                    57,877,097.47
49.22%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           138,791.98
0.02%
                                     2,939,086.69
0.10%
                    
Special Situations Fund
        
                                 107,600,027.28
3.68%
    
                                     59,879,216.52
3.36%
                           73,519,400.17
4.59%
        
SPV
    
                                    29.80
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
                                 241,515,736.21
8.26%
    
                                     77,199,406.41
4.34%
                         229,603,709.56
14.33%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      44,865,695.53
5.58%
  
0.00%
  
#DIV/0!
                                     72,796,391.32
4.09%
        
                    57,432,862.88
48.84%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
                      1,079,271.10
0.92%
U.S. Small/Mid Cap Value Fund
                            
                      1,201,248.31
1.02%
World Opportunity Overlay Fund
        
                                   22,657,829.30
0.77%
    
                                       8,637,690.96
0.49%
                           20,401,005.65
1.27%
        
                                 
Total Market Value
958,049,088.81
100.00%
804,577,959.41
100.00%
2,923,612,605.76
100.00%
0.00
#DIV/0!
1,780,364,219.53
100.00%
1,602,072,265.85
100.00%
606,448,380.68
100.00%
117,590,479.76
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
June, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
11,176,099.80
1.39%
393,318,650.71
13.30%
    
                                     81,536,219.66
4.64%
354,960,219.45
21.01%
        
Alternative Asset Opportunity Fund
                  
19,523,789.07
1.16%
        
Asset Allocation Bond Fund (VI)
        
117,709,447.32
3.98%
    
                                     25,678,191.66
1.46%
57,929,907.13
3.43%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
198,113,314.02
11.72%
        
Domestic Bond Fund (Class VI)
        
141,483,401.46
4.78%
    
                                     34,871,700.75
1.98%
            
Emerging Countries Fund
      
0.00%
                        
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
14,057,592.63
0.48%
    
                                       9,535,873.55
0.54%
36,620,433.20
2.17%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              249,527,203.10
25.89%
                    130,673,087.27
16.24%
341,031,942.38
11.53%
                                          34,067,512.68
3.46%
                                     85,813,845.06
4.88%
171,149,697.63
10.13%
15,158,117.21
2.49%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                19,584,661.89
2.03%
                      14,201,353.07
1.77%
46,213,266.00
1.56%
                                          20,257,969.32
2.06%
                                     44,201,544.04
2.52%
48,809,316.15
2.89%
10,761,875.46
1.77%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
35,923,549.51
1.21%
    
                                     33,472,158.19
1.91%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
                    181,264,880.31
22.53%
448,533,944.22
15.17%
                    
International Growth Equity Fund (Class IV)
                              347,424,512.65
36.04%
                      69,538,411.41
8.64%
120,950,898.14
4.09%
                                        234,943,712.33
23.89%
                                   322,481,667.46
18.35%
    
292,913,041.32
48.05%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              347,394,130.24
36.04%
                      68,670,503.09
8.53%
119,491,790.67
4.04%
                                        234,908,960.42
23.88%
                                   316,876,989.77
18.04%
    
290,824,882.15
47.70%
    
International Small Companies Fund
                    
0.00%
        
Quality Fund (Class VI)
    
                    297,364,513.64
36.96%
758,431,088.66
25.65%
                                        335,385,078.08
34.10%
                                   536,974,068.12
30.56%
443,525,640.87
26.25%
    
56,381,300.90
49.64%
Real Estate Fund
                                
Short-Duration Investment Fund
    
                           139,131.74
0.02%
2,946,281.52
0.10%
                    
Special Situiations Fund
        
151,163,957.94
5.11%
    
                                   109,883,612.39
6.25%
107,389,525.10
6.36%
        
SPV
    
                                    29.80
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
243,262,398.34
8.23%
    
                                     77,757,719.01
4.43%
231,264,222.91
13.69%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
                      31,567,796.64
3.92%
  
0.00%
                                        123,943,437.38
12.60%
                                     69,156,571.76
3.94%
        
