GMO 2009 Q1 Update

GMO
Quarterly Update
First Quarter 2009

Contents
GMO offers institutionally-oriented strategies investing in equities and
fixed income in the U.S., developed international, and emerging markets. Global Market Review....................................................................................6
For client inquiries, please contact your Client Relationship Manager. Asset Allocation...............................................................................................7
For new business inquiries, please contact your Relationship Manager or Performance Review and Outlook...............................................................9
Kim Kenly at (617) 346-7576 or kim.kenly@gmo.com Strategy Performance Details......................................................................18
Table of Benchmarks ...................................................................................72
2 GMO Quarterly Update
2009 Performance of GMO Strategies and Benchmarks
Total Return Net of Fees Average Annual Total Return
GMO U.S. Equity Inception 1Q YTD YTD Value One Five Ten Since
Strategies/Benchmarks Date 2009 2009 Added Year Year Year Inception
U.S. Core 9/30/85 -9.37 -9.37 1.64 -29.20 -4.63 -1.45 9.92
S&P 500 -11.01 -11.01 -38.09 -4.76 -3.00 9.05
Intrinsic Value 5/31/99 -12.41 -12.41 4.35 -35.73 -6.36 n/a -0.69
Russell 1000 Value -16.77 -16.77 -42.42 -4.94 n/a -1.42
U.S. Quality 2/29/04 -8.33 -8.33 2.69 -23.77 -2.85 n/a -3.05
S&P 500 -11.01 -11.01 -38.09 -4.76 n/a -4.97
Growth 12/31/88 -6.89 -6.89 -2.77 -26.81 -5.63 -3.71 8.06
Russell 1000 Growth -4.12 -4.12 -34.28 -4.38 -5.26 7.11
Small/Mid Cap Value 12/31/91 -15.46 -15.46 0.86 -34.55 -6.02 4.15 8.66
Russell 2500 Value + -16.32 -16.32 -38.66 -4.79 4.72 8.37
Small/Mid Cap Growth 12/31/96 -8.94 -8.94 -2.97 -38.90 -7.35 -0.91 1.01
Russell 2500 Growth -5.97 -5.97 -38.14 -4.47 0.24 1.49
Real Estate 5/31/96 -32.35 -32.35 0.37 -55.82 -8.04 3.51 3.59
MSCI U.S. REIT -32.72 -32.72 -59.14 -9.09 3.53 4.35
GMO International Equity Inception 1Q YTD YTD Value One Five Ten Since
International Active EAFE 5/31/81 -15.18 -15.18 -1.24 -44.83 -1.45 3.41 11.79
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 8.09
International Intrinsic Value 3/31/87 -15.38 -15.38 0.15 -44.81 -1.22 3.70 7.02
MSCI EAFE Value -15.53 -15.53 -47.72 -2.49 0.59 5.48
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 3.37
International Core Equity 1/31/02 -14.21 -14.21 -0.27 -44.98 -1.05 n/a 4.34
MSCI EAFE -13.94 -13.94 -46.51 -2.18 n/a 1.96
International Growth 11/30/01 -11.41 -11.41 1.01 -40.97 0.25 n/a 3.22
MSCI EAFE Growth -12.43 -12.43 -45.36 -1.99 n/a 0.65
MSCI EAFE -13.94 -13.94 -46.51 -2.18 n/a 1.25
Currency Hedged Int'l. Equity 6/30/95 -10.04 -10.04 -0.43 -31.78 0.95 3.35 6.10
MSCI EAFE Hedged -9.61 -9.61 -35.76 -0.90 -1.32 3.82
Global Equity 7/31/96 -12.93 -12.93 -1.00 -41.56 -2.96 1.09 4.27
MSCI World -11.92 -11.92 -42.58 -3.50 -2.24 2.13
Global Growth 7/31/04 -9.44 -9.44 -1.45 -38.79 n/a n/a -1.48
MSCI World Growth -7.99 -7.99 -40.61 n/a n/a -2.48
MSCI World -11.92 -11.92 -42.58 n/a n/a -3.24
Int'l. Active Foreign Small Companies 1/31/95 -11.96 -11.96 -1.31 -49.63 -0.11 8.15 8.21
S&P Developed ex-U.S. Small Cap -10.65 -10.65 -49.75 -1.38 2.99 3.43
Int'l. Small Companies 10/31/91 -14.20 -14.20 -4.65 -48.21 -0.91 6.40 6.90
MSCI EAFE Small Cap + -9.55 -9.55 -48.46 -0.87 3.25 3.69
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 3.05
Japan Equity 12/31/05 -20.41 -20.41 -4.04 -35.80 n/a n/a -13.62
MSCI Japan IMI++ -16.37 -16.37 -34.83 n/a n/a -14.05
Global Active Equity 8/31/00 -11.74 -11.74 0.19 -42.91 -0.51 n/a 4.56
MSCI World -11.92 -11.92 -42.58 -3.50 n/a -4.45
Emerging Markets 12/31/93 -1.35 -1.35 -2.59 -50.28 5.00 11.63 6.06
S&P/IFC Investable Composite 1.24 1.24 -47.22 6.85 9.28 3.04
Emerging Countries 9/30/97 -1.70 -1.70 -2.95 -50.85 3.95 11.80 6.29
S&P/IFC Investable Composite 1.24 1.24 -47.22 6.85 9.28 4.70
Flexible Equities 12/31/08 -23.60 -23.60 -11.67 n/a n/a n/a -23.60
MSCI World -11.92 -11.92 n/a n/a n/a -11.92
Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of
management fees, transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume
the reinvestment of dividends and other income. A GIPS® compliant presentation is available at www.gmo.com.
Copyright © 2009 by GMO. All rights reserved. This document may not be reproduced, distributed or transmitted, in whole or in portion, by any means,
without written permission from GMO.
GMO Quarterly Update 3
GMO Tax-Managed Equity Inception 1Q YTD YTD Value One Five Ten Since
Tax-Managed U.S. Equities 7/31/98 -9.18 -9.18 1.63 -29.65 -4.44 -1.20 -0.09
Russell 3000 + -10.80 -10.80 -38.20 -4.86 -3.05 -1.51
Tax-Managed Int'l. Equities 8/31/98 -13.60 -13.60 0.33 -43.70 -0.05 4.01 5.05
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 0.82
GMO Domestic Fixed Inception 1Q YTD YTD Value One Five Ten Since
Income Strategies/Benchmarks Date 2009 2009 Added Year Year Year Inception
Domestic Bond 8/31/94 1.25 1.25 2.24 -7.67 1.02 4.44 5.48
Barclays Capital U.S. Government -0.99 -0.99 6.95 5.24 6.21 6.79
Core Plus Bond 4/30/97 1.34 1.34 1.23 -16.98 -1.55 3.53 4.09
Barclays Capital U.S. Aggregate 0.12 0.12 3.13 4.13 5.70 6.19
Inflation Indexed Plus Bond 5/31/06 5.72 5.72 0.21 -22.94 n/a n/a -5.60
Barclays Capital U.S. Treasury Inflation Notes 5.51 5.51 -2.04 n/a n/a 5.99
Strategic Fixed Income 5/31/06 2.95 2.95 2.37 -17.71 n/a n/a -6.24
JPMorgan U.S. 3 Month Cash + 0.58 0.58 3.35 n/a n/a 4.94
GMO International Fixed Inception 1Q YTD YTD Value One Five Ten Since
Income Strategies/Benchmarks Date 2009 2009 Added Year Year Year Inception
International Bond 12/31/93 -4.47 -4.47 1.31 -24.92 -0.98 3.62 5.75
JPMorgan Non-U.S. Gov't. Bond -5.78 -5.78 -5.44 4.55 5.49 6.11
Currency Hedged Int'l. Bond 9/30/94 2.89 2.89 2.35 -11.87 -0.41 3.36 7.13
JPMorgan Non-U.S. Gov't. 0.54 0.54 7.47 5.09 5.30 7.56
Bond Index (hedged) (ex-Japan) +
Global Bond* 12/31/95 -2.54 -2.54 2.21 -22.67 -1.33 3.33 4.28
JPMorgan Global Gov't. Bond -4.75 -4.75 -2.62 4.80 5.86 5.65
Emerging Country Debt* 4/30/94 3.02 3.02 -0.36 -28.43 2.20 13.00 14.38
JPMorgan EMBI Global + 3.38 3.38 -8.49 5.18 10.15 10.98
Emerging Country Local Debt Investment** 2/29/08 1.13 1.13 6.04 -31.14 n/a n/a -29.28
JPMorgan GBI-EM Diversified -4.92 -4.92 -12.62 n/a n/a -11.20
* 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.
** Returns for the composite are based on estimated market values for the period from and including October 2008 through February 2009.
GMO Asset Allocation Inception 1Q YTD YTD Value One Five Ten Since
Global Balanced Asset Allocation 6/30/88 -3.99 -3.99 2.92 -20.29 1.73 6.39 9.27
Blended Benchmark -6.91 -6.91 -28.98 -1.03 1.02 7.00
Real Return Global Balanced Asset Alloc. 6/30/04 -3.94 -3.94 3.10 -13.20 n/a n/a 4.55
Blended Benchmark -7.04 -7.04 -26.86 n/a n/a -0.64
Global Allocation Absolute Return 7/31/01 -1.83 -1.83 -3.64 -6.97 6.69 n/a 10.45
CPI Plus 5% 1.81 1.81 4.71 7.71 n/a 7.51
International All Country Equity Alloc. 2/28/94 -13.06 -13.06 -1.86 -43.99 1.03 6.02 5.67
Blended Benchmark -11.20 -11.20 -46.48 -0.72 1.35 3.03
International Developed Equity Allocation 11/30/91 -15.59 -15.59 -1.59 -43.51 -0.09 4.71 6.70
Blended Benchmark -14.00 -14.00 -46.51 -1.84 -0.45 4.09
Global All Country Equity Allocation 12/31/93 -10.22 -10.22 0.48 -32.80 0.47 5.62 7.26
Global Developed Equity Allocation 3/31/87 -11.83 -11.83 0.10 -35.46 -0.46 4.58 8.10
U.S. Equity Allocation 2/28/89 -8.95 -8.95 1.97 -27.03 -3.84 0.84 9.06
Tax-Managed Global Balanced 12/31/02 -3.57 -3.57 1.80 -14.81 3.27 n/a 6.74
Tax-Managed Global Balanced Index -5.36 -5.36 -26.19 -0.68 n/a 3.02
Alpha Only 7/31/94 -0.65 -0.65 -0.69 9.83 5.61 8.06 5.55
Citigroup 3 Month T-Bill 0.05 0.05 1.13 3.06 3.19 3.84
GMO Absolute Return Inception 1Q YTD YTD Value One Five Ten Since
Multi-Strategy 10/31/02 0.34 0.34 0.30 5.37 4.66 n/a 5.00
Citigroup 3 Month T-Bill 0.05 0.05 1.13 3.06 n/a 2.62
Mean Reversion 2/28/02 0.50 0.50 0.46 11.89 11.05 n/a 14.77
Completion 8/31/07 1.76 1.76 1.71 11.64 n/a n/a 27.51
Citigroup 3 Month T-Bill 0.05 0.05 1.13 n/a n/a 2.03
Market Neutral 7/31/00 -7.72 -7.72 -7.77 -4.55 -0.99 n/a 1.51
Aggressive Long/Short 9/30/00 -5.01 -5.01 -5.05 5.29 0.61 n/a 7.12
Tactical Opportunities 9/30/04 -3.62 -3.62 -3.67 26.28 n/a n/a 4.58
Pan-European Long/Short Equity 5/31/03 -3.36 -3.36 -3.68 10.09 5.77 n/a 5.51
3 Month LIBOR 0.33 0.33 2.70 3.83 n/a 3.45
Emerging Country Debt Long/Short 3/31/96 3.40 3.40 2.82 -20.19 1.57 13.31 9.74
JPMorgan U.S. 3 Month Cash 0.58 0.58 3.35 4.03 3.97 4.40
Global Tactical 3/31/02 3.05 3.05 2.47 -4.38 5.00 n/a 7.21
JPMorgan U.S. 3 Month Cash 0.58 0.58 3.35 4.03 n/a 3.33
Currency Hedge 7/31/03 3.61 3.61 3.04 -31.99 -5.73 n/a -3.03
JPMorgan U.S. 3 Month Cash 0.58 0.58 3.35 4.03 n/a 3.69
Fixed Income Hedge 8/31/05 7.37 7.37 6.80 -26.41 n/a n/a -13.55
JPMorgan U.S. 3 Month Cash 0.58 0.58 3.35 n/a n/a 4.73
Emerging Currency Hedge 3/31/06 2.22 2.22 1.64 -21.92 n/a n/a -5.45
JPMorgan U.S. 3 Month Cash 0.58 0.58 3.35 n/a n/a 4.83
Short Term Market Opportunities 9/30/05 2.50 2.50 2.46 12.61 n/a n/a 15.58
Alternative Asset Opportunity 4/30/05 -0.13 -0.13 2.71 -29.84 n/a n/a -2.69
Alternative Asset Opportunity Index -2.85 -2.85 -23.45 n/a n/a 0.38
Special Situations 8/31/07 1.06 1.06 1.01 17.53 n/a n/a 15.26
Tax-Managed Absolute Return 3/31/01 -2.81 -2.81 -2.85 5.67 1.32 n/a 1.49
Global Market Review had taken office with the S&P ending down nearly 5%.
Anxious central bankers fearing the specter of deflation
began to reach for alternative monetary policies as zero
As the U.S. recession entered its fifth quarter,
short-term interest rates were not being reflected in lower
economic fragility was evident in almost every major sector
business and consumer borrowing costs. The first central
except the federal government. The drop in virtually all
bank to announce a policy of quantitative easing was the
asset prices over the previous six months continued to
Bank of England (BoE) on March 5 as it pledged to go on
accelerate the unrelenting process of balance sheet
a £75 billion bond buying shopping spree. Following hot
deleveraging. The effort to repair balance sheets has now
on the BoE’s heels, the Swiss National Bank announced
spread to almost every corner of the economy: consumers
that it would start buying foreign currencies to stem the
are pulling back on consumption, especially on durable
Swiss franc’s appreciation. Not to be outdone, the Federal
goods like cars, to build savings; businesses are scrambling
Reserve announced the most ambitious plan to date,
to preserve cash by cancelling planned investments and
committing to buy up to $1.25 trillion of agency mortgage-
laying off workers; and financial institutions are shrinking
backed securities and $300 billion of longer-term Treasury
their assets to bolster capital and improve their chances of
securities. Finally, as the quarter came to a close, the U.S.
surviving.
Treasury unveiled the newest incarnation of a financial
stabilization policy suggesting that government guarantees
Against a backdrop of deteriorating fundamentals,
coupled with leverage might entice private buyers for the
policy makers across the globe redoubled their efforts to
banks’ toxic assets. Despite falling close to a 12-year low
stem the damage. In the U.S., the initial stab at a bank
on March 9, the market could not resist the expected
rescue plan, unveiled in February, was welcomed by the
onslaught from dual global fiscal and monetary stimulus
market with the steepest drop since the new administration
behemoths. By the end of March, both financial and
Global Balanced Asset Allocation: One Example cyclical stocks had rebounded along with the broader
Recommendations as of March 31, 2009 market. The Federal Reserve Chairman was heard talking
Benchmark: 65% MSCI AC World Index / about the green shoots of recovery and it seemed for a
35% Barclays Capital Aggregate moment that, after a long winter of discontent, spring had
Benchmark GMO Active arrived.
U.S.
Weighting Decisions
Fixed Equities Despite a 19% rally from its lows, the S&P still finished
Income 29.1%
35.0% the quarter down 11.0%. Within the style ranges, however,
U.S.
Equities the difference between value and growth was remarkable.
+2.8%
We have been maintaining that this recession is different
Emerging
and that value stocks would disappoint as fundamentals
Equities International
Equities
deteriorated faster than prices fell. The market noticed,
7.0%
28.9%
Int'l.
and large cap value fell 16.8% versus just a 4.1% drop for
Equities
-6.8%
large cap growth. Small cap stocks continued the previous
quarter’s pattern of underperforming large caps, falling
GMO Allocation 15%.
Cash &
Special Equivalents U.S. Core
Situations 4.8% 1.5%
Emerging Outside the U.S., foreign developed market equities
3.3% U.S. Quality Equities
Alpha Only
9.1%
30.5%
+0.4% performed modestly better than the S&P but provided
Asset
Allocation Bond International
little comfort as the EAFE Index dropped 10.1% in local
currency terms. The strengthening dollar, however, meant
0.8% Intrinsic Value
4.9%
Emerging
Country Debt
0.3%
International
Growth
that the same index fell 13.9% in U.S. dollar terms. As with
Inflation
Indexed Plus
5.1%
International
Fixed the U.S., the style ranges performed similarly but the spread
Income
1.1%
Strategic
Core Equity
Flexible
10.0%
+3.6% was more muted as value fell 15.5% and growth fell 12.4%.
Fixed Income
Emerging markets, having fallen further in the previous

Domestic Emerging
10.8% Equities
Bond Markets 2.1%
8.2% 7.4%
-10% -5% 0% 5% 10%

quarter, held up reasonably well given the ongoing
devastation elsewhere. The MSCI Emerging Markets
Note: Asset Allocation ranges are ±20% for U.S. and
international equities and ±15% for fixed income. Index managed a positive return of 0.9%.
In fixed income markets, the extreme levels of fear from fair value are the animal spirits that drive cycles of
seen at the tail end of 2008 began to slowly unwind. fear and greed. It is little wonder that they are harder to
Having started the year at a yield of 2.25%, the 10-year understand, let alone predict. An additional complication,
Treasury ended the quarter at just over 2.68%. Although in an already murky picture, is the sheer size of the
the yield had been as high as 3% at the end of February, oncoming fiscal stimulus. One can argue about the long-
the announcement of credit easing by the Fed was widely term effects of government spending, but in the short run,
interpreted by the market to signify quantitative easing and the government’s money is as green as everyone else’s and
drove yields off their peaks. Higher sovereign yields led huge outlays will not go unnoticed.
the JPMorgan U.S. Government Bond Index to give up
some of last quarter’s gains, finishing down 1.4%. Nevertheless, based on our 7-year forecasts, equity
assets continued to cooperate and deliver ever more
Some semblance of normalcy returned to credit attractive valuations. As prices fell, expected returns
markets after the severe dislocations witnessed last year, increased, even taking into account the deteriorating
triggered by the failure of Lehman Brothers. Given the outlook for earnings and profits. Despite a sickening drop
amount of government stimulus that was funneled either in prices through February, we girded our loins and
directly of indirectly at credit markets, though, it would prepared to add to our equity exposure. The market fell so
have been inconceivable to not expect a slight fast that by the time we were ready to make our trade, we
improvement. Despite better functioning markets, prices had almost reached our second trigger level. In spite of
did not improve significantly and the Barclays Capital U.S. this, by early March our balanced accounts were almost
Aggregate returned a mere 12 basis points in three months. back to a neutral exposure relative to benchmarks, given
Internationally, increasing government bond yields led to a the market turn during the month.
loss of 4.75% on the JPMorgan Global Government Bond
Index. One positive development from increased government
intervention was the improvement in most of our fixed
income portfolios. The majority of our fixed income
Asset Allocation
strategies gain their exposures synthetically with
Review derivatives, and invest the remaining cash in our internally
managed collateral pools. These collateral pools benefited
In the wake of the Bear Stearns collapse a year ago, we from the assortment of policies rolled out by central banks
could still rely on three near certainties to drive our to improve lending conditions and stabilize credit markets.
portfolio allocations: U.S. house prices and profit margins In particular, some investors returned to the asset-backed
would continue to decline, and risk premiums globally bond market, and this was reflected in slowly improving
would widen. As those assumptions have played out, our liquidity and pricing. We are reassured by the market’s
certainties have faded and navigating the investment waters reaction and expect ongoing improvement. Elsewhere
has become a great deal more treacherous. Part of the implementation was challenging. Despite some bright
difficulty is a result of the increasing moral hazard spots in our U.S. portfolios, internationally some strategies
generated by the various attempts to reflate the global struggled to beat their benchmarks. Nevertheless, after the
economy. Valuations for large swaths of the market no performance registered in previous quarters, it is not
longer depend on earnings, profits, and growth, but on the surprising to witness a pattern of short-term reversal.
size, type, and intention of government action.
Investments in financial firms in particular remain Strategies
particularly exposed to the whims and vagaries of
Washington. A further complication is that valuations Having increased our exposure to equities last quarter,
become less powerful when asset classes are close to fair we kept to our game plan and gingerly shifted our stance
value. Although by definition asset classes spend as much toward favoring riskier asset classes. For the most part this
time above the mean as below, they rarely spend much time was reflected by reducing the exposure to our Alpha Only
fairly valued. The historical record certainly suggests that Strategy and shifting the freed-up capital back toward
after a large bubble, assets tend to overshoot. But whereas equities. Our concern about the broader economic picture,
cheap assets are driven back to fair value by the forces of however, prevented us from deploying toward more
competitive capitalism, the forces that compel assets away speculative areas of the market, and we did not stray far
from U.S. high quality stocks. We believe that this latest companies have borne the brunt of the current turmoil.
move will probably represent the apex of our high quality We believe quality will fare significantly better in the
exposure. While we do not expect to be reducing our event of a worsening economic outlook.
current weight in the near future, it is probable that
our next moves into equities will target different  Prefer real yields in inflation protected bonds. Real
opportunities This last move combined with the yields are no longer as attractive after the flight to
subsequent market rally shifted our overall equity exposure quality and liquidity episode of last quarter.
to just shy of being neutral. Our next moves will likely Nevertheless, inflation protected securities are to be
begin to shift our portfolios to an overweight in the preferred to their nominal cousins. Although short-
coming quarters. We continue to favor the Flexible term inflationary pressure is muted, the likelihood of
Equities Strategy, which has been targeting Japanese increasing inflation in the future has been facilitated by
companies that get a substantial majority of their earnings substantial monetary easing and quantitative easing
within Japan. Essentially, domestic companies (and the policies.
higher quality half of domestics in particular) are both
cheap compared to junky exporters and are at an all-time  Continue reducing underweight to equities.
low in terms of relative profitability. In other words, as the Valuations are beginning to look attractive in some
exporters get hammered in the global slow-down and their equity markets. In particular, international developed
profitability relative to domestics reverts to the long-term and emerging equities are once again offering appealing
mean, we can expect domestics to outperform. In fixed expected returns. These higher expected returns,
income markets, sovereign yields are likely to be pressured however, are due entirely to falling prices and certainly
by rapidly increasing supply and do not offer any longer- not due to improving fundamentals. As a result, our
term value. Where we have more latitude, we still prefer to enthusiasm remains somewhat tempered by an
own broadly diversified absolute return portfolios, but uncertain outlook for profitability. Despite these
even here we are beginning to dip our toes back into reservations, we believe it is prudent to start reallocating
equities. to these sectors while reducing our overall equity
underweight.
Our broad strategies are:
 Overweight more conservative fixed income and
 Emphasize more defensive fixed income and high cash/cash “plus” in balanced portfolios. It is
quality U.S. equities. Having rallied into the teeth of difficult owning fixed income at the current low
the crisis as the only liquid safe haven asset, sovereign yields, but we believe it is much less volatile than
bonds now look dangerously over valued. Unless equities. Consequently, we have overweighted
deflation is deep, prolonged, and persistent, cash/cash “plus” strategies in our balanced portfolios
government bond investors are likely to be very and even owned some cash/cash “plus” strategies in
disappointed in the medium term. In addition, it is very some of our global accounts where permitted. We do
possible that the size of new issuance will likely further not own cash “plus” strategies lightly, and it is the first
undermine current pricing. time in almost 20 years of managing asset allocation
portfolios that we have allocated a significant portion to
 Adopt a bias toward high quality stocks. Value cash. However, as we begin shifting back toward
stocks are no longer a “value” and remain expensive equities, we will reduce cash “plus” strategies
relative to growth stocks and the market. High quality commensurately.
stocks trade at a slight premium to the market when
historically they have traded at a much wider 18%  Where possible, invest in conservative absolute
premium to the market. While the profit margins of return strategies, which can provide equity-like
financial stocks have evaporated, the profit margins for returns while improving diversification through low
other sectors are now poised to get much weaker. correlations with equity markets. Try to ensure that
Quality has outperformed so far this year as financial alternative strategies are providing true diversification
with low correlation to traditional asset classes.
Performance Review and Outlook quarter, at least one day each week, on average, had a
single-day return of greater than +/- 3%. Among the
U.S. Equities broad market indexes, large cap stocks delivered the best
Review performance during the period, followed by mid cap, and
then small cap. Growth stocks handily outperformed value
U.S. Equity Markets stocks, with the latter’s heavy weighting in Financials
First Quarter 2009 Performance dragging significantly on performance. Within the S&P
0%
500, Information Technology and Materials produced the
-4.1%
best sector returns, with Financials and Industrials faring
-10%
-6.0% the worst.
-11.0% -10.1%
-16.8% -16.3% Market Outlook

-20%
Market commentators continue to rush to claim that

-30% each bear market rally means the market has finally
bottomed. But the underlying economic and financial
-32.7%
fundamentals continue to be uncertain and market activity
-40%
S&P Wilshire Russell 1000 Russell 2500 MSCI
remains wildly volatile, making any such claims little more
500 5000 Value Growth Value Growth U.S. than hopeful guesses. Government stimuli and some
REIT positive news from the Financial sector provided the legs
to the market’s March rally. First quarter earnings
announcement are likely to provide the next signpost for
The U.S. market fell significantly in the first two whether the late-quarter rally signals more to come or will
months of the quarter, and even a significant bear market prove another head fake en route to a new low.
rally in March wasn’t enough to put the S&P 500 in positive
return territory for the quarter. Daily news flow during the
International Equities
period chronicled continued woes in the financial sector
and their spillover into the broader economy. In January, Market Review
Bank of America requested an additional $20 billion in
federal aid to offset larger-than-expected losses from its International Equity Markets
First Quarter 2009 Performance
takeover of Merrill Lynch, prompting a round of 10%
speculation that nationalizations in the banking sector were
increasingly likely. The inauguration of President Obama 1.2%
0%
brought considerable movement on the economic front,
-1.4% -2.2%
with the announcement of a massive economic stimulus
and a budget. The market continued to flounder through -10% -9.2%
-10.1%
February, breaking through intra-decade lows to touch -11.5%
-14.6%
levels not seen since the late 1990s. And while the major -13.9%
-16.6%
-20%
indexes rallied late in the quarter following statements from In Local Terms
several bank CEOs that they had been profitable (the In Dollars
banks, not the CEOs) in January and February and -30%
MSCI S&P/IFC
Treasury Secretary Geithner’s announcement of a trillion- EAFE Europe Pacific Japan Investable
dollar plan to buy toxic assets, it wasn’t enough to keep the ex-Japan (Emerging)
S&P 500 from recording its sixth straight losing quarter.
The S&P 500 declined 11.0% for the quarter in full. The global tsunami that hit equity markets may have
Market volatility remained high, with rallies and reversals started in the U.S., but its effects continue to be felt as
continuing to be the norm. The S&P 500 saw eight single- harshly around the globe. The MSCI EAFE Index fell
day returns of greater than 3% and nine single-day declines 13.9% in the first quarter of 2009. By any normal standard
of more than -3%, meaning that, with 61 days in the that would be a very disappointing return. But while there
U.S. Equities
Relative Performance of Selected Groups versus the S&P 500
Year-to-Date March 31, 2009
Largest 100 Russell 2500

