Fund Portfolio for GMO Currency Hedged Intl Bond III (GMHBX)

  • Style Box Details

    Details
    Average Eff Duration 5.4 Yrs
    Average Eff Maturity 8.7 Yrs
    Average Credit Quality AA

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    Style Box Detail calculations do not include the fund´s short positions (if any)
    Data as of 08/31/2009

  • Asset Allocation


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  • Sector Weightings

    Bonds Relative to Category Average Net Assets
    US Government — — —
    US Treasuries — — —
    TIPS — — —
    US Agency — — —
    Mortgage — — —
    Mortgage Pass-Thru — — —
    Mortgage CMO — — —
    Mortgage ARM — — —
    Credit — — —
    US Corporate — — —
    Asset-Backed — — —
    Convertible — — —
    Municipal — — —
    Inflation Proof — — —
    Foreign — — —
    Foreign Corp — — —
    Foreign Govt — — —
    Cash — — —
    Data as of 08/31/2009

  • Bond Quality

    AAA 73.10%
    AA 7.03%
    A 0.72%
    BBB 8.39%
    BB 5.90%
    B 1.06%
    Below B 3.79%
    Not Rated 0.00%
    Data as of 09/30/2009

  • Top 25 Holdings

    Total Number of Stock Holdings (short): 0
    Total Number of Stock Holdings (long): 0
    Total Number of Bond Holdings (short): 0
    Total Number of Bond Holdings (long): 2
    Total Number of Other Holdings (short): 7
    Total Number of Other Holdings (long): 17
    Assets in Top 10 Holdings: 116.69%
    Turnover: 28.00%
    30 Day SEC Yield % —
    Summary data as of 05/31/2009
    Holdings Maturity Date Total Holdings Value of Holdings Net Assets
    * 30 Day Federal Funds Futures Jun09 Xcbt 06/30/2009 83.34 M -83.19 M 83.10%
    = GMO Short Duration Collateral — 4.33 M 69.58 M 69.50%
    * Euro Bund (Fut) 06/08/2009 27.6 M 46.64 M 46.59%
    = GMO World Opportunity Overlay — 1.11 M 20.47 M 20.45%
    * Uk Long Gilt Bond (Fut) 09/28/2009 9.7 M 18.39 M 18.37%
    * GMO US Treasury — 476,811.00 11.93 M 11.92%
    * Germany (Federal Republic Of) 4.75% 07/04/2034 5 M 7.31 M 7.31%
    * France(Govt Of) 4% 10/25/2038 5 M 6.46 M 6.45%
    * 10yr Japan Govt Bond Ftrs Lif Jun09 Xlif 06/10/2009 300 M -4.3 M 4.29%
    + US Treasury Note 0.875% 04/15/2010 3.93 M 3.93 M 3.92%
    = GMO Emerging Country Debt III — 537,733.00 3.7 M 3.70%
    - Cash & Cash Equivalents 12/31/2030 2.88 M 2.88 M 2.88%
    * Euro BOBL (Fut) 06/08/2009 1.4 M -2.27 M 2.27%
    * 10yr Govt Of Canada Bond Ftrs Sep09 Xmon 09/21/2009 1.9 M 2.1 M 2.10%
    * US Treasury Bond (Fut) 09/21/2009 1.4 M -1.63 M 1.63%
    * 3yr Australian Tbond Futures Jun09 Xsfe 06/15/2009 1.2 M -1.02 M 1.02%
    * 10yr Australian Tbond Futures Jun09 Xsfe 06/15/2009 700,000.00 -593,021.00 0.59%
    - State Street Instl Treas Plus Instl 12/31/2030 452,015.00 452,015.00 0.45%
    * US Treasury Bond (Fut) 09/30/2009 400,000.00 -391,250.00 0.39%
    - Currency (British Pound) — 326,075.00 -326,075.00 0.33%
    * Swap Opt Eur Call Odb100518eur May12 2.312500 Call 05/20/2012 30 M 190,977.00 0.19%
    - CAD — 112,406.00 -112,406.00 0.11%
    + EUR — 89,591.00 -89,591.00 0.09%
    = GMO Special Purpose Holding — 5,496.00 4,012.00 0.00%
    - Currency Japan — 2.00 -2.00 0.00%
    + Increase - Decrease = No change * New since last portfolio
    Top 25 holdings account for the fund's short positions (if any). Net short positions appear shaded.
    Data as of 10/31/2009