55,107,820.72
48.52%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
997,242.81
0.88%
U.S. Small/Mid Cap Value Fund
                            
1,090,607.02
0.96%
World Opportunity Overlay Fund
        
22,771,428.26
0.77%
    
                                       8,680,997.53
0.49%
20,503,289.63
1.21%
        
                                 
Total Market Value
963,930,507.88
100.00%
804,595,806.77
100.00%
2,957,289,637.76
100.00%
983,506,670.21
100.00%
1,756,921,158.95
100.00%
1,689,789,355.16
100.00%
609,657,916.14
100.00%
113,576,971.45
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
July, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund/4061
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
11,284,288.95
1.26%
409,164,050.39
12.95%
    
88,664,234.16
4.73%
356,664,108.57
20.34%
        
Alternative Asset Opportunity Fund
                  
20,014,631.04
1.14%
        
Asset Allocation Bond Fund (VI)
        
144,096,109.85
4.56%
    
32,140,636.22
1.72%
62,350,124.12
3.56%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
207,479,121.93
11.83%
        
Domestic Bond Fund (Class VI)
        
134,563,017.69
4.26%
    
33,166,019.74
1.77%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
14,920,429.46
0.47%
    
10,121,173.11
0.54%
38,868,147.96
2.22%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
                              293,292,396.73
26.27%
149,700,528.02
16.77%
380,046,378.59
12.03%
37,970,892.72
3.55%
95,048,736.16
5.07%
189,628,647.93
10.81%
20,366,423.57
3.01%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
                                20,621,918.74
1.85%
14,478,513.49
1.62%
46,555,828.95
1.47%
20,246,588.44
1.89%
44,176,711.71
2.36%
48,781,895.19
2.78%
10,755,829.46
1.59%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
36,107,772.84
1.14%
    
33,643,810.29
1.80%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
206,505,770.59
23.14%
497,373,821.26
15.74%
                    
International Growth Equity Fund (Class IV)
                              400,419,439.67
35.86%
77,173,281.55
8.65%
132,258,319.58
4.19%
261,279,315.02
24.45%
350,555,443.05
18.71%
    
322,292,226.28
47.60%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
                              402,242,521.73
36.02%
77,124,237.56
8.64%
132,591,126.28
4.20%
260,747,871.48
24.40%
348,676,025.44
18.61%
    
323,689,421.94
47.80%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
321,963,895.22
36.08%
804,162,728.60
25.46%
356,881,883.64
33.40%
566,485,378.99
30.23%
467,876,395.54
26.68%
    
59,419,060.01
49.10%
Real Estate Fund
                                
Short-Duration Investment Fund
    
139,428.06
0.02%
2,952,556.34
0.09%
                    
Special Situations Fund
        
156,417,424.35
4.95%
    
110,992,718.01
5.92%
108,574,503.88
6.19%
        
SPV
    
29.80
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
244,850,273.00
7.75%
    
78,265,275.92
4.18%
232,773,780.50
13.27%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
34,102,401.53
3.82%
  
0.00%
131,437,970.42
12.30%
73,338,287.41
3.91%
        
59,340,134.16
49.04%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,081,689.38
0.89%
U.S. Small/Mid Cap Value Fund
                            
1,171,676.58
0.97%
World Opportunity Overlay Fund
        
22,885,027.22
0.72%
    
8,724,304.09
0.47%
20,605,573.61
1.18%
        
                                 
Total Market Value
1,116,576,276.87
100.00%
892,472,374.77
100.00%
3,158,944,864.40
100.00%
1,068,564,521.72
100.00%
1,873,998,754.30
100.00%
1,753,616,930.27
100.00%
677,103,901.25
100.00%
121,012,560.13
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
August, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
11,508,165.60
1.30%
422,674,277.25
13.54%
    
105,251,400.16
5.31%
365,054,690.61
20.77%
        
Alternative Asset Opportunity Fund
                  
19,904,741.05
1.13%
        
Asset Allocation Bond Fund (VI)
        