3.0 2.0
1.0
2.0
0.0
Size
1.0
-1.0
0.0
-2.0
-1.0 -3.0
12/08 1/09 2/09 3/09 12/08 1/09 2/09 3/09
Investment Disciplines
Cheap on Price/Intrinsic Value High Price Momentum

2.0 4.0
1.0 3.0
2.0
0.0
1.0
-1.0
0.0
-2.0
-1.0
-3.0 -2.0
12/08 1/09 2/09 3/09 12/08 1/09 2/09 3/09
Consumer Discretionary Financials

4.0 0.0
-5.0
2.0
-10.0
0.0 -15.0
-20.0
-2.0
-25.0
Sectors
-4.0 -30.0
12/08 1/09 2/09 3/09 12/08 1/09 2/09 3/09
Information Technology MSCI U.S. REIT Index
16.0 0.0
14.0
-5.0
12.0
-10.0
10.0
8.0 -15.0
6.0
-20.0
4.0
2.0 -25.0
0.0 -30.0
12/08 1/09 2/09 3/09 12/08 1/09 2/09 3/09
have only been ten worse calendar quarters since 1970, two European markets also underperformed, led down by
of those ten were the third and fourth quarters of 2008. the Financial sector. The MSCI Europe Index fell 14.6%.
And since the market has rallied savagely off its March 12 Insurance stocks were badly hurt by fears of asset
bottom, the current sentiment has picked up notably from deterioration, and some of the larger banks that had
the lows of the last six months, and there is some sense outperformed their peers last year such as HSBC and
that the patient’s condition has stabilized. Santander fell sharply. The Swiss franc weakened on
central back intervention and underperformed the euro,
This turn in sentiment has been exhibited in a partial which also fell against the dollar (along with the Swedish
rotation of leadership. Financial stocks were poor krona), while the pound remained close to flat.
performers, but in contrast to 2008, defensive industries
and lower volatility stocks also underperformed for the Value continued to lag as an investing style, with the
quarter. Utilities performed as badly as financials across MSCI EAFE Value Index returning -15.5% versus -12.4%
EAFE, and Telecommunications Services, Health Care, for MSCI EAFE Growth. High quality stocks measured
and Consumer Staples all underperformed. Resource on GMO’s definition incorporating high and stable
oriented stocks performed best, while more cyclical profitability and low debt outperformed. Given generally
industries like autos, retail, and semiconductors also at least attractive levels of valuation, safety became important, and
outperformed for the quarter. Smaller capitalization stocks avoiding companies expected to cut their dividends or issue
did relatively well, with the MSCI EAFE Small Cap Index additional equity was important. Companies that are cheap
returning -9.6%. Emerging market indexes ended up relative to cash flow or earnings, and hence seem less
slightly positive for the quarter. distressed, were modest outperformers.
Norway was the only developed market to post Outlook

positive U.S. dollar returns for the first quarter. The
country benefited from a stabilization of oil prices, which We are experiencing the most severe synchronized
climbed back above $50/barrel, and from appreciation in global downturn in several generations. While
the krone, which is now viewed as one of the shrinking governments have been quick to react, there are limits to
number of the world’s safer currencies. The sense that what policy can do beyond blunting some of the edge of a
China’s slump might be less bad than originally feared massive consumer deleveraging cycle in the U.S. and
generally helped commodities and commodity related elsewhere. Of course, times of trouble can often be
equities as well as Asian markets. Hong Kong was the profitable times to invest when they are reflected in
second best performing EAFE market, followed by depressed prices. And the valuation levels of equities
Australia, New Zealand, and Canada. The Energy and suggest that forward return prospects are indeed much
Materials sectors were the two best performers of the ten improved. This analysis is best tempered with a realization
major sectors, though both suffered declines in dollar that financial results are slow to reflect the new economic
terms. reality, and that many superficially cheap stocks may fast
start to look expensive as their financial position
Japan’s fragile export driven economy continued to deteriorates. In that light, the Japanese market looks
suffer. The current account swung into deficit for the first attractive, since it seems unlikely that the next 10 years will
time in 13 years. The GDP declined at an annualized rate be fundamentally worse than the last 10, whereas in the
of 12.1% in the fourth quarter with a similar result U.S. or Europe that seems quite possible, if not probable.
expected for the first quarter. The severity of this
economic collapse helped cost the yen its status as a safe Emerging Market Equities
haven currency that it had enjoyed through 2008. The yen
Review
declined 8% against the dollar, making it the worst
performing developed currency. The MSCI Japan Index
Emerging markets had a relatively flat first quarter in
fell 16.6% in dollar terms, although this underperformance
2009, with the S&P/IFCI Composite Index up 1.2%. This
relative to EAFE was somewhat muted by a recovery in
however, masked, a drop through early March of about
some more cyclical export driven industry sectors like
20% followed by a sharp rebound during the remainder of
autos and semiconductors that benefit from a pullback in
the quarter. While some doubt the sustainability of the
the currency.
rally, there is general agreement that the bounce started domestic political instability over the prior year. Our
from an oversold position. Global investors were starved overweight in Thailand detracted from performance.
for good news, and the progressively more muscular
interventions in the U.S. and Europe provided the catalyst Eastern and Central Europe had 6 of the 10 worst-
for the rebound. performing currencies worldwide in the past six months,
destabilizing banks as the higher cost of repaying foreign
Brazil posted negative GDP growth in the last quarter currency debt raised the risk of defaults. In Poland, 70%
of 2008. A total of 655,000 jobs were lost in December of mortgages are in currencies other than the zloty, and in
alone, leading to a 10% drop in 2008 job creation relative Hungary non-forint home loans account for about 63%,
to 2007. The weakness is concentrated so far in the contributing to the debt crisis that forced the Hungarian
external sector, while related domestic sectors seem to be government to get a €27 billion international bailout.
in better shape. Monetary policy has been proactive. Western banks – especially those in Austria, Italy, and
Brazil’s central bank lowered its benchmark interest rate by Sweden – have a high exposure to Central and Eastern
the most in five years, to 11.25%. It also bought the loan Europe, and their retrenching has potentially disastrous
portfolios of small and medium banks and stands ready to consequences for those countries. Investors received some
loan up to $20 billion of reserves to companies needing good news toward the end of the quarter when the
to roll over their external debt. Brazil’s stock market was European Union joined international aid efforts with a
one of the best performers this quarter. We are overweight pledge to double emergency loans to 11 countries outside
Brazil. of the euro zone, 8 of which are in Eastern Europe. The
commitment calmed concern after the EU vetoed a
China’s leadership is acting aggressively to stimulate proposal from Hungary for a $180 billion bailout for
the economy as evidence of a rapid slowdown is eastern Europe in early March, sending stock markets in
accumulating. The GDP growth in the last quarter clocked the region to their lowest in 5½ years. Our overweight in
in at 6.9% vs. 9.0% in the prior quarter, and at 10.4% for Hungary detracted from performance.
the first half of 2008. While any country in the West
would be thrilled with a 6.9% GDP growth (and probably Elections for the central government were announced
with any number not preceded by a negative sign), in China in India in March. There is no clear leader in the opinion
such a reduction in growth translates to more than 20 polls among the three coalitions contesting the election.
million jobs lost. Among the recent measures announced The lack of clarity on the ultimate winner and the resulting
by the government was a $124 billion health care plan, implications for the structure and speed of future market
which aims to provide health care coverage for at least 90% reforms has depressed investor sentiment. Also weighing
of the population by 2011. A better social safety net on the market has been the increased protectionism in the
should coax the Chinese to save a bit less and spend a bit U.S. and Europe as it impacts prospects for Indian
more. Unlike the situation in the West where capital outsourcers. Our underweight in India contributed to
injections into the banking system have not translated into performance.
increased lending, credit growth has picked up in China –
testimony to a functioning banking sector. Our In addition to the above markets, other key drivers
underweight in China was a small detractor from were contributions from an underweight in Mexico and
performance this quarter. detractions from an overweight in Turkey. Stock selection
detracted from performance in South Africa, Brazil, and
Thailand unveiled dismal figures, showing that the China.
economy shrank by a seasonally adjusted 6.1% in
the fourth quarter, as economists warned that the situation Outlook
would probably worsen before it improved. The Finance
Minister said that the economy may shrink 3% in 2009, its The first quarter of 2009 delivered wide differentials in
first annual contraction since 1998. The Thai central bank performance across emerging markets. Eastern European
slashed interest rates more than expected, to 1.5%, to stave countries such as Hungary and Poland dropped around
off the effects of the global slowdown. Finally, tourism 30% this quarter while markets such as Brazil rose 12%.
has been badly affected by the global economy and the The financial crisis in 2008 punished markets fairly evenly,
but that clustering of performance is unlikely to persist in quickly because of the tech bubble of 1999. This time
the next few years, in our opinion. around, it’s hard to see what Eastern Europe will export
and to whom.
The ability of countries to sustain their economies
independent of a supportive global framework is based on Fixed Income
factors such as sound fiscal health, monetary policy Review
flexibility, healthy foreign exchange reserves, and depth of
domestic demand. Since countries score very differently During the first quarter, developed markets
on these dimensions, one can and should expect large government bond yields bounced off severely-depressed
differentials in performance. year-end lows, and credit spreads and foreign exchange
markets traded in tandem with gyrating world equity
On top of the ability for countries to respond, there markets. The yield on the JPMorgan Global Government
are also the issues of willingness to act and overall Bond Index rose from a December low of 2.4% to a high
competence. In the last few months, we have seen the of 2.7% in early March, ending the quarter at 2.6%, a fairly
Chinese act with great alacrity and clarity to stimulate their small quarterly range given recent quarters. As a result, the
economy (which appears to be working, at least in the short local currency returns were fairly small, ranging from -1.4%
run). On the other hand, Russia went into the crisis with in the U.S. to +1.1% in Switzerland.
huge current account and budget surpluses, massive
foreign reserves, and very little sovereign debt. Yet, they
JPMorgan Global
have managed to squander a third of their reserves trying
(and failing) to prevent their currency from depreciating.
Government Bond Index Yield
4.5%
4.0%
Given these differentials, we are excited that the 4.0% 3.7%
prospects for country picking have improved. The
3.5%
countries we are currently most overweight are Korea,
Brazil, and Turkey, all of which are trading at very cheap 3.0%
valuations. We are underweight both India and China given
2.9% 2.6%
that they are relatively expensive compared to other 2.5%
emerging markets. We are using our judgment to reduce 2.0%
the underweight in China, given that the stimulus appears 1/04 1/05 1/06 1/07 1/08 1/09
to be having positive effects in the short run. In the longer
Source: JPMorgan
term, we worry that much of the current lending in China
will result in higher non-performing loans for the banks Credit markets and foreign currencies rose and fell
and will exacerbate the structural overinvestment problems with equity markets, given the fairly wild swings still
that China already faced going into the crisis. occurring in the latter. For a given 5% weekly swing in the
S&P, credit returns on the EMBIG (emerging sovereigns)
As far as Eastern Europe is concerned, we have or sub investment-grade U.S. credit (high yield) swung by
reduced our weighting (albeit from a very small base) given around one-quarter as much. The U.S. dollar, meanwhile,
that their problems resemble those of the Asian countries appeared to be the release valve, falling by about one-
going into the crisis of 1997, only worse. However, there quarter as much as the S&P rose in any given week, both
are a couple of big differences – the G-20 summit last as measured vs. major currencies or emerging currencies.
week agreed to provide the IMF with over one trillion As the equity market swings dampened toward quarter’s
dollars to help emerging countries, and this money will end, these relationships began to soften.
likely prevent a complete collapse of their currencies. On
the other hand, Asia was able to export its way out of crisis
Aggregate Index. And, finally, narrowing credit spreads
Equities Drive the Bus in Q1
8% and a high running yield provided a healthy +3.4% return
for the JPMorgan EMBIG.
6%
4%
Weekly Return
Price-based liquidity measures began settling at new,

2%
lower levels across markets. Volume-based liquidity
0%
indicators, such as trading volume surveys, where available,
-2% were greatly diminished. For example, off-the-run U.S.
-4% TIPS are now indicated only about 10 bps from the latest
-6% issue (“on the run”) bond, down from nearly 90 bps earlier.
-8%
-15% -10% -5% 0% 5% 10% 15% Yield Difference from On-the-Run
S&P Weekly Return U.S. TIPs 10-Year (bps)
Major currencies vs. $U.S. EM currencies vs. $U.S. Bear Stearns Sale Lehman Collapse
EMBIG credit High Yield credit 100
3rd Off-
Source: Bloomberg, JPMorgan, Barclays

80 the-Run
60
Across currency markets, only three currencies rose 40

relative to the dollar during the quarter, the Chilean peso 20 1st Off-
(+9.4%), the Norwegian krone (+3.7%), and the Brazilian 0

the-Run
real (+1.3%), all of which benefited from renewed strength 2nd Off-the-Run
-20
in commodities prices. The weakest currencies were in
central Europe, namely Hungarian forint (-17.7%), and -40
Polish zloty (-15.8%), as challenges across European 1/07 5/07 9/07 1/08 5/08 9/08 1/09
banking systems threatened to cut off financing to these Source: JPMorgan
finance-dependent economies.
In emerging debt, the price bid-ask has fallen to about
Total Returns Q1 2009 1.3 points, below the crisis levels of 1998, but still nearly
3.4% three times the normal markets that prevailed before the
Lehman Brothers collapse. However, the trading volume
0.1%
survey released by the Emerging Markets Traders
Association revealed that volumes continue to fall,
especially among corporate and local currency bonds.
Price Bid/Offer on JPMorgan EMBIG

-4.7% -4.9% Bear Stearns Sale Lehman Collapse
3.0
Current
Barclays U.S. JPMorgan JPMorgan JPMorgan 2.5
Aggregate Global Gov't. Global Gov't. EMBI Global High Reached during
Bond Bond Bond – 2.0 1998 Russia/LTCM
Emerging
1.5
Source: JPMorgan, Barclays
1.0
Net/net, the dollar’s rise hurt foreign bonds, dragging 0.5

down the returns both to the developed market and 0.0
emerging market versions of JPMorgan’s Global 1/07 5/07 9/07 1/08 5/08 9/08 1/09
Government Bond Index. Credit spread narrowing offset
Source: JPMorgan
rate increases to deliver a flat return for the Barclays U.S.
In foreign exchange markets, bid-ask costs of trading the quarter. Time passing, and the natural paydown at par
three-month forwards, the most widely used tenor, ground of instruments whose mark-to-market prices were
down during the quarter from the severely stressed levels sometimes in the 70s, has benefited the portfolios. For the
following Lehman’s collapse. However, they are still developed market bond and emerging local bond strategies,
double pre-Lehman levels in major developed currencies which have the highest use of synthetic implementations
like yen, Swiss francs, and euro, and several times higher for and therefore the largest exposures to these collateral
lesser currencies like Korean won, Brazilian real, or vehicles, the performance impact was on the order of
Mexican peso. While indications for a currency like +100 bps. In emerging external debt, the effect was
Romanian leu have come in, such indications are somewhat somewhat smaller, although still significant.
misleading, since on many days there are no hard currency
offers due to increased restrictions on trading the currency. We believe the credit quality and likelihood of payment
of the collateral vehicles’ investments remains high. We
All-In Bid-Offer on 3M FX Forward think trading volume in the market has picked up
Bear Stearns Sale Lehman Collapse somewhat as the TALF and PPIP programs bring interest
0.6%
to the asset class as an attractive risk-reward investment.
0.5% However, with thousands of fairly customized, complex
0.4% securities to evaluate, the opportunity comes with
significant research challenges, hampering liquidity
0.3% formation.
0.2%
Yen
In developed markets, interest-rate strategies
0.1% Swiss Franc contributed positively, as the portfolios benefited from
Euro
0.0% exposure to certain U.S. Treasury bonds severely dislocated
1/07 4/07 7/0710/071/08 4/08 7/0810/081/09 during the liquidity crisis. Conveniently, old-school cash
bond relative value opportunities abound, a symptom of
Source: Citibank
the same liquidity dislocation affecting the ABS collateral
pools, albeit on a smaller scale. For example, a position in
full-faith-and-credit U.S. Treasury Principal Strips, which
All-In Bid-Offer on 3M FX Forward had become significantly cheap, added positive alpha
7.0%
Bear Stearns Sale Lehman Collapse
across the developed-market bond portfolios. With
6.0%
liquidity normalizing somewhat, the dislocation ebbed,
adding to performance. Developed-market currency
5.0%
attribution was fairly flat, as we only began upping active
4.0% positions toward the latter part of the quarter.
3.0%
2.0% In emerging debt, the local debt portfolio’s alpha was
Brazil
substantially positive, with contributions across currencies
1.0% Romania
Korea and rates as well as the collateral pool exposure. External
Mexico
0.0% debt portfolios also benefited from the collateral pool to
1/07 4/07 7/0710/071/08 4/08 7/0810/081/09 the extent that they hold the pools and other asset-backed
Source: JPMorgan securities, many of which still offer higher yield spreads
and higher credit ratings than emerging country debt
bonds.
Strategies
The strategies continued to adapt to the new liquidity
With the slight thaw in credit markets during the environment. As cash paydowns come in from the
quarter, our strategies benefited from positive collateral pools, we continue to migrate those portfolios
contributions from the collateral vehicles: The collateral that had used a derivatives+collateral implementation to
pools delivered more than 100 bps of excess return over more traditional approaches, using either derivatives+cash
the benchmark from their asset-backed investments during or direct holdings in bonds. We launched a U.S. Treasury
Strategy for use as a cash vehicle. We also launched a bond Now the challenges are exciting ones, like retooling our
strategy for use by Asset Allocation to take advantage of investment strategies in a manner consistent with the
dislocations in cash bonds in the context of ready liquidity. liquidity environment. For example, in developed markets
Meanwhile, as the liquidity profile improved across funds, we used to focus on picking up small adjustments in
we raised the de minimis amounts investors could redeem currencies and rates by trading actively each day based on
for cash. high-frequency market-related variables. However, this
was premised on a low-transaction cost environment and
We also began raising our awareness of our investors’ relatively free markets.
liquidity needs, crucial in maintaining the balance between
having cash available and remaining fully invested in a Now, of course, liquidity is lower, and the markets are
strategy given still-elevated transactions costs across fixed hardly free. In currencies, New Zealand had already
income markets. We therefore found it fascinating that one engaged in unsterilized intervention to weaken its currency;
of the recommendations highlighted by the Money Market now Switzerland, a traditional safe haven, is engaging in
Working Group was for money market funds to address quantitative easing by buying foreign assets, directly
“client risk.” If this is needed for money market funds, weakening the Swiss franc. Quantitative easing itself, if
then it should be needed for lesser-liquidity emerging debt implemented in a textbook way, introduces more of one
portfolios and even the medium-liquidity government particular currency relative to others, and should, all else
bond portfolios in between. equal, put downward pressure on that currency.
Outlook Of course these quantitative or credit easing measures

are also designed to influence long-term interest rates,
So long as the investments in our collateral pools rendering these markets also less free. Meanwhile,
maintain their credit quality and continue to pay, our sovereign bond issuance, recently a benign influence on the
outlook improves every day with the simple passage of direction of interest rates, is back to being important, given
time. Collateral pool paydowns raise our portfolios’ the enormous scale being undertaken. Finally, thinking
liquidity positions, freeing them to make cash available to ahead to the day when such extraordinary fiscal and
investors or pursue some of the many dislocations in the monetary measures are lifted, how will the markets unfold?
markets. And, we believe the massive inventory reduction Designing an investment framework that captures these
forced upon the primary dealer community has mostly run newly important influences is our challenge today.
its course. Equity markets plumbed lows and then
bounced, reducing the worry that sudden portfolio- The liquidity pressure on emerging countries appears
rebalance shifts would result in large liquidity needs. In to have been reduced for now as well. Official creditors at
short, the liquidity pressure is not off, but it’s not as the G-20 meeting announced significant measures to
crushing. provide a financing cushion for emerging countries given
the difficult market environment for borrowers that began
Corporate Bonds Held by last fall. The G-20 tripled the IMF’s capital resources to
Primary Dealers ($ Billions) $750 billion; created a “flexible credit line” for use by
250 otherwise healthy countries without precondition; and
pledged $250 billion in trade finance and bank
200 recapitalization. In addition, other multilaterals (EBRD,
150
IADB, ADB, and World Bank) committed a further $100
billion of additional lending. This may reduce the
100 likelihood that liquidity problems in a country become
solvency problems immediately, but doesn’t change which
50 countries were more solvent to begin with.
0
2001 2002 2003 2004 2005 2006 2007 2008
Source: Federal Reserve
Market mechanisms are themselves changing. For debt with ever higher bear-market equity betas in recent
example, the “Big Bang” protocol introduced a noteworthy years is now reversing in a brutal manner. Supply of and
standardization of credit derivatives markets. Changes demand for such non-sovereign credit has fallen, and
thought unthinkable a year ago were negotiated and sovereigns are getting set to deliver the most brutal of all
implemented in six months. Foreign exchange markets are crowding outs as debt issuance balloons.
being influenced by the massive reciprocal swap lines being
introduced by central banks. No doubt all these factors Fixed income investors are left wondering why they
should benefit the health of a functioning market, but they adopted aggregate-style benchmarks, when it merely
introduce new uncertainties in designing an investment invited underwriters to stuff the benchmark with credits
process. We therefore follow these developments closely. regardless of their value as risk-adjusted return producers.
Merely underweighting credit against such a benchmark
We are also encouraging our investors to take a fresh isn’t enough when credit was so mispriced.
look at their fixed income portfolios with a critical eye. As
our paper “Bond Benchmark Baloney” presaged, fixed We welcome discussions with investors interested in
income markets, once neatly segmented into fixed income separating out risk-adjusted returns available across fixed
“asset classes” and reported on by broker/dealers using income and credit markets from “fixed income”
daily, indicative-priced bond benchmarks, are in disarray. investments held for a specific purpose.
The compositional drift that had favored private-sector
Disclaimer: The views expressed herein are through the period ending March 31, 2009, and are subject to change at any time based on market and other
conditions. This is not an offer or solicitation for the purchase or sale of any security, is not intended to be investment advice and should not be construed
as such. References to specific securities and issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as,
recommendations to purchase or sell such securities.
GMO U.S. Core Strategy As of March 31, 2009

Inception: 9/30/85; Benchmark: S&P 500 Index
1 2,5
Performance Top Ten Holdings
Total Return Net of Fees (%) Average Annual Total Return (%) Exxon Mobil Corp. 5.2%
1Q YTD One Five Ten Since Microsoft Corp. 4.9%
2009 2009 Year Year Year Inception Pfizer Inc. 4.5%
Strategy -9.37 -9.37 -29.20 -4.63 -1.45 9.92 Wal-Mart Stores Inc. 4.4%
3
Benchmark -11.01 -11.01 -38.09 -4.76 -3.00 9.05 Chevron Corp. 4.0%
Johnson & Johnson 3.9%
Annual Total Return Net of Fees (%) QUALCOMM Inc. 3.6%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Oracle Corp. 3.3%
Strategy 18.94 0.19 -7.87 -19.73 26.64 9.85 3.66 9.75 1.65 -30.16 Amgen Inc. 3.0%
Benchmark 21.04 -9.11 -11.88 -22.10 28.69 10.88 4.91 15.80 5.49 -37.00 Cisco Systems Inc. 2.9%
Total 39.7%
4 5
Risk Profile Since 9/30/85 Sector Weights
Strategy Benchmark Underweight/Overweight
Alpha 1.65 0.00 Sector Against Benchmark Strategy Benchmark
Beta 0.93 1.00 Consumer Discretionary 0.2 9.0 % 8.8 %
2
R 0.96 1.00 Consumer Staples 5.2 18.0 12.8
Sharpe Ratio 0.39 0.28 Energy 1.3 14.3 13.0
Financials -6.3 4.5 10.8
Health Care 11.9 27.2 15.3
5
Characteristics Industrials -5.0 4.7 9.7
Information Technology 1.1 19.1 18.0
Strategy Benchmark
Materials -2.1 1.2 3.3
Price/Earnings - Hist 1 Yr Wtd Med 12.1 x 12.1 x
Telecom. Services -2.7 1.3 4.0
Price/Book - Hist 1 Yr Wtd Avg 2.2 x 1.7 x
Utilities -3.7 0.6 4.3
Dividend Yield - Hist 1 Yr Wtd Avg 2.8 % 3.1 %
Return on Equity - Hist 5 Yr Avg 24.1 % 21.9 % -15 -10 -5 0 5 10 15
Market Cap - Weighted Median $Bil $60.2 $34.5 GICS Sectors
Quarterly Strategy Attribution

