Fund Portfolio for GMO Inflation Indexed Plus Bond III (GMITX)

  • Style Box Details

    Details
    Average Eff Duration 4.9 Yrs
    Average Eff Maturity 8.3 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 19.94% 0.26 16.27%
    US Treasuries 0.57% 0.17 -3.10%
    TIPS 19.37% 0.27 19.37%
    US Agency 0.00% 0.00 0.00%
    Mortgage 9.63% 3.50 9.63%
    Mortgage Pass-Thru 2.02% 2.35 2.02%
    Mortgage CMO 7.61% 4.03 7.61%
    Mortgage ARM 0.00% — 0.00%
    Credit 66.29% 8.55 66.29%
    US Corporate 9.93% 1.67 9.93%
    Asset-Backed 56.24% 33.88 56.24%
    Convertible 0.00% — 0.00%
    Municipal 0.12% 0.86 0.12%
    Inflation Proof 0.00% — 0.00%
    Foreign 2.36% 0.44 2.36%
    Foreign Corp 2.36% 1.26 2.36%
    Foreign Govt 0.00% 0.00 0.00%
    Cash 10.32% 0.84 -11.23%
    Data as of 08/31/2009

  • Bond Quality

    AAA 71.67%
    AA 7.25%
    A 0.76%
    BBB 8.68%
    BB 6.60%
    B 1.12%
    Below B 3.93%
    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): 7
    Total Number of Other Holdings (short): 4
    Total Number of Other Holdings (long): 17
    Assets in Top 10 Holdings: 117.42%
    Turnover: 56.00%
    30 Day SEC Yield % —
    Summary data as of 05/31/2009
    Holdings Maturity Date Total Holdings Value of Holdings Net Assets
    = GMO Short Duration Collateral — 13.97 M 224.36 M 57.56%
    = GMO World Opportunity Overlay — 4.23 M 78.08 M 20.03%
    * GMO US Treasury — 813,340.00 20.35 M 5.22%
    + US Treasury Bond 3.875% 04/15/2029 12.94 M 16.03 M 4.11%
    = GMO Emerging Country Debt III — 2.03 M 13.99 M 3.59%
    * Euro Bund (Fut) 06/08/2009 6.9 M 11.66 M 2.99%
    * 10yr Japan Govt Bond Ftrs Lif Jun09 Xlif 06/10/2009 800 M -11.45 M 2.94%
    + US Treasury Bond 2.375% 01/15/2025 11.28 M 11.42 M 2.93%
    * US Treasury Bond 2% 01/15/2026 10.71 M 10.28 M 2.64%
    + US Treasury Bond 1.75% 01/15/2028 10.66 M 9.82 M 2.52%
    * 10yr Govt Of Canada Bond Ftrs Sep09 Xmon 09/21/2009 7.8 M -8.61 M 2.21%
    * US Treasury Bond (Fut) 09/21/2009 6.1 M -7.12 M 1.83%
    * US Treasury Bond (Fut) 09/30/2009 6.3 M 6.96 M 1.79%
    * Cash & Cash Equivalents 12/31/2030 5.59 M 5.59 M 1.44%
    * 3yr Australian Tbond Futures Jun09 Xsfe 06/15/2009 6.6 M -5.59 M 1.44%
    * United States Treas Nts 04/15/2012 4.95 M 5.17 M 1.33%
    + US Treasury Bond 3.625% 04/15/2028 4.27 M 5.09 M 1.31%
    * Euro BOBL (Fut) 06/08/2009 3.1 M 5.04 M 1.29%
    * 10yr Australian Tbond Futures Jun09 Xsfe 06/15/2009 4 M -3.39 M 0.87%
    * Uk Long Gilt Bond (Fut) 09/28/2009 1.4 M 2.65 M 0.68%
    * 10yr Japan Govt Bond (Fut) 06/11/2009 100 M -1.43 M 0.37%
    - State Street Instl Treas Plus Instl 12/31/2030 559,212.00 559,212.00 0.14%
    * US TREASURY BILL 05/06/2010 300,000.00 298,751.00 0.08%
    * CAD — 153,684.00 153,684.00 0.04%
    * EUR — 140,677.00 -140,677.00 0.04%
    + 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