149,473,714.39
4.79%
    
43,923,176.48
2.22%
69,509,661.70
3.96%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
203,723,868.27
11.59%
        
Domestic Bond Fund (Class VI)
        
123,541,665.77
3.96%
    
30,449,564.79
1.54%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
15,291,023.28
0.49%
    
10,372,562.94
0.52%
39,833,555.53
2.27%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
287,352,437.09
26.56%
146,810,040.07
16.58%
373,684,946.95
11.97%
32,934,568.20
3.18%
101,291,483.13
5.11%
187,742,009.21
10.68%
20,359,162.70
3.04%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
19,607,917.08
1.81%
13,900,675.12
1.57%
44,735,059.95
1.43%
19,438,545.84
1.88%
42,435,583.36
2.14%
46,835,006.73
2.67%
10,326,563.64
1.54%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
37,178,651.11
1.19%
    
36,332,694.27
1.83%
            
International Bond Fund (Class III)
          
0.00%
                    
International Core Equity Fund (VI)
  
206,336,889.38
23.31%
482,519,573.95
15.46%
                    
International Growth Equity Fund (Class IV)
389,102,167.45
35.96%
75,976,578.12
8.58%
129,901,113.78
4.16%
255,979,288.45
24.71%
367,504,881.27
18.55%
    
323,007,449.62
48.22%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
386,036,662.93
35.67%
74,910,653.62
8.46%
128,478,709.76
4.12%
252,770,735.72
24.40%
362,909,401.30
18.32%
    
316,237,080.69
47.20%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
322,435,939.84
36.42%
782,066,899.21
25.05%
347,974,681.88
33.59%
601,776,064.14
30.37%
458,410,264.06
26.09%
    
58,436,055.19
49.42%
Real Estate Fund
                                
Short-Duration Investment Fund
    
139,938.78
0.02%
2,963,371.57
0.09%
                    
Special Situations Fund
        
155,468,033.16
4.98%
    
117,949,303.93
5.95%
107,523,622.93
6.12%
        
SPV
    
29.80
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
250,566,621.79
8.03%
    
80,092,480.81
4.04%
238,208,187.83
13.55%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
33,210,275.94
3.75%
  
0.00%
126,808,061.48
12.24%
72,330,995.86
3.65%
        
57,697,409.45
48.79%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,018,060.59
0.86%
U.S. Small/Mid Cap Value Fund
                            
1,094,268.52
0.93%
World Opportunity Overlay Fund
        
22,895,354.40
0.73%
    
8,728,241.05
0.44%
20,614,872.16
1.17%
        
                                 
Total Market Value
1,082,099,184.55
100.00%
885,229,186.27
100.00%
3,121,439,016.32
100.00%
1,035,905,881.57
100.00%
1,981,347,833.49
100.00%
1,757,360,480.08
100.00%
669,930,256.65
100.00%
118,245,793.75
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
September, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund/4061
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
11,484,534.87
1.16%
420,139,892.10
12.85%
    
106,120,115.96
4.98%
364,675,902.22
19.89%
        
Alternative Asset Opportunity Fund
                  
20,879,099.00
1.14%
        
Asset Allocation Bond Fund (VI)
        
147,041,357.20
4.50%
    
43,906,775.00
2.06%
69,402,597.93
3.79%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
216,165,020.53
11.79%
        
Domestic Bond Fund (Class VI)
        
121,491,181.69
3.72%
    
29,944,177.82
1.40%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
15,790,519.29
0.48%
    
10,711,392.71
0.50%
41,134,757.02
2.24%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
320,577,249.07
26.68%
166,285,785.16
16.85%
408,605,625.42
12.50%
36,623,667.56
3.22%
92,268,557.92
4.33%
209,081,270.34
11.40%
22,639,653.33
3.03%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
19,583,818.70
1.63%
13,957,645.10
1.41%
44,266,863.28
1.35%
19,518,212.01
1.71%
42,609,499.68
2.00%
47,026,953.48
2.57%
10,368,885.63
1.39%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
36,728,630.24
1.12%
    