 The U.S. Core Strategy returned -9.4% for the first quarter of 2009, outpacing the -11.0% return of the S&P 500 Index.
 Sector selection added to relative returns for the quarter. The strategy saw positive returns relative to the benchmark attributable to
its underweight positions in Financials and Industrials and an overweight in Health Care. Underweight positions in Materials and
Telecommunication Services detracted from relative returns.
 Stock selection detracted from relative returns. Selections in Consumer Staples, Consumer Discretionary, and Industrials added to
returns versus the benchmark while picks in Health Care, Materials, and Energy detracted. Individual stocks adding to relative returns
in the first quarter included an overweight in Qualcomm, an underweight in Wells Fargo, and not owning GE. Stock selections
detracting from returns versus the benchmark included overweight positions in Pfizer and UnitedHealth Group and an underweight in
Apple.
1 Performance data quoted represents past performance and is not predictive of future performance. Returns are shown after the deduction of management fees,
transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and
other income.
2 Portfolio holdings are percent of equity. They are subject to change and should not be considered a recommendation to buy individual securities.
3 The S&P 500 Index is a well-known, independently maintained and published U.S. large capitalization stock index.
4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’s sensitivity to the market; R2 is a measure of how well a portfolio tracks the market;
Sharpe Ratio is the return over the risk free rate per unit of risk. Risk profile data is gross.
5 The above information is based on a representative account selected because it has the least number of restrictions and best represents the implementation of the strategy.
The performance information above is supplemental to the GIPS® compliant presentation that was made available on GMO’s website in April of 2009.
GIPS® compliant presentation is available at www.gmo.com.
GMO ©2009
GMO Intrinsic Value Strategy As of March 31, 2009

Inception: 5/31/99; Benchmark: Russell 1000 Value Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Exxon Mobil Corp. 7.2%
1Q YTD One Five Ten Since Chevron Corp. 6.0%
2009 2009 Year Year Year Inception Pfizer Inc. 3.7%
Strategy -12.41 -12.41 -35.73 -6.36 n/a -0.69 ConocoPhillips 3.5%
3
Benchmark -16.77 -16.77 -42.42 -4.94 n/a -1.42 Wal-Mart Stores Inc. 3.4%
Johnson & Johnson 3.0%
Annual Total Return Net of Fees (%) UnitedHealth Group Inc. 2.6%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Home Depot Inc. 2.6%
Strategy -0.53 10.67 3.84 -15.63 30.42 12.12 5.57 13.61 -3.73 -34.51 Microsoft Corp. 2.5%
Benchmark -2.13 7.02 -5.59 -15.52 30.03 16.49 7.05 22.24 -0.17 -36.85 Amgen Inc. 2.4%
Total 36.9%
4 5
R2 0.94 1.00 Consumer Staples 2.6 12.6 10.0
Sharpe Ratio -0.22 -0.29 Energy 3.7 21.3 17.6
Financials -10.3 10.2 20.5
5
Health Care 9.1 23.6 14.5
Strategy Benchmark
Price/Book - Hist 1 Yr Wtd Avg 1.6 x 1.2 x Utilities -6.4 0.9 7.3
Market Cap - Weighted Median $Bil $40.6 $32.4
GICS Sectors

 The Intrinsic Value Strategy returned -12.4% for the first quarter of 2009, besting the -16.8% return of the Russell 1000 Value Index.
 Sector selection added to relative returns for the quarter. The strategy’s underweight in Financials and overweight positions in
Information Technology and Health Care added to relative returns. Underweight positions in Telecommunication Services, Utilities,
and Materials detracted from returns versus the benchmark.
 Stock selection also added to relative returns. Selections in Consumer Discretionary, Consumer Staples, and Industrials added to
returns versus the benchmark while picks in Health Care and Financials detracted. Individual names adding to relative returns
included underweight positions in Wells Fargo and GE and an overweight in Qualcomm. Stock selections detracting from relative
returns included underweight positions in Goldman Sachs, AT&T, and JPMorgan Chase.
other income.
3 The Russell 1000 Value Index is an independently maintained and published index which measures the performance of those stocks included in the Russell 1000 Index
with lower price-to-book ratios and lower forecasted growth values.
GMO ©2009
GMO U.S. Quality Strategy As of March 31, 2009

Inception: 2/29/04; Benchmark: S&P 500 Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Microsoft Corp. 6.8%
1Q YTD One Five Ten Since Pfizer Inc. 6.8%
2009 2009 Year Year Year Inception Johnson & Johnson 6.4%
Strategy -8.33 -8.33 -23.77 -2.85 n/a -3.05 Wal-Mart Stores Inc. 6.3%
3
Benchmark -11.01 -11.01 -38.09 -4.76 n/a -4.97 Exxon Mobil Corp. 6.2%
Oracle Corp. 5.7%
Annual Total Return Net of Fees (%) Coca-Cola Co. 5.7%
2004 2005 2006 2007 2008 Chevron Corp. 5.6%
Strategy 3.54 -0.78 12.69 6.04 -24.08 Procter & Gamble Co. 4.9%
Benchmark 7.39 4.91 15.80 5.49 -37.00 PepsiCo Inc. 4.5%
Total 58.9%
4 5
Beta 0.73 1.00 Consumer Discretionary -7.5 1.3 % 8.8 %
5 Health Care 12.2 27.5 15.3
Strategy Benchmark Information Technology 7.3 25.3 18.0
Price/Earnings - Hist 1 Yr Wtd Med 12.1 x 12.1 x Materials -3.3 0.0 3.3
Price/Book - Hist 1 Yr Wtd Avg 2.9 x 1.7 x Telecom. Services -0.1 3.9 4.0
Dividend Yield - Hist 1 Yr Wtd Avg 3.2 % 3.1 % Utilities -4.3 0.0 4.3
Return on Equity - Hist 5 Yr Avg 26.7 % 21.9 % -20 -10 0 10 20
Debt/Equity 0.8 x 1.2 x GICS Sectors

 The U.S. Quality Strategy returned -8.3% in the first quarter of 2009, besting the -11.0% return of the S&P 500.
 Sector selection added to returns versus the benchmark. Not owning Financials, an underweight in Industrials, and an overweight in
Information Technology added to relative returns. Not owning Materials and being underweight Consumer Discretionary detracted
from relative returns.
 Stock selection detracted from relative returns for the quarter. Selections in Consumer Staples and Industrials added to relative
returns while picks in Health Care, Information Technology, and Energy detracted. In terms of individual stock selections, an
overweight in Oracle Corp. and not owning Wells Fargo or GE added to relative returns. Overweight positions in Pfizer and Procter
& Gamble and not owning Apple detracted from returns versus the benchmark.
other income.
3 The S&P 500 Index is a well-known, independently maintained and published U.S. large capitalization stock index.
GMO ©2009
GMO Growth Strategy As of March 31, 2009

Inception: 12/31/88; Benchmark: Russell 1000 Growth Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Wal-Mart Stores Inc. 6.0%
1Q YTD One Five Ten Since Exxon Mobil Corp. 5.0%
2009 2009 Year Year Year Inception Microsoft Corp. 4.5%
Strategy -6.89 -6.89 -26.81 -5.63 -3.71 8.06 QUALCOMM Inc. 3.9%
3
Benchmark -4.12 -4.12 -34.28 -4.38 -5.26 7.11 Cisco Systems Inc. 3.4%
Oracle Corp. 3.4%
Annual Total Return Net of Fees (%) Johnson & Johnson 2.8%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Amgen Inc. 2.8%
Strategy 39.04 -12.21 -21.51 -22.94 28.27 4.66 3.93 2.44 5.99 -30.42 Procter & Gamble Co. 2.5%
Benchmark 33.16 -22.42 -20.42 -27.88 29.75 6.30 5.26 9.07 11.81 -38.44 Coca-Cola Co. 2.4%
Total 36.7%
4 5
Beta 0.94 1.00 Consumer Discretionary -0.1 10.1 % 10.2 %
Sharpe Ratio 0.25 0.16 Energy 2.1 10.0 7.9
5
Information Technology -7.7 23.5 31.2
Strategy Benchmark
Telecom. Services 0.0 0.8 0.8
Earnings/Share - F'cast LT Med Growth 10.8 x 12.6 x

 The Growth Strategy returned -6.9% in the first quarter of 2009, trailing the -4.1% return of its benchmark, the Russell 1000 Growth
Index.
 Sector selection detracted modestly from relative returns. Underweight positions in Industrials and Utilities and an overweight in
Energy added to relative returns. The strategy’s underweight positions in Information Technology and Materials and an overweight in
Consumer Staples detracted from returns versus the benchmark.
 Stock selection detracted from relative returns for the quarter. Selections in Utilities and Consumer Discretionary added to
relative returns while picks in Health Care, Energy, and Information Technology were among the detractors. Individual stocks adding
to returns included overweight positions in Qualcomm and Wyeth and an underweight in Caterpillar. Selections detracting from
relative returns included overweight positions in Exxon Mobil and Amgen and an underweight in Apple.
other income.
3 The Russell 1000 Growth Index is an independently maintained and published index which measures the performance of those stocks included in the Russell 1000 Index
with higher price-to-book ratios and higher forecasted growth values.
GMO ©2009
GMO Small/Mid Cap Value Strategy As of March 31, 2009

Inception: 12/31/91; Benchmark: Russell 2500 Value + Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Family Dollar Stores Inc. 1.5%
1Q YTD One Five Ten Since Ross Stores Inc. 1.5%
2009 2009 Year Year Year Inception Dollar Tree Stores Inc. 1.4%
Strategy -15.46 -15.46 -34.55 -6.02 4.15 8.66 Hasbro Inc. 1.3%
3
Benchmark -16.32 -16.32 -38.66 -4.79 4.72 8.37 ITT Educational Services 1.3%
W.R. Berkley Corp. 1.3%
Annual Total Return Net of Fees (%) Advance Auto Parts Inc. 1.3%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Edwards Lifesciences Corp. 1.3%
Strategy 3.45 18.95 9.75 -11.48 45.26 20.80 7.95 10.86 -12.37 -26.97 Affiliated Computer Services 1.3%
Benchmark 1.47 20.79 9.73 -9.87 44.93 21.58 7.74 20.18 -7.27 -31.99 Annaly Mortgage Mgmt. Inc. 1.2%
Total 13.4%
4 5
Sharpe Ratio 0.35 0.30 Energy -2.5 1.3 3.8
Characteristics
5 Industrials -1.4 9.2 10.6
Strategy Benchmark
Price/Earnings - Hist 1 Yr Wtd Med 13.4 x 14.9 x Telecom. Services 1.2 2.7 1.5
Price/Book - Hist 1 Yr Wtd Avg 1.4 x 1.0 x Utilities -9.4 2.9 12.3

 The Small/Mid Cap Value Strategy returned -15.5% in the first quarter, outpacing its benchmark, the Russell 2500 Value Index, which
returned -16.3%.
 Sector selection added to returns relative to the benchmark. Overweight positions in Consumer Discretionary, Health Care, and
Information Technology added to relative returns. Underweight positions in Utilities and Materials and an overweight in Consumer
Staples detracted.
 Stock selection detracted from relative returns for the quarter. Selections in Consumer Discretionary, Industrials, and Materials added
to relative returns while picks in Health Care, Information Technology, and Financials detracted. Individual stocks adding to relative
returns included overweight positions in AutoNation, Western Digital, and Family Dollar Stores. Individual names detracting from
relative performance included overweight positions in King Pharmaceuticals, International Bancshares, and Gannett.
other income.
3 The Russell 2500 Value + Index is comprised of the Russell 2500 Index from 12/31/1991 to 12/31/1996 and the Russell 2500 Value Index thereafter. The Russell 2500
Value Index is an independently maintained and published index which measures the performance of those stocks included in the Russell 2500 Indes with lower price-to-
book ratios and lower forecasted growth values.
GMO ©2009
GMO Small/Mid Cap Growth Strategy As of March 31, 2009

Inception: 12/31/96; Benchmark: Russell 2500 Growth Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Dollar Tree Stores Inc. 2.8%
1Q YTD One Five Ten Since Ross Stores Inc. 2.6%
2009 2009 Year Year Year Inception Myriad Genetics Inc. 2.6%
Strategy -8.94 -8.94 -38.90 -7.35 -0.91 1.01 ITT Educational Services 2.1%
3
Benchmark -5.97 -5.97 -38.14 -4.47 0.24 1.49 Edwards Lifesciences Corp. 2.1%
Flir Systems Inc. 1.9%
Annual Total Return Net of Fees (%) Strayer Education Inc. 1.8%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 J.B. Hunt Transport Services 1.7%
Strategy 29.59 -10.56 -13.03 -17.62 44.10 13.12 9.56 6.69 1.81 -41.40 Advance Auto Parts Inc. 1.5%
Benchmark 55.48 -16.09 -10.83 -29.09 46.32 14.59 8.17 12.26 9.69 -41.50 Sybase Inc. 1.3%
Total 20.4%
4 5
Alpha -0.22 0.00 Sector Against Benchmark Strategy Benchmark
2
R 0.96 1.00 Consumer Staples 0.4 4.2 3.8
Sharpe Ratio -0.09 -0.08 Energy -0.4 6.1 6.5
Financials 0.4 6.0 5.6
Health Care -1.8 20.8 22.6
5
Strategy Benchmark
Earnings/Share - F'cast LT Med Growth 15.4 x 16.3 x Utilities -0.7 0.2 0.9

 The Small/Mid Cap Growth Strategy returned -8.9% in the first quarter, trailing the Russell 2500 Growth Index, which fell 6.0%.
 Sector selection added to returns versus the benchmark. Overweight positions in Consumer Discretionary and Energy and an
underweight in Industrials added to relative returns. Sectors detracting from returns versus the benchmark included underweight
positions in Telecommunication Services and Information Technology.
 Stock selection detracted from relative returns for the quarter. Selections in Consumer Discretionary, Materials, and Financials added
to relative returns while negative attribution came from picks in Health Care, Information Technology, and Energy. Individual stocks
adding to relative returns included overweight positions in Ross Stores, Big Lots, and Aeropostale. Individual names detracting from
relative performance included overweight positions in Flir Systems, Comstock Resources, and Emergent Biosolutions.
other income.
3 The Russell 2500 Growth Index is an independently maintained and published index which measures the performance of those stocks included in the Russell 2500 Index
with higher price-to-book ratios and higher forecasted growth values.
4 Alpha is a measure of risk-adjusted return; Beta is a measure of a portfolio’ sensitivity to the market; R2 is a measure of how well a portfolio tracks the market;
GMO ©2009
GMO Real Estate Strategy As of March 31, 2009

Inception: 5/31/96; Benchmark: MSCI U.S. REIT Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Public Storage Inc. 10.2%
1Q YTD One Five Ten Since Simon Property Group Inc. 6.7%
2009 2009 Year Year Year Inception Equity Residential 5.4%
Strategy -32.35 -32.35 -55.82 -8.04 3.51 3.59 Vornado Realty Trust 5.0%
3
Benchmark -32.72 -32.72 -59.14 -9.09 3.53 4.35 HCP Inc. 5.0%
Boston Properties Inc. 4.7%
Annual Total Return Net of Fees (%) Health Care REIT Inc. 3.6%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 AvalonBay Communities Inc. 3.1%
Strategy -4.51 29.21 9.53 1.86 34.03 30.64 11.27 35.39 -17.15 -33.17 Kimco Realty Corp. 2.6%
Benchmark -4.55 26.81 12.83 3.64 36.74 31.49 12.13 35.92 -16.82 -37.97 Regency Centers Corp. 2.3%
Total 48.6%
4 5
Underweight/Overweight
Strategy Benchmark Sector Against Benchmark Strategy Benchmark
Alpha -0.11 0.00
Diversified 0.3 9.0 % 8.7 %
Beta 0.97 1.00
2 Industrial -0.7 4.5 5.2
R 0.99 1.00
Mortgage 0.0 0.0 0.0
Sharpe Ratio 0.03 0.04
Office -0.1 16.0 16.1
5 Residential -0.5 16.8 17.3
Characteristics -0.8
Retail 22.6 23.4
Strategy Benchmark Specialized 1.9 31.1 29.2
-3 -2 -1 0 1 2 3
Price/Earnings - Excl Neg Earnings GICS Sub-Industries
18.5 x 19.0 x
Hist 1 Yr Wtd Avg
Price/Cash Flow - Hist 1 Yr Wtd Med 7.4 x 6.8 x
Return on Assets - 5 Yr Avg 3.9 % 3.7 %

 The Real Estate Strategy returned -32.4% for the first quarter of 2009, besting the -32.7% return of the MSCI U.S. REIT Index.
 Sector selection added to returns relative to the MSCI U.S. REIT Index. Overweight positions in the GICS Sub-Industry Specialized
sector and an underweight in Industrial added to returns versus the benchmark. None of the strategy’s GICS Sub-Industry sector
weightings detracted from relative returns during the period.
 Stock selection added to returns relative to the MSCI U.S. REIT Index. Selections in the GICS Sub-Industry Office, Residential, and
Specialized sectors added to relative returns while selections in Retail and Industrial detracted. In terms of individual names,
underweight positions in Macerich Co. and Brandywine Realty Trust and an overweight in Public Storage added to relative returns.
Overweight positions in Kimco Realty Corp. and Weingarten Realty Investors and an underweight in Digital Realty Trust detracted.
other income.
3 The MSCI U.S. REIT Index is a well-known, independently maintained and published index of equity securities issued by REITs.
GMO ©2009
GMO International Active EAFE Strategy As of March 31, 2009

Inception: 5/31/81; Benchmark: MSCI EAFE Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Royal Dutch Shell PLC 2.5%
1Q YTD One Five Ten Since BP PLC 2.5%
2009 2009 Year Year Year Inception Vodafone Group PLC 2.2%
Strategy -15.18 -15.18 -44.83 -1.45 3.41 11.79 Total S.A. 1.8%
3
Benchmark -13.94 -13.94 -46.51 -2.18 -0.84 8.09 NTT DoCoMo Inc. 1.8%
GlaxoSmithKline PLC 1.8%
Toyota Motor Corp. 1.5%
Annual Total Return Net of Fees (%)
Eni S.p.A 1.4%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
BG Group PLC 1.3%
Strategy 28.61 -6.49 -10.11 -6.11 41.37 22.33 13.52 27.52 10.58 -41.24 Nestle S.A. 1.3%
Benchmark 26.96 -14.17 -21.44 -15.94 38.59 20.25 13.54 26.34 11.17 -43.38 Total 18.1%
4 5
Risk Profile Since 5/31/81 Characteristics
Strategy Benchmark Strategy Benchmark
Alpha 5.07 0.00 Price/Earnings - Hist 1 Yr Wtd Med 10.4 x 9.9 x
Beta 0.79 1.00 Price/Cash Flow - Hist 1 Yr Wtd Med 5.7 x 6.2 x
R2 0.81 1.00 Price/Book - Hist 1 Yr Wtd Avg 1.2 x 1.2 x
Sharpe Ratio 0.46 0.15 Dividend Yield - Hist 1 Yr Wtd Avg 5.0 % 4.9 %
5 5
Regional Weights Sector Weights
Underweight/Overweight Underweight/Overweight
Region Against Benchmark (%) Sector Against Benchmark Strategy Benchmark
Europe ex-UK -7.1 Consumer Discretionary 0.1 10.2 % 10.1 %
Consumer Staples 2.1 12.6 10.5
United Kingdom 3.7
Energy 2.4 11.6 9.2
Japan 3.0 Financials -5.6 15.9 21.5
Southeast Asia 1.2 Health Care 0.6 10.1 9.5
Industrials -1.7 9.6 11.3
Australia/New Zealand -4.8
Emerging 1.8 Materials -2.9 5.7 8.6
Cash 2.2 Telecom. Services 3.2 10.0 6.8
Utilities 1.0 8.0 7.0
-10 -5 0 5 10
-10 -5 0 5 10 GICS Sectors

 The International Active Strategy underperformed the MSCI EAFE Index by 1.2% in the first quarter, falling 15.2% while the
benchmark lost 13.9%.
 Country selection was 0.2% ahead of the benchmark. Overweight positions in the United Kingdom and Norway added to returns.
On the negative side, underweight positions in Australia and Sweden hurt performance.
 Stock selection lagged the benchmark by 1.4% in the first quarter. Our holdings underperformed in Japan, the United Kingdom,
Belgium, and Switzerland. Stock selection outperformed in Finland and the emerging markets.
other income.
3 The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently maintained and published large capitalization international stock index. MSCI
Standard Index Series, net of withholding tax.
GMO ©2009
GMO International Intrinsic Value Strategy As of March 31, 2009
Inception: 3/31/87; Benchmarks: MSCI EAFE Value Index and MSCI EAFE Index
(Please note that effective January 1, 2009, the benchmark has changed from S&P EPAC Large Mid Cap Value to MSCI EAFE Value. Change is applicable retroactively as well as going forward.)
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) GlaxoSmithKline PLC 4.9%
1Q YTD One Five Ten Since
Novartis AG 3.7%
2009 2009 Year Year Year Inception
Sanofi-Aventis 3.4%
Strategy -15.38 -15.38 -44.81 -1.22 3.70 7.02 Total S.A. 3.0%
3
MSCI EAFE Value -15.53 -15.53 -47.72 -2.49 0.59 5.48 AstraZeneca PLC 2.5%
3
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 3.37 Nestle S.A. 2.5%
Annual Total Return Net of Fees (%) Eni S.p.A 2.1%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Royal Dutch Shell PLC 2.1%
Strategy 14.62 -1.40 -12.10 -0.59 43.53 25.23 13.98 25.78 10.21 -40.31 Honda Motor Co. Ltd. 1.8%
MSCI EAFE Value 24.15 -3.14 -18.52 -15.91 45.30 24.33 13.80 30.38 5.96 -44.09 Vodafone Group PLC 1.6%
MSCI EAFE 26.96 -14.17 -21.44 -15.94 38.59 20.25 13.54 26.34 11.17 -43.38 Total 27.6%
4 5
M SCI M SCI
M SCI M SCI
Strategy EAFE Value EAFE
Strategy EAFE Value EAFE
Alpha 2.49 0.00 0.00 Price/Earnings - Hist 1 Yr Wtd Med 9.7 x 8.4 x 9.9 x
Price/Cash Flow - Hist 1 Yr Wtd Med 6.4 x 4.8 x 6.2 x
Beta 0.81 1.00 1.00
Price/Book - Hist 1 Yr Wtd Avg 1.1 x 0.8 x 1.2 x
R2 0.84 1.00 1.00
Return on Equity - Hist 1 Yr Avg 13.4 % 11.0 % 13.5 %
Sharpe Ratio 0.21 0.06 -0.24 Market Cap - Weighted Median $Bil $16.7 $17.6 $18.6
Dividend Yield - Hist 1 Yr Wtd Avg 5.1 % 6.2 % 4.9 %
5 5
Region Against M SCI EAFE Value (%) Sector Against M SCI EAFE Value Strategy Benchmark
United Kingdom 1.0
Energy 3.6 12.5 8.9
Southeast Asia -0.4 Health Care 11.5 17.2 5.7
Canada 0.8 Industrials -3.5 7.0 10.5
Australia/New Zealand -4.3 Information Technology 0.8 4.3 3.5
1.4 Materials -1.0 6.0 7.0
Cash
-10 -5 0 5 10 Utilities 1.2 7.2 6.0
-20 -10 0 10 20 GICS Sectors

 The International Intrinsic Value Strategy returned -15.4% during the first quarter of 2009. This was behind the broad market MSCI EAFE Index, which returned
-13.9%, but essentially in line with the MSCI EAFE Value benchmark, which returned -15.5%. (This strategy changed benchmarks at the start of the quarter from the
S&P EPAC Large Mid Cap Value Index to the MSCI EAFE Value Index.)
 Underperformance relative to EAFE resulted primarily from stock selection and currency allocation. Country allocation was slightly negative, while sector exposures
had a positive impact.
 Stock selection was weakest within Japan and the Netherlands despite better results within Canada. Within sectors, our Consumer Staples, Materials, and
Telecommunication Services holdings underperformed, while our Utilities and Consumer Discretionary stocks did well.
 Currency allocation detracted from performance from our underweights to the Australian dollar and British pound and overweight to the Japanese yen.
 Sector exposures helped performance due mainly to the underweight to Financials and our overweight to Energy.
 Country allocation had a slight negative impact from our underweight in Australia and overweight in Italy.
 Relative to the value benchmark, however, performance was better. Country allocation, stock selection, and sector exposures all had better results versus the value
benchmark. This was due to the differences between the two indexes.
 GMO’s stock selection disciplines had mixed results in the quarter. Stocks ranked highly by intrinsic value outperformed, those stocks chosen by quality-adjusted value
had market-like returns, and stocks (within value) selected for their strong momentum characteristics underperformed.
 Individual stocks that made significant positive contributions to performance included an overweight in French oil company Total and underweight positions in British
financial HSBC Holdings and French financial AXA. Stock positions that detracted from relative performance included Japanese retailer Seven & I Holdings, Swiss
pharmaceutical Novartis, and Japanese consumer goods maker Kao Corp.
other income.
3 The MSCI EAFE (Europe, Australasia, and Far East) Value Index is a well-known, independently maintained and published large capitalization international stock index
comprised of large/mid capitalization stocks that have a value style. Large/mid cap stocks encompass approximately 85% of each market’s free float-adjusted market
capitalization. The style is determined using a multi-factor approach based on eight historical and forward-looking characteristics. MSCI Standard Index Series, net of
withholding tax. The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently maintained and published large capitalization international
stock index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO International Core Equity Strategy As of March 31, 2009

Inception: 1/31/02; Benchmark: MSCI EAFE Index
1 2,5
1Q YTD One Five Ten Since Novartis AG 3.9%
2009 2009 Year Year Year Inception Sanofi-Aventis 2.8%
Strategy -14.21 -14.21 -44.98 -1.05 n/a 4.34 Nestle S.A. 2.6%
3
Benchmark -13.94 -13.94 -46.51 -2.18 n/a 1.96 AstraZeneca PLC 2.4%
Total S.A. 2.2%
Annual Total Return Net of Fees (%) Royal Dutch Shell PLC 2.0%
2002 2003 2004 2005 2006 2007 2008 BG Group PLC 1.9%
Strategy -2.43 37.67 23.28 15.58 25.56 12.13 -41.34 Vodafone Group PLC 1.7%
Eni S.p.A 1.6%
Benchmark -11.22 38.59 20.25 13.54 26.34 11.17 -43.38
Total 25.1%
4 5
Strategy Benchmark
Strategy Benchmark
Alpha 2.85 0.00
Earnings/Share - F'cast LT Med Growth Rate 4.5 x 4.0 x
Beta 0.95 1.00 Price/Book - Hist 1 Yr Wtd Avg 1.2 x 1.2 x
R2 0.97 1.00 Return on Equity - Hist 1 Yr Avg 13.4 % 13.5 %
Sharpe Ratio 0.14 -0.03 Market Cap - Weighted Median $Bil $17.8 $18.6
5 5
Consumer Discretionary 2.0 12.1 % 10.1 %
Europe ex-UK -2.4 Consumer Staples 0.5 11.0 10.5
United Kingdom 0.4 Energy 2.9 12.1 9.2
-6 -3 0 3 6 Utilities -1.3 5.7 7.0

