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Grantham, Mayo, Van Otterloo & Co. LLC

PRI reporting framework 2020

You are in Organisational Overview » Basic information

Basic information

OO 01. Signatory category and services

01.1. Select the services and funds you offer

Select the services and funds you offer
% of asset under management (AUM) in ranges
Fund management
Fund of funds, manager of managers, sub-advised products
Other
Total 100%

Further options (may be selected in addition to the above)

01.2. Additional information. [Optional]

GMO has included all of its privately offered products, including Irish pooled vehicles, in the category of “Hedge funds”.

In OO 1.1, we have interpreted category “Fund of funds, managers of managers, sub-advised products” as referring to third-party fund of funds.  GMO does not sponsor, nor does it manage, any such products.  Where GMO funds hold investments in other GMO funds, assets are only reported once as part of the funds that hold them directly.

In OO 1.1, per guidance, we have included discretionary separately managed accounts in the “Fund management” category.


OO 02. Headquarters and operational countries

02.1. Select the location of your organisation’s headquarters.

United States

02.2. Indicate the number of countries in which you have offices (including your headquarters).

02.3. Indicate the approximate number of staff in your organisation in full-time equivalents (FTE).

470 FTE

02.4. Additional information. [Optional]

GMO's has a total of six offices in the following locations: Boston, San Francisco, London, Amsterdam, Singapore, and Sydney.


OO 03. Subsidiaries that are separate PRI signatories

03.1. Indicate whether you have subsidiaries within your organisation that are also PRI signatories in their own right.

03.3. Additional information. [Optional]


OO 04. Reporting year and AUM

04.1. Indicate the year end date for your reporting year.

31/12/2019

04.2. Indicate your total AUM at the end of your reporting year.

Include the AUM of subsidiaries, but exclude advisory/execution only assets, and exclude the assets of your PRI signatory subsidiaries that you have chosen not to report on in OO 03.2
Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

04.4. Indicate the assets which are subject to an execution and/or advisory approach. Provide this figure based on the end of your reporting year

Total AUM
trillions billions millions thousands hundreds
Currency
Assets in USD
trillions billions millions thousands hundreds

04.5. Additional information. [Optional]

In OO 4.2, Assets Under Management are based on the current market value of the assets as of the reporting date, determined using the same methodology that is used to calculate fees for investment advisory services (i.e. T+1 accounting). For our calculations of Assets Under Management, we have relied on the official books and records, as opposed to the investment adviser's books and records.

In OO 4.2, the value reported is Net Assets Under Management in USD. Gross Assets Under Management as of 12/31/19 are $ 64,799,445,375.

 

The following additional information is provided in relation to our responses for OO5 for which input areas for explanatory information were not available.

For OO 5.1, for those securities that did not fall into one of the specified categories, we have created two additional "other" categories: "Other (1), Derivatives," includes all derivative securities that are not included in the Hedge Funds category; and "Other (2), Unlisted Equity" includes equity securities that are private and not listed on an exchange (and traded OTC).

For OO 5.1, please note that for the "Other (1), Derivatives" category no look-through was conducted of the derivative instrument to the underlying securities.

For OO 5.1, all exchange-traded fund securities are categorized under "Listed equity."

For OO 5.1, all Real Estate Investment Trusts ("REITs") are categorized as "Listed equity," unless the asset was held in a private or Irish fund where it is categorized as "Hedge funds". This classification is based on the guidance for "Property," and the fact that GMO is not significantly involved in the investment selection or monitoring of the REITs' investments.


OO 06. How would you like to disclose your asset class mix

06.1. Select how you would like to disclose your asset class mix.

Internally managed (%)
Externally managed (%)

 

Listed equity 10-50% 42.34 0 0
Fixed income 10-50% 15.08 0 0
Private equity 0 0 0 0
Property 0 0 0 0
Infrastructure 0 0 0 0
Commodities 0 0 0 0
Hedge funds 10-50% 37.47 <10% 0.02
Fund of hedge funds 0 0 0 0
Forestry 0 0 0 0
Farmland 0 0 0 0
Inclusive finance 0 0 0 0
Cash <10% 1.76 0 0
Money market instruments <10% 2.92 0 0
Other (1), specify <10% 0.38 0 0
Other (2), specify <10% 0.02 0 0

`Other (1)` specified

          Derivatives
        

`Other (2)` specified

          Unlisted Equity
        

06.2. Publish asset class mix as per attached image [Optional].

06.3. Indicate whether your organisation has any off-balance sheet assets [Optional].

06.5. Indicate whether your organisation uses fiduciary managers.

06.6. Provide contextual information on your AUM asset class split. [Optional]


OO 07. Fixed income AUM breakdown (Private)


OO 08. Segregated mandates or pooled funds (Private)


OO 09. Breakdown of AUM by market

09.1. Indicate the breakdown of your organisation’s AUM by market.

78.28 Developed Markets
18.58 Emerging Markets
0.87 Frontier Markets
2.28 Other Markets
Total 100% 100.01%

09.2. Additional information. [Optional]

For purposes of determining the geographical breakdown of investments we rely on the issuer's "CNTRY_OF_DOMICILE" as provided by Bloomberg for security types that have an issuer (e.g., common stock, bonds). Where there is no issuer associated with a particular security we use the security's "COUNTRY" if provided by Bloomberg. When security or issuer information is not available from Bloomberg we rely on our internal security and/or issuer information.

For purposes of this question, we do not look to the underlying assets of derivative positions.


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