36,874,973.29
1.73%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
234,052,551.12
23.72%
526,316,133.39
16.10%
                    
International Growth Equity Fund (Class IV)
431,903,481.13
35.95%
84,435,826.00
8.56%
142,308,819.40
4.35%
284,459,580.92
24.98%
416,782,776.62
19.54%
    
358,062,926.34
47.95%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
429,467,460.37
35.74%
83,465,017.53
8.46%
139,873,022.94
4.28%
280,714,901.95
24.66%
412,581,423.42
19.35%
    
355,703,131.86
47.63%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
356,444,041.09
36.13%
834,537,825.82
25.53%
378,461,681.43
33.24%
652,766,490.48
30.61%
497,392,265.57
27.13%
    
62,393,004.20
49.16%
Real Estate Fund
                                
Short-Duration Investment Fund
    
140,619.75
0.01%
2,977,791.87
0.09%
                    
Special Situations Fund
        
156,595,394.91
4.79%
    
120,558,606.11
5.65%
109,902,285.76
5.99%
        
SPV
    
28.04
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
249,296,322.06
7.63%
    
79,686,435.28
3.74%
237,000,541.76
12.93%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
36,342,685.33
3.68%
  
0.00%
138,768,659.57
12.19%
79,153,290.60
3.71%
        
62,144,069.73
48.96%
U.S. Growth Fund (III)
      
0.00%
  
0.00%
                    
U.S. Small/Mid Cap Growth Fund
                            
1,153,617.57
0.91%
U.S. Small/Mid Cap Value Fund
                            
1,235,010.45
0.97%
World Opportunity Overlay Fund
        
23,008,953.36
0.70%
    
8,771,547.62
0.41%
20,717,156.14
1.13%
        
                                 
Total Market Value
1,201,532,009.27
100.00%
986,608,733.99
100.00%
3,268,978,332.97
100.00%
1,138,546,703.44
100.00%
2,132,736,062.51
100.00%
1,833,377,849.75
100.00%
746,774,597.16
100.00%
126,925,701.95
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
October, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
13,176,487.30
1.12%
427,086,453.97
12.76%
    
106,933,367.46
4.95%
381,238,354.49
19.97%
        
Alternative Asset Opportunity Fund
                  
21,897,412.95
1.15%
        
Asset Allocation Bond Fund (VI)
        
152,223,769.11
4.55%
    
44,021,585.39
2.04%
86,812,060.91
4.55%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
227,098,779.90
11.89%
        
Domestic Bond Fund (Class VI)
        
122,260,113.22
3.65%
    
30,133,697.93
1.40%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
16,354,466.41
0.49%
    
11,093,942.45
0.51%
42,603,855.49
2.23%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
326,939,534.66
26.27%
195,668,392.69
16.70%
413,963,776.14
12.36%
37,458,438.85
3.17%
92,554,194.60
4.29%
215,569,337.77
11.29%
22,615,508.18
3.00%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
19,426,706.73
1.56%
13,794,873.73
1.18%
43,750,631.64
1.31%
19,290,594.38
1.63%
42,112,595.90
1.95%
46,478,534.20
2.43%
9,934,573.86
1.32%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
37,862,896.76
1.13%
    
38,013,759.23
1.76%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
279,372,408.58
23.85%
540,422,304.99
16.14%
                    
International Growth Equity Fund (Class IV)
449,660,250.13
36.13%
100,160,855.88
8.55%
147,655,301.02
4.41%
296,108,750.49
25.02%
422,313,547.46
19.55%
    
360,838,216.21
47.92%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
448,427,006.24
36.03%
100,222,589.50
8.55%
145,041,076.10
4.33%
291,086,805.72
24.60%
420,915,244.52
19.49%
    