 The International Core Equity Strategy returned -14.2% during the first quarter of 2009. This was slightly behind the MSCI EAFE Index, which
returned -13.9%.
 Within the portfolio, relative underperformance resulted primarily from currency allocation but also slightly from country allocation. Sector
exposures had a positive impact, while stock selection was mixed.
 Currency allocation detracted from performance from our underweights to the Australian dollar and British pound and overweight to the Japanese
yen.
 Country allocation had a slight negative impact from our underweight in Australia despite the benefit of our underweight in Spain.
 Sector exposures helped performance, due mainly to the underweight to Financials and overweight to Energy.
 Stock selection was mixed as outperformance from holdings in the United Kingdom, France, and Canada outweighed underperformance from
Japanese stocks. By sector, our Consumer Staples and Industrials holdings lagged, while our Consumer Discretionary stocks did relatively well but
not enough to offset other losses.
 GMO’s stock selection disciplines had mixed results in the quarter. Stocks ranked highly by intrinsic value outperformed, while those stocks chosen
by quality-adjusted value or for their strong momentum characteristics had more market-like returns.
 Individual stocks that made significant positive contributions to performance included overweights in British utility BG Group, Japanese auto maker
Honda Motor, and an underweight position in British financial HSBC Holdings. Stock positions that detracted from relative performance included
Japanese retailer Seven & I Holdings, Swiss pharmaceutical Novartis, and Dutch financial ING Groep.
other income.
3 The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently maintained and published large capitalization international stock index. MSCI
Standard Index Series, net of withholding tax.
GMO ©2009
GMO International Growth Strategy As of March 31, 2009
Inception: 11/30/01; Benchmarks: MSCI EAFE Growth Index and MSCI EAFE Index
(Please note that effective January 1, 2009, the benchmark has changed from S&P EPAC Large Mid Cap Growth to MSCI EAFE Growth. Change is applicable retroactively as well as going forward.)
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Novartis AG 5.5%
1Q YTD One Five Ten Since GlaxoSmithKline PLC 5.2%
2009 2009 Year Year Year Inception Nestle S.A. 4.4%
Strategy -11.41 -11.41 -40.97 0.25 n/a 3.22 Roche Holding AG 3.6%
3
MSCI EAFE Growth -12.43 -12.43 -45.36 -1.99 n/a 0.65 BG Group PLC 3.2%
3
MSCI EAFE -13.94 -13.94 -46.51 -2.18 n/a 1.25 SAP AG 2.4%
Annual Total Return Net of Fees (%) Sanofi-Aventis 2.4%
2001 2002 2003 2004 2005 2006 2007 2008 Reckitt Benckiser Group 2.3%
Strategy 2.20 -10.52 30.40 20.03 13.16 24.56 14.35 -38.29 Telefonica S.A. 2.2%
MSCI EAFE Growth 0.58 -16.02 31.99 16.12 13.28 22.33 16.45 -42.70 AstraZeneca PLC 1.9%
MSCI EAFE 0.59 -15.94 38.59 20.25 13.54 26.34 11.17 -43.38 Total 33.1%
4 5
M SCI M SCI
M SCI M SCI
Strategy EAFE Growth EAFE
Strategy EAFE Growth EAFE
Price/Earnings - Hist 1 Yr Wtd Med 11.7 x 11.4 x 9.9 x
Alpha 3.13 0.00 0.00
Earnings/Share - F'cast LT Med Growth Rate 5.4 x 5.1 x 4.0 x
Beta 0.92 1.00 1.00
R2 0.96 1.00 1.00 Return on Equity - Hist 1 Yr Avg 23.6 % 18.3 % 13.5 %
Sharpe Ratio 0.09 -0.11 -0.07 Market Cap - Weighted Median $Bil $22.8 $19.8 $18.6
5 5
Sector Against M SCI EAFE Growth Strategy Benchmark
Region Against M SCI EAFE Growth (%)
Europe ex-UK -2.7 Consumer Staples 17.4 16.8
0.6
United Kingdom 2.4 Energy -0.2 9.4 9.6
Japan -2.0 Financials -8.1 2.8 10.9
Canada 4.4
Materials -1.2 8.9 10.1
-6 -3 0 3 6
-20 -10 0 10 20 GICS Sectors
 The International Growth Strategy returned -11.4% during the first quarter of 2009. This was ahead of the MSCI EAFE Growth benchmark,
which returned -12.4%, and the broad market MSCI EAFE Index, which returned -13.9%. (This strategy changed benchmarks at the start of the
quarter from the S&P EPAC Large Mid Cap Growth Index to the MSCI EAFE Growth Index.)
 Within the portfolio, outperformance relative to the growth index resulted primarily from stock selection, but also from country allocation, and
sector exposures. Currency allocation had a negative impact.
 Stock selection was helped by good relative performance from our holdings in France, Switzerland, Germany, and Japan. By sector, our Energy and
Information Technology holdings did well, while our Health Care and Consumer Staples stocks did not.
 Country allocation had a positive impact due to our overweight in Canada and underweight in Italy.
 Sector exposures helped performance mainly from the underweights to Financials and Utilities despite our overweight to Health Care.
 Currency allocation detracted from performance from our underweights to the Australian dollar and British pound and overweight to the Japanese
yen.
 GMO’s stock selection disciplines had mixed results in the quarter. Stocks selected for their strong momentum characteristics or ranked highly by
intrinsic value had market-like returns. Stocks chosen for their high quality underperformed.
 Individual stocks that made significant positive contributions to performance included overweights in British utility BG Group, Canadian fertilizer
maker Potash Corp. of Saskatchewan, and German software company SAP. Stock positions that detracted from relative performance included
Japanese drug maker Takeda Pharmaceutical, Swiss pharmaceutical Novartis, and Japanese retailer Seven & I Holdings.
other income.
3 The MSCI EAFE (Europe, Australasia, and Far East) Growth Index is a well-known, independently maintained and published large capitalization international stock index
comprised of large/mid capitalization stocks that have a growth style. Large/mid cap stocks encompass approximately 85% of each market’s free float-adjusted market
capitalization. The style is determined using a multi-factor approach based on eight historical and forward-looking characteristics. MSCI Standard Index Series, net of
withholding tax. The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently maintained and published large capitalization international
stock index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO Currency Hedged International Equity Strategy As of March 31, 2009

Inception: 6/30/95; Benchmark: MSCI EAFE (Hedged) Index
1 2,5
1Q YTD One Five Ten Since Novartis AG 4.6%
2009 2009 Year Year Year Inception Nestle S.A. 3.5%
Strategy -10.04 -10.04 -31.78 0.95 3.35 6.10 Sanofi-Aventis 2.9%
3
Benchmark -9.61 -9.61 -35.76 -0.90 -1.32 3.82 Total S.A. 2.2%
Roche Holding AG 2.2%
AstraZeneca PLC 2.2%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 BG Group PLC 2.0%
Strategy 21.00 9.92 -5.31 -14.26 20.96 14.77 27.32 19.31 5.88 -34.09 SAP AG 1.6%
Benchmark 36.47 -4.38 -15.87 -27.37 19.17 12.01 29.67 19.19 5.32 -39.77 Reckitt Benckiser Group 1.3%
Total 27.6%
4 5
Strategy Benchmark
Strategy Benchmark
R2 0.87 1.00 Return on Equity - Hist 1 Yr Wtd Avg 17.3 % 13.5 %
Sharpe Ratio 0.23 0.01 Market Cap - Weighted Median $Bil $20.2 $18.6
5 5
Europe ex-UK -5.4
United Kingdom -0.8 Energy 1.7 10.9 9.2
Canada 2.5
Information Technology 5.9 5.4
0.5
Australia/New Zealand -3.5 Materials -1.2 7.4 8.6
Cash 7.1 Telecom. Services -0.2 6.6 6.8
-10 -5 0 5 10
-20 -10 0 10 20 GICS Sectors

 The Currency Hedged International Equity Strategy returned -10.0% during the first quarter of 2009. This was behind the MSCI
EAFE Hedged Index, which returned -9.6%.
 The U.S. dollar rose significantly on average against most currencies in the quarter. The unhedged EAFE Index returned -13.9%.
 The Currency Hedged International Equity Strategy invests in the International Intrinsic Value (50%) and International Growth
(50%) Strategies. Performance of the Currency Hedged International Equity Strategy was essentially in line with the MSCI EAFE
Hedged Index as a result of the outperformance of the International Growth Strategy offsetting the underperformance of the
International Intrinsic Value Strategy.
other income.
3 The MSCI EAFE Index (Europe, Australasia, and Far East) (Hedged) is a well-known, independently maintained and published large capitalization international stock index
that is currency-hedged into U.S. dollars. MSCI Standard Index Series.
GMO ©2009
GMO Global Equity Strategy As of March 31, 2009

Inception: 7/31/96; Benchmark: MSCI World Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Johnson & Johnson 4.6%
1Q YTD One Five Ten Since Wal-Mart Stores Inc. 3.1%
2009 2009 Year Year Year Inception Coca-Cola Co. 2.4%
Strategy -12.93 -12.93 -41.56 -2.96 1.09 4.27 Pfizer Inc. 2.0%
3
Benchmark -11.92 -11.92 -42.58 -3.50 -2.24 2.13 Total S.A. 2.0%
Eni S.p.A 1.8%
Annual Total Return Net of Fees (%) PepsiCo Inc. 1.7%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 GlaxoSmithKline PLC 1.7%
Strategy 15.95 -0.81 -9.39 -10.70 36.36 17.95 11.08 21.19 6.16 -38.76 Merck & Co. Inc. 1.4%
Benchmark 24.95 -13.18 -16.82 -19.89 33.11 14.72 9.49 20.07 9.04 -40.71 Google Inc. 1.4%
Total 22.1%
4 5
Strategy Benchmark
Strategy Benchmark
Alpha 2.56 0.00
Beta 0.91 1.00
R2 0.94 1.00
Return on Equity - Hist 1 Yr Wtd Avg 18.4 % 15.9 %
Sharpe Ratio 0.08 -0.09
5 5
Underweight/Overweight Sector Against Benchmark Strategy Benchmark
Region Against Benchmark (%)
North America -1.1 Consumer Staples 12.7 11.2
1.5
Europe ex-UK -2.4 Energy 1.0 13.1 12.1
United Kingdom 1.4 Financials -5.3 11.4 16.7
Japan 4.1
Pacific ex-Japan -3.2 Information Technology -2.0 9.7 11.7
Cash 1.2 Materials -1.5 5.0 6.5
-6 -3 0 3 6 Utilities -0.9 4.5 5.4

 Markets continued to fall in the early part of 2009, with the bottom coming in March and preceding a strong rally in equities around the globe. The
strategy lagged the broader markets returning -12.9% vs. -11.9% for the MSCI World benchmark.
 The quality adjusted value discipline, the strategy’s repository for traditional value holdings, was the main detractor from returns. The discipline’s
bank holdings underperformed during the quarter and were joined by insurers of the financial and health care variety, as a consequence of credit
rating downgrades and the potential ramifications of health care reforms in the U.S., respectively.
 Currency selection, so often a positive contributor in 2008, was the other main detractor from returns during the quarter (especially in January and
February). In particular, the overweight in the yen lost its lustre as details of the dismal fourth quarter collapse in global trade, and in particular
Japanese exports. The Swiss franc also gave back a fair amount against other currencies when the Swiss National Bank intervened to stop the
currency gaining further against the euro. We believe that the euro remains overvalued, at least for the least competitive nations at the currency
zone's fringes. Given even Germany's sensitivity to the health in global trade through its large export sector, the role of the euro as the last
remaining currency holding off from the race to the bottom is unlikely to last for ever.
 High quality companies outperformed for the quarter, helping provide a nice tailwind for the strategy’s intrinsic value and momentum disciplines.
The intrinsic value discipline made an explicit allocation to high quality U.S. stocks on a contrarian basis in the first quarter of 2008 and during the
latter part of 2008, the strategy picked up additional higher quality positions globally via our momentum discipline. However, toward the quarter end
a market rally materialized, dampening the relative performance of high quality companies.
 As the market heads upwards, it is natural to question whether this is a bear rally or the start of a new bull market. One way of thinking about this is
to assess the degree to which the recent excesses have been squeezed from the system. On the (admittedly narrow) basis of the decent remaining
valuation spread between high and low quality companies in the U.S., there is still unfinished business.
other income.
3 The MSCI World Index is a well-known, independently maintained and published global developed markets equity index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO Global Growth Strategy
Inception: 7/31/04; Benchmarks: MSCI World Growth Index and MSCI World Index As of March 31, 2009
(Please note that effective January 1, 2009, the benchmark has changed from S&P Developed Large Mid Cap Growth to MSCI World Growth. Change is applicable retroactively as well as going forward.)
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Johnson & Johnson 4.6%
2009 2009 Year Year Year Inception PepsiCo Inc. 2.8%
Strategy -9.44 -9.44 -38.79 n/a n/a -1.48 Int'l. Business Machines 2.4%
3
MSCI World Growth -7.99 -7.99 -40.61 n/a n/a -2.48 Abbott Laboratories 2.0%
3
MSCI World -11.92 -11.92 -42.58 n/a n/a -3.24 McDonalds Corp. 1.7%
Annual Total Return Net of Fees (%) Google Inc. 1.7%
2004 2005 2006 2007 2008 Sanofi-Aventis 1.5%
Strategy 14.02 10.63 17.83 12.44 -38.36 Novartis AG 1.2%
MSCI World Growth 13.57 9.41 15.15 14.76 -41.13 AstraZeneca PLC 1.2%
MSCI World 14.56 9.49 20.07 9.04 -40.71 Total 23.1%
4 5
M SCI M SCI
M SCI M SCI Strategy World Growth World
Strategy World Growth World
Price/Earnings - Hist 1 Yr Wtd Med 11.8 x 12.1 x 10.8 x
Alpha 1.14 0.00 0.00
Earnings/Share - F'cast LT Med Growth Rate 10.0 x 10.0 x 7.5 x
Beta 0.94 1.00 1.00 Price/Book - Hist 1 Yr Wtd Avg 1.9 x 2.1 x 1.4 x
R2 0.98 1.00 1.00 Return on Equity - Hist 1 Yr Avg 25.5 % 21.5 % 15.9 %
Sharpe Ratio -0.27 -0.35 -0.40 Market Cap - Weighted Median $Bil $31.2 $22.1 $22.0
5 5
Region Against M SCI World Growth (%) Sector Against M SCI World Growth Strategy Benchmark
3.9 Consumer Discretionary 0.0 9.0 % 9.0 %
North America Consumer Staples 14.3 16.0
-1.7
Europe ex-UK -2.6 Energy 5.8 14.4 8.6
United Kingdom 2.2 Financials -1.1 6.7 7.8
-2.0
Japan Industrials -0.9 9.6 10.5
Pacific ex-Japan -3.6 Information Technology -4.4 14.4 18.8
Cash 2.0 Materials -2.5 5.3 7.8
-6 -3 0 3 6 Utilities -1.4 2.4 3.8
 Markets continued to fall in the early part of 2009, with the bottom coming in March and preceding a strong rally in equities around
the globe. The strategy lagged the broader markets returning -9.4% vs. -8.0% for the MSCI World Growth benchmark.
 The “growth at the right price” discipline, the strategy’s repository for valuation sensitive holdings, was the main detractor from
returns. The discipline’s Health Care overweight underperformed during the quarter and was joined by the few financials that are
held by the strategy. This was a consequence of the potential ramifications of health care reforms in the U.S. and credit rating
downgrades, respectively.
 Currency selection, so often a positive contributor in 2008, was the other main detractor from returns during the quarter (especially
in January and February). In particular, the overweight in the yen lost its luster as details of the dismal fourth quarter collapse in
global trade, and in particular Japanese exports, emerged. The Swiss franc also gave back a fair amount against other currencies when
the Swiss National Bank intervened to stop the currency gaining further against the euro. We believe that the euro remains
overvalued, at minimum for the least competitive nations at the currency zone's fringes. Given even Germany's sensitivity to the
health in global trade through its large export sector, the role of the euro as the last remaining currency holding off from the race to
the bottom is unlikely to last forever.
 As the market heads upward, it is natural to question whether this is a bear rally or the start of a new bull market. One way of
thinking about this is to assess the degree to which the recent excesses have been squeezed from the system. On the (admittedly
narrow) basis of the decent remaining valuation spread between high and low quality companies in the U.S., there is still unfinished
business.
other income.
3 The MSCI World Growth Index is a well-known, independently maintained and published global developed markets equity index comprised of large/mid capitalization
stocks that have a growth style. Large/mid cap stocks encompass approximately 85% of each market’s free float-adjusted market capitalization. The style is determined
using a multi-factor approach based on eight historical and forward-looking characteristics. MSCI Standard Index Series, net of withholding tax. The MSCI World Index
is a well-known, independently maintained and published large capitalization international stock index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO Int’l. Active Foreign Small Companies Strategy As of March 31, 2009
Inception: 1/31/95; Benchmark: S&P Developed ex-U.S. Small Cap Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Capcom Co. Ltd. 2.8%
1Q YTD One Five Ten Since Toyo Suisan Kaisha Ltd. 2.3%
2009 2009 Year Year Year Inception Hisamitsu Pharmaceutical 1.8%
Strategy -11.96 -11.96 -49.63 -0.11 8.15 8.21 Rohto Pharmaceutical Co. 1.7%
3
Benchmark -10.65 -10.65 -49.75 -1.38 2.99 3.43 Izumi Co. Ltd. 1.6%
Shimachu Co. Ltd. 1.3%
Annual Total Return Net of Fees (%) Kardex AG 1.3%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Snow Brand Milk Products 1.3%
Strategy 41.52 -7.74 3.66 2.61 50.75 29.30 18.91 36.24 8.00 -45.91 Bank Sarasin & Cie. AG 1.1%
Benchmark 23.75 -10.31 -15.70 -7.29 53.73 28.73 22.10 29.42 7.32 -47.67 Chemring Group PLC 1.1%
Total 16.3%
4 5

Sharpe Ratio 0.34 -0.02 Dividend Yield - Hist 1 Yr Wtd Avg 4.2 % 4.2 %
5 5
Europe ex-UK -6.4 Consumer Discretionary -1.7 16.0 % 17.7 %
United Kingdom 4.9 Consumer Staples 2.3 8.6 6.3
Energy 1.8 6.5 4.7
Japan -1.1
Southeast Asia 0.3 Health Care 2.5 9.3 6.8
Canada -4.4 Industrials -0.3 21.9 22.2
Australia/New Zealand -2.2 Information Technology 2.7 11.5 8.8
Emerging 3.1 Materials -5.0 6.0 11.0
Cash 5.6
-10 -5 0 5 10 -6 -3 0 3 6 GICS Sectors

 The International Active Foreign Small Companies Strategy underperformed its S&P Developed ex-U.S. Small Cap Index benchmark
in the first quarter, falling 12.0% while the benchmark lost 10.7%. This does not reflect fair value pricing, which subtracted 1.3%
from returns during the quarter.
 Country selection was 0.9% ahead of the benchmark. The largest positive impacts from country selection came from an overweight
position in the United Kingdom and an underweight position in the Spanish market. On the negative side, an underweight position in
Canada subtracted from returns.
 Stock selection subtracted 2.2% from performance in the first quarter. Our holdings underperformed in Japan, France, Sweden,
Canada, and Korea. However, stock selection in Switzerland helped returns.
other income.
3 The S&P Developed ex-U.S. Small Cap is the small capitalization stock component of the S&P Broad Market Index (BMI). The BMI is a float-weighted index that spans
22 countries and includes the listed shares of all companies with an available market capitalization (float) of at least $100 million at the end of May each year. Companies
are deleted if their float falls below $75 million. Changes are effective before the open of the first business day of July. The Small Cap ex-U.S. is defined as those stocks
falling in the bottom 15% of the cumulative available capital in each country.
GMO ©2009
GMO International Small Companies Strategy As of March 31, 2009

Inception: 10/31/91; Benchmarks: MSCI EAFE Small Cap + Index and MSCI EAFE Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Boliden AB 1.3%
Autonomy Corp. PLC 1.1%
CIBA HOLDING AG 1.0%
Strategy -14.20 -14.20 -48.21 -0.91 6.40 6.90 Norddeutsche Affinerie AG 1.0%
3
MSCI EAFE SC + -9.55 -9.55 -48.46 -0.87 3.25 3.69 Point Inc. 0.9%
3
MSCI EAFE -13.94 -13.94 -46.51 -2.18 -0.84 3.05 Amlin PLC 0.9%
Annual Total Return Net of Fees (%) Signet Jewelers Ltd. 0.9%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 DCC PLC 0.9%
Strategy 11.00 2.78 -6.70 -1.25 67.44 27.02 24.33 27.78 8.06 -43.77 Aggreko PLC 0.8%
MSCI EAFE SC + 23.75 -10.31 -15.70 -7.29 53.73 28.73 22.10 29.42 7.32 -46.97 Travis Perkins PLC 0.8%
MSCI EAFE 26.96 -14.17 -21.44 -15.94 38.59 20.25 13.54 26.34 11.17 -43.38 Total 9.6%
4 5
M SCI EAFE M SCI M SCI EAFE M SCI
Strategy Small Cap + EAFE Strategy Small Cap EAFE
Alpha 4.01 0.00 0.00 Price/Earnings - Hist 1 Yr Wtd Med 8.4 x 9.3 x 9.9 x
Price/Cash Flow - Hist 1 Yr Wtd Med 5.3 x 6.0 x 6.2 x
Beta 0.96 1.00 1.00
R2 0.90 1.00 1.00
Return on Equity - Hist 1 Yr Avg 11.8 % 10.2 % 13.5 %
Sharpe Ratio 0.23 -0.01 -0.05 Market Cap - Weighted Median $Bil $0.7 $0.5 $18.6
5 5
Region Against M SCI EAFE Small Cap (%) Sector Against M SCI EAFE Small Cap Strategy Benchmark
Europe ex-UK -3.6
United Kingdom 0.3 Energy -1.4 3.8 5.2
Materials 1.8 10.3 8.5
Cash 1.5 Telecom. Services 0.2 1.0
-0.8
-10 -5 0 5 10

 The International Small Companies Strategy returned -14.2% during the first quarter of 2009, compared to the MSCI EAFE Small Cap Index,
which returned -9.6%.
 Within the portfolio, stock selection was mainly responsible for the underperfomance, but country allocation and currency allocation also hurt.
Sector exposures had little impact.
 Stock selection within Japan was particularly poor, but holdings in Canada and Germany also underperformed. Our Swedish and British stocks
outperformed. By sector, our Financials and Consumer Discretionary holdings were especially weak.
 Country allocation had a small negative impact mainly from our overweight in Germany.
 Currency allocation detracted from performance due to our underweights to the Australian dollar and British pound and overweight to the Japanese
yen.
 Sector exposures were helped by our underweight to Financials, but hurt by our underweight to Energy.
 GMO’s stock selection disciplines had mixed results in the quarter. Stocks chosen by quality-adjusted value had market-like returns, while those
ranked highly by intrinsic value or selected for their strong momentum characteristics underperformed.
 Individual stocks that made significant positive contributions to performance included Swedish metals company Boliden, UK-based Signet Jewelers,
and Canadian metals company HudBay Minerals. Stock positions that detracted from relative performance included Japanese retailer Daiei, German
metals company Norddeutsche Affinerie, and Swedish real estate company Kungsleden.
other income.
3 The MSCI EAFE Small Cap + Index is comprised of the S&P Developed ex-U.S. Small Cap Index from 6/30/1989 to 5/30/2008 and the MSCI EAFE Small Cap Index
(MSCI Standard Index Series, net of withholding tax) thereafter. The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently maintained
and published large capitalization international stock index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO Japan Equity Strategy As of March 31, 2009

Inception: 12/31/05; Benchmark: MSCI Japan IMI ++ Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Seven & I Holdings Co. Ltd. 3.7%
1Q YTD One Five Ten Since Mizuho Financial Group 3.6%
2009 2009 Year Year Year Inception Tokyo Electric Power Co. 3.6%
Strategy -20.41 -20.41 -35.80 n/a n/a -13.62 Fast Retailing Co. Ltd. 2.6%
3
Benchmark -16.37 -16.37 -34.83 n/a n/a -14.05 Nippon T & T Corp. 2.5%
Resona Holdings Inc. 1.5%
Annual Total Return Net of Fees (%) Mitsubishi Tokyo Financial 1.4%
2006 2007 2008 NTT DoCoMo Inc. 1.4%
Cosmo Oil Co. Ltd. 1.2%
Strategy 6.39 -2.39 -24.83 Nissan Motor Co. Ltd. 1.2%
Benchmark 6.24 -4.23 -28.16 Total 22.7%
4 5
Strategy Benchmark
Strategy Benchmark
Alpha 3.26 0.00
Earnings/Share - F'cast LT Med Growth Rate 2.0 x -5.8 x
Beta 1.13 1.00
2 Price/Book - Hist 1 Yr Wtd Avg 0.8 x 1.0 x
R 0.95 1.00 Return on Equity - Hist 1 Yr Avg 9.2 % 6.9 %
Sharpe Ratio -0.87 -1.07 Market Cap - Weighted Median $Bil $1.9 $6.8
5
Sector Weights
Sector Against Benchmark Strategy Benchmark
Energy 4.3 5.7 1.4
Health Care -2.8 3.3 6.1
Materials 2.2 10.5 8.3
-10 -5 0 5 10

