SPY has a return from 1/2/2028 to present of 13.45%. The average of his funds that I calculated have a CAGR of 5.7%. This is significant under-performance!

I was using figures from another source, which I didn't verify. I believe were from "GMO Benchmark-Free Allocation IV", whose history is available as GBMBX.
1997-2021 inclusive, fund CAGR 6.97% versus S&P 8.95%.
Most of the gap was 1997-1998 when the S&P soared.
For 1999-2021 inclusive, 23 years, the difference was CAGR 0.18%.
I didn't verify the appropriateness of the specific fund chosen or figures used.
Of note for his particular style of conservatism, the worst three-calendar-year stretch for the S&P in those 25 years was -37.6%, versus his fund at -1.9%. I think that's a better thing to look at for risk-adjusted returns than monthly price volatility which matters to no-one.

His flagship fund has not outperformed the cap weight US market, at least for stretches ending lately.
But my point remains: that's an entirely different question from whether his commentary, particularly the asset class expectations tables, offers valuable insights.

e.g., from a 2008 article in the Economist:
"TEN years ago, GMO, an American fund-management group, was losing clients. GMO was sceptical about the dotcom boom and thought that equities offered poor value. Its performance lagged that of other groups who appeared to be more in tune with the “new paradigm” of the late 1990s.
"At the time, GMO forecasted likely future levels of returns from ten separate asset classes. Emerging-market equities came first, followed by American real-estate investment trusts, emerging-country debt, international smallcaps, index-linked Treasury bonds, American government bonds, EAFE (Europe, Australia and far east) equities, Treasury bills, overseas bonds and the S&P 500 index (American equities).
"Remarkably, ten years later that prediction was proved almost entirely correct, from 13.4% real for emerging market equities all the way down to 0% real for American equities. The only differences were that foreign bonds and Treasury bills swapped places, as did government bonds and EAFE stocks.
"The chances of getting that forecast exactly right were less than one in 500,000. Does this suggest that GMO's fund managers are exceptionally lucky? Perhaps. But it also suggests that long-term market movements may be rather easier to predict than short-term ones. In the short-term, markets can be pushed to extremes, and thus away from fundamental values, by fear and greed. But bubbles don't tend to last for a decade."

A similar article in 2011:
"As an illustration. Grantham shows what the model was forecasting for asset classes back in December 2001. Emerging markets were the asset to back, it claimed back then, while US equities should be avoided. Sure enough, emerging market equities were the best performers out of the 11 asset classes analysed over the following 10 years, while the S&P 500 was 10th."

Such an analysis won't generally be right, because there is no guarantee (or even particular likelihood) that the asset classes in question will be at their own respective typical valuation levels at the end of a single specific length of time. But, critically, if they are, it's not so hard to have a pretty good idea of what returns to expect, so it's very useful information.

Sometimes a call is a pretty easy one. From 2008: "Mr Grantham admits he will probably fall foul of the Curse of the Value Investor, which is buying too soon. Yet he is convinced that “by October 10th global equities were cheap on an absolute basis and cheaper than at any time in 20 years.”"
Over the next 10 years, S&P total return was 14.2%/year and equal weight was 15.3%. Good numbers. I take the lesson: when someone with a reputation (deserved or not) of being a permabear makes a bullish call, it's probably not a bad call. They are really pounding the drum for emerging market value stocks lately.
In honour of that notion, FWIW here are some random international picks of mine
IFI:WSE at 23.90 PLN, yield 8.41%
KMDS:JKT at 458 IDR, yield 4.73%
6070:TYO at 2493 JPY, yield 4.79%
4481:TYO at 2815 JPY, yield 3.21%
(even though Japan isn't exactly an emerging market!)

They are pretty bullish about some specific mainstream US stocks too, based on their observation that the dispersion of valuations recently has been way higher than normal.

Jim