359,663,370.79
47.76%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
420,681,576.07
35.91%
869,061,083.05
25.96%
395,525,717.69
33.42%
663,421,596.79
30.72%
525,915,661.81
27.54%
    
64,958,883.46
49.20%
Real Estate Fund
                                
Short-Duration Investment Fund
    
140,969.18
0.01%
2,985,191.45
0.09%
                    
Special Situations Fund
        
154,125,254.79
4.60%
    
118,656,911.30
5.49%
108,168,684.04
5.66%
        
SPV
    
28.04
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
252,254,266.10
7.53%
    
78,466,079.91
3.63%
233,075,692.02
12.21%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
48,297,273.92
4.12%
  
0.00%
144,017,711.23
12.17%
82,491,727.24
3.82%
        
64,575,280.46
48.91%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,216,838.69
0.92%
U.S. Small/Mid Cap Value Fund
                            
1,281,812.55
0.97%
World Opportunity Overlay Fund
        
22,895,354.40
0.68%
    
8,728,241.05
0.40%
20,614,872.16
1.08%
        
                                 
Total Market Value
1,244,453,497.76
100.00%
1,171,515,454.89
100.00%
3,347,941,939.15
100.00%
1,183,488,018.36
100.00%
2,159,856,491.23
100.00%
1,909,473,245.74
100.00%
753,051,669.04
100.00%
132,032,815.16
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
November, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
13,531,928.22
1.14%
450,965,881.74
13.71%
    
105,399,487.19
4.99%
376,138,966.62
20.01%
        
Alternative Asset Opportunity Fund
                  
21,977,998.95
1.17%
        
Asset Allocation Bond Fund (VI)
        
153,596,448.39
4.67%
    
44,154,516.01
2.09%
86,779,716.63
4.62%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
225,974,144.89
12.02%
        
Domestic Bond Fund (Class VI)
        
123,029,044.75
3.74%
    
30,323,218.05
1.44%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
15,919,421.49
0.48%
    
10,798,832.65
0.51%
41,470,550.96
2.21%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
323,079,538.38
26.91%
198,336,429.64
16.75%
392,897,068.59
11.94%
33,452,328.73
3.04%
90,260,004.23
4.27%
208,898,314.32
11.11%
22,142,743.79
3.04%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
20,345,621.45
1.69%
14,511,067.76
1.23%
36,271,405.84
1.10%
12,093,684.60
1.10%
32,968,527.73
1.56%
48,891,579.04
2.60%
10,492,181.71
1.44%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
37,358,778.31
1.14%
    
37,507,632.15
1.78%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
278,759,040.78
23.55%
499,344,438.76
15.18%
                    
International Growth Equity Fund (Class IV)
432,333,317.41
36.00%
101,515,116.69
8.58%
143,751,998.99
4.37%
278,145,643.69
25.25%
385,828,198.68
18.27%
    
353,049,977.51
48.50%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
425,003,195.54
35.39%
98,193,116.43
8.29%
137,321,746.15
4.17%
272,784,626.75
24.76%
376,193,001.96
17.81%
    
342,293,940.10
47.02%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
419,199,831.90
35.41%
829,832,558.47
25.23%
404,137,417.36
36.69%
691,978,800.25
32.76%
510,586,820.88
27.16%
    
44,773,344.30
48.62%
Real Estate Fund
                                
Short-Duration Investment Fund
    
141,310.10
0.01%
2,992,410.78
0.09%
                    
Special SIT Fund-Class VI
        
154,262,462.75
4.69%
    
118,878,038.60
5.63%
108,370,265.63
5.77%
        
Special Situations Fund
                      
0.00%
        
SPV
    
28.04
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
289,001,903.43
8.79%
    
97,932,071.91
4.64%
229,905,621.08
12.23%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
59,596,455.48
5.03%
    
100,958,677.68
9.16%
80,945,007.35
3.83%
        
45,312,304.63
49.20%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,048,762.24
1.14%
U.S. Small/Mid Cap Value Fund
                            