 The Japan Equity Strategy returned -20.4% during the first quarter of 2009. This was behind its benchmark, the MSCI Japan IMI
Index, which returned -16.4%.
 Within the portfolio, stock selection was the primary reason for the underperformance, offset slightly by sector exposures.
 Our stocks underperformed, particularly within Consumer Discretionary, but also in Financials, Materials, and Information
Technology.
 Sector exposures added some value. Our overweights in Energy and Consumer Discretionary and underweights in Financials and
Health Care helped, while an overweight in Consumer Staples and underweight in Information Technology detracted.
 Individual stock positions that detracted most significantly from relative performance included an underweight position in Toyota
Motor Corp. and overweight positions in Seven & I Holdings and Mizuho Financial Group. Stocks that made positive contributions
included underweight positions in Takeda Pharmaceutical and East Japan Railway and an overweight position Cosmo Oil.
other income.
2 Portfolio holdings are percent of equity. Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
3 The MSCI Japan IMI ++ Index is comprised of the MSCI Japan(Standard Index Series) from 12/31/2005 to 6/30/2008 and the MSCI Japan (Investable Market Index Series)
thereafter.
GMO ©2009
GMO Global Active Equity Strategy As of March 31, 2009

Inception: 8/31/00; Benchmark: MSCI World Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Wyeth 2.9%
1Q YTD One Five Ten Since Newmont Mining Corp. 2.5%
2009 2009 Year Year Year Inception Philip Morris Int'l. Inc. 2.5%
Strategy -11.74 -11.74 -42.91 -0.51 n/a 4.56 Capcom Co. Ltd. 2.4%
3
Benchmark -11.92 -11.92 -42.58 -3.50 n/a -4.45 Comcast Corp. 2.4%
Anthem Inc. 2.4%
QUALCOMM Inc. 2.1%
2000 2001 2002 2003 2004 2005 2006 2007 2008 Microsoft Corp. 2.1%
Strategy 17.07 -4.87 -10.00 43.07 22.00 17.66 25.69 8.64 -40.89 Total S.A. 1.8%
Benchmark -11.19 -16.82 -19.89 33.11 14.72 9.49 20.07 9.04 -40.71 Wal-Mart Stores Inc. 1.7%
Total 22.8%
4 5
2
R 0.80 1.00 Price/Book - Hist 1 Yr Wtd Avg 1.3 x 1.4 x
Sharpe Ratio 0.15 -0.45 Dividend Yield - Hist 1 Yr Wtd Avg 4.4 % 3.9 %
5 5
United States -5.3 Consumer Discretionary 0.4 9.7 % 9.3 %
Europe ex-UK 3.9 Consumer Staples 4.1 15.3 11.2
Energy -1.8 10.3 12.1
United Kingdom 1.6
Japan 0.2
Southeast Asia 0.1 Industrials -1.3 8.9 10.2
Canada -3.3 Information Technology 0.7 12.4 11.7
Australia/New Zealand -3.2 Materials -2.0 4.5 6.5
Emerging 1.8
Utilities 2.0 5.4
-3.4
Cash 4.1
-10 -5 0 5 10

 The Global Active Equity Strategy outperformed the MSCI World Index by 0.2% in the first quarter, falling 11.7% while the
benchmark lost 11.9%.
 The Global Active Equity Strategy had slightly positive country selection in the quarter. The largest positive impact from country
selection came from an underweight position in the Spanish market. On the negative side, underweight positions in Australia and
Canada subtracted from returns.
 Sector selection was also positive. Underweight positions in the Financials and Utilities sectors helped performance this quarter. On
the negative side, an underweight position in Materials subtracted from returns.
 Stock selection helped returns. Positions in Finland, the United States, and the emerging markets outperformed. On the negative
side, holdings in the United Kingdom, the Netherlands, and Switzerland underperformed.
other income.
2 Portfolio holdings are percent of equity. Portfolio holdings are subject to change and should not be considered a recommendation to buy individual securities.
3 The MSCI World Index is a well-known, independently maintained and published global developed markets equity index. MSCI Standard Index Series, net of withholding tax.
GMO ©2009
GMO Emerging Markets Strategy As of March 31, 2009

Inception: 12/31/93; Benchmark: S&P/IFC Investable Composite Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Petroleo Brasileiro S/A Ord 3.9%
1Q YTD One Five Ten Since Taiwan Semicond Manuf 2.4%
2009 2009 Year Year Year Inception Companhia Vale do Rio 2.1%
Strategy -1.35 -1.35 -50.28 5.00 11.63 6.06 Gazprom ADR (USD) 2.1%
3
Benchmark 1.24 1.24 -47.22 6.85 9.28 3.04 China Mobile (Hong Kong) 2.0%
Samsung Electronics Co. 2.0%
Annual Total Return Net of Fees (%) Korea Tobacco & Ginseng 1.5%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Itau Unibanco Banco 1.4%
Strategy 77.69 -27.79 9.81 0.78 70.21 26.54 40.15 29.51 37.22 -55.74 Teva Pharmaceutical 1.4%
Benchmark 67.14 -31.76 1.76 -3.93 57.15 28.11 35.19 35.11 40.28 -53.74 MediaTek Inc. 1.2%
Total 20.0%
4 5
Strategy Benchmark
Strategy Benchmark
Alpha 4.25 0.00
Beta 0.99 1.00
R2 0.92 1.00
Return on Equity - Hist 1 Yr Avg 16.1 % 17.9 %
Sharpe Ratio 0.14 -0.03
5 5
East Asia 1.5 Consumer Staples -0.4 5.2 5.6
Europe 1.2 Energy -1.9 13.4 15.3
Latin/South America -0.2 Financials 0.3 20.7 20.4
Mideast/Africa -2.5
South Asia -2.0 Information Technology 1.9 15.6 13.7
Cash 2.1 Materials -1.9 11.4 13.3
-6 -3 0 3 6 Utilities 1.2 5.1 3.9

 The Emerging Markets Strategy returned -1.4% in the first quarter, trailing the S&P/IFCI Investable Composite, which returned 1.2%, by 2.6%.
Country selection detracted 0.8% and stock selection detracted 1.8%.
 The relatively flat first quarter in 2009 masked a drop through early March of about 20% followed by a sharp rebound during the remainder of the
quarter. Global investors were starved for good news, and the progressively more muscular interventions in the U.S. and Europe provided the
catalyst for the rebound.
 Brazil posted negative GDP growth in the last quarter of 2008. Brazil’s central bank lowered its benchmark interest rate by the most in five years, to
11.25%. Brazil’s stock market was one of the best performers this quarter. We are overweight Brazil.
 China’s leadership is acting aggressively to stimulate the economy as evidence of a rapid slowdown is accumulating. Unlike the situation in the West
where capital injections into the banking system have not translated into increased lending, credit growth has picked up in China – testimony to a
functioning banking sector. Our underweight in China was a small detractor from performance this quarter.
 Thailand unveiled dismal figures, showing that the economy shrank by a seasonally adjusted 6.1% in the fourth quarter of 2008, as economists
warned that the situation would probably worsen before it improved. Tourism has been badly affected by the global economy and the domestic
political instability over the prior year. Our overweight in Thailand detracted from performance.
 Eastern and Central Europe had 6 of the 10 worst-performing currencies worldwide in the past six months, destabilizing banks as the higher cost of
repaying foreign currency debt raised the risk of defaults. Our overweight in Hungary detracted from performance.
 Elections for the central government were announced in India in March. The lack of clarity on the ultimate winner and the resulting implications
for the structure and speed of future market reforms has depressed investor sentiment. Our underweight in India contributed to performance.
 Other key drivers were contributions from an underweight in Mexico and detractions from an overweight in Turkey. Stock selection detracted from
performance in South Africa, Brazil, and China.
other income.
3 The S&P/IFC Investable Composite Index is an independently maintained and published emerging market stock index.
GMO ©2009
GMO Emerging Countries Strategy As of March 31, 2009

Inception: 9/30/97; Benchmark: S&P/IFC Investable Composite Index
1 2,5
Total Return Net of Fees (%) Average Annual Total Return (%) Petroleo Brasileiro S/A Ord 3.8%
1Q YTD One Five Ten Since Taiwan Semicond Manuf 2.3%
2009 2009 Year Year Year Inception Cia Vale Rio Doce 2.0%
Strategy -1.70 -1.70 -50.85 3.95 11.80 6.29 China Mobile (Hong Kong) 1.8%
3
Benchmark 1.24 1.24 -47.22 6.85 9.28 4.70 Samsung Electronics Co. 1.8%
Gazprom ADR (USD) 1.6%
Annual Total Return Net of Fees (%) Korea Tobacco & Ginseng 1.4%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 PetroChina Co. Ltd. 1.2%
Strategy 94.69 -28.51 6.03 -0.03 68.27 24.89 37.54 28.95 37.44 -55.81 Turkcell Iletisim Hizmetleri 1.1%
Benchmark 67.14 -31.76 1.76 -3.93 57.15 28.11 35.19 35.11 40.28 -53.74 MediaTek Inc. 1.1%
Total 18.1%
4 5
Sharpe Ratio 0.15 0.05 Return on Equity - Hist 1 Yr Avg 16.1 % 17.9 %
5 5
East Asia 1.6 Consumer Staples 0.2 5.8 5.6
Europe -0.3 Energy -2.8 12.5 15.3
Latin/South America 0.8 Financials 0.0 20.4 20.4
Mideast/Africa -2.6
South Asia -1.5 Information Technology 2.4 16.1 13.7
Cash 2.1 Materials -1.7 11.6 13.3
-6 -3 0 3 6 Utilities 1.8 5.7 3.9
 The Emerging Countries Strategy returned -1.7% in the first quarter, trailing the S&P/IFCI Investable Composite, which returned 1.2%, by 2.9%.
Country selection detracted 0.9% and stock selection detracted 2.0%.
 The relatively flat first quarter in 2009 masked a drop through early March of about 20% followed by a sharp rebound during the remainder of the
quarter. Global investors were starved for good news, and the progressively more muscular interventions in the U.S. and Europe provided the
catalyst for the rebound.
 Brazil posted negative GDP growth in the last quarter of 2008. Brazil’s central bank lowered its benchmark interest rate by the most in five years, to
11.25%. Brazil’s stock market was one of the best performers this quarter. We are overweight Brazil.
 China’s leadership is acting aggressively to stimulate the economy as evidence of a rapid slowdown is accumulating. Unlike the situation in the West
where capital injections into the banking system have not translated into increased lending, credit growth has picked up in China – testimony to a
functioning banking sector. Our underweight in China was a small detractor from performance this quarter.
 Thailand unveiled dismal figures, showing that the economy shrank by a seasonally adjusted 6.1% in the fourth quarter of 2008, as economists
warned that the situation would probably worsen before it improved. Tourism has been badly affected by the global economy and the domestic
political instability over the prior year. Our overweight in Thailand detracted from performance.
 Eastern and Central Europe had 6 of the 10 worst-performing currencies worldwide in the past six months, destabilizing banks as the higher cost of
repaying foreign currency debt raised the risk of defaults. Our overweight in Hungary detracted from performance.
 Elections for the central government were announced in India in March. The lack of clarity on the ultimate winner and the resulting implications for
the structure and speed of future market reforms has depressed investor sentiment. Our underweight in India contributed to performance.
 Other key drivers were contributions from an underweight in Mexico and detractions from an overweight in Turkey. Stock selection detracted from
performance in South Africa, Brazil, and China.
other income.
3 The S&P/IFC Investable Composite Index is an independently maintained and published emerging market stock index.
GMO ©2009
GMO Tax-Managed U.S. Equities Strategy As of March 31, 2009

Inception: 7/31/98; Benchmark: Russell 3000 + Index
1 2,6
Total Return Net of Fees (%) Average Annual Total Return (%) Pfizer Inc. 6.5%
2009 2009 Year Year Year Inception Exxon Mobil Corp. 5.7%
Before-Tax Johnson & Johnson 5.3%
Strategy 3 -9.18 -9.18 -29.65 -4.44 -1.20 -0.09 Microsoft Corp. 5.2%
Benchmark 4 -10.80 -10.80 -38.20 -4.86 -3.05 -1.51 Oracle Corp. 4.8%
After-Tax Chevron Corp. 4.3%
Strategy -9.37 -9.37 -30.00 -4.74 -1.56 -0.46 QUALCOMM Inc. 3.8%
Benchmark -10.91 -10.91 -38.44 -5.12 -3.37 -1.85
Amgen Inc. 3.3%
Annual Total Return Net of Fees (%) Coca-Cola Co. 3.2%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 Total 48.1%
Strategy 16.96 3.21 -9.77 -19.69 25.18 9.17 4.54 10.04 2.61 -30.78
Benchmark 21.04 -9.11 -11.88 -22.10 28.69 10.88 4.91 15.80 5.21 -37.31
5 6
Consumer Discretionary -4.3 5.3 % 9.6 %
Beta 0.85 1.00
R
2
0.90 1.00
Characteristics
6
Health Care 15.2 30.0 14.8
Strategy Benchmark
Market Cap - Weighted Median $Bil $90.0 $21.7 -20 -10 0 10 20
GICS Sectors

 The Tax-Managed U.S. Equities Strategy declined 9.2% in the first quarter of 2009, while the Russell 3000 Index declined 10.8%, and
the S&P 500 declined 11.0%. Within U.S. equity markets, January and February saw a continuation of the prior quarter’s decline.
However, March witnessed a sharp reversal of sentiment, with markets adding approximately 9%, led by Financial Services and
Materials stocks. For the quarter, Information Technology and Materials were the top performing sectors.
 Within the portfolio, exposure to high quality stocks provided most of January and February’s strong relative return, but worked
against the portfolio in March’s return to risk. The momentum-based stock selection strategy added value for the quarter, benefiting
from positive selection within Health Care stocks in the second half of the quarter.
 Looking at some of the portfolio’s largest active positions, overweight exposure to Wal-Mart, Qualcomm, and Oracle added value.
Overweight exposure to Pfizer and UnitedHealth Group detracted from relative returns.
other income.
3 Market conditions, tax legislation and government regulations may limit the Strategy’s ability to utilize tax efficient strategies. After-tax returns are calculated using the
historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax
situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement.
4 The Strategy’s benchmark is the Russell 3000 + Index (after tax), computed by the Manager by adjusting the return of the Russell 3000 + Index. The Manager estimates
the Russell 3000 + Index’s after-tax return by applying the maximum historical applicable individual federal tax rate to the Russell 3000 + Index’s dividend yield. The Russell
3000 + Index is comprised of the S&P 500 Index from 7/23/98 to 10/15/07, and the Russell 3000 Index thereafter.
GMO ©2009
GMO Tax-Managed International Equities Strategy As of March 31, 2009

Inception: 8/31/98; Benchmark: MSCI EAFE Index (after tax)
1 2,6
Novartis AG 4.2%
Sanofi-Aventis 3.6%
Before-Tax
AstraZeneca PLC 3.0%
Strategy 3 -13.60 -13.60 -43.70 -0.05 4.01 5.05
Nestle S.A. 2.8%
Benchmark 4 -13.94 -13.94 -46.51 -2.18 -0.84 0.82
Total S.A. 2.5%
After-Tax
Eni S.p.A 1.8%
Strategy -13.60 -13.60 -44.13 -0.82 3.32 4.38
Royal Dutch Shell PLC 1.7%
Benchmark -13.61 -13.61 -46.47 -3.06 -1.55 0.16
Seven & I Holdings Co. Ltd. 1.6%
Honda Motor Co. Ltd. 1.6%
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Total 27.5%
Strategy 15.25 -4.29 -8.71 -2.33 41.05 24.36 16.55 25.90 13.75 -40.71
Benchmark 26.96 -14.17 -21.44 -15.94 38.59 20.25 13.54 26.34 11.17 -43.38
5 6
Strategy Benchmark
Strategy Benchmark Price/Earnings - Hist 1 Yr Wtd Med 10.4 x 9.9 x
Alpha 4.68 0.00 Price/Cash Flow - Hist 1 Yr Wtd Med 6.6 x 6.2 x
2
R 0.90 1.00 Dividend Yield - Hist 1 Yr Wtd Avg 5.0 % 4.9 %
Sharpe Ratio 0.16 -0.14 Return on Equity - Hist 1 Yr Avg 13.8 % 13.5 %
6 6
United Kingdom -0.3
Energy 2.7 11.9 9.2
Australia/New Zealand -4.4 Information Technology -0.9 4.5 5.4
Cash 2.8 0.6
Telecom. Services 7.4 6.8
-6 -3 0 3 6
-20 -10 0 10 20 GICS Sectors
 The Tax-Managed International Equities Strategy declined 13.6% in the first quarter of 2009, while the MSCI EAFE Index declined 13.9%. In local
currency terms, the MSCI EAFE Index decline was somewhat slighter, falling 10.1%, as the dollar strengthened against the yen and euro. Similar to
U.S. markets, international developed markets experienced a continuation of last quarter’s descent through February, but in March turned sharply as
sentiment improved, led by Financial Services and Materials stocks. For the quarter, Energy, Materials, and Consumer Discretionary were the
strongest performing sectors. Country returns primarily reflected sector mix.
 Within the portfolio, overweights in Energy and Consumer Discretionary sectors, along with underweights in Financial Services, all contributed
positively to returns for the quarter. Selection within sectors offset most of these gains, and the portfolio finished the quarter on par with the index.
Country selection was not a significant factor for the period. The quality-adjusted value strategy performed on par with the market, while the
intrinsic value and momentum strategies finished slightly ahead.
 Looking at some of the portfolio’s largest active positions, overweight exposure to Honda Motor Co and AstraZeneca added value. Overweight
exposure to Seven & I Holdings and Novartis, which had added value last quarter, detracted from relative returns.
other income.
3 Market conditions, tax legislation and government regulations may limit the Strategy’s ability to utilize tax efficient strategies. After-tax returns are calculated using the
historical highest individual federal marginal income tax rates and do not reflect the impact of state and local taxes. Actual after-tax returns depend on an investor’s tax
situation and may differ from those shown. After-tax returns are not relevant to investors who hold investment through a tax-deferred arrangement.
4 The Strategy’ benchmark is the MSCI EAFE Index (after tax), computed by the Manager by adjusting the return of the MSCI EAFE Index by its tax cost. The Manager
estimates the MSCI EAFE Index’s after-tax return by applying the maximum historical applicable individual federal tax rate to the MSCI EAFE Index’s dividend yield and
to its estimated short-term and long-term realized capital gains (losses) (arising from changes in the constituents of the MSCI EAFE Index). The MSCI EAFE Index
(Europe, Australasia, and Far East), is a well-known, independently maintained and published large capitalization international stock index. MSCI Standard Index Series,
net of withholding tax.
GMO ©2009
GMO Domestic Bond Strategy As of March 31, 2009

Inception: 8/31/94; Benchmark: Barclays Capital U.S. Government Index
1
Performance
Total Return Net of Fees (%) Average Annual Total Return (%)
Strategy 1.25 1.25 -7.67 1.02 4.44 5.48
2
Benchmark -0.99 -0.99 6.95 5.24 6.21 6.79
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy -1.79 14.26 7.44 11.85 3.83 4.41 2.95 3.77 5.03 -8.52
Benchmark -2.23 13.24 7.23 11.50 2.36 3.48 2.65 3.48 8.66 12.39
3 4, 5
Alpha -0.70 0.00 Modified Duration 5.0 4.9
Beta 0.87 1.00 Yield to Maturity 11.1 % 4.0 %
R2 0.70 1.00 Average Maturity 6.4 Yrs. 6.3 Yrs.
Sharpe Ratio 0.41 0.67 Average Coupon 4.0 % 4.0 %
Average Quality AA AAA
4 4
Portfolio Sector Weights Benchmark Sector Weights
Cash Other
CMBS 1.0%
6.1% Treasuries
5.0%
16.2% U.S. Treasuries
U.S. Agencies 72%
Treasuries/ 28%
Agencies
Asset-Backed
1.0%
Securities
Corporate
70.6%
Debt
0.1%

 The Domestic Bond Strategy returned +1.3%, outperforming the Barclays Capital U.S. Government Index return of -1.0% by 2.2%.
 U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the quarter. The 10-year U.S. Treasury yield rose from a
low of near 2% in December to a high of just over 3% at the end of February. Recall that in December, the Federal Reserve lowered
the target federal funds rate to a historic low of 0-0.25% and suggested that its next move would be to buy Treasuries and Agency
MBS to influence longer-dated interest rates. Indeed, with the sharp move up in rates, the Federal Reserve embarked on this “credit”
easing in mid March, and 10-year rates promptly reversed course and fell by nearly 50 bps. However, the improved tone in equity
markets by the latter parts of March combined with the massive fiscal stimulus package weighed on the Treasury market, and the 10-
year yield ended the quarter at 2.7%.
 Global financial markets saw signs of improvement, and credit spreads mostly tightened as investors’ appetite for risk returned,
increasing trading volume. Agency bond (about 30% of the benchmark’s market capitalization) spreads fell from 93 bps to 78 bps by
quarter-end, as the Federal Reserve purchased large quantities of agency debt with the intent of reducing mortgage costs.
 Exposure to cash collateral in the GMO Short Duration Collateral Fund (SDCF) contributed to positive relative performance in the
first quarter.
other income.
2 The Barclays Capital U.S. Government Index is a well-known, independently maintained and published U.S. government bond index, regularly used as a comparative fixed
income benchmark.
5 Please note portfolio yield includes the yield on the portfolio’s cash assets, for example, via the Short Duration Collateral Fund.

GMO ©2009
GMO Core Plus Bond Strategy As of March 31, 2009

Inception: 4/30/97; Benchmark: Barclays Capital U.S. Aggregate Index
1
Performance
Strategy 1.34 1.34 -16.98 -1.55 3.53 4.09
2
Benchmark 0.12 0.12 3.13 4.13 5.70 6.19
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy -2.34 14.10 8.51 6.55 10.96 6.59 3.95 5.76 -1.01 -18.00
Benchmark -0.82 11.63 8.44 10.26 4.10 4.34 2.43 4.33 6.97 5.24
3 4, 5
Strategy Benchmark Modified Duration 3.7
Alpha -1.84 0.00 Average Coupon 5.4 %
Beta 1.02 1.00 Average Maturity 5.7 Yrs.
2
R 0.45 1.00 Average Yield 12.7 %
Sharpe Ratio 0.16 0.72 Emerging Cntry Debt Exp. 3 %
4, 6 4
Regional Weights Currency Weights
Against Benchmark (%) Against Benchmark (%)
Europe 3.6 North America 0.0
North America -3.2
-10 -5 0 5 10
Asia Pacific -0.3
Emerging 3.5
-6 -3 0 3 6

 The Core Plus Bond Strategy returned +1.3% in the first quarter, outperforming the return of its benchmark, the Barclays Capital
U.S. Aggregate Index, by 1.2%. The Barclays Capital U.S. Aggregate Index posted a small positive return during the quarter: U.S.
Treasury 10-year yields rose by 43 bps to 2.7%, and U.S. Treasury 2-year yields rose by 9 bps to 0.8%, almost completely offsetting
gains on tightening sector spreads.
 Credit spreads tightened during the first quarter, as liquidity conditions began to thaw. The overall option-adjusted spread of the
Barclays Capital U.S. Aggregate Index tightened by 29 bps, with most sector spreads tightening 11 bps to 249 bps. ABS spreads
tightened the most during the quarter, as both the buy side and the investment dealers participated as liquidity came into the asset-
backed market. Only CMBS and double-A credit spreads widened during the quarter, by 39 bps and 18 bps, respectively.
 Exposures to cash collateral in the GMO Short Duration Collateral Fund and the GMO World Opportunity Overlay Fund were the
largest positive contributors, followed by positive contributions from interest-rate positioning, and exposure to emerging country debt
via the GMO Emerging Country Debt Fund.
other income.
2 The Barclays Capital U.S. Aggregate Index is a well-known, independently maintained and published index comprised of U.S. fixed rate debt issues, having a maturity of at
least one year, rated investment grade or higher by Moody’s Investors Service, Standard & Poor’s Corporation or Fitch Investors Service.
6 Country weights are duration adjusted.
GMO ©2009
GMO Inflation Indexed Plus Bond Strategy As of March 31, 2009

Inception: 5/31/06; Benchmark: Barclays Capital U.S. Treasury Inflation Notes Index
1
Performance
Strategy 5.72 5.72 -22.94 n/a n/a -5.60
2
Benchmark 5.51 5.51 -2.04 n/a n/a 5.99
2006 2007 2008
Strategy 3.58 3.06 -24.75
Benchmark 2.51 11.64 -2.35
3 4, 5
Strategy Benchmark
Modified Real Rate Duration 5.9
R2 0.59 1.00 Average Yield 12.0 %
Sharpe Ratio -0.77 0.30 Emerging Cntry Debt Exp. 3 %
4, 6 4
North America 0.4
-10 -5 0 5 10
Asia Pacific -0.4
Emerging 3.4
-6 -3 0 3 6

 The Inflation Indexed Plus Bond Strategy returned +5.7% in the first quarter, outperforming the Barclays Capital U.S. Treasury
Inflation Notes Index by 0.2%. The real yield curve steepened substantially during the first quarter: real 2-year yields fell by 452 bps
to 1.3%, while real 10-year yields fell by 61 bps to 1.4%, resulting in a +5.5% return for the index. Signaling that the market’s
inflation expectation is rising, the spread between real 10-year yields and nominal 10-year yields widened by 104 bps to 1.2% during
the quarter.
 Exposures to cash collateral in the GMO Short Duration Collateral Fund (SDCF) and the GMO World Opportunity Overlay Fund
(WOOF) were the largest positive contributors, followed by positive contributions from interest-rate positioning, and exposure to
emerging country debt via the GMO Emerging Country Debt Fund.
other income.
2 The Barclays Capital U.S. Treasury Inflation Notes Index is an independently maintained and published index comprised of Inflation-Protection Securities issued by the
U.S. Treasury.

