Gmo Global Developed Equity Allocation Strategy

As of August 31, 2021 GMO GLOBAL DEVELOPED EQUITY ALLOCATION STRATEGY

OVERVIEW FACTS The GMO Global Developed Equity Allocation Strategy seeks total return greater than that of the MSCI World Index. The Strategy uses multi-year Strategy Inception Date March 31, 1987 forecasts of returns among asset classes to build a portfolio that primarily provides exposure to non-U.S. and U.S. equity markets. Benchmark MSCI World + The Strategy is constructed to maximize the opportunity to achieve Total Assets as of 06/30/21 $200mm USD annualized excess returns of 2.5% to 3.5% (net of fees) above the MSCI World Index, over a complete market cycle.

PORTFOLIO MANAGEMENT Ben Inker, CFA John Thorndike ▪ Joined GMO in 1992 ▪ Joined GMO in 2015 ▪ 28 yrs industry experience ▪ 17 yrs industry experience ▪ B.A. from Yale University ▪ A.B. from Bowdoin College

Performance Net of Fees (USD) TOTAL RETURN (%) ANNUALIZED RETURNS (%) AS OF 08/31/2021 Portfolio MSCI World + 33.26 MTD 1.50 2.49 35.00 29.76 QTD 1.39 4.32 30.00 YTD 17.31 17.94 25.00 20.00 14.83 15.00 12.65 12.14 ANNUAL TOTAL RETURN (%) 10.10 9.35 8.24 2020 10.16 15.90 10.00 2019 26.44 27.67 5.00 2018 -13.04 -8.71 0.00 2017 25.39 22.40 1 Year 5 Years 10 Years ITD 2016 5.57 7.51 2015 -3.18 -0.87 Portfolio MSCI World + 2014 0.32 4.94 Composite Inception Date: March 31, 1987 2013 25.82 26.68 2012 14.14 15.84 2011 -0.40 -5.52

Returns shown for periods greater than one year are on an annualized basis.

Performance data quoted represents past performance and is not predictive of future performance. Net returns are presented after the deduction of a model advisory fee and incentive fee if applicable. These returns include transaction costs, commissions and withholding taxes on foreign income and capital gains and include the reinvestment of dividends and other income, as applicable. Fees paid by accounts within the composite may be higher or lower than the model fees used. A Global Investment Performance Standards (GIPS®) Composite Report is available on GMO.com by clicking the GIPS® Composite Report link in the documents section of the strategy page. GIPS® is a registered trademark owned by CFA Institute. CFA Institute does not endorse or promote this organization, nor does it warrant the accuracy or quality of the content contained herein. Actual fees are disclosed in Part 2 of GMO's Form ADV and are also available in each strategy’s Composite Report.

Risks associated with investing in the Strategy may include Market Risk - Equities, Management and Operational Risk, Non-U.S. Investment Risk, Derivatives and Short Sales Risk, and Fund of Funds Risk.

CHARACTERISTICS RISK PROFILE - 5-YEAR TRAILING Portfolio MSCI World Portfolio MSCI World +

Price/Earnings - Hist 1 Yr Wtd Mdn 15.7x 30.0x Alpha (Jensen's) -2.22 N/A Price/Book - Hist 1 Yr Wtd Avg 1.7x 3.2x Beta 1.00 N/A Price/Cash Flow - Hist 1 Yr Wtd Mdn 11.0x 22.2x R Squared 0.94 N/A Return on Equity - Hist 1 Yr Mdn 16.0% 20.5% Sharpe Ratio 0.77 0.94 Dividend Yield - Hist 1 Yr Wtd Avg 2.5% 1.6% Market Cap - Wtd Mdn Bil 30.7 USD 91.9 USD Standard Deviation 15.03 14.50 Number of Equity Holdings 877 1537 Alpha is a measure of risk-adjusted return. Beta is a measure of a portfolio's sensitivity to the market. R-Squared 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. Std Deviation PORTFOLIO ALLOCATIONS (%) is a measure of the volatility of a portfolio. Risk profile data is net. 110 100 TOP HOLDINGS 90 US 16.9 Company Country Sector % 80 Quality 13.2 Roche Holding AG Switzerland Health Care 1.9 70 Information US Small Value 9.4 60 Japan Value 3.7 Microsoft Corp United States Technology 1.8 50 Information United States Technology 1.3 40 Apple Inc Developed ex-US 42.2 Communication 30 Alphabet Inc United States Services 1.1 20 Taiwan Semiconductor Information 10 Emerging Markets 9.4 Manufacturing Co Ltd Taiwan Technology 1.1 0 Quality Cyclicals 5.0 British American Tobacco PLC United Kingdom Consumer Staples 1.1 Weightings are as of the date indicated and are subject to change. The groups Communication indicated above represent exposures determined pursuant to proprietary KDDI Corp Japan Services 1.0 methodologies and are subject to change over time. Totals may vary due to rounding. Group weights under 1% are not reflected. Consumer Daimler AG Germany Discretionary 1.0 TOP COUNTRIES (%) Rio Tinto Ltd Australia Materials 1.0 39.1 BNP Paribas SA France Financials 1.0 United States 68.0 Total 12.3 12.3 Japan 6.6 GICS Sector. Portfolio holdings are percent of equity. Where applicable, the top holdings are derived by looking through to the underlying portfolios in which the asset 8.5 allocation strategy invests and, where appropriate, individual security positions are United Kingdom aggregated. They are subject to change and should not be considered a 4.1 recommendation to buy individual securities. 4.9 Germany 2.7

4.8 France 3.3

0.0 20.0 40.0 60.0 80.0

Portfolio MSCI World

The MSCI World + Index is an internally maintained benchmark computed by GMO, comprised of (i) GMO blended benchmark of Global Developed Equity Allocation Composite through 06/30/2014 and (ii) MSCI World Index (MSCI Standard Index Series, net of withholding tax) thereafter. The GMO blended benchmark of Global Developed Equity Allocation Composite is comprised of a weighted average of account benchmarks; many of the account benchmarks consist of MSCI World (MSCI Standard Index Series, net of withholding tax) or some like proxy for each market exposure they have. For each underlying account benchmark, the weighting of each market index will vary slightly. The index is internally blended by GMO and maintained on a monthly basis. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder. The MSCI World Index (MSCI Standard Index Series, net of withholding tax) is an independently maintained and widely published index comprised of global developed markets. MSCI data may not be reproduced or used for any other purpose. MSCI provides no warranties, has not prepared or approved this report, and has no liability hereunder.

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

About GMO: Founded in 1977, GMO is a private partnership whose sole business is investment management. The firm manages global portfolios with offices and clients around the world. Investment offerings include equity, fixed income, multi-asset class, and alternative strategies. GMO is known for blended fundamental and quantitative investment research expertise and a long-term orientation toward value opportunities.