957,023.06
1.04%
World Opportunity Overlay Fund
        
23,091,570.79
0.70%
    
8,803,043.30
0.42%
20,791,544.50
1.11%
        
                                 
Total Market Value
1,200,761,672.78
100.00%
1,183,784,325.04
100.00%
3,289,637,139.23
100.00%
1,101,572,378.81
100.00%
2,111,970,380.06
100.00%
1,879,785,523.50
100.00%
727,978,843.11
100.00%
92,091,434.23
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
December, 2010
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
15,063,859.37
1.07%
442,840,996.20
13.28%
    
102,129,014.54
4.71%
441,718,161.18
19.06%
        
Alternative Asset Opportunity Fund
                  
24,470,223.51
1.06%
        
Asset Allocation Bond Fund (VI)
        
105,483,289.06
3.16%
    
42,721,748.22
1.97%
101,388,537.11
4.37%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
287,028,995.66
12.38%
        
Domestic Bond Fund (Class VI)
        
118,766,726.28
3.56%
    
29,805,819.95
1.37%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
15,394,797.45
0.46%
    
10,590,651.66
0.49%
49,967,811.10
2.16%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
343,042,232.76
27.07%
239,043,609.90
16.90%
413,730,263.43
12.40%
36,220,007.36
3.05%
94,881,742.64
4.37%
269,142,951.88
11.61%
22,970,034.06
      
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund (Class IV)
            
12,894,010.20
1.09%
                
Flexible Equities Fund-Class (VI)
21,302,512.58
1.68%
17,210,792.47
1.22%
38,805,613.79
1.16%
    
34,049,919.70
1.57%
54,125,740.05
2.34%
10,854,468.29
1.44%
    
Inflation Indexed Plus Bond Fund (Class VI)
      
0.00
0.00%
      
0.00%
            
International Bond Fund (Class III)
                  
0.00%
            
International Core Equity Fund (VI)
  
336,809,568.19
23.82%
523,061,922.20
15.68%
                    
International Growth Equity Fund (Class IV)
451,542,145.91
35.63%
120,367,242.24
8.51%
146,205,316.89
4.38%
299,531,559.06
25.25%
403,456,505.90
18.60%
    
360,593,501.38
47.76%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
451,544,699.27
35.63%
119,771,613.25
8.47%
146,871,793.12
4.40%
298,908,438.50
25.19%
397,779,096.59
18.33%
    
360,603,954.51
47.76%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
495,130,777.50
35.01%
856,550,169.04
25.68%
431,465,465.40
36.37%
712,542,970.29
32.84%
644,515,554.84
27.81%
    
47,152,542.62
48.58%
Real Estate Fund
                                
Short-Duration Investment Fund
    
141,767.27
0.01%
3,002,091.98
0.09%
                    
Special SIT Fund-Class VI
        
143,945,884.39
4.32%
    
116,740,642.25
5.38%
129,815,527.71
5.60%
        
Special Situations Fund
                                
SPV
    
28.04
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
357,555,557.11
10.72%
    
132,791,548.10
6.12%
293,888,066.50
12.68%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
70,553,341.65
4.99%
    
107,371,126.37
9.05%
83,399,138.62
3.84%
        
47,806,413.73
49.25%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,096,751.59
1.13%
U.S. Small/Mid Cap Value Fund
                            
1,008,492.30
1.04%
World Opportunity Overaly Fund
        
23,194,842.57
0.70%
    
8,636,234.98
0.40%
21,830,428.50
0.94%
        
                                 
Total Market Value
1,267,431,590.52
100.00%
1,414,092,599.88
100.00%
3,335,409,263.51
100.00%
1,186,390,606.89
100.00%
2,169,525,033.44
100.00%
2,317,891,998.04
100.00%
755,021,958.24
96.96%
97,064,200.24
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
January, 2011
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
14,962,000.93
1.05%
446,735,233.89
13.32%
    
81,738,066.15
4.37%
514,541,818.18
18.99%
        
Alternative Asset Opportunity Fund
                  
24,592,727.75
0.91%
        
Asset Allocation Bond Fund (VI)
        