GMO ©2009
GMO Strategic Fixed Income Strategy As of March 31, 2009

Inception: 5/31/06; Benchmark: JPMorgan U.S. 3 Month Cash + Index
1
Performance
Strategy 2.95 2.95 -17.71 n/a n/a -6.24
2
Benchmark 0.58 0.58 3.35 n/a n/a 4.94
2006 2007 2008
Strategy 4.79 -0.77 -22.18
Benchmark 3.56 5.70 4.12
3 4, 5
Alpha 0.46 0.00 Average Coupon 1.3 %
Beta -6.13 1.00 Average Maturity 0.3 Yrs.
2
Sharpe Ratio -1.24 2.67 Emerging Cntry Debt Exp. 2 %

 The Strategic Fixed Income Strategy returned +3.0% during the first quarter, outperforming the JPMorgan U.S. 3 Month Cash Index
return by 2.4%.
 U.S. interest rates rose, and the U.S. Treasury yield curve steepened during the quarter. The 10-year U.S. Treasury yield rose from a
low of near 2% in December to a high of just over 3% at the end of February. Recall that in December, the Federal Reserve lowered
the target federal funds rate to a historic low of 0-0.25% and suggested that its next move would be to buy Treasuries and Agency
MBS to influence longer-dated interest rates. Indeed, with the sharp move up in rates, the Federal Reserve embarked on this “credit”
easing in mid March, and 10-year rates promptly reversed course and fell by nearly 50 bps. However, the improved tone in equity
markets by the latter parts of March combined with the massive fiscal stimulus package weighed on the Treasury market, and the 10-
year yield ended the quarter at 2.7%.
(WOOF) were the largest positive contributors, followed by positive contributions from interest-rate positioning, and exposure to
emerging country debt via the GMO Emerging Country Debt Fund.
other income.
2 The JPMorgan U.S. 3 Month Cash + Index is comprised of the Barclays Capital U.S. Treasury 1-3 Year Index from 5/31/2006 to 9/29/2006 and the JPMorgan U.S. 3
Month Cash Index thereafter. The JPMorgan U.S. 3 Month Cash Index is an independently maintained and published index that measures the total return performance
of a constant-maturity euro-currency deposit, the only short-term securities consistent across all markets in terms of liquidity, maturity, and credit quality. The JPMorgan
U.S. 3 Month Cash Index is calculated daily for three-month deposits in the United States.

GMO ©2009
GMO International Bond Strategy As of March 31, 2009

Inception: 12/31/93; Benchmark: JPMorgan Non-U.S. Government Bond Index
1
Performance
Strategy -4.47 -4.47 -24.92 -0.98 3.62 5.75
2
Benchmark -5.78 -5.78 -5.44 4.55 5.49 6.11
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy -5.48 -0.27 -2.55 17.15 26.95 14.88 -8.08 9.33 3.66 -13.95
Benchmark -6.17 -2.47 -3.60 22.10 18.63 12.04 -9.24 6.84 11.30 11.39
3 4, 5
2
4, 6 4
Europe 3.6 Europe -1.6
North America -3.0 North America 15.7
Asia Pacific -0.4 Asia Pacific -11.8
Emerging 3.4 Euro -2.3
-6 -3 0 3 6 -20 -10 0 10 20

 The International Bond Strategy returned -4.5% in the first quarter, outperforming the JPMorgan Non-U.S. Government Bond Index
by 1.3%. The U.S. dollar’s rise versus many developed countries, particularly the yen, accounted for all of the -5.8% quarterly return
for the benchmark.
 The tone in financial markets improved toward the end of first quarter of 2009, reducing the flight-to-quality demand for
government bonds. With economic activity indicators flashing deeply red, global central banks continued to ease policy interest rates
and announce or embark on unconventional measures to counteract the resultant deflationary impulses. As a result, short-dated
yields fell. Longer-dated yields, however, see-sawed between the forces of higher yields given record announced fiscal stimulus
packages and the resultant rise in borrowing and “quantitative” or “credit” easing policies wherein central banks purchase longer-
dated assets to contain the rise in yields.
 Global yield curves steepened across the board during the first quarter of 2009. Australian (88 bps), Swedish (77 bps), and Euro-
zone (58 bps) yield curves steepened the most, while Swiss (23 bps), Canadian (22 bps), and Japanese (4 bps) curves steepened the
least.
 The U.S. dollar gained against most foreign currencies during the quarter, with the bulk of the gains coming during the period when
equities and other risk assets were declining sharply in January and February. However, when the U.S. Federal Reserve announced its
intent to begin a program of “quantitative easing,” the dollar turned around and gave back some of the gains, and equities rebounded
sharply. By quarter-end, the dollar had gained 9.0% versus yen, 6.8% versus Swiss franc, and 4.5% versus Swedish krona. The only
currency to rise versus the dollar during the quarter was Norwegian krone, which rose 3.7%.
(WOOF) were the largest positive contributors, followed by positive contributions from developed currency selection, developed
interest-rate strategies, and exposure to emerging country debt via the GMO Emerging Country Debt Fund.
other income.
2 The JPMorgan Non-U.S. Government Bond Index is an independently maintained and published index composed of non-U.S. government bonds with maturities of one
year or more.
GMO ©2009
GMO Currency Hedged International Bond Strategy As of March 31, 2009

Inception: 9/30/94; Benchmark: JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) +
1
Performance
Strategy 2.89 2.89 -11.87 -0.41 3.36 7.13
2
Benchmark 0.54 0.54 7.47 5.09 5.30 7.56
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 2.65 12.52 6.35 3.01 8.77 8.91 7.25 2.45 -4.00 -13.56
Benchmark 2.43 9.46 6.03 7.01 1.99 6.73 6.54 1.79 3.42 9.22
3 4, 5
R2 0.29 1.00 Average Yield 12.8 %
4, 6 4
North America -2.6
-10 -5 0 5 10
Asia Pacific -0.3
Emerging 2.8
-6 -3 0 3 6

 The Currency Hedged International Bond Strategy returned +2.9% in the first quarter, outperforming the JPMorgan Non-U.S.
Government Bond ex-Japan Hedged Index return of 0.5% by 2.4%.
least.
(WOOF) were the largest positive contributors, followed by positive contributions from developed interest-rate strategies, and
exposure to emerging country debt via the GMO Emerging Country Debt Fund.
other income.
2 The JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) + is comprised of the JPMorgan Non-U.S. Government Bond Index (hedged) prior to 12/31/2003,
and the JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) thereafter. The JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) is an
independently maintained and published index composed of non-U.S. government bonds with maturities of one year or more that are currency-hedged into U.S. dollars.

GMO ©2009
GMO Global Bond Strategy As of March 31, 2009

Inception: 12/31/95; Benchmark: JPMorgan Global Government Bond Index
1
Performance
Strategy -2.54 -2.54 -22.67 -1.33 3.33 4.28
2
Benchmark -4.75 -4.75 -2.62 4.80 5.86 5.65
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy -5.56 4.44 -0.62 13.74 21.99 12.12 -5.84 7.94 2.58 -14.93
Benchmark -5.08 2.34 -0.80 19.38 14.51 10.10 -6.53 5.94 10.81 12.00
3 4, 5

R2 0.64 1.00 Average Yield 12.3 %
4, 6 4
Europe 3.7 Europe -1.3
North America -2.9 North America 14.0
Asia Pacific -0.2 Asia Pacific -10.5
Emerging 3.3 Euro -2.2
-6 -3 0 3 6 -20 -10 0 10 20

 The Global Bond Strategy returned -2.5% during the first quarter, outperforming the JPMorgan Global Government Bond Index
return by 2.2%. The U.S. dollar’s rise versus many developed countries, particularly the yen, accounted for most of the -4.7%
quarterly return for the benchmark.
least.
(WOOF) were the largest positive contributors, followed by positive contributions from developed currency selection, developed
interest-rate strategies, and exposure to emerging country debt via the GMO Emerging Country Debt Fund.
transaction costs and other expenses, but before custody charges, withholding taxes, and other indirect expenses. The returns assume the reinvestment of dividends and other
income. 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.
2 The JPMorgan Global Government Bond Index is an independently maintained and published index composed of government bonds of developed countries, including
the U.S., with maturities of one year or more.
GMO ©2009
GMO Emerging Country Debt Strategy As of March 31, 2009

Inception: 4/30/94; Benchmark: JPMorgan Emerging Markets Bond Index Global +
1
Performance
Strategy 3.02 3.02 -28.43 2.20 13.00 14.38
2
Benchmark 3.38 3.38 -8.49 5.18 10.15 10.98
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 32.38 24.08 14.23 19.44 36.40 18.76 15.65 14.41 7.49 -33.46
Benchmark 25.97 14.41 1.36 13.11 25.66 11.73 10.73 9.88 6.28 -10.91
3 4
Risk Profile Since 4/30/94 Regional Weights
Alpha 2.66 0.00 Against Benchmark (%)
Beta 1.20 1.00 Asia -1.9
R2 0.90 1.00
CEEMEA* -3.8
Latin America -7.3
4
Characteristics United States 12.8
Yield to Maturity 10.8 % -20 -10 0 10 20
Sovereign Spread 792 Bps.
Portfolio Maturity 6.3 Yrs.
Modified Duration 4.8 * Central Eastern Europe, Middle East, and Africa
Average Credit Rating BB+

 The Emerging Country Debt Strategy returned +3.0% in the first quarter, behind the JPMorgan Emerging Market Bond Index Global
return of +3.4% by 0.4%. The index spread tightened by 68 bps to 657 bps during the period, while the yield on the 10-year U.S.
Treasury bond increased by 43 bps to 2.7%.
 The biggest index gainers were Pakistan (+39.5%), Dominican Republic (+29.4%), and Ecuador (+28.7%). In a reversal of market
conditions in the fourth quarter of 2008, liquidity seeped back into the market and the least liquid bonds recorded the biggest gains,
albeit still on small volume. The average bid-offer spread on all the bonds in the EMBIG fell to 1.27 points at the end of the quarter
from 2.08 at the beginning. In terms of fundamentals, none of the top three countries showed significant improvement. The
political and security situation in Pakistan went from bad to worse, the DR suffered from falling tourism revenues and remittances
sent home by workers in the U.S., and Ecuador defaulted on two of its Eurobonds as oil revenues plummeted. Bonds from these
three countries remained among the least liquid at the end of the period, but bid-offer spreads tightened, especially in the case of
Pakistan, where they fell from seven points (on a bid of 36) to three (on a bid of 49).
 The weakest performers of the quarter were Trinidad & Tobago (-11.8%), Argentina (-9.0%), and Mexico (-3.4%). T&T was hurt by
lower prices for its energy exports. The Argentine government continued to fight with the country’s largest foreign exchange earners
– agricultural exporters – who withheld their harvests from the market. The Mexican economy is highly correlated with the U.S.,
especially the U.S. automobile sector. Latin bonds, 49.1% of the EMBIG at the end of the quarter, underperformed the rest of the
index, +0.8% to +6.0%.
 Market selection accounted for 245 bps of positive alpha, as most of the portfolio’s active positions went in our favor. Large
underweights in Mexico, Brazil, and Turkey contributed 67, 64, and 27 bps, respectively. Overweights in the Dominican Republic and
Ukraine added an additional 43 bps and 25 bps, respectively. Two primary positions hurt performance: the Argentina overweight (-33
bps) and the Russia underweight (-17 bps).
 Security selection, including allocations outside the index, cost 311 bps. Most of those losses came from Russia, where unrestructured
foreign trade obligations and CDS on quasi-sovereign credits underperformed the bonds in the index. In Ukraine, a Swiss franc
sovereign bond lagged the bonds in the index, after hedging the currency exposure. Argentine defaulted bonds also did worse than
the index. Outside index bets made a positive contribution since Ivory Coast bonds recovered some of their losses. To avoid margin
movements, the strategy did not hedge its euro-denominated bonds with currency forwards, which hurt performance when the euro
weakened against the dollar. Positive returns from asset-backed securities (18% of the portfolio) added back 31 bps.
income. Returns for one of the accounts in the composite are based on estimated market values for the period from and including October 2008 through February 2009.
2 The JPMorgan Emerging Markets Bond Index Global + represents the JPMorgan EMBI prior to 8/95, JPMorgan EMBI+ through 12/31/99, and the JPMorgan EMBI
Global thereafter. The JPMorgan EMBI Global is an independently maintained and published index composed of debt securities of countries, which includes Brady bonds,
sovereign debt, local debt and Eurodollar debt, all of which are U.S. dollar denominated.
4 The above information is based on a representative account that was selected due to its current availability. The performance information above is supplemental to the
GIPS compliant presentation that was made available on GMO’s website in April of 2009.
GMO ©2009
GMO Emerging Country Local Debt Investment Strategy As of March 31, 2009
Inception: 2/29/08; Benchmark: JPMorgan GBI- EM Diversified Index
1
Performance
Strategy 1.13 1.13 -31.14 n/a n/a -29.28
2
Benchmark -4.92 -4.92 -12.62 n/a n/a -11.20
2008
Strategy -32.06
Benchmark -7.52
3 4
Strategy Benchmark Yield to Maturity 15.6 %

Alpha -19.04 0.00 Modified Duration 0.9
Beta 0.86 1.00
R2 0.54 1.00
Sharpe Ratio -1.37 -0.67
4, 5 4
Asia -20.0 Asia -12.5
CEEMEA* -33.3 CEEMEA* -19.6
Latin America Latin America -22.0

-15.8
-40 -20 0 20 40
-40 -20 0 20 40
* Central Eastern Europe, Middle East, and Africa

 The GMO Emerging Country Local Debt Investment Strategy returned +1.1% in the first quarter, outperperforming the GBI-EM
Diversified (GBI-EMD) by 6.0%. The overall asset class underweight – both currencies and bonds – was the largest positive
contributor, followed by the collateral pool.
 The GBI-EMD fell 4.9% in the first quarter: spot currency returns were -5.5%, and local currency bond markets returned a modest
0.6%. Among currencies, Hungarian forint and Polish zloty were the hardest hit, -16% each, as tight U.S. dollar and euro liquidity
across the European financial system resulted in pressure on local currency markets. On the other end of the returns scale, Chilean
peso rose 6%, while Brazilian real was up 1.3%.
 In local currency bond markets, several had stand-out quarters, with 4+% gains in Chile, Colombia, Egypt, Mexico, Peru, and Turkey.
On the downside, Hungary’s bond market fell 9.4%, and South Africa’s fell 5.4%.
 Portfolio positioning remained defensive and longs were concentrated in cheap exposures. However, there are few of these,
particularly in light of competing markets. In currencies, positive contributions came from underweights in forint and zloty, as well as
rand and Colombian peso. A later-quarter purchase of Taiwan dollar and ruble was also a positive contributor. Rates positioning was
less successful, though still a positive contribution to performance. Unlike the fourth quarter, when rates markets sold off with fx,
most rates markets were able to decouple from fx weakness, as central banks continued to cut rates aggressively. The two big wins
were the underweights in Hungary and South Africa, the two worst performing bond markets. The collateral pool (GMO Alpha
LIBOR [Offshore] L.P.) contributed 1.1%, and instrument selection was also positive.
income. Returns for the composite are based on estimated market values for the period from and including October 2008 through February 2009.
2 The JPMorgan GBI-EM Diversified Index is the first comprehensive, global local emerging markets index, and consists of regularly traded, liquid fixed-rate, domestic
currency government bonds to which international investors can gain exposure.
GMO ©2009
GMO Global Balanced Asset Allocation Strategy As of March 31, 2009

Inception: 6/30/88; Benchmark: Blended Benchmark
1
Performance
Strategy -3.99 -3.99 -20.29 1.73 6.39 9.27
2
Benchmark -6.91 -6.91 -28.98 -1.03 1.02 7.00
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 11.44 8.23 3.88 0.84 28.47 13.55 9.06 12.30 7.94 -20.85
Benchmark 15.94 -2.85 -6.03 -9.70 21.99 10.23 5.99 13.41 9.26 -27.74
3
Strategy Composition
3
Benchmark Composition
(65% MSCI AC World / 35% Barclays U.S. Aggregate)
Cash & Cash
U.S. Core
Special Equivalents
1.5%
Situations 4.8% U.S. Equities
3.3%
Alpha Only Fixed Income 29.1%
9.1%
U.S. Quality 35.0%
Asset
30.5%
Allocation Bond
0.8%
Emerging
Country Debt
International
0.3%
Intrinsic Value
4.9%
Strategic
Fixed Income
10.8% International
Growth Emerging
Inflation
Indexed Plus
5.1% Equities International
International Equities
1.1% Domestic
Flexible Core Equity
7.0%
Emerging
Bond 28.9%
Markets Equities 10.0%
8.2%
7.4% 2.1%
3 4
Strategy Weights Relative to Benchmark Risk Profile Since 6/30/88
10%
+2.8% +3.6% Strategy Benchmark
5% +0.4% Alpha 3.32 0.00
0%
-5% Beta 0.78 1.00
-10% -6.8% R2 0.85 1.00
U.S. Equities Int'l. Equities Emerging Fixed Income Sharpe Ratio 0.63 0.26
Equities

 The Global Balanced Asset Allocation Strategy finished the quarter down 4.0%, outperforming its benchmark by 2.9%. Asset allocation added 2.9%
while implementation was flat.
 Within our asset allocation decisions, our underweight to equities and overweight to fixed income were positive for the quarter. In addition, our
overweight to U.S. equities versus international developed market equities further helped performance. Within equities, our allocation to emerging
equities was positive for the portfolio as emerging outperformed our global balanced equity benchmark. Within fixed income our allocation to cash
“plus” strategies was positive as long-term bond yields increased. While equity markets continued to fall during the first two months of the year, we
seized the opportunity in March to increase the overall equity weight of the portfolio by adding to our U.S. Quality exposure.
 Within implementation, gains in our fixed income and U.S. equity portfolios were fully offset with losses from our international equity portfolios.
Our fixed income portfolios were aided by the incipient recovery in our cash collateral pools. The assortment of policies rolled out by central banks
to improve lending conditions helped stabilize fixed income markets. In particular, some investors returned to the asset-backed bond market, which
was reflected in slowly improving liquidity and pricing. We are reassured by the market’s reaction and expect ongoing improvement. In addition, we
added some inflation protected bonds to the Strategic Fixed Income Strategy, which also helped performance. Although our U.S. equity strategies
continued to outperform their benchmarks, our international equity strategies had a difficult quarter. In particular, the Flexible Equities Strategy,
which currently targets domestic Japanese companies, significantly underperformed its benchmark.
other income.
2 The blended Global Balanced Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of
S&P 500, MSCI ACWI and Barclays Capital Aggregate 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.
GMO ©2009
GMO Real Return Global Balanced Asset Allocation Strategy As of March 31, 2009
1
Performance
Strategy -3.94 -3.94 -13.20 n/a n/a 4.55
2
Benchmark -7.04 -7.04 -26.86 n/a n/a -0.64
2004 2005 2006 2007 2008
Strategy 10.11 8.09 13.26 7.63 -11.36
Benchmark 7.45 5.80 13.69 7.87 -25.17
3
3
(60% MSCI World / 20% Citigroup 3 Mo. T-Bill / 20% B U.S. Agg.)
Multi-Strategy U.S. Core
31.0% 3.2%
Special
Situations
1.7%
Absolute Return U.S. Equities
U.S. Quality 20.0% 30.1%
Alpha Only 25.0%
3.4%
Cash & Cash

Equivalents
2.4%
Asset International
Intrinsic Value
Allocation Bond Fixed Income
0.8% 10.1%
20.0%
Emerging International
Country Debt Growth International
0.3% 10.4% Equities
Strategic Flexible
Fixed Income Domestic Equities 29.9%
Inflation 2.1%
5.5% Bond
Indexed Plus
3.0%
1.2%
3 4
+18.5%
20% Strategy Benchmark
10% Alpha 4.53 0.00
0% Beta 0.56 1.00
-1.9% R2 0.79 1.00
-10%
-7.2% -9.2% Sharpe Ratio 0.38 -0.38
-20%
U.S. Equities Int'l. Equities Fixed Income Absolute Return

 The Real Return Global Balanced Asset Allocation Strategy fell 3.9% for the first quarter, outperforming its benchmark by 3.1%. Asset allocation
was responsible for 2.7% of the outperformance while implementation added 0.4%.
 Within our asset allocation decisions, our underweight to equities and overweights to fixed income and absolute return were positive for the quarter.
In addition, our overweight to U.S. equities versus international developed market equities further helped performance. Within fixed income our
allocation to cash “plus” strategies was positive as long-term bond yields increased. While equity markets continued to fall during the first two
months of the year, we seized the opportunity in March to increase the overall equity weight of the portfolio by adding to our U.S. Quality exposure.
 Within implementation, gains in our fixed income and U.S. equity portfolios were fully offset with losses from our international equity portfolios.
Our fixed income portfolios were aided by the incipient recovery in our cash collateral pools. The assortment of policies rolled out by central banks
to improve lending conditions helped stabilize fixed income markets. In particular, some investors returned to the asset-backed bond market, which
was reflected in slowly improving liquidity and pricing. We are reassured by the market’s reaction and expect ongoing improvement. In addition, we
added some inflation protected bonds to the Strategic Fixed Income Strategy, which also helped performance. Although our U.S. equity strategies
continued to outperform their benchmarks, our international equity strategies had a difficult quarter. In particular, the Flexible Equities Strategy,
which currently targets domestic Japanese companies, significantly underperformed its benchmark.
other income.
2 The blended Real Return Global Balanced Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI World, Barclays Capital Aggregate, and Citigroup 3-Month T-Bill 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.
GMO ©2009
GMO Global Allocation Absolute Return Strategy As of March 31, 2009

Inception: 7/31/01; Benchmark: CPI Plus 5% Index
1
Performance
Strategy -1.83 -1.83 -6.97 6.69 n/a 10.45
2
Benchmark 1.81 1.81 4.71 7.71 n/a 7.51
2001 2002 2003 2004 2005 2006 2007 2008
Strategy 0.16 8.80 34.20 15.29 13.54 11.01 9.99 -6.61
Benchmark 1.94 7.60 6.90 8.51 8.61 7.70 9.31 5.16
3 3
Strategy Composition Absolute Strategy Weights
Multi-Strategy 60%
20.0% +43.1%
U.S. Quality
28.2% 40%
Special +28.2%
Situations +17.0%
2.5% 20% +11.8%
Alpha Only
16.0%
0%
Alternative
International U.S. Equities Int'l. Equities Fixed Income Absolute Return
Small Companies
Assets Opportunity
3.8% 4
0.9%
Flexible
Risk Profile Since 7/31/01
Cash & Cash Equities
Equivalents 2.6% Strategy
3.8%
Asset Emerging Std. Deviation 7.40
Allocation Bond Markets
0.7% Emerging Strategic 5.4% Sharpe Ratio 1.21
Country Debt Fixed Income
15.0% Drawdown
1.2%
-10.33
(10/31/07-2/28/09)

 The Global Allocation Absolute Return Strategy fell 1.8% in the first quarter.
 Our defensive stance continued to protect the portfolio from the worst of the market volatility, but not sufficiently to avoid the
widespread carnage entirely. In particular, our fixed income funds were aided by the incipient recovery in our cash collateral pools.
The assortment of policies rolled out by central banks to improve lending conditions helped stabilize fixed income markets. Some
investors returned to the asset-backed bond market, which was reflected in slowly improving liquidity and pricing. We are reassured
by the market’s reaction and expect ongoing improvement. In addition, we added some inflation protected bonds to the Strategic
Fixed Income Strategy, which also helped performance.
 Although Multi-Strategy had a strong start to the year, the subsequent rally in risk assets led to the fund giving back some of its gains.
 While equity markets continued to fall during the first two months of the year, we seized the opportunity in March to increase the
overall equity weight of the portfolio by adding to our U.S. Quality and international exposures.
other income.
2 The CPI Plus 5% Index is an internally maintained benchmark based on the Consumer Price Index (CPI). The CPI is published monthly by the U.S. Government as an
indicator of changes in price levels (or inflation). The CPI + 5% Index is calculated by adding 5% annualized to the return of the CPI Index. The index is internally
blended by GMO and maintained on a monthly basis.
4 Std. Deviation is a measure of the volatility of a portfolio’s return. Sharpe Ratio is the return over the risk free rate per unit of risk. Drawdown is the largest negative
cumulative portfolio return from peak to trough. Risk profile data is gross.
GMO ©2009
GMO International All Country Equity Allocation Strategy As of March 31, 2009
1
Performance
Strategy -13.06 -13.06 -43.99 1.03 6.02 5.67
2
Benchmark -11.20 -11.20 -46.48 -0.72 1.35 3.03
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 27.59 -8.89 -4.81 -1.69 48.86 24.06 19.03 25.91 17.39 -40.96
Benchmark 33.43 -16.22 -16.47 -12.66 42.77 21.11 16.71 26.94 16.08 -45.26
3
(MSCI AC World ex-U.S. Index)
Emerging Developed
Markets
18.4%
Emerging Markets Int'l.
19.5% 80.4%
Flexible International
Equities Intrinsic Value
2.3% 39.4%
International
Growth
39.9%
3 4
2.0% Strategy Benchmark
+1.2%
1.0% Alpha 3.40 0.00
0.0% Beta 0.91 1.00
2
-1.0% R 0.92 1.00
-2.0% -1.1% Sharpe Ratio 0.17 -0.05
Developed Int'l. Equities Emerging Equities

 The International All Country Equity Allocation Strategy returned -13.1% for the quarter, underperforming its benchmark by 1.9%.
Asset allocation detracted 0.3% while implementation detracted an additional 1.6%.
 The largest negative contributor to performance within asset allocation was our exposure to the GMO International Intrinsic Value
Strategy. Value indexes struggled on a global basis as they underperformed growth stocks. Part of this relative return was likely due,
in part, to ongoing deterioration in fundamentals. Our allocation to the GMO Emerging Markets Strategy, however, was able to
partly contain the damage as this sector remained mostly unaffected.
 Within implementation, all of our international equity funds underperformed their benchmarks, hurting performance. In particular,
our International Intrinsic Value Strategy was hurt by its overweight to Japan where both its currency and stock market fell.
other income.
2 The blended International All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI AC World ex-U.S. 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.
GMO ©2009
GMO International Developed Equity Allocation Strategy As of March 31, 2009

1
Performance
Strategy -15.59 -15.59 -43.51 -0.09 4.71 6.70
2
Benchmark -14.00 -14.00 -46.51 -1.84 -0.45 4.09
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 18.01 -2.93 -10.80 -0.93 46.65 24.89 15.56 25.50 12.69 -38.39
Benchmark 25.90 -14.30 -21.64 -14.83 40.04 21.17 14.41 26.62 11.58 -43.33
3
(MSCI EAFE Index)
Flexible
Equities
2.3%
International
Growth International
49.1% Intrinsic Value
48.7%
4
Strategy Benchmark
Alpha 3.39 0.00
Beta 0.86 1.00
2
R 0.87 1.00

