This document forecasts the expected annual real returns over 7 years for various asset classes as of May 2011, with US large cap stocks expected to return 4.3%, international bonds expected to return -0.2%, and emerging market debt expected to have the highest estimated range of returns at ±8.5%.

1. GMO 7-Year Asset Class Return Forecasts*
As of May 31, 2011
Stocks Bonds Other
8%
6.5% Long-term Historical U.S. Equity Return
6.0%
6%
5.1%
Annual Real Return Over 7 Years
4.3%
4% 3.5%
2% 1.7%
0.6%
0.0% 0.1%
0%
-0.2%
-0.6%
-2% -1.3%
-2.7%
-4%
US Large US Small US High Intl Large Intl Small Emerging US Bonds Intl Bonds Emerging Index Cash Timber
Quality Debt Linked
Bonds
Estimated Range of
7-Year Annualized Returns ±6.5 ±7.0 ±6.0 ±6.5 ±7.0 ±10.5 ±4.0 ±4.0 ±8.5 ±1.5 ±1.5 ±5.5
*The chart represents real return forecasts1 for several asset classes. These forecasts are forward-looking statements based upon the reasonable beliefs
of GMO and are not a guarantee of future performance. Actual results may differ materially from the forecasts above.
1 Long-term inflation assumption: 2.5% per year.
GMO
7YearForecast_2011
Source: GMO 1
Proprietary information – not for distribution. Copyright © 2011 by GMO LLC. All rights reserved.