104,710,305.95
3.12%
    
13,514,792.26
0.72%
141,390,481.51
5.22%
        
Core Plus Bond Fund (Class (IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
326,378,495.45
12.05%
        
Domestic Bond Fund (Class VI)
        
111,881,698.67
3.34%
    
28,077,946.33
1.50%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class III)
                              
Emerging Country Debt Fund (Class IV)
      
15,327,053.56
0.46%
    
10,544,048.13
0.56%
54,701,038.55
2.02%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
339,801,260.76
26.83%
236,788,801.76
16.64%
411,686,651.01
12.28%
36,158,762.87
3.00%
79,749,635.16
4.27%
309,353,645.86
11.42%
22,886,277.44
2.98%
    
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
21,405,589.25
1.69%
17,315,146.91
1.22%
38,987,685.93
1.16%
12,997,703.70
1.08%
29,283,740.75
1.57%
58,563,371.07
2.16%
10,919,710.70
1.42%
    
Inflation Indexed Plus Bond Fund (Class VI)
        
0.00%
      
0.00%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
341,323,095.55
23.99%
532,144,056.60
15.87%
                    
International Growth Equity Fund (Class IV)
448,826,158.21
35.43%
120,307,041.18
8.46%
145,931,645.71
4.35%
300,402,517.49
24.93%
341,958,464.58
18.30%
    
361,353,767.48
47.10%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
456,656,992.20
36.05%
123,706,687.04
8.69%
150,448,875.38
4.49%
309,322,853.42
25.67%
351,638,419.47
18.82%
    
372,039,735.87
48.49%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
497,351,166.90
34.96%
860,219,836.32
25.65%
437,155,536.56
36.28%
629,250,210.09
33.68%
746,797,831.84
27.56%
    
46,686,052.79
48.76%
Real Estate Fund
                                
Short-Duration Investment Fund
    
142,279.68
0.01%
3,012,942.92
0.09%
                    
Special SIT Fund-Class VI
        
147,119,617.66
4.39%
    
100,402,058.15
5.37%
148,427,987.82
5.48%
        
Special Situations Fund
                                
SPV
    
26.29
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
361,575,692.34
10.78%
    
136,349,095.52
7.30%
362,923,183.65
13.39%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
70,876,082.54
4.98%
    
108,833,591.41
9.03%
57,167,558.97
3.06%
        
46,936,252.27
49.02%
U.S. Growth Fund (III)
      
0.00%
                        
U.S. Small/Mid Cap Growth Fund
                            
1,114,817.51
1.16%
U.S. Small/Mid Cap Value Fund
                            
1,009,773.74
1.05%
World Opportunity Overlay Fund
        
23,308,441.54
0.70%
    
8,678,531.76
0.46%
21,937,345.11
0.81%
        
                                 
Total Market Value
1,266,690,000.42
100.00%
1,422,772,328.78
100.00%
3,353,089,737.48
100.00%
1,204,870,965.45
100.00%
1,868,352,567.32
100.00%
2,709,607,926.79
100.00%
767,199,491.49
100.00%
95,746,896.31
100.00%
                                 
                                 
                                 
                                 
GMO Fund of Fund Allocation %
                                
February, 2011
                                
 
International Equity Allocation Fund
Global Equity Allocation Fund
Global Balanced Asset Allocation Fund
World Opportunity Equity Allocation Fund
Strategic Opportunities Allocation Fund
Benchmark-Free Allocation Fund
International Opp. Equity Allocation Fund
U.S. Equity Allocation Fund
Name of Fund Owned
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
Market Value
% of Total MV
                                 
Alpha Only Fund (Class IV)
    
14,838,774.36
1.00%
444,111,503.54
13.06%
    
76,497,349.71
4.42%
599,486,048.59
19.10%
        
Alternative Asset Allocation Fund
                    
24,921,957.92
0.79%
        
Asset Allocation Bond Fund (VI)
        