 The International Developed Equity Allocation Strategy returned -15.6% for the quarter, underperforming its benchmark by 1.6%.
Asset allocation added 0.7% while implementation detracted 2.3%.
 Our asset allocation decision to overweight international growth equities was the biggest positive contributor.
 Within implementation, all of our international strategies underperformed their benchmarks, hurting performance. In particular, our
International Intrinsic Value Strategy was hampered by its overweight to Japan where both its currency and stock market fell. Some
of the largest negative stock contributors included overweights in Novartis and ING along with underweights in Rio Tinto and BHP
Billiton.
other income.
2 The blended International Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account
benchmarks consist of MSCI EAFE 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.
GMO ©2009
GMO Global All Country Equity Allocation Strategy As of March 31, 2009
1
Performance
Strategy -10.22 -10.22 -32.80 0.47 5.62 7.26
2
Benchmark -10.70 -10.70 -42.72 -3.28 -1.37 4.32
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 20.85 2.90 -0.27 -5.69 38.75 17.62 12.51 18.87 11.12 -31.41
Benchmark 25.65 -11.45 -13.50 -19.11 33.76 14.86 9.95 20.34 10.38 -41.82
3
(MSCI AC World Index)
Alpha Only U.S. Core
Emerging 2.3% 6.5%
Markets Emerging Markets
10.0%
10.8%
Flexible
Equities U.S. Equities
2.3%
44.7%
International
Core Equity
19.8% U.S. Quality
41.0%
International
Equities
International 44.5%
Growth
9.1% International
Intrinsic Value
8.9%
3 4
6%
+2.8% +2.3% Strategy Benchmark
3%
Alpha 3.76 0.00
0%
Beta 0.81 1.00
-3% -0.8% 2
R 0.90 1.00
-6% -4.4%
U.S. Equities Developed Int'l. Emerging Fixed Income
Equities Equities

 The Global All Country Equity Allocation Strategy was down 10.2% for the quarter, outperforming its benchmark by 0.5%. Our
asset allocation decisions added 0.9% while implementation detracted 0.4%.
 Our main contribution in asset allocation was to hedge out a small amount of our underlying equity exposure by investing in our
Alpha Only Strategy. In addition, our underweight to international equities versus U.S. equities also helped performance.
 Within implementation, our U.S. Quality and U.S. Core Strategies both outperformed their benchmarks, adding to relative returns,
with the strongest performance coming from U.S. Quality. Within non-U.S. equities, our International Intrinsic Value, International
Core, and International Growth Strategies all underperformed their respective benchmarks as value and momentum models failed to
add value. In particular, our International Intrinsic Value Strategy was hurt by its overweight to Japan.
other income.
2 The blended Global All Country Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI AC World 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.
GMO ©2009
GMO Global Developed Equity Allocation Strategy As of March 31, 2009

1
Performance
Strategy -11.83 -11.83 -35.46 -0.46 4.58 8.10
2
Benchmark -11.92 -11.92 -42.57 -3.66 -2.15 5.22
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 17.07 0.73 -2.54 -4.23 38.64 17.36 12.26 20.22 9.69 -33.19
Benchmark 23.35 -12.39 -16.17 -19.42 32.32 13.64 9.42 20.05 9.02 -40.70
3
(MSCI World Index)
Flexible
Equities
2.0%
U.S. Core
17.7%
U.S. Equities
International 50.1%
Growth
20.7%
International
Equities
International
Intrinsic Value 49.9%
20.1%
U.S. Quality
39.6%
3 4
10% +7.2% Strategy Benchmark
5% Alpha 3.68 0.00
0% Beta 0.84 1.00
2
-5% R 0.87 1.00
-10% -7.2%
U.S. Equities International Equities

 The Global Developed Equity Allocation Strategy was down 11.8% for the quarter, outperforming its benchmark by 0.1%.
Implementation was the main driver of the outperformance, adding 0.1%.
 Asset allocation decisions were marginal to the overall portfolio this quarter as small gains from our allocation to the GMO
International Growth Strategy were nearly entirely offset by our modest allocation to the GMO International Intrinsic Value Strategy
as value significantly underperformed.
 Within implementation, our U.S. Quality and U.S. Core Strategies both outperformed their benchmarks, adding to relative returns,
with the strongest performance coming from U.S. Quality. Within non-U.S. equities, our International Intrinsic Value, International
Core, and International Growth Strategies all underperformed their respective benchmarks as value and momentum models failed to
add value. In particular, our International Intrinsic Value Strategy was hurt by its overweight to Japan.
other income.
2 The blended Global Developed Equity Allocation Composite benchmark is comprised of a weighted average of account benchmarks; many of the account benchmarks
consist of MSCI World or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary
GMO ©2009
GMO U.S. Equity Allocation Strategy As of March 31, 2009

1
Performance
Strategy -8.95 -8.95 -27.03 -3.84 0.84 9.06
2
Benchmark -10.92 -10.92 -38.16 -4.66 -2.56 7.59
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 15.88 4.74 -3.17 -15.61 29.99 10.74 3.68 9.93 2.25 -27.87
Benchmark 21.46 -8.16 -11.62 -21.76 29.69 11.45 5.53 15.71 5.39 -37.15
3
3
(Russell 3000 Index)
Small/Mid Small/Mid
Cap Growth Small Grow th
Cap Value
0.9% 0.8% 11.7%
U.S. Core
46.8%
Small Value
12.2%
U.S. Quality
51.5%
Large Cap
76.0%
3 4
30% +22.3%
Strategy Benchmark
20%
Alpha 2.46 0.00
10%
0% Beta 0.86 1.00
2
-10% R 0.93 1.00
-20% -11.3% -10.9% Sharpe Ratio 0.40 0.22
Large Cap Small Value Small Grow th

 The U.S. Equity Allocation Strategy finished the first quarter down 9.0%, outperforming its benchmark by 2.0%. Asset allocation
added 0.1% while implementation added 1.9%.
 Within asset allocation, our decision to overweight large cap stocks was the biggest driver of performance.
 Within implementation, by far and away the largest contributor to performance was our decision to overweight U.S. quality stocks via
our U.S. Quality Strategy. This strategy holds only those U.S. companies with low leverage along with high and consistent historical
profitability. A notable aspect of the strategy is that it does not hold any financial companies. We continue to believe that U.S. quality
companies will be the most able to defend their profitability in a difficult economic environment, and this continues to be our biggest
equity weight in the portfolio and our highest conviction equity asset class.
other income.
2 The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted average 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.
GMO ©2009
GMO Tax-Managed Global Balanced Strategy As of March 31, 2009

Inception: 12/31/02; Benchmark: GMO Tax-Managed Global Balanced Index
1
Performance
Strategy -3.57 -3.57 -14.81 3.27 n/a 6.74
2
Benchmark -5.36 -5.36 -26.19 -0.68 n/a 3.02
2003 2004 2005 2006 2007 2008
Strategy 23.15 12.73 9.91 12.08 7.16 -14.95
Benchmark 21.82 10.02 5.91 12.95 7.12 -25.89
3
3 Benchmark Composition
(GMO Tax-Managed Global Balanced Index)
Multi-Strategy
8.0% U.S. Equities
U.S. Equities
Tax-Managed 26.8%
23.5%
Absolute Return
8.3% Fixed Income
40.0%
International
Equities
Municipal 17.1%
Bonds International
37.8%
Emerging
Equities
Equities 33.2%
5.2%
3 4
20% +16.3%
Strategy Benchmark
10% Alpha 5.04 0.00
0% Beta 0.72 1.00
-2.2% 2
-10% -3.3% R 0.86 1.00
-20% -10.9% Sharpe Ratio 0.72 0.04
U.S. Equities Int'l. Equities Fixed Income Absolute Return

 The Tax-Managed Global Balanced Strategy declined 3.6% in the first quarter of 2009, while the blended benchmark declined 5.4%.
January and February saw a continuation of the prior quarter’s decline, however, March witnessed a sharp reversal of sentiment. In
local terms, international equity markets declined less than U.S. equity markets, but a strengthening dollar pulled returns for U.S. based
investors down further. Emerging equities fared better during the quarter, and finished the quarter with positive returns.
 Within the portfolio, the relative advantage versus the benchmark came from asset allocation. The portfolio was underweight equities
in the declining market, in favor of alternative investments. In addition, the portfolio was underweight international equities relative
to U.S. equities. Within international equities, an overweight of emerging equities relative to international developed added value.
 Within implementation, both U.S. and international developed equity portfolios moderately outpaced their markets. Gains from more
defensive positioning at the beginning of the year added value, and the portfolios were able to retain the better part of these gains
despite March’s switchback. Within alternative investments, implementation within the long/short equity portfolio was a negative
factor for the quarter.
other income.
2 The blended Tax-Managed Global Balanced Allocation Composite benchmark is comprised of two components (60% MSCI AC World and 40% Barclays Capital Muni 7
Year Index). The index is internally blended by GMO and maintained on a monthly basis using the two underlying indices which are calculated by each respective provider
MSCI and Barclays Capital.
GMO ©2009
GMO Alpha Only Strategy As of March 31, 2009

Inception: 7/31/94; Benchmark: Citigroup 3 Month T-Bill Index
1
Performance
Strategy -0.65 -0.65 9.83 5.61 8.06 5.55
2
Benchmark 0.05 0.05 1.13 3.06 3.19 3.84
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 1.65 19.37 15.10 11.63 2.71 2.64 4.95 3.34 7.74 12.16
Benchmark 4.74 5.96 4.09 1.70 1.07 1.24 3.00 4.76 4.74 1.80
3 3
Long Exposure Short Exposure
Position Exposure % Position Exposure %

Cash 25.6 -10.6
S&P 500
U.S. Quality 23.2 EAFE Baskets/Forwards -15.6
Int'l. Growth 17.9 European Low Quality -15.7
Int'l. Intrinsic Value 17.9 U.S. Low Quality -19.2
U.S. Core 13.3
-30 -20 -10 0
0 10 20 30
4
Strategy
Std. Deviation 4.30
Sharpe Ratio 0.60
Drawdown
-10.03
(9/30/97-2/28/99)

 The Alpha Only Strategy was down 0.6% for the quarter, underperforming its cash benchmark by 0.7%. In an environment where
nearly every equity market was falling, hedging strategies proved their mettle. Along with positive alpha in our U.S. Core and U.S.
Quality Strategies and most of our international portfolios, we also added some asset allocation alpha by hedging our U.S. market
exposure with a basket of low quality stocks.
other income.
2 The Citigroup 3 Month T-Bill Index is an independently maintained and published short-term bill index.
GMO ©2009
GMO Multi-Strategy As of March 31, 2009

1
Performance
Strategy 0.34 0.34 5.37 4.66 n/a 5.00
2
Benchmark 0.05 0.05 1.13 3.06 n/a 2.62
2002 2003 2004 2005 2006 2007 2008
Strategy 0.82 5.07 4.53 2.30 4.11 4.43 10.67
Benchmark 0.25 1.07 1.24 3.00 4.76 4.74 1.80
3 4
Risk Profile Since 10/31/02 Strategy Composition
Short-Term
Strategy
Market Opportunities
Std. Deviation 4.88 6.8%
Emerging
Sharpe Ratio 0.91 Currency Hedge
Mean Reversion
19.2%
Drawdown 2.8%
-3.36
(6/30/07-9/30/07) Fixed Income
Hedge
7.9%
Currency Hedge Completion

4.2% 11.4%
Global Tactical
7.6%
Market Neutral
3.1%
Emerging Country
Debt L.P. Aggressive
6.0% Long/Short
2.8%
Pan-European
Long/Short
Tactical
11.6%
Opportunities
16.5%

 Multi-Strategy returned +0.3% for the quarter. The portfolio benefited from improvements in our fixed income funds that managed
to offset the negative returns from the quality long/short exposures in the portfolio. Strong implementation was notable in the GMO
Fixed Income Hedge, Currency Hedge, and Emerging Country Debt Long/Short Strategies. Eight out of the twelve underlying
strategies in the portfolio outperformed their benchmarks.
 For the quarter, the strongest contributor was the GMO Fixed Income Hedge Strategy, which rose 7.4% thanks to a narrowing of the
Treasury Strips curve versus the LIBOR swap curve. The Currency Hedge Strategy generated performance from its exposure to
long-dated options on the dollar relative to the yen. Our fixed income strategies also benefited from the incipient recovery in our
cash collateral pools. The assortment of policies rolled out by central banks to improve lending conditions helped stabilize fixed
income markets. In particular, some investors returned to the asset-backed bond market, which was reflected in slowly improving
liquidity and pricing. We are reassured by the market’s reaction and expect ongoing improvement.
 On the negative side, performance was dragged down by steep drops in both the Market Neutral and Tactical Opportunities
Strategies. The Market Neutral Strategy was hurt by negative stock selection, particularly by positions in Goldman Sachs, AMR, and
Wells Fargo. Tactical Opportunities was whipsawed during the quarter and, despite healthy gains in the first two months of the year,
the returning risk appetites in March left the strategy stranded.
other income.
GMO ©2009
GMO Mean Reversion Strategy As of March 31, 2009

1
Performance
Strategy 0.50 0.50 11.89 11.05 n/a 14.77
2
Benchmark 0.05 0.05 1.13 3.06 n/a 2.54
2002 2003 2004 2005 2006 2007 2008
Strategy 9.93 35.76 11.42 6.96 5.63 18.63 18.43
Benchmark 1.41 1.07 1.24 3.00 4.76 4.74 1.80
3 3
Long Exposure Short Exposure
Position Absolute % Position Absolute %
Treasuries 109.2 LIBOR -109.2
U.S. High Quality Equities 38.4 Sovereign CDS -57.8
European High Quality Equities 28.4 U.S. Low Quality Equities -42.0
Investment Grade Swap 25.1 European Low Quality Equities -29.8
MR JPY Inflation 14.6 IL Gilt Swap -14.6
Japanese CPI Swap 14.5 Long Guilt Futures -12.5
Korean Won 5.9 Jr. FedRateAntic 2 -8.7
U.S. Inflation 5.7 Spanish IBEX Total Return Swap -6.2
Canadian Dollar 5.7 British Pound -4.6
Nominal Bonds Long/Short 5.6 Danish Krone -3.4
MSCI France Total Rtn. Swap & Eq. 5.2 OMX Cope KFX Index swap -2.9
Norwegian Krone 4.6 S&P 500 Futures -2.8
Emerging Equities 4.6 Metal Commodities -2.3
Japanese REIT 4.2 Swiss Francs -2.3
ABS 3.8 China Renminbi (Yuan) -2.3
Loan Credit Default Swap Index 3.3 Italian SPMIB Total Return Swap -2.1
Long Financials 2.3 Turkish Liras -2.0
Precious metals 2.2 Hungarian Forints -2.0
Comm Hedge 1.8 Polish Zlotys -2.0
High Yield (CDX) 1.5 Russell 2000 Futures -1.8
MSCI Netherlands Total Rtn. Swap 1.3 Sentiment Sector Short -1.3
Sentiment Sector Long 1.2 Systematic Sentiment Trading Short -0.7
Systematic Sentiment Trading Long 1.1 REIT Swap -0.4
German Equities 1.0 Copper Futures -0.1
Euro 0.9
Swiss Equities 0.9 -120 -100 -80 -60 -40 -20 0
Swedish Krona 0.6 4
Japanese Yen 0.0 Risk Profile Since 2/28/02
0 20 40 60 80 100 120 Strategy
Std. Deviation 10.53
Sharpe Ratio 1.62
Drawdown
-8.62
(6/30/02-10/31/02)
 The first quarter of 2009 was a slightly positive one for the Mean Reversion Strategy, which had a return of +0.5%.
 It was a mostly negative quarter for equities, with the S&P 500 down 11.0%, MSCI EAFE shedding 13.9%, and MSCI Emerging edging into positive
territory with a return of +0.9%. Despite the poor quarter for equities, our quality/junk trades hurt us in the quarter, with the U.S. portion costing
the portfolio around 2.5% and the European part detracting 80 basis points. Other trades that hurt us in the quarter included our Japanese inflation
swap, which cost us 1%, and our short bond positions in the U.S. and U.K., which cost 60 basis points. The big winner in the quarter was our IL
Gilt short, which added over 3% as rates rose from the very low levels of year end. Our Euro-area divergence trade won within equities and lost in
CDS, adding around 30 basis points net, and our Treasury strips/LIBOR swap trade added another 1.5%. Our currency positions added another 20
basis points, and the other positions in aggregate were slightly positive.
 We made a number of changes to the portfolio in the quarter. We traded out of our yen long and into a basket of Norwegian krone, Canadian
dollars, Korean won, and gold. We initiated short positions in long-term government bonds in the U.S. and U.K., bought credit protection on a
number of European sovereigns and some European insurers, and closed out our short position in Australian stocks. We also significantly increased
our position long Japanese inflation, where 10-year strike levels are still below -1% per year. We began selectively buying asset-backed and corporate
debt where market prices had fallen to particularly attractive levels.
other income.
GMO ©2009
GMO Market Neutral Strategy As of March 31, 2009

1
Performance
Strategy -7.72 -7.72 -4.55 -0.99 n/a 1.51
2
Benchmark 0.05 0.05 1.13 3.06 n/a 2.88
2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 5.70 5.18 8.50 -2.53 1.59 -5.09 5.15 -3.51 7.29
Benchmark 2.58 4.09 1.70 1.07 1.24 3.00 4.76 4.74 1.80
3 3
Current Profiles Sector Exposure
Long Short Sector Net Weight (%)

Equity Exposure 63 % 63 % Financials 4.1
P/E - Hist 1 Yr Wtd Median 14.5 x 18.1 x Consumer Discretionary 3.7
P/E - Excl Neg Earnings Hist 1 Yr Wtd Avg 10.2 x 10.6 x Energy 0.0
Utilities -0.1
Industrials -0.2
4 Telecommunication Services -0.6
Materials -0.8
Strategy Consumer Staples -1.1
Std. Deviation 7.48 Health Care -1.7
Sharpe Ratio 0.02 Information Technology -3.6
Drawdown
-10.93
(7/31/08-3/31/09) -6 -3 0 3 6
GICS Sectors

 The Market Neutral Strategy lost 7.7% in the first quarter, trailing T-bills by 7.8%.
 While the strategy is geared to be sector neutral, the small bets in the portfolio at quarter-end were slightly negative. The bet in favor
of Energy was positive but was offset by the net short in Information Technology and net long in Financials.
 Stock selection, on the other hand, contributed nearly the entire negative alpha this month. Selections in Financials, Energy,
Industrials, and Materials were all weak. Positions in CF Industries, Citigroup, and MasterCard had a positive impact this quarter
while positions in Wells Fargo, AMR, and Goldman Sachs all disappointed.
other income.
GMO ©2009
GMO Aggressive Long/Short Strategy As of March 31, 2009

1
Performance
Strategy -5.01 -5.01 5.29 0.61 n/a 7.12
2
Benchmark 0.05 0.05 1.13 3.06 n/a 2.82
2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 22.20 17.15 25.92 -5.61 1.07 3.56 -1.90 -5.37 14.26
Benchmark 1.57 4.09 1.70 1.07 1.24 3.00 4.76 4.74 1.80
3 3

Equity Exposure 81 % 71 % Consumer Staples 9.4
P/E - Hist 1 Yr Wtd Median 12.5 x 20.6 x Health Care 6.4
P/E - Excl Neg Earnings Hist 1 Yr Wtd Avg 11.0 x 12.0 x

Consumer Discretionary 4.0
Information Technology 1.4
Utilities -0.5
4 Industrials -1.4
Telecom. Services -1.8
Strategy Energy -1.9
Std. Deviation 14.41 Materials -7.1
Sharpe Ratio 0.49 Financials -7.2
Drawdown
-15.48 -10 -5 0 5 10
(9/30/01-11/30/01)
GICS Sectors

 The Aggressive Long/Short Strategy lost 5.0% in the first quarter, lagging T-bills by 5.1%.
 Tilting toward mega cap stocks and away from mid and small cap stocks was disappointing during the quarter. Selections such as
NTSE EuroNext, JetBlue, and Celgene all added to returns, while Allstate, Proctor and Gamble, and Goldman Sachs all detracted.
other income.
GMO ©2009
GMO Tactical Opportunities Strategy As of March 31, 2009

1
Performance
Strategy -3.62 -3.62 26.28 n/a n/a 4.58
2
Benchmark 0.05 0.05 1.13 n/a n/a 3.28
2004 2005 2006 2007 2008
Strategy -7.57 -13.24 -1.65 17.87 36.52
Benchmark 0.44 3.00 4.76 4.74 1.80
3 3
Long Short
Sector Net Weight (%)
Price/Earnings - Hist 1 Yr Wtd Median 12.1 x 80.9 x
Consumer Staples 26.6
Health Care 14.0
Information Technology 10.2
Energy 2.5
Utilities -2.5
Debt/Equity 0.8 x 1.5 x
Telecom. Services -3.6
% Long/Short 118 % 115 %
Consumer Discretionary -5.9
4 Materials -6.6
Industrials -11.9
Strategy Financials -21.7
Sharpe Ratio 0.22 -40 -20 0 20 40
Drawdown
-25.29
(9/30/04-4/30/06)
GICS Sectors

 The Tactical Opportunities Strategy declined 3.6% in the first quarter, lagging T-bills by 3.7%. At the end of February, the strategy
had gained over 3% year-to-date against a backdrop of plummeting equity markets, but lost that and more in March.
 In spite of heroic gains within the Financials sector in March, these stocks ended the first quarter leading the pack in terms of
absolute declines. Sector attribution in the strategy was positive, particularly the short bets in both Financials and Industrials along
with the long bet in Information Technology.
 Stock attribution was negative, offsetting all of the gains from sector selection. Health Care, Information Technology, and
Telecommunication Services detracted.
 We remain confident that holding a basket of high quality companies in a long portfolio alongside a short portfolio of low quality
companies is the optimal positioning for a tactical fund seeking to exploit the misvaluations of each.
other income.
GMO ©2009
GMO Pan-European Long/Short Equity Strategy As of March 31, 2009

Inception: 5/31/03; Benchmark: 3 Month LIBOR Index
1
Performance
Strategy -3.36 -3.36 10.09 5.77 n/a 5.51
2
Benchmark 0.33 0.33 2.70 3.83 n/a 3.45
2003 2004 2005 2006 2007 2008
Strategy -1.27 12.00 10.07 2.43 0.71 12.67
Benchmark 0.71 1.48 3.39 5.24 5.60 3.48
3 4
Risk Profile Since 5/31/03 Current Profiles
Strategy Long Short

Std. Deviation 6.54 Equity Exposure 132 % 135 %
Sharpe Ratio 0.76
P/E - Hist 1 Yr Wtd Median 10.0 x 7.9 x
Drawdown
-6.24 P/E - Excl Neg Earnings Hist 1 Yr Wtd Avg 8.7 x 6.8 x
(2/28/09-3/31/09)
4 4
Country Exposure Sector Exposure
Country Net Weight (%) Sector Net Weight (%)
United Kingdom 13.5 Health Care 16.7
Belgium 5.9
Switzerland 5.3 Consumer Staples 14.3
Netherlands 2.7 Energy 1.9
Finland 1.2
Ireland Telecom. Services 0.7
1.1
France 0.5 Utilities 0.6
Sweden -1.7 Information Technology -0.9
Italy -2.3
Portugal -4.0 Consumer Discretionary -2.8
Denmark -4.1 Materials -4.0
Spain -4.4
Industrials -7.7
Austria -4.5
Germany -5.4 Financials -23.4
Norway -7.1
-30 -20 -10 0 10 20 30
-20 -10 0 10 20 GICS Sectors

 The Pan-European Long/Short Strategy returned -3.4% during the first quarter of 2009, compared to the 3 Month LIBOR Index, which returned
+0.3%.
 Within the portfolio, stock selection was the primary driver of the underperformance, while country allocation also detracted. Sector exposures
added some value.
 Stock selection within the United Kingdom was particularly poor, but holdings in Sweden and Switzerland also underperformed. Our Spanish and
French stocks outperformed. By sector, our Energy, Health Care, and Consumer Staples holdings were especially weak, although Consumer
Discretionary and Financials outperformed.
 Despite the positive impact of our long position in the United Kingdom, country allocation had a negative impact on relative performance due to
our short positions in Austria and Norway and our long position in Germany.
 Sector exposures added value as the benefit of our long position in Energy outweighed the negative impact of our long position in Health Care.
 Among the individual stocks that significantly impacted performance, short positions in French steel maker ArcelorMittal added 0.4%, Finnish tire
maker Nokian Renkaat also added 0.4%, and French financial AXA added 0.3%.
 On the negative side, long positions in Swiss pharmaceutical Novartis, German utility E.On, and British pharmaceutical GlaxoSmithKline each cost
0.5%.
other income.
2 The 3 Month LIBOR Index is the London Inter-Bank Offered Rate for a 3-month deposit in U.S. dollars during a given month.
GMO ©2009
GMO Emerging Country Debt Long/Short Strategy As of March 31, 2009

Inception: 3/31/96; Benchmark: JPMorgan U.S. 3 Month Cash Index
1
Performance
Strategy 3.40 3.40 -20.19 1.57 13.31 9.74
2
Benchmark 0.58 0.58 3.35 4.03 3.97 4.40
1999 2000 2001 2002 2003 2004 2005 2006 2007 2008
Strategy 60.65 37.28 17.37 18.09 13.13 11.46 8.13 12.23 5.51 -26.52
Benchmark 5.57 6.81 4.94 2.01 1.31 1.48 3.37 5.25 5.70 4.12
3 4
Strategy EMBIG Beta 0.6

Modified Duration 0.9
Sharpe Ratio 0.61
Swap Spread Duration 4.2 Yrs.
Drawdown
-51.97
(4/30/98-9/30/98)
4
Regional Weights
Against Benchmark (%)
Asia -0.9
CEEMEA* 11.3
Latin America -5.1
United States 20.2
-30 -20 -10 0 10 20 30
* Central Eastern Europe, Middle East, and Africa

 The Emerging Country Debt Long/Short Strategy gained 3.4% in the first quarter of 2009. The portfolio performed well as credit
spreads for all emerging country debt tightened during the quarter.
 The portfolio has a beta of 0.5 to the credit spread risk of the JPMorgan EMBIG. Correlations across emerging countries are still
high, so virtually all of the strategy’s country positions performed well. The ongoing liquidity crisis had little effect on the portfolio,
since its less liquid assets had already been marked down, and continue to pay income.
 The portfolio targets absolute return by taking long and short positions in the same countries. As credits around the world stabilized,
income and small price increases helped the strategy. In addition, many of the quasi-sovereign credits the portfolio holds performed
particularly well, relative to their sponsoring sovereign credit.
other income.
2 The JPMorgan U.S. 3 Month Cash Index is an independently published and maintained index. The index measures the total return performance of a constant-maturity
euro-currency deposit, the only short-term securities consistent across all markets in terms of liquidity, maturity, and credit quality. The JPMorgan U.S. 3 Month Cash Index
is calculated daily for three-month deposits in the United States. It is maintained and calculated by JPMorgan and is not actively managed.
GMO ©2009
GMO Global Tactical Strategy As of March 31, 2009

1 3
Performance Risk Profile Since 3/31/02
Total Return Net of Fees (%) Average Annual Total Return (%) Strategy
Sharpe Ratio 0.66
Strategy 3.05 3.05 -4.38 5.00 n/a 7.21
2 Drawdown
Benchmark 0.58 0.58 3.35 4.03 n/a 3.33 -15.44
(6/30/08-9/30/08)
2002 2003 2004 2005 2006 2007 2008
Strategy 19.75 3.79 1.33 4.63 8.39 15.06 -3.88
Benchmark 1.56 1.31 1.48 3.37 5.25 5.70 4.12
4 4
Equity Market Selection Currency Selection
Country Net Weight (%) Currency Net Weight (%)
Netherlands 5.0 United States 22.0
Japanese Yen 4.0
Japan -5.0
UK Pound 0.0
Net Equity Markets 0.0
Euro -12.0
-6 -3 0 3 6 Swiss Franc -14.0
Net Cash -4.4
-40 -20 0 20 40
4 4
Bond Market Selection Commodity Markets
Country Net Weight (%) Commodity Net Weight (%)

Gold 6.8
United States 20.0
Cocoa 2.0
Japan -20.0
Copper 2.0
Net Bond Markets 0.0
Hogs -6.4
-40 -20 0 20 40 Net Commodities 4.4
-10 -5 0 5 10

 The Global Tactical Strategy returned +3.1% during the first quarter as bond and commodity selection added value. Over the same period the S&P
500 fell 11.0%.
 Gains from commodity market selection were due to long positions in gold and gasoline, which rose by 4.8% and 12.6% in January, and short
positions in hogs and natural gas, which fell 7.7% and 22.0%, respectively. Long positions in crude oil and copper added to these gains during
February and March.
 Bond market selection added value from a long position in U.S. bonds and a short position in Japanese bonds. Although our currency positions
added good value in January as long positions in the Japanese yen and U.S. dollar appreciated over 8% against our short positions in the Swiss franc
and euro, these positions lost value in the following two months.
 During the quarter the strategy reduced the number of positions it holds from 51 to 17, by removing most of the smaller positions. In times of
normal volatility and stable correlations, such positions benefit the portfolio by providing diversification. However, these are not normal times and
if market correlations break down, those types of positions can significantly add to portfolio risk, increasing potential loss. The portfolio reflects
the market views we have the most conviction in now. While our portfolio is more concentrated, the strategy is now targeting a lower level of
overall risk (measured by annualized ex-ante tracking error), in the range of 6% to 10% per annum, lower than our long run average target of 15%
per annum. Our risk taking will increase as opportunities arise, meanwhile we will continue taking precautions against unnecessary risk exposures.
 Despite last month’s rebound, the strategy has yet to establish a net long equity position owing to both value and sentiment reasons. We still judge
sentiment to be negative due to a poor economic outlook and because our momentum models generally don’t follow sharp, short-term moves.
Meanwhile, our valuation models, and the assumptions they are based on, indicate that equity markets could become cheaper. As a result, the
strategy is currently focused on market selection opportunities over directional asset class views.
other income.
2 The JPMorgan U.S. 3 Month Cash Index is an independently maintained and published index that measures the total return performance of a constant-maturity euro-
currency deposit, the only short-term securities consistent across all markets in terms of liquidity, maturity, and credit quality. The JPMorgan U.S. 3 Month Cash Index is
calculated daily for three-month deposits in the United States.
GMO ©2009
GMO Currency Hedge Strategy As of March 31, 2009

1
Performance
Strategy 3.61 3.61 -31.99 -5.73 n/a -3.03
2
Benchmark 0.58 0.58 3.35 4.03 n/a 3.69
2003 2004 2005 2006 2007 2008
Strategy 5.70 2.93 8.94 13.60 -15.57 -28.70
Benchmark 0.50 1.48 3.37 5.25 5.70 4.12
3
Strategy
Sharpe Ratio -0.27
Drawdown
-41.19
(6/30/07-12/31/08)

 In the first quarter of 2009, the Currency Hedge Strategy returned +3.6%, compared to its benchmark, the JPMorgan U.S. 3 Month
Cash Index, which gained 0.6%.
 The U.S. dollar gained against most foreign currencies during the quarter, with much of the gains coming during the period when
sharply.
 By quarter-end, the dollar had gained 9.0% versus yen, 6.8% versus Swiss franc, and 4.5% versus Swedish krona. The only currency
to rise versus the dollar during the quarter was Norwegian krone, which rose 3.7%.
 Positive relative performance for the Currency Hedge Strategy derived primarily from its exposure to long-dated options on the dollar
relative to the yen. In addition, the collateral pool contributed positively to performance. Toward quarter-end the strategy began
scaling into more currency positions, mainly via options.
other income.
GMO ©2009
GMO Fixed Income Hedge Strategy As of March 31, 2009

1
Performance
Strategy 7.37 7.37 -26.41 n/a n/a -13.55
2
Benchmark 0.58 0.58 3.35 n/a n/a 4.73
2005 2006 2007 2008
Strategy 1.45 -4.61 -23.39 -25.45
Benchmark 1.32 5.25 5.70 4.12
3
Strategy
Sharpe Ratio -0.90
Drawdown
-48.54
(5/31/06-1/31/09)
4 4
Performance Attribution Country Weights
Strategy Net Contribution (%)
Net Weight (%)
Cross-Market 0.0
Europe 45.6
Opportunistic 5.2
North America 6.2
Rate Anticipation 0.0
Asia Pacific 4.5
Volatility 0.0
Yield Curve 0.0 -60 -40 -20 0 20 40 60
Cash Mgmt./Fees/Other 1.7
-6 -3 0 3 6
 The Fixed Income Hedge Strategy returned +7.4% in the first quarter, outperforming its benchmark, the JPMorgan U.S. 3 Month
Cash Index, which returned 0.6%.
least.
 The portfolio continues to carry a concentrated opportunistic position in Treasury strips versus zero-coupon LIBOR swaps. This is
the strategy’s biggest trade and it consumes the bulk of allocated risk. This position contributed positively during the quarter as strips
outperformed their LIBOR hedges.
 In a welcome development, prices in the collateral pool (GMO Alpha LIBOR [Offshore] L.P.) improved during the quarter,
contributing the remainder of the strategy’s outperformance. The negative momentum that the asset-backed market experienced
during the latter half of 2008 reversed somewhat during the first quarter of 2009, as the tone of the asset-backed market improved.
other income.
GMO ©2009
GMO Emerging Currency Hedge Strategy As of March 31, 2009

1
Performance
Strategy 2.22 2.22 -21.92 n/a n/a -5.45
2
Benchmark 0.58 0.58 3.35 n/a n/a 4.83

2006 2007 2008
Strategy 5.13 9.72 -28.32
Benchmark 4.07 5.70 4.12
3
Strategy
Sharpe Ratio -0.53
Drawdown
-31.61
(7/31/08-12/31/08)

 In the first quarter of 2009, the Emerging Currency Hedge Strategy returned +2.2%, while its benchmark, the JPMorgan U.S. 3
Month Cash Index gained 0.6%. Positive relative performance stemmed both from currency positioning as well as a positive
contribution from the collateral pool.
 Emerging markets in general – currencies, equities, and credit – responded to global risk assets, selling off with equities early in the
quarter, then staging a dramatic rebound with equities for the last three weeks of March. Economic data from the countries is dire,
with production and trade numbers collapsing and, in some cases, disruptions from U.S. and European financial markets
contaminating local markets. Happily, both the G-7 meeting and the G-20 meeting resulted in substantially improved safety nets for
those sound emerging countries whose economies and markets were being sucked into the void of deleveraging by developed-country
financial systems.
 Such a positive backdrop, coupled with sharply reduced economic activity and declining inflation numbers, gave room for emerging
country central banks to lower policy interest rates. Most continued to do so, though all the emerging country rates far exceed those
in developed markets, where zero or near-zero interest-rate bounds are being met with “quantitative” or “credit” (e.g., extraordinary)
monetary policy measures.
 While China’s pre-G-20 call to create a currency system linked to the IMF Special Drawing Right (SDR) garnered a lot of press, less
frequently cited were China’s stepped-up efforts to internationalize the renminbi. The centerpiece of such efforts was China’s
agreement to provide CNY 650 billion (~$95 billion) in CNY-oriented currency swap lines. Recall that the major developed countries
had put USD ones in place starting last year, with facilities among the Federal Reserve, Bank of Canada, the ECB, the Swiss National
Bank, as well as others including Mexico, Korea, Singapore, and Brazil.
 China’s group includes Argentina, Belarus, Hong Kong, Indonesia, South Korea, and Malaysia. The idea is to allow importers to pay
for Chinese goods without needing dollars to do so, since the dollar liquidity is so tight.
 Positive currency contributions came from longs in Colombian peso, Mexican peso, Russian ruble, South African rand, Korean won,
Indian rupee, Taiwan dollar, and Indonesian rupiah. Partially offsetting these gains were losses from shorts in Chilean peso, Peruvian
new sol, Polish zloty, Chinese yuan, Malaysian ringgit, and Thai baht.
other income.
2 The JPMorgan U.S. 3 Month Cash Index is an independently maintained and published index that measures the total return performance of a constant-maturity euro-
currency deposit, the only short-term securities consistent across all markets in terms of liquidity, maturity, and credit quality. The JPMorgan U.S. 3 Month Cash Index is
calculated daily for three-month deposits in the United States.
GMO ©2009
GMO Alternative Asset Opportunity Strategy As of March 31, 2009

Inception: 4/30/05; Benchmark: Alternative Assets Opportunity Index
1
Performance
Strategy -0.13 -0.13 -29.84 n/a n/a -2.69
2
Benchmark -2.85 -2.85 -23.45 n/a n/a 0.38
2005 2006 2007 2008
Strategy 9.48 2.69 8.58 -26.28
Benchmark 8.76 3.95 11.00 -16.77
3
Strategy
Sharpe Ratio -0.44
Drawdown
-37.06
(6/30/08-2/28/09)
4
Current Exposure
Energy Futures Position Meats Position
Crude Oil Long Live Cattle Short
Unleaded Gas Short Lean Hogs Short
Heating Oil Long Grains Position
Natural Gas Long Soybeans Short
Metals Position Soybean Meal Short
Copper Short Soybean Oil Short
Silver Short Corn Short
Gold Long Wheat Short
Softs Position
Coffee Short
Cocoa Long
Cotton Short
Sugar Short
 The Alternative Asset Opportunity Strategy returned -0.1% in the first quarter, outperforming its benchmark, the Alternative Asset
Opportunity index (50% Dow Jones-AIG Commodity Index/50% JPMorgan 3 Month Cash index), by 2.7%.
 Overall, commodity performance was positive during the quarter. Underweight positions in lean hog, live cattle, and wheat contracts
contributed positively to performance, as prices on these contracts fell. In addition, the collateral pool contributed positively to
performance.
 An overweight position in crude oil contract prices contributed negatively to performance during the quarter, as prices on these
contracts fell. Underweight positions in silver and cocoa contract prices also contributed negatively, as prices on these contracts rose.
other income.
2 The GMO Alternative Asset Opportunity index is comprised of 50% Dow Jones-AIG Commodity Index and 50% JPMorgan 3 Month Cash Index. The Dow Jones-AIG
Commodity index is a rolling commodities index composed of futures contracts on physical commodities traded on U.S. exchanges. The index serves as a liquid and
diversified benchmark for the commodities’ asset class.
GMO ©2009
GMO Tax-Managed Absolute Return Strategy As of March 31, 2009

1
Performance
Strategy -2.81 -2.81 5.67 1.32 n/a 1.49
2
Benchmark 0.05 0.05 1.13 3.06 n/a 2.62
2001 2002 2003 2004 2005 2006 2007 2008
Strategy -3.64 16.99 -8.37 1.96 5.76 -1.28 -4.53 10.31
Benchmark 2.66 1.70 1.07 1.24 3.00 4.76 4.74 1.80
3 3
Equity Exposure 88 % 88 % Consumer Staples 8.9
P/E - Hist 1 Yr Wtd Median 12.6 x 41.8 x Consumer Discretionary 7.6
P/E - Excl Neg Earnings Hist 1 Yr Wtd Avg 11.0 x 12.0 x Energy 3.9
Industrials 0.6
Materials -0.6
Health Care -2.3
Utilities -2.5
4
Information Technology -3.3
Financials -5.9
Strategy
Std. Deviation 11.71 Telecom. Services -6.5
Sharpe Ratio 0.02 -10 -5 0 5 10
Drawdown
-16.91
(3/31/01-4/30/01) GICS Sectors

 The Tax-Managed Absolute Return Strategy declined 2.8% for the first quarter of 2009. The long portfolio, which invests in stocks
that are attractive based on either valuation, momentum, or a combination of these measures, declined 9.7%. The short portfolio,
which invests in stocks that are unattractive using these same measures, declined 6.9%.
 There were multiple factors contributing to the portfolio’s return. First, net short exposure to wireless telecommunications stocks
worked against the portfolio, as the segment posted positive returns for the quarter. Second, short exposure to biotech firms, which
had dropped sharply last quarter but improved this quarter, also dragged down returns. Within the long portfolio, the decline in value
of major oil companies Exxon and Chevron worked against the portfolio. Finally, selection within Consumer Discretionary stocks,
especially retailers, was strong for the quarter, offsetting losses from within other sectors.
other income.
GMO ©2009
BENCHMARKS AND INDEXES
GMO measures each strategy’s performance against a specific benchmark or index (each, a “Benchmark”), although no strategy is managed
as an “index strategy” or “index-plus” strategy. Actual composition of a strategy’s portfolio may differ to varying degrees from that of its
Benchmark. Indexes are not managed and do not pay fees and expenses. One cannot invest directly in an index. In some cases, a
strategy’s Benchmark differs from the broad based index against which performance is shown in the strategy’s prospectus. GMO may
change a strategy’s benchmark from time to time.
Full Name Sponsor or Publisher Description
3 Month LIBOR London Inter-Bank Offered London Inter-Bank Offered Rate for a 3 month deposit in U.S. dollars during a given month
Rate
Barclays Capital U.S. Aggregate Barclays Capital Well-known, independently maintained and published index comprised of U.S. fixed rate
Index debt issues, having a maturity of at least one year, rated investment grade or higher by
Moody’s Investors Service, Standard & Poor’s Corporation or Fitch Investors Service.
Barclays Capital U.S. Barclays Capital Well-known, independently maintained and published U.S. government bond index,
Government Index regularly used as a comparative fixed income benchmark.
Barclays Capital U.S. Treasury Barclays Capital Independently maintained and published index comprised of Inflation-Protection Securities
Inflation Notes Index issued by the U.S. Treasury.
Citigroup 3 Month Treasury-Bill Citigroup Independently maintained and published short-term bill index.
Index
CPI Plus 5% Index U.S. Government/GMO An internally maintained benchmark based on the Consumer Price Index (CPI). The CPI is
published monthly by the U.S. Government as an indicator of changes in price levels (or
inflation). The CPI Plus 5% Index is calculated by adding 5% annualized to the return of the
CPI Index. The index is internally blended by GMO and maintained on a monthly basis.
GMO Alternative Asset GMO The GMO Alternative Asset Opportunity index is comprised of 50% Dow Jones-AIG
Opportunity Index Commodity Index and 50% JPMorgan 3 Month Cash Index. The Dow Jones-AIG Commodity
index is a rolling commodities index composed of futures contracts on physical commodities
traded on U.S. exchanges. The index serves as a liquid and diversified benchmark for the
commodities’ asset class.
GMO Blended Global All GMO The blended Global All Country Equity Allocation Composite benchmark is comprised of a
Country Equity Allocation Index weighted average of account benchmarks; many of the account benchmarks consist of MSCI
AC World 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.
GMO Blended Global Asset GMO The blended Global Balanced Allocation Composite benchmark is comprised of a weighted
Balanced Allocation Index average of account benchmarks; many of the account benchmarks consist of S&P 500, MSCI
ACWI and Barclays Capital Aggregate or some like proxy for each market exposure they
have. For each underlying account benchmark, the weighting of each market index will vary
GMO Blended Global GMO The blended Global Developed Equity Allocation Composite benchmark is comprised of a
Developed Equity Allocation weighted average of account benchmarks; many of the account benchmarks consist of MSCI
Index World 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.
GMO Blended International All GMO The blended International All Country Equity Allocation Composite benchmark is comprised
Country Equity Allocation Index of a weighted average of account benchmarks; many of the account benchmarks consist of
MSCI AC World ex-U.S. 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.
GMO Blended International GMO The blended International Developed Equity Allocation Composite benchmark is comprised
Developed Equity Allocation of a weighted average of account benchmarks; many of the account benchmarks consist of
Index MSCI EAFE or some like proxy for each market exposure they have. For each underlying
GMO Blended Real Return GMO The blended Real Return Global Balanced Allocation Composite benchmark is comprised of
Global Balanced Asset a weighted average of account benchmarks; many of the account benchmarks consist of
Allocation Index MSCI World, Barclays Capital Aggregate, and Citigroup 3-Month T-Bill 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.
GMO Blended Tax-Managed GMO The blended Tax-Managed Global Balanced Allocation Composite benchmark is comprised
Global Balanced Index of two components (60% MSCI AC World, 40% Barclays Capital Muni 7 Year (6-8) Index).
The index is internally blended by GMO and maintained on a monthly basis using the two
underlying indices which are calculated by each respective provider MSCI, and Barclays
Capital.
GMO Blended U.S. Equity GMO The blended U.S. Equity Allocation Composite benchmark is comprised of a weighted
Allocation Index average 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
JPMorgan Emerging Markets JPMorgan Independently maintained and published index composed of debt securities of countries,
Bond Index Global which includes Brady bonds, sovereign debt, local debt and Eurodollar debt, all of which are
U.S. dollar denominated.
JPMorgan Emerging Markets GMO The JPMorgan Emerging Markets Bond Index Global + is comprised of the JPMorgan EMBI
Bond Index Global + prior to 8/31/1995, JPMorgan EMBI + through 12/31/1999, and the JPMorgan EMBI Global
thereafter.
GMO ©2009
Full Name Sponsor or Publisher Description
JPMorgan Global Government JPMorgan Independently maintained and published index composed of government bonds of developed
Bond Index countries, including the U.S., with maturities of one year or more.
JPMorgan Government Bond JPMorgan The JPMorgan GBI-EM Index is the first comprehensive, global local emerging markets
Index-Emerging Markets (GBI- index, and consists of regularly traded, liquid fixed-rate, domestic currency government
EM) Diversified Index bonds to which international investors can gain exposure.
JPMorgan Non-U.S. JPMorgan Independently maintained and published index composed of non-U.S. government bonds
Government Bond Index with maturities of one year or more.
JPMorgan Non-U.S. JPMorgan The JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) + is comprised of the
Government Bond Index JPMorgan Non-U.S. Government Bond Index (hedged) prior to 12/31/2003, and the
(hedged) (ex-Japan) + JPMorgan Non-U.S. Government Bond Index (hedged) (ex-Japan) thereafter.
JPMorgan U.S. 3 Month Cash JPMorgan Independently maintained and published index that measures the total return performance of
Index a constant-maturity euro-currency deposit, the only short-term securities consistent across all
markets in terms of liquidity, maturity, and credit quality. The JPMorgan U.S. 3 Month Cash
Index is calculated daily for three-month deposits in the United States.
JPMorgan U.S. 3 Month Cash + JPMorgan The JPMorgan U.S. 3 Month Cash + Index is comprised of the Barclays Capital U.S.
Index Treasury 1-3 Year Index from 5/31/2006 to 9/29/2006 and the JPMorgan U.S. 3 Month Cash
Index thereafter.
MSCI EAFE Growth Index Morgan Stanley Capital The MSCI EAFE (Europe, Australasia, and Far East) Growth Index is a well-known,
International independently maintained and published large capitalization international stock index
comprised of large/mid capitalization stocks that have a growth style. Large/mid cap stocks
encompass approximately 85% of each market’s free float-adjusted market capitalization.
The style is determined using a multi-factor approach based on eight historical and forward-
looking characteristics. MSCI Standard Index Series, net of withholding tax.
MSCI EAFE Index Morgan Stanley Capital The MSCI EAFE Index (Europe, Australasia, and Far East), is a well-known, independently
International maintained and published large capitalization international stock index. MSCI Standard
Index Series, net of withholding tax.
MSCI EAFE (Hedged) Index Morgan Stanley Capital The MSCI EAFE Index (Europe, Australasia, and Far East) (Hedged) is a well-known,
International independently maintained and published large capitalization international stock index that is
currency-hedged into U.S. dollars. MSCI Standard Index Series.
MSCI EAFE Small Cap + Index Morgan Stanley Capital The MSCI EAFE Small Cap + Index is comprised of the S&P Developed ex-U.S. Small Cap
International Index from 6/30/1989 to 5/30/2008 and the MSCI EAFE Small Cap Index (MSCI Standard
Index Series, net of withholding tax) thereafter.
MSCI EAFE Value Index Morgan Stanley Capital The MSCI EAFE (Europe, Australasia, and Far East) Value Index is a well-known,
International independently maintained and published large capitalization international stock index
comprised of large/mid capitalization stocks that have a value style. Large/mid cap stocks
encompass approximately 85% of each market's free float-adjusted market capitalization.
MSCI Japan IMI ++ Index Morgan Stanley Capital The MSCI Japan IMI ++ Index is comprised of the MSCI Japan (Standard Index Series) from
International 12/31/2005 to 6/30/2008 and the MSCI Japan (Investable Market Index Series) thereafter.
MSCI U.S. REIT Index Morgan Stanley & Co., Inc. Well-known, independently maintained and published index of equity securities issued by
REITs.
MSCI World Growth Index Morgan Stanley Capital Well-known, independently maintained and published global developed markets equity index
International comprised of large/mid capitalization stocks that have a growth style. Large/mid cap stocks
encompass approximately 85% of each market’s free float-adjusted market capitalization.
MSCI World Index Morgan Stanley Capital Well-known, independently maintained and published global developed markets equity
International index. MSCI Standard Index Series, net of withholding tax.
Russell 1000 Growth Index Russell Investments Independently maintained and published index which measures the performance of those
stocks included in the Russell 1000 Index with higher price-to-book ratios and higher
forecasted growth values.
Russell 1000 Value Index Russell Investments Independently maintained and published index which measures the performance of those
stocks included in the Russell 1000 Index with lower price-to-book ratios and lower
Russell 2500 Growth Index Russell Investments Independently maintained and published index which measures the performance of those
stocks included in the Russell 2500 Index with higher price-to-book ratios and higher
Russell 2500 Value + Index GMO The Russell 2500 Value + Index is comprised of the Russell 2500 Index from 12/31/1991 to
12/31/1996 and the Russell 2500 Value Index thereafter.
Russell 3000 + Index GMO The Russell 3000 + Index is comprised of the S&P 500 Index from 7/23/1998 to 10/15/2007,
and the Russell 3000 Index thereafter.
S&P 500 Index Standard & Poor’s Corporation Well-known, independently maintained and published U.S. large capitalization stock index.
S&P Developed ex-U.S. Small Standard & Poor’s Corporation The S&P Developed ex-U.S. Small Cap is the small capitalization stock component of the
Cap Index S&P Broad Market Index (BMI). The BMI is a float-weighted index that spans 22 countries
and includes the listed shares of all companies with an available market capitalization (float)
of at least $100 million at the end of May each year. Companies are deleted if their float falls
below $75 million. Changes are effective before the open of the first business day of July.
The Small Cap ex-U.S. is defined as those stocks falling in the bottom 15% of the cumulative
available capital in each country.
S&P/IFC Investable Composite Standard & Poor’s Corporation Independently maintained and published emerging market stock index.
Index /International Finance Corp.
GMO ©2009
GMO
40 Rowes Wharf • Boston, Massachusetts 02110
(617) 330-7500
Visit our website at www.gmo.com

GMO 2009 Q1 Update

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GMO 2009 Q1 Update

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GMO

First Quarter 2009

Emerging markets, having fallen further in the previous

-10% -5% 0% 5% 10%

-16.8% -16.3% Market Outlook

Market commentators continue to rush to claim that

Largest 100 Russell 2500

Cheap on Price/Intrinsic Value High Price Momentum

Consumer Discretionary Financials

Norway was the only developed market to post Outlook

Price-based liquidity measures began settling at new,

Source: Bloomberg, JPMorgan, Barclays

Across currency markets, only three currencies rose 40

(+9.4%), the Norwegian krone (+3.7%), and the Brazilian 0

Price Bid/Offer on JPMorgan EMBIG

Net/net, the dollar’s rise hurt foreign bonds, dragging 0.5

Outlook Of course these quantitative or credit easing measures

GMO U.S. Core Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Intrinsic Value Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO U.S. Quality Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Growth Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Small/Mid Cap Value Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Small/Mid Cap Growth Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Real Estate Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO International Active EAFE Strategy As of March 31, 2009

Quarterly Strategy Attribution

Quarterly Strategy Attribution

GMO International Core Equity Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Currency Hedged International Equity Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Global Equity Strategy As of March 31, 2009

Quarterly Strategy Attribution

Strategy Benchmark Strategy Benchmark

Quarterly Strategy Attribution

GMO International Small Companies Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Japan Equity Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Global Active Equity Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Emerging Markets Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Emerging Countries Strategy As of March 31, 2009

GMO Tax-Managed U.S. Equities Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Tax-Managed International Equities Strategy As of March 31, 2009

GMO Domestic Bond Strategy As of March 31, 2009

Quarterly Strategy Attribution

GIPS® compliant presentation is available at www.gmo.com.

GMO Core Plus Bond Strategy As of March 31, 2009

Quarterly Strategy Attribution

GMO Inflation Indexed Plus Bond Strategy As of March 31, 2009

Quarterly Strategy Attribution

GIPS® compliant presentation is available at www.gmo.com.

GMO Strategic Fixed Income Strategy As of March 31, 2009

Quarterly Strategy Attribution