108,350,120.17
3.19%
    
19,060,718.71
1.10%
244,450,911.34
7.79%
        
Core Plus Bond Fund (Class IV)
                                
Currency Hedged International Bond Fund
                              
Currency Hedged International Equity Fund
                  
363,301,367.53
11.57%
        
Domestic Bond Fund (Class VI)
        
112,619,380.19
3.31%
    
28,263,075.65
1.63%
            
Emerging Countries Fund
                                
Emerging Country Debt Fund (Class IV)
      
15,394,797.45
0.45%
    
10,590,651.66
0.61%
54,942,811.10
1.75%
        
Emerging Markets Fund (Class III)
                                
Emerging Markets Fund (Class IV)
                                
Emerging Markets Fund (Class VI)
331,226,965.19
25.93%
238,829,623.60
16.07%
407,920,924.13
12.00%
36,098,808.50
2.97%
71,011,674.75
4.10%
340,226,921.52
10.84%
22,727,461.04
      
Emerging Markets Opportunities Fund ( Class VI)
                              
Flexible Equities Fund-Class (VI)
22,278,406.68
1.74%
18,160,574.62
1.22%
40,832,080.26
1.20%
13,135,641.99
1.08%
30,813,653.20
1.78%
72,002,967.63
2.29%
11,463,067.09
1.44%
    
Inflation Indexed Plus Bond Fund (Class VI)
        
0.00%
      
0.00%
            
International Bond Fund (Class III)
                                
International Core Equity Fund (VI)
  
359,986,618.34
24.23%
547,460,836.33
16.10%
                    
International Growth Equity Fund (Class IV)
461,803,641.80
36.15%
127,710,936.77
8.60%
150,549,756.04
4.43%
308,748,264.03
25.41%
320,270,734.17
18.50%
    
381,363,743.78
47.91%
    
International Intrinsic Value Fund (Class III)
                              
International Intrinsic Value Fund (Class IV)
462,273,821.17
36.18%
131,550,402.05
8.85%
155,598,925.61
4.58%
308,871,163.51
25.42%
320,384,848.33
18.51%
    
380,486,130.86
47.80%
    
International Small Companies Fund
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
  
0.00%
    
Quality Fund (Class VI)
    
519,733,118.06
34.98%
877,962,197.39
25.82%
438,782,085.73
36.11%
579,206,834.38
33.46%
851,695,924.30
27.13%
    
46,703,245.51
48.69%
Real Estate Fund
                                
Short-Duration Investment Fund
    
142,792.09
0.01%
3,023,793.85
0.09%
                    
Special SIT Fund-Class VI
        
147,372,218.23
4.33%
    
90,321,776.27
5.22%
148,674,176.87
4.74%
        
Special Situations Fund
                                
SPV
    
26.29
0.00%
                        
Strategic Fixed Income Fund (Class VI)
      
365,706,603.39
10.76%
    
123,130,167.48
7.11%
417,114,334.39
13.29%
        
U.S. Core Equity Fund (Class III)
                                
U.S. Core Equity Fund (Class V)
                                
U.S. Core Equity Fund (Class VI)
    
74,768,698.49
5.03%
  
0.00%
109,432,402.69
9.01%
52,712,842.37
3.05%
        
46,968,900.18
48.97%
U.S. Growth Fund
                                
U.S. Small/Mid Cap Growth Fund
                            
1,194,608.63
1.25%
U.S. Small/Mid Cap Value Fund
                            
1,055,905.54
1.10%
World Opportunity Overlay Fund
        
23,422,040.50
0.69%
    
8,720,828.55
0.50%
22,044,261.73
0.70%
        
                                 
Total Market Value
1,277,582,834.84
100.00%
1,485,721,564.67
100.00%
3,400,325,177.08
100.00%
1,215,068,366.45
100.00%
1,730,985,155.23
100.00%
3,138,861,682.92
100.00%
796,040,402.77
97.14%
95,922,659